# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0000795422-26-000028
**Filing Date:** 2026-4
**Character Count:** 873635
**Document Hash:** 90e5ac2b0465af72e28fc440027a3462
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000795422-26-000028.hdr.sgml**: 20260422

**ACCESSION NUMBER**: 0000795422-26-000028

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 55

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260422

**DATE AS OF CHANGE**: 20260422

**EFFECTIVENESS DATE**: 20260422

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES II
- **CENTRAL INDEX KEY:** 0000795422

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 26881891

**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 DIVERSIFIED TRUST
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH FUND
- **DATE OF NAME CHANGE:** 19920130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19911204

## Series and Classes Contracts Data

### Fidelity Advisor Limited Term Bond Fund (Series ID: S000005131)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000014032 | Class A                         | FDIAX           |
| C000014034 | Class C                         | FNBCX           |
| C000014035 | Class M                         | FTBRX           |
| C000014036 | Class I                         | EFIPX           |
| C000132104 | Fidelity Limited Term Bond Fund | FJRLX           |
| C000204996 | Class Z                         | FIKRX           |

### Fidelity Advisor Mortgage Securities Fund (Series ID: S000005133)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000014042 | Class A                           | FMGAX           |
| C000014044 | Class C                           | FOMCX           |
| C000014045 | Class M                           | FMSAX           |
| C000014046 | Class I                           | FMSCX           |
| C000014129 | Fidelity Mortgage Securities Fund | FMSFX           |
| C000204997 | Class Z                           | FIKUX           |

### Fidelity Series Investment Grade Securitized Fund (Series ID: S000062808)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000203455 | Fidelity Series Investment Grade Securitized Fund | FHPFX           |

### Fidelity Limited Term Securitized Completion Fund (Series ID: S000085243)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000250211 | Fidelity Limited Term Securitized Completion Fund | FLTGX           |

?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>811-04707</u>

<u>Fidelity Advisor Series II</u>

(Exact name of registrant as specified in charter)

<u>245 Summer St., Boston, MA 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;February 28, 2026 |

---

Item 1.

<u>Reports to Stockholders</u>

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity® Mortgage Securities Fund : FMSFX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Mortgage Securities Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Mortgage Securities Fund  | $23  | 0.45% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $746917011<br>|
| Number of Holdings | 1644<br>|
| Portfolio Turnover | 701%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 98.5 |
| AAA | 7.7 |
| AA | 0.6 |
| A | 0.1 |
| BB | 0.1 |
| Not Rated | 15.6 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 98.5 |
| &nbsp;&nbsp;AAA - 7.7&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 - 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 - 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;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 - 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; |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)%  |
| 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. Government Agency - Mortgage Securities | 94.5 |
| CMOs and Other Mortgage Related Securities | 18.8 |
| Asset-Backed Securities | 5.1 |
| U.S. Treasury Obligations | 4.0 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 94.5 |
| CMOs and Other Mortgage Related Securities - 18.8 |
| Asset-Backed Securities - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_GD.jpg) <br>|

---

United States - 100.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 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; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fannie Mae Mortgage pass-thru certificates | 27.2<br>|
| Ginnie Mae II Pool | 25.6<br>|
| Freddie Mac Gold Pool | 21.0<br>|
| Uniform Mortgage Backed Securities | 16.1<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 6.1<br>|
| Fannie Mae Guaranteed REMIC | 3.7<br>|
| Ginnie Mae I Pool | 3.4<br>|
| US Treasury Notes | 2.5<br>|
| US Treasury Bonds | 1.5<br>|
| Freddie Mac Non Gold Pool | 1.2<br>|
|  | 108.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img40_20260228_1.jpg)<br>| ![](img126274_2.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> 1.9915397.101 40-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class Z : FIKUX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Mortgage Securities Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $18  | 0.36% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $746917011<br>|
| Number of Holdings | 1644<br>|
| Portfolio Turnover | 701%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 98.5 |
| AAA | 7.7 |
| AA | 0.6 |
| A | 0.1 |
| BB | 0.1 |
| Not Rated | 15.6 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 98.5 |
| &nbsp;&nbsp;AAA - 7.7&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 - 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 - 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;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 - 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; |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)%  |
| 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. Government Agency - Mortgage Securities | 94.5 |
| CMOs and Other Mortgage Related Securities | 18.8 |
| Asset-Backed Securities | 5.1 |
| U.S. Treasury Obligations | 4.0 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 94.5 |
| CMOs and Other Mortgage Related Securities - 18.8 |
| Asset-Backed Securities - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_GD.jpg) <br>|

---

United States - 100.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 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; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fannie Mae Mortgage pass-thru certificates | 27.2<br>|
| Ginnie Mae II Pool | 25.6<br>|
| Freddie Mac Gold Pool | 21.0<br>|
| Uniform Mortgage Backed Securities | 16.1<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 6.1<br>|
| Fannie Mae Guaranteed REMIC | 3.7<br>|
| Ginnie Mae I Pool | 3.4<br>|
| US Treasury Notes | 2.5<br>|
| US Treasury Bonds | 1.5<br>|
| Freddie Mac Non Gold Pool | 1.2<br>|
|  | 108.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img40_20260228_1.jpg)<br>| ![](img126275_2.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> 1.9915396.101 3253-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class M : FMSAX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Mortgage Securities Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $41  | 0.81% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $746917011<br>|
| Number of Holdings | 1644<br>|
| Portfolio Turnover | 701%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 98.5 |
| AAA | 7.7 |
| AA | 0.6 |
| A | 0.1 |
| BB | 0.1 |
| Not Rated | 15.6 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 98.5 |
| &nbsp;&nbsp;AAA - 7.7&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 - 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 - 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;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 - 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; |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)%  |
| 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. Government Agency - Mortgage Securities | 94.5 |
| CMOs and Other Mortgage Related Securities | 18.8 |
| Asset-Backed Securities | 5.1 |
| U.S. Treasury Obligations | 4.0 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 94.5 |
| CMOs and Other Mortgage Related Securities - 18.8 |
| Asset-Backed Securities - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_GD.jpg) <br>|

---

United States - 100.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 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; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fannie Mae Mortgage pass-thru certificates | 27.2<br>|
| Ginnie Mae II Pool | 25.6<br>|
| Freddie Mac Gold Pool | 21.0<br>|
| Uniform Mortgage Backed Securities | 16.1<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 6.1<br>|
| Fannie Mae Guaranteed REMIC | 3.7<br>|
| Ginnie Mae I Pool | 3.4<br>|
| US Treasury Notes | 2.5<br>|
| US Treasury Bonds | 1.5<br>|
| Freddie Mac Non Gold Pool | 1.2<br>|
|  | 108.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img40_20260228_1.jpg)<br>| ![](img126276_2.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> 1.9915394.101 239-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class I : FMSCX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Mortgage Securities Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $31  | 0.61% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $746917011<br>|
| Number of Holdings | 1644<br>|
| Portfolio Turnover | 701%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 98.5 |
| AAA | 7.7 |
| AA | 0.6 |
| A | 0.1 |
| BB | 0.1 |
| Not Rated | 15.6 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 98.5 |
| &nbsp;&nbsp;AAA - 7.7&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 - 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 - 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;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 - 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; |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)%  |
| 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. Government Agency - Mortgage Securities | 94.5 |
| CMOs and Other Mortgage Related Securities | 18.8 |
| Asset-Backed Securities | 5.1 |
| U.S. Treasury Obligations | 4.0 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 94.5 |
| CMOs and Other Mortgage Related Securities - 18.8 |
| Asset-Backed Securities - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_GD.jpg) <br>|

---

United States - 100.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 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; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fannie Mae Mortgage pass-thru certificates | 27.2<br>|
| Ginnie Mae II Pool | 25.6<br>|
| Freddie Mac Gold Pool | 21.0<br>|
| Uniform Mortgage Backed Securities | 16.1<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 6.1<br>|
| Fannie Mae Guaranteed REMIC | 3.7<br>|
| Ginnie Mae I Pool | 3.4<br>|
| US Treasury Notes | 2.5<br>|
| US Treasury Bonds | 1.5<br>|
| Freddie Mac Non Gold Pool | 1.2<br>|
|  | 108.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img40_20260228_1.jpg)<br>| ![](img126277_2.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> 1.9915395.101 240-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class C : FOMCX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Mortgage Securities Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $82  | 1.61% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $746917011<br>|
| Number of Holdings | 1644<br>|
| Portfolio Turnover | 701%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 98.5 |
| AAA | 7.7 |
| AA | 0.6 |
| A | 0.1 |
| BB | 0.1 |
| Not Rated | 15.6 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 98.5 |
| &nbsp;&nbsp;AAA - 7.7&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 - 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 - 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;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 - 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; |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)%  |
| 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. Government Agency - Mortgage Securities | 94.5 |
| CMOs and Other Mortgage Related Securities | 18.8 |
| Asset-Backed Securities | 5.1 |
| U.S. Treasury Obligations | 4.0 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 94.5 |
| CMOs and Other Mortgage Related Securities - 18.8 |
| Asset-Backed Securities - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_GD.jpg) <br>|

---

United States - 100.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 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; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fannie Mae Mortgage pass-thru certificates | 27.2<br>|
| Ginnie Mae II Pool | 25.6<br>|
| Freddie Mac Gold Pool | 21.0<br>|
| Uniform Mortgage Backed Securities | 16.1<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 6.1<br>|
| Fannie Mae Guaranteed REMIC | 3.7<br>|
| Ginnie Mae I Pool | 3.4<br>|
| US Treasury Notes | 2.5<br>|
| US Treasury Bonds | 1.5<br>|
| Freddie Mac Non Gold Pool | 1.2<br>|
|  | 108.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img40_20260228_1.jpg)<br>| ![](img126278_2.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> 1.9915398.101 5635-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class A : FMGAX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Mortgage Securities Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $41  | 0.81% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $746917011<br>|
| Number of Holdings | 1644<br>|
| Portfolio Turnover | 701%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 98.5 |
| AAA | 7.7 |
| AA | 0.6 |
| A | 0.1 |
| BB | 0.1 |
| Not Rated | 15.6 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 98.5 |
| &nbsp;&nbsp;AAA - 7.7&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 - 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 - 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;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 - 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; |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)%  |
| 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. Government Agency - Mortgage Securities | 94.5 |
| CMOs and Other Mortgage Related Securities | 18.8 |
| Asset-Backed Securities | 5.1 |
| U.S. Treasury Obligations | 4.0 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 94.5 |
| CMOs and Other Mortgage Related Securities - 18.8 |
| Asset-Backed Securities - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (22.6)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20260228_GD.jpg) <br>|

---

United States - 100.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 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; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fannie Mae Mortgage pass-thru certificates | 27.2<br>|
| Ginnie Mae II Pool | 25.6<br>|
| Freddie Mac Gold Pool | 21.0<br>|
| Uniform Mortgage Backed Securities | 16.1<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 6.1<br>|
| Fannie Mae Guaranteed REMIC | 3.7<br>|
| Ginnie Mae I Pool | 3.4<br>|
| US Treasury Notes | 2.5<br>|
| US Treasury Bonds | 1.5<br>|
| Freddie Mac Non Gold Pool | 1.2<br>|
|  | 108.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img40_20260228_1.jpg)<br>| ![](img126279_2.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> 1.9915393.101 237-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Limited Term Bond Fund<br> **Fidelity® Limited Term Bond Fund : FJRLX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Limited Term Bond Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Limited Term Bond Fund  | $15  | 0.30% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $3171725178<br>|
| Number of Holdings | 1092<br>|
| Portfolio Turnover | 66%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 20.1 |
| AAA | 7.1 |
| AA | 2.1 |
| A | 24.5 |
| BBB | 33.9 |
| BB | 4.6 |
| B | 2.6 |
| CCC,CC,C | 0.7 |
| D | 0.0 |
| Not Rated | 4.0 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 20.1 |
| &nbsp;&nbsp;AAA - 7.1&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;AA - 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;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.5&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;BBB - 33.9&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;BB - 4.6&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;B - 2.6&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;CCC,CC,C - 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;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 - 4.0&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;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) - 0.4 |
| 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 | 64.4 |
| U.S. Treasury Obligations | 20.1 |
| Asset-Backed Securities | 9.1 |
| CMOs and Other Mortgage Related Securities | 3.8 |
| Bank Loan Obligations | 1.4 |
| Preferred Securities | 0.4 |
| Foreign Government and Government Agency Obligations | 0.4 |
| U.S. Government Agency - Mortgage Securities | 0.0 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 64.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 20.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 3.8 |
| Bank Loan Obligations - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.4 |
| U.S. Government Agency - Mortgage Securities - 0.0 |
| 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) - 0.4 |

---

---

| | |
|:---|:---|
| United States | 76.6 |
| United Kingdom | 4.9 |
| Grand Cayman (UK Overseas Ter) | 3.3 |
| Canada | 3.1 |
| Japan | 1.9 |
| Germany | 1.9 |
| France | 1.5 |
| Ireland | 1.4 |
| Netherlands | 1.3 |
| Others | 4.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 76.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 4.9&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) - 3.3&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;Japan - 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;  |
| &nbsp;&nbsp;Germany - 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;France - 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;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 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;Netherlands - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.1&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 Notes | 20.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Wells Fargo & Co | 1.5<br>|
| Bank of America Corp | 1.3<br>|
| Citigroup Inc | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.2<br>|
| Morgan Stanley | 1.2<br>|
| HSBC Holdings PLC | 1.2<br>|
| General Motors Financial Co Inc | 1.2<br>|
| Deutsche Bank AG/New York NY | 1.0<br>|
|  | 32.0 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img87_20260228_1.jpg)<br>| ![](img126280_2.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> 1.9915406.101 2622-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Limited Term Bond Fund<br> **Fidelity Advisor® Limited Term Bond Fund Class Z : FIKRX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Limited Term Bond Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $13  | 0.25% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $3171725178<br>|
| Number of Holdings | 1092<br>|
| Portfolio Turnover | 66%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 20.1 |
| AAA | 7.1 |
| AA | 2.1 |
| A | 24.5 |
| BBB | 33.9 |
| BB | 4.6 |
| B | 2.6 |
| CCC,CC,C | 0.7 |
| D | 0.0 |
| Not Rated | 4.0 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 20.1 |
| &nbsp;&nbsp;AAA - 7.1&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;AA - 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;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.5&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;BBB - 33.9&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;BB - 4.6&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;B - 2.6&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;CCC,CC,C - 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;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 - 4.0&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;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) - 0.4 |
| 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 | 64.4 |
| U.S. Treasury Obligations | 20.1 |
| Asset-Backed Securities | 9.1 |
| CMOs and Other Mortgage Related Securities | 3.8 |
| Bank Loan Obligations | 1.4 |
| Preferred Securities | 0.4 |
| Foreign Government and Government Agency Obligations | 0.4 |
| U.S. Government Agency - Mortgage Securities | 0.0 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 64.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 20.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 3.8 |
| Bank Loan Obligations - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.4 |
| U.S. Government Agency - Mortgage Securities - 0.0 |
| 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) - 0.4 |

---

---

| | |
|:---|:---|
| United States | 76.6 |
| United Kingdom | 4.9 |
| Grand Cayman (UK Overseas Ter) | 3.3 |
| Canada | 3.1 |
| Japan | 1.9 |
| Germany | 1.9 |
| France | 1.5 |
| Ireland | 1.4 |
| Netherlands | 1.3 |
| Others | 4.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 76.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 4.9&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) - 3.3&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;Japan - 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;  |
| &nbsp;&nbsp;Germany - 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;France - 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;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 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;Netherlands - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.1&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 Notes | 20.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Wells Fargo & Co | 1.5<br>|
| Bank of America Corp | 1.3<br>|
| Citigroup Inc | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.2<br>|
| Morgan Stanley | 1.2<br>|
| HSBC Holdings PLC | 1.2<br>|
| General Motors Financial Co Inc | 1.2<br>|
| Deutsche Bank AG/New York NY | 1.0<br>|
|  | 32.0 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img87_20260228_1.jpg)<br>| ![](img126281_2.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> 1.9915408.101 3252-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Limited Term Bond Fund<br> **Fidelity Advisor® Limited Term Bond Fund Class M : FTBRX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Limited Term Bond Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $30  | 0.60% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $3171725178<br>|
| Number of Holdings | 1092<br>|
| Portfolio Turnover | 66%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 20.1 |
| AAA | 7.1 |
| AA | 2.1 |
| A | 24.5 |
| BBB | 33.9 |
| BB | 4.6 |
| B | 2.6 |
| CCC,CC,C | 0.7 |
| D | 0.0 |
| Not Rated | 4.0 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 20.1 |
| &nbsp;&nbsp;AAA - 7.1&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;AA - 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;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.5&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;BBB - 33.9&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;BB - 4.6&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;B - 2.6&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;CCC,CC,C - 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;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 - 4.0&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;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) - 0.4 |
| 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 | 64.4 |
| U.S. Treasury Obligations | 20.1 |
| Asset-Backed Securities | 9.1 |
| CMOs and Other Mortgage Related Securities | 3.8 |
| Bank Loan Obligations | 1.4 |
| Preferred Securities | 0.4 |
| Foreign Government and Government Agency Obligations | 0.4 |
| U.S. Government Agency - Mortgage Securities | 0.0 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 64.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 20.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 3.8 |
| Bank Loan Obligations - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.4 |
| U.S. Government Agency - Mortgage Securities - 0.0 |
| 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) - 0.4 |

---

---

| | |
|:---|:---|
| United States | 76.6 |
| United Kingdom | 4.9 |
| Grand Cayman (UK Overseas Ter) | 3.3 |
| Canada | 3.1 |
| Japan | 1.9 |
| Germany | 1.9 |
| France | 1.5 |
| Ireland | 1.4 |
| Netherlands | 1.3 |
| Others | 4.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 76.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 4.9&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) - 3.3&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;Japan - 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;  |
| &nbsp;&nbsp;Germany - 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;France - 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;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 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;Netherlands - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.1&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 Notes | 20.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Wells Fargo & Co | 1.5<br>|
| Bank of America Corp | 1.3<br>|
| Citigroup Inc | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.2<br>|
| Morgan Stanley | 1.2<br>|
| HSBC Holdings PLC | 1.2<br>|
| General Motors Financial Co Inc | 1.2<br>|
| Deutsche Bank AG/New York NY | 1.0<br>|
|  | 32.0 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img87_20260228_1.jpg)<br>| ![](img126282_2.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> 1.9915407.101 287-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Limited Term Bond Fund<br> **Fidelity Advisor® Limited Term Bond Fund Class I : EFIPX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Limited Term Bond Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $15  | 0.30% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $3171725178<br>|
| Number of Holdings | 1092<br>|
| Portfolio Turnover | 66%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 20.1 |
| AAA | 7.1 |
| AA | 2.1 |
| A | 24.5 |
| BBB | 33.9 |
| BB | 4.6 |
| B | 2.6 |
| CCC,CC,C | 0.7 |
| D | 0.0 |
| Not Rated | 4.0 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 20.1 |
| &nbsp;&nbsp;AAA - 7.1&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;AA - 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;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.5&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;BBB - 33.9&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;BB - 4.6&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;B - 2.6&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;CCC,CC,C - 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;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 - 4.0&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;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) - 0.4 |
| 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 | 64.4 |
| U.S. Treasury Obligations | 20.1 |
| Asset-Backed Securities | 9.1 |
| CMOs and Other Mortgage Related Securities | 3.8 |
| Bank Loan Obligations | 1.4 |
| Preferred Securities | 0.4 |
| Foreign Government and Government Agency Obligations | 0.4 |
| U.S. Government Agency - Mortgage Securities | 0.0 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 64.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 20.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 3.8 |
| Bank Loan Obligations - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.4 |
| U.S. Government Agency - Mortgage Securities - 0.0 |
| 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) - 0.4 |

---

---

| | |
|:---|:---|
| United States | 76.6 |
| United Kingdom | 4.9 |
| Grand Cayman (UK Overseas Ter) | 3.3 |
| Canada | 3.1 |
| Japan | 1.9 |
| Germany | 1.9 |
| France | 1.5 |
| Ireland | 1.4 |
| Netherlands | 1.3 |
| Others | 4.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 76.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 4.9&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) - 3.3&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;Japan - 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;  |
| &nbsp;&nbsp;Germany - 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;France - 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;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 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;Netherlands - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.1&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 Notes | 20.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Wells Fargo & Co | 1.5<br>|
| Bank of America Corp | 1.3<br>|
| Citigroup Inc | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.2<br>|
| Morgan Stanley | 1.2<br>|
| HSBC Holdings PLC | 1.2<br>|
| General Motors Financial Co Inc | 1.2<br>|
| Deutsche Bank AG/New York NY | 1.0<br>|
|  | 32.0 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img87_20260228_1.jpg)<br>| ![](img126283_2.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> 1.9915410.101 87-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Limited Term Bond Fund<br> **Fidelity Advisor® Limited Term Bond Fund Class C : FNBCX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Limited Term Bond Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $69  | 1.38% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $3171725178<br>|
| Number of Holdings | 1092<br>|
| Portfolio Turnover | 66%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 20.1 |
| AAA | 7.1 |
| AA | 2.1 |
| A | 24.5 |
| BBB | 33.9 |
| BB | 4.6 |
| B | 2.6 |
| CCC,CC,C | 0.7 |
| D | 0.0 |
| Not Rated | 4.0 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 20.1 |
| &nbsp;&nbsp;AAA - 7.1&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;AA - 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;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.5&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;BBB - 33.9&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;BB - 4.6&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;B - 2.6&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;CCC,CC,C - 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;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 - 4.0&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;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) - 0.4 |
| 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 | 64.4 |
| U.S. Treasury Obligations | 20.1 |
| Asset-Backed Securities | 9.1 |
| CMOs and Other Mortgage Related Securities | 3.8 |
| Bank Loan Obligations | 1.4 |
| Preferred Securities | 0.4 |
| Foreign Government and Government Agency Obligations | 0.4 |
| U.S. Government Agency - Mortgage Securities | 0.0 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 64.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 20.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 3.8 |
| Bank Loan Obligations - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.4 |
| U.S. Government Agency - Mortgage Securities - 0.0 |
| 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) - 0.4 |

---

---

| | |
|:---|:---|
| United States | 76.6 |
| United Kingdom | 4.9 |
| Grand Cayman (UK Overseas Ter) | 3.3 |
| Canada | 3.1 |
| Japan | 1.9 |
| Germany | 1.9 |
| France | 1.5 |
| Ireland | 1.4 |
| Netherlands | 1.3 |
| Others | 4.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 76.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 4.9&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) - 3.3&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;Japan - 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;  |
| &nbsp;&nbsp;Germany - 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;France - 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;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 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;Netherlands - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.1&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 Notes | 20.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Wells Fargo & Co | 1.5<br>|
| Bank of America Corp | 1.3<br>|
| Citigroup Inc | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.2<br>|
| Morgan Stanley | 1.2<br>|
| HSBC Holdings PLC | 1.2<br>|
| General Motors Financial Co Inc | 1.2<br>|
| Deutsche Bank AG/New York NY | 1.0<br>|
|  | 32.0 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img87_20260228_1.jpg)<br>| ![](img126284_2.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> 1.9915409.101 524-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity Advisor® Limited Term Bond Fund<br> **Fidelity Advisor® Limited Term Bond Fund Class A : FDIAX** <br>|

---

This semi-annual shareholder report contains information about Fidelity Advisor® Limited Term Bond Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $30  | 0.61% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $3171725178<br>|
| Number of Holdings | 1092<br>|
| Portfolio Turnover | 66%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 20.1 |
| AAA | 7.1 |
| AA | 2.1 |
| A | 24.5 |
| BBB | 33.9 |
| BB | 4.6 |
| B | 2.6 |
| CCC,CC,C | 0.7 |
| D | 0.0 |
| Not Rated | 4.0 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 20.1 |
| &nbsp;&nbsp;AAA - 7.1&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;AA - 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;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.5&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;BBB - 33.9&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;BB - 4.6&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;B - 2.6&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;CCC,CC,C - 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;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 - 4.0&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;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) - 0.4 |
| 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 | 64.4 |
| U.S. Treasury Obligations | 20.1 |
| Asset-Backed Securities | 9.1 |
| CMOs and Other Mortgage Related Securities | 3.8 |
| Bank Loan Obligations | 1.4 |
| Preferred Securities | 0.4 |
| Foreign Government and Government Agency Obligations | 0.4 |
| U.S. Government Agency - Mortgage Securities | 0.0 |
| Preferred Stocks | 0.0 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 64.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 20.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 3.8 |
| Bank Loan Obligations - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.4 |
| U.S. Government Agency - Mortgage Securities - 0.0 |
| 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) - 0.4 |

---

---

| | |
|:---|:---|
| United States | 76.6 |
| United Kingdom | 4.9 |
| Grand Cayman (UK Overseas Ter) | 3.3 |
| Canada | 3.1 |
| Japan | 1.9 |
| Germany | 1.9 |
| France | 1.5 |
| Ireland | 1.4 |
| Netherlands | 1.3 |
| Others | 4.1 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 76.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 4.9&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) - 3.3&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;Japan - 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;  |
| &nbsp;&nbsp;Germany - 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;France - 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;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 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;Netherlands - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.1&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 Notes | 20.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Wells Fargo & Co | 1.5<br>|
| Bank of America Corp | 1.3<br>|
| Citigroup Inc | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.2<br>|
| Morgan Stanley | 1.2<br>|
| HSBC Holdings PLC | 1.2<br>|
| General Motors Financial Co Inc | 1.2<br>|
| Deutsche Bank AG/New York NY | 1.0<br>|
|  | 32.0 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img87_20260228_1.jpg)<br>| ![](img126285_2.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> 1.9915405.101 261-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Limited Term Securitized Completion Fund<br> **Fidelity® Limited Term Securitized Completion Fund : FLTGX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Limited Term Securitized Completion Fund for the period September 1, 2025 to February 28, 2026. 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 six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Limited Term Securitized Completion Fund  | $0 A | 0.00%B |

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $130590954<br>|
| Number of Holdings | 387<br>|
| Portfolio Turnover | 197%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 14.3 |
| AAA | 53.1 |
| AA | 6.9 |
| A | 1.0 |
| Not Rated | 25.9 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img7612_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 14.3 |
| &nbsp;&nbsp;AAA - 53.1&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;AA - 6.9&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 - 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;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 25.9&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) - (1.2)%  |
| 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. |

---

---

| | |
|:---|:---|
| Asset-Backed Securities | 50.6 |
| CMOs and Other Mortgage Related Securities | 36.0 |
| U.S. Government Agency - Mortgage Securities | 12.4 |
| U.S. Treasury Obligations | 1.9 |
| Options | 0.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img7612_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Asset-Backed Securities - 50.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 36.0 |
| U.S. Government Agency - Mortgage Securities - 12.4 |
| U.S. Treasury Obligations - 1.9&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) - (1.2)% |

---

United States 99.4 <br> Canada 0.6

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img7612_20260228_GD.jpg) <br>|

---

United States - 99.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 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; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fannie Mae Mortgage pass-thru certificates | 4.7<br>|
| Uniform Mortgage Backed Securities | 4.4<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 3.8<br>|
| Stellantis Financial Underwritten Enhanced Lease Trust | 3.1<br>|
| Freddie Mac Gold Pool | 2.9<br>|
| Wheels Fleet Lease Funding LLC | 2.4<br>|
| GMF Floorplan Owner Revolving Trust | 2.3<br>|
| OCCU Auto Receivables Trust | 1.7<br>|
| Ford Cr Floorplan Mast Own Tr | 1.5<br>|
| BHG | 1.4<br>|
|  | 28.2 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img7612_20260228_1.jpg)<br>| ![](img126287_2.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> 1.9917140.101 7612-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Series Investment Grade Securitized Fund<br> **Fidelity® Series Investment Grade Securitized Fund : FHPFX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Series Investment Grade Securitized Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

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

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $856421828<br>|
| Number of Holdings | 1324<br>|
| Portfolio Turnover | 600%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 90.5 |
| AAA | 13.8 |
| AA | 0.5 |
| A | 0.0 |
| BB | 0.0 |
| CCC,CC,C | 0.1 |
| Not Rated | 20.4 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3223_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 90.5 |
| &nbsp;&nbsp;AAA - 13.8&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 - 0.5&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;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;BB - 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;CCC,CC,C - 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;Not Rated - 20.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (25.3)%  |
| 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 | 87.0 |
| CMOs and Other Mortgage Related Securities | 23.6 |
| Asset-Backed Securities | 11.0 |
| U.S. Treasury Obligations | 3.5 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img3223_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 87.0 |
| CMOs and Other Mortgage Related Securities - 23.6 |
| Asset-Backed Securities - 11.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 3.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (25.3)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3223_20260228_GD.jpg) <br>|

---

United States - 100.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 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; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fannie Mae Mortgage pass-thru certificates | 27.3<br>|
| Ginnie Mae II Pool | 24.8<br>|
| Freddie Mac Gold Pool | 18.7<br>|
| Uniform Mortgage Backed Securities | 10.2<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 9.2<br>|
| Fannie Mae Guaranteed REMIC | 3.0<br>|
| Ginnie Mae I Pool | 2.8<br>|
| Fannie Mae | 2.0<br>|
| Freddie Mac Non Gold Pool | 2.0<br>|
| US Treasury Bonds | 1.9<br>|
|  | 101.9 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 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.© 2026 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.© 2026 FMR LLC. All rights reserved. |
| ![](img3223_20260228_1.jpg)<br>| ![](img126212_2.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> 1.9915461.101 3223-TSRS-0426 <br>|

---

Item 2.

<u>Code of Ethics</u>

Not applicable.

Item 3.

<u>Audit Committee Financial Expert</u>

Not applicable.

Item 4.

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

Not applicable.

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® Series Investment Grade Securitized Fund**

**Semi-Annual Report**

**February 28, 2026**

![](img126664_1.jpg)

![](img126664_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_IGS-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Series Investment Grade Securitized Fund](#Sub_Sec_Fund_3223_IGS-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements3223_IGS-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_IGS-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_IGS-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_IGS-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_IGS-SANN)** |

---

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.© 2026 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 (Semi-Annual Report)**

**Fidelity® Series Investment Grade Securitized Fund**

**Schedule of Investments February 28, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 11.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 11.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 11.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (f) | 53396 | 53957 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (f) | 140293 | 142057 |
| TOTAL CANADA |  | 196014 |
| UNITED STATES - 11.0%  |  |  |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (f) | 36244 | 36604 |
| Affirm Asset Securitization Trust Series 2024-B Class A, 4.62% 9/15/2029 (f) | 4100000 | 4110783 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (f) | 1100000 | 1107845 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (f) | 2700000 | 2720087 |
| Affirm Master Trust Series 2026-1A Class A, 4.37% 2/15/2034 (f) | 1330000 | 1337603 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  | 159642 | 160675 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (f) | 48479 | 48793 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (f) | 140401 | 140876 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (f) | 167595 | 167921 |
| AutoNation Finance Trust Series 2026-1A Class A3, 4.03% 8/12/2030 (f) | 455000 | 457542 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (f) | 205000 | 208606 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (f) | 543156 | 551624 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (f) | 70067 | 70693 |
| BofA Auto Trust Series 2025-1A Class A2A, 4.52% 11/22/2027 (f) | 309060 | 309548 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (f) | 500000 | 503586 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 147409 | 149104 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  | 167923 | 170001 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 300000 | 303214 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 721468 | 723632 |
| Carmax Auto Owner Trust Series 2025-4 Class A3, 3.97% 12/16/2030  | 2400000 | 2411996 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 6018 | 6025 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 67000 | 67543 |
| Carmax Select Receivables Trust Series 2026-A Class A2A, 4.03% 12/17/2029  | 420000 | 420060 |
| Carmax Series 2026-1 Class A3, 4.04% 3/17/2031  | 1100000 | 1108852 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/2029 (f) | 173973 | 175614 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (f) | 208106 | 209178 |
| Dell Equipment Finance Trust Series 2025-2 Class A2, 4.1% 2/22/2028 (f) | 2900000 | 2906379 |
| Dell Equipment Finance Trust Series 2025-2 Class A3, 4.12% 3/24/2031 (f) | 600000 | 604147 |
| Dext Abs LLC Series 2025-1 Class A2, 4.59% 8/16/2027 (f) | 938629 | 940753 |
| Dext Abs LLC Series 2025-2 Class A2, 4.1% 4/17/2028 (f) | 200000 | 199979 |
| DLLAA LLC Series 2025-1A Class A3, 4.95% 9/20/2029 (f) | 1450000 | 1481566 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (f) | 67779 | 68482 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (f) | 233264 | 234153 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (f) | 82000 | 83701 |
| DLLMT LLC Series 2026-1A Class A2, 4.03% 7/20/2028 (f) | 500000 | 500699 |
| DLLMT LLC Series 2026-1A Class A3, 4.2% 12/20/2029 (f) | 255000 | 256776 |
| Eff Series 2026-1 Class A3, 4.12% 3/20/2030 (f) | 900000 | 907906 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (f) | 139942 | 141573 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A3, 6.41% 6/20/2030 (f) | 5248000 | 5422739 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (f) | 361000 | 364997 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (f) | 49141 | 49263 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (f) | 171000 | 173540 |
| Exeter Automobile Receivables Trust Series 2026-1A Class A3, 4.03% 3/15/2030  | 175000 | 175426 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 33608 | 33693 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 70000 | 70713 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 60000 | 60482 |
| Exeter Select Automobile Receivables Trust Series 2025-3 Class A3, 4.18% 12/16/2030  | 325000 | 326842 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (f) | 2589000 | 2594171 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (f) | 2500000 | 2540135 |
| GM Financial Revolving Receivables Trust Series 2024-1 Class A, 4.98% 12/11/2036 (f) | 704000 | 727978 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/2028 (f) | 1126000 | 1130838 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (f) | 426731 | 428047 |
| GreatAmerica Leasing Receivables Funding LLC Series 2025-2 Class A2, 4.22% 5/15/2028 (f) | 2600000 | 2611558 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (f) | 179232 | 179588 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (f) | 304863 | 306516 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (f) | 325998 | 327244 |
| Hyundai Auto Lease Securitization Trust Series 2024-C Class A3, 4.62% 4/17/2028 (f) | 1300000 | 1306549 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (f) | 973451 | 976976 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 234868 | 236816 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 612802 | 613820 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  | 290000 | 292214 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  | 950044 | 951890 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (f) | 253099 | 253921 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (f) | 172022 | 172987 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (f) | 820000 | 826873 |
| Nissan Auto Lease Trust Series 2026-A Class A3, 3.87% 3/15/2029  | 375000 | 375660 |
| Nissan Master Owner Tr Receivable Series 2024-B Class A, 5.05% 2/15/2029 (f) | 1200000 | 1212924 |
| OneMain Financial Issuance Trust Series 2019-2A Class A, 3.14% 10/14/2036 (f) | 800000 | 791560 |
| OneMain Financial Issuance Trust Series 2020-2A Class A, 1.75% 9/14/2035 (f) | 1109904 | 1094666 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (f) | 1268 | 1268 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (f) | 600000 | 603515 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (f) | 495000 | 496345 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (f) | 1300000 | 1304045 |
| Optn Series 2026-A Class A, 4.32% 1/9/2034 (f) | 190000 | 190608 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (f) | 631069 | 644039 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A2, 4.27% 10/20/2028 (f) | 520000 | 521257 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A3, 4.39% 7/20/2033 (f) | 115000 | 116201 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (f) | 233753 | 235142 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (f) | 119899 | 120956 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.1313% 7/25/2054 (f)(g)(h) | 531454 | 529929 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (f)(g) | 385616 | 383260 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (f) | 98013 | 98246 |
| Rcktl Series 2025-2A Class A, 4.48% 11/27/2034 (f) | 218109 | 218329 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (f)(g) | 296915 | 297330 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (f) | 366191 | 367867 |
| Reach Abs Trust Series 2026-1A Class B, 4.37% 2/15/2033 (f) | 600000 | 601153 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 700000 | 704337 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (f) | 174043 | 174819 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (f) | 172515 | 172843 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (f) | 758359 | 762375 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (f) | 121667 | 123043 |
| SFS Auto Receivables Securitization Trust Series 2024-3A Class A3, 4.55% 6/20/2030 (f) | 2300000 | 2315465 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A2A, 3.91% 8/20/2029 (f) | 400000 | 400280 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A3, 3.96% 7/21/2031 (f) | 400000 | 401237 |
| Sfuel Series 2025-BA Class A3, 4.27% 1/22/2029 (f) | 1800000 | 1812249 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (f) | 358678 | 359688 |
| Sofi Consumer Loan Program Trust Series 2026-1 Class A, 4.06% 12/26/2035 (f) | 2900000 | 2901696 |
| Sofi Consumer Loan Program Trust Series 2026-1 Class B, 4.44% 12/26/2035 (f) | 350000 | 352585 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (f) | 781333 | 740164 |
| Toyota Lease Owner Trust Series 2026-A Class A2A, 3.7% 2/22/2028 (f) | 5000000 | 4996855 |
| Upg HI Issuer Trust Series 2025-2 Class A, 5% 9/25/2047 (f) | 1177918 | 1186724 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (f) | 1613827 | 1626393 |
| VCAT Asset Securitization LLC Series 2026-NPL1 Class A1, 5.101% 1/25/2056 (f)(g) | 483919 | 482571 |
| VCAT Asset Securitization LLC Series 2026-NPL2 Class A1, 4.987% 2/25/2056 (f)(i) | 700000 | 699999 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (f) | 197036 | 197883 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (f) | 402510 | 403237 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (f) | 429584 | 439864 |
| Westlake Automobile Receivables Trust Series 2026-1A Class A3, 4.01% 7/16/2029 (f) | 700000 | 701258 |
| Wheels Fleet Lease Funding LLC Series 2023-2A Class A, 6.46% 8/18/2038 (f) | 392593 | 396902 |
| Wheels Fleet Lease Funding LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (f) | 730577 | 738731 |
| Wheels Fleet Lease Funding LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (f) | 283627 | 286562 |
| Wheels Fleet Lease Funding LLC Series 2024-3A Class A1, 4.8% 9/19/2039 (f) | 3999702 | 4044520 |
| Wheels Fleet Lease Funding LLC Series 2025-3A Class A1, 4.08% 9/18/2040 (f) | 500000 | 502139 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (f) | 88887 | 91122 |
| Willis Engine Structured Trust VII Series 2025-B Class A, 5.159% 12/15/2050 (f) | 908382 | 918353 |
| World Financial Network Credit Card Master Trust Series 2024-A Class A, 5.47% 2/15/2031  | 4500000 | 4581594 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  | 84754 | 84961 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 64611 | 64963 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 472868 | 473714 |
| World Omni Select Auto Trust Series 2025-A Class A3, 4.08% 8/15/2031  | 340000 | 341792 |
| TOTAL UNITED STATES |  | 93845153 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $93,679,255) |  | <br> **94041167** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 9.6%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 6.115% 1/25/2061 (f) | 88877 | 88961 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (f) | 1034259 | 933918 |
| Angel Oak Mortgage Trust 2026-2 Series 2026-2 Class AFCF, 4.631% 2/25/2071 (f)(g) | 1300000 | 1300000 |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (f)(g) | 1208631 | 1150846 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (f)(g) | 448503 | 453386 |
| Bravo Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (f) | 793515 | 741527 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (f)(g) | 108946 | 107948 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (f)(g) | 56605 | 56467 |
| Cross 2026-Nqm2 Mtg Tr Series 2026-NQM2 Class A1FC, 4.735% 3/25/2061 (f)(g) | 600000 | 600200 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (f)(g) | 598093 | 605769 |
| Fannie Mae Guaranteed REMIC Series 2013-44 Class DJ, 1.85% 5/25/2033  | 58251 | 55456 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 2900590 | 2590712 |
| Fannie Mae Guaranteed REMIC Series 2019-33 Class FB, U.S. 30-Day Avg. SOFR Index + 0.5645%, 4.2317% 7/25/2049 (g)(h) | 718736 | 712036 |
| Fannie Mae Guaranteed REMIC Series 2020-51 Class BA, 2% 6/25/2046  | 511816 | 475354 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 254810 | 222927 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 270790 | 236907 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 233328 | 203893 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 100522 | 85742 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 223825 | 204568 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 653314 | 595180 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 431686 | 395895 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 981461 | 897124 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 352099 | 320312 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 206840 | 196943 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 252576 | 239239 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 222798 | 214961 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 212265 | 202299 |
| Fannie Mae Guaranteed REMIC Series 2022-18 Class DL, 3.25% 7/25/2046  | 524239 | 507205 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 119653 | 112576 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 583344 | 536093 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 1632201 | 1494284 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 255599 | 233068 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 172371 | 171452 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 694840 | 640343 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 8/25/2052 (g)(h) | 815055 | 812468 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FH, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3672% 9/25/2052 (g)(h) | 2048213 | 2036506 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 9/25/2052 (g)(h) | 1706844 | 1701427 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (g)(h) | 555924 | 553968 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (g)(h) | 2007455 | 2001079 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 292373 | 278449 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 619156 | 577048 |
| Fannie Mae Guaranteed REMIC Series 2022-9 Class DJ, 3.25% 3/25/2049  | 296739 | 282767 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (g)(h) | 505269 | 511373 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (g)(h) | 969816 | 981643 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (g)(h) | 202604 | 205035 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.1972% 7/25/2054 (g)(h) | 249039 | 252344 |
| Fannie Mae Guaranteed REMIC Series 2024-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2053 (g)(h) | 590935 | 595196 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 12/25/2054 (g)(h) | 1737261 | 1749996 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 12/25/2054 (g)(h) | 268843 | 270382 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  | 396837 | 379403 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (g)(h) | 715139 | 720966 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.2672% 8/25/2054 (g)(h) | 897220 | 909135 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2054 (g)(h) | 377230 | 379913 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (g)(h) | 485525 | 490678 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 9/25/2054 (g)(h) | 561777 | 567560 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (g)(h) | 882670 | 891008 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (g)(h) | 375990 | 379114 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 570730 | 574588 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 182277 | 173550 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 180546 | 165155 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 200801 | 182537 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 184397 | 168837 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 289717 | 255363 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 176461 | 168675 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 863302 | 740410 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5041 Class LA, 1.5% 11/25/2040  | 1195070 | 1027648 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5046 Class PT, 1.5% 11/25/2040  | 904091 | 791931 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5059 Class GA, 1% 1/25/2051  | 371427 | 295421 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 176006 | 154040 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 231093 | 203198 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 227464 | 198406 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 183211 | 166504 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 1272383 | 1144403 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 250503 | 232867 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 1711334 | 1567982 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 176058 | 160256 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 190148 | 173078 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 156158 | 145022 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 159687 | 145313 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 296600 | 266535 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 1185327 | 1079382 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 159688 | 145313 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 118417 | 110045 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 569474 | 531047 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5201 Class EB, 3% 2/25/2048  | 3118461 | 2978838 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 112576 | 106954 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 126915 | 118070 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 257971 | 241634 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EA, 3% 8/25/2050  | 427207 | 403770 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EJ, 3% 8/25/2050  | 427207 | 403770 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CB, 3.25% 4/25/2052  | 785993 | 759252 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 253028 | 256666 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5250 Class FA, U.S. 30-Day Avg. SOFR Index + 0.67%, 4.3372% 8/25/2052 (g)(h) | 434446 | 431233 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5254 Class FG, U.S. 30-Day Avg. SOFR Index + 0.75%, 4.4172% 9/25/2052 (g)(h) | 747997 | 744673 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5255 Class FA, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3672% 9/25/2052 (g)(h) | 497072 | 491071 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 139250 | 139909 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 8/25/2053 (g)(h) | 2058837 | 2072880 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 10/25/2053 (g)(h) | 638897 | 648232 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (g)(h) | 1450828 | 1464211 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 4.6672% 10/25/2054 (g)(h) | 209682 | 210538 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 11/25/2054 (g)(h) | 1541985 | 1550839 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (g)(h) | 1735148 | 1747598 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (g)(h) | 291285 | 292830 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9172% 10/25/2054 (g)(h) | 577420 | 582085 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (g)(h) | 523081 | 527471 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5517 Class HF, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 3/25/2055 (g)(h) | 1240275 | 1250113 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 4/25/2055 (g)(h) | 1855917 | 1866417 |
| Ginnie Mae Mortgage pass-thru certificates Series 2018-H12 Class HA, 3.25% 8/20/2068 (k) | 27874 | 27375 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 15810 | 15064 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 99515 | 92497 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.2317% 2/20/2049 (g)(h) | 70933 | 70590 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (f) | 565240 | 555785 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (f)(i) | 170801 | 169115 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (f)(g) | 514492 | 520937 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (f) | 638581 | 612469 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (f)(g) | 249930 | 241911 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (f)(g) | 278873 | 282207 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (f) | 34627 | 33110 |
| New Residential Mortgage Loan Trust Series 2025-NQM7 Class A1FC, 4.949% 10/26/2065 (f)(g) | 583227 | 585344 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (f) | 862330 | 820178 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (f) | 321575 | 308916 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (f) | 370397 | 362725 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (f)(i) | 335957 | 338358 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (f)(i) | 895231 | 904932 |
| Obx Trust Series 2025-NQM19 Class A1, 4.869% 10/25/2065 (f)(g) | 564262 | 566041 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (f) | 3536 | 3531 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (f) | 24520 | 24204 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (f)(g) | 244875 | 241116 |
| Ocwen Loan Investment Trust Series 2025-HB2 Class A, 3% 11/25/2038 (f)(g) | 150694 | 146068 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (f) | 170929 | 170929 |
| Preston Ridge Partners Mortgage Series 2025-RCF1 Class A1, 4.845% 1/25/2056 (f)(g) | 963249 | 971668 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (f)(i) | 651357 | 642364 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (f) | 533531 | 518808 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (f)(g) | 408115 | 410176 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (f) | 531428 | 527387 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (f) | 192308 | 190872 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (f)(g) | 79182 | 78459 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (f)(g) | 312991 | 310441 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (f)(g) | 485107 | 475232 |
| Prpm LLC Series 2025-RCF5 Class A1, 4.839% 10/25/2055 (f) | 1103668 | 1105457 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (f) | 148429 | 140924 |
| Towd Point Mortgage Trust Series 2021-1 Class A1, 2.25% 11/25/2061 (f)(g) | 1309625 | 1243631 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (f) | 313082 | 305147 |
| Verus Securitization Trust 2026-2 Series 2026-2 Class A1FC, 4.507% 2/25/2071 (f)(i) | 1900000 | 1900688 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (f)(g) | 597503 | 603626 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (f)(i) | 705496 | 713162 |
| TOTAL UNITED STATES |  | 82599053 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $81,121,040) |  | <br> **82599053** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 14.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 14.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 14.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 14.0%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4026% 6/15/2040 (f)(g)(h) | 1741000 | 1749735 |
| Ares Commercial Mortgage Trust Series 2026-GCP Class A, CME Term SOFR 1 month Index + 1.25%, 4.95% 2/15/2043 (f)(g)(h) | 286000 | 286089 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (f) | 73003 | 70632 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 600000 | 594338 |
| BANK Series 2018-BN10 Class A4, 3.428% 2/15/2061  | 226622 | 224335 |
| BANK Series 2018-BN14 Class ASB, 4.185% 9/15/2060  | 147151 | 147250 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 76549 | 75000 |
| BANK Series 2020-BN25 Class XB, 0.4361% 1/15/2063 (g)(j) | 2000000 | 33358 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 738923 | 718635 |
| BANK Series 2021-BN33 Class XA, 1.0239% 5/15/2064 (g)(j) | 2948357 | 105938 |
| BANK5 Series 2025-5YR16 Class XB, 0.3468% 8/15/2063 (g)(j) | 4000000 | 70814 |
| BANK5 Series 2025-5YR19 Class A3, 5.27% 12/15/2058  | 1200000 | 1256170 |
| BANK5 Series 2025-5YR19 Class XB, 0.5998% 12/15/2058 (g)(j) | 2400000 | 68652 |
| BANK5 Series 2026-5YR20 Class A3, 5.104% 2/15/2059  | 1000000 | 1037969 |
| Barings Issuer LLC Series 2026-SBP Class A, 4.82% 2/25/2059 (f) | 621000 | 621851 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.2961% 9/15/2056 (g) | 246000 | 264689 |
| BBCMS Mortgage Trust Series 2025-5C38 Class XB, 0.8919% 11/15/2058 (f)(g)(j) | 5700000 | 228306 |
| Benchmark Mortgage Trust Series 2018-B1 Class ASB, 3.602% 1/15/2051  | 139533 | 138749 |
| Benchmark Mortgage Trust Series 2018-B2 Class ASB, 3.7802% 2/15/2051  | 110242 | 109845 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 229000 | 225967 |
| Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.0157% 8/15/2052 (g)(j) | 833626 | 19915 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7596% 12/15/2062 (g)(j) | 8351861 | 158757 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.3751% 3/15/2053 (g)(j) | 1700263 | 68314 |
| Benchmark Mortgage Trust Series 2020-B18 Class XA, 1.7367% 7/15/2053 (g)(j) | 1150243 | 59744 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  | 900000 | 940557 |
| Benchmark Mortgage Trust Series 2025-V16 Class XB, 0.3267% 8/15/2058 (g)(j) | 9000000 | 132168 |
| Benchmark Mortgage Trust Series 2025-V18 Class XB, 0.4196% 10/15/2058 (f)(g)(j) | 27700000 | 531840 |
| Benchmark Mortgage Trust Series 2026-V20 Class A3, 5.184% 2/15/2059  | 3000000 | 3129496 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 4.7745% 9/15/2026 (f)(g)(h) | 531000 | 527721 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.0018% 3/15/2041 (f)(g)(h) | 424901 | 424901 |
| BMO Mortgage Trust Series 2022-C3 Class ASB, 5.3251% 9/15/2054 (g) | 500000 | 521719 |
| BMO Mortgage Trust Series 2025-5C12 Class XB, 0.7492% 10/15/2058 (g)(j) | 5400000 | 181779 |
| BMO Mortgage Trust Series 2025-5C13 Class A2, 4.7355% 12/15/2058  | 1400000 | 1429333 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (g) | 7400000 | 7809393 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.0316% 6/15/2041 (f)(g)(h) | 313000 | 313098 |
| BX Commercial Mortgage Trust 2021-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.1507% 4/15/2037 (f)(g)(h) | 217696 | 217696 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.0513% 3/15/2041 (f)(g)(h) | 2376068 | 2376810 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.103% 4/15/2040 (f)(g)(h) | 268366 | 268702 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.301% 5/15/2041 (f)(g) | 483017 | 483319 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.4636% 10/15/2036 (f)(g)(h) | 475000 | 474109 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 4.6726% 2/15/2039 (f)(g)(h) | 31638 | 31628 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.4211% 12/9/2040 (f)(g)(h) | 141874 | 141874 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 5.8505% 12/9/2040 (f)(g)(h) | 140000 | 140000 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 4.9525% 12/15/2039 (f)(g)(h) | 2143798 | 2144468 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 3/15/2043 (f)(g)(h) | 893000 | 893562 |
| BX Trust 2019-OC11 Series 2019-OC11 Class A, 3.202% 12/9/2041 (f) | 700000 | 672843 |
| BX Trust 2021 Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8245% 2/15/2036 (f)(g)(h) | 282000 | 281826 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.1015% 4/15/2041 (f)(g)(h) | 578925 | 579106 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.8035% 3/15/2030 (f)(g)(h) | 2343414 | 2340484 |
| BX Trust Series 2021-ACNT Class B, CME Term SOFR 1 month Index + 1.3645%, 5.0245% 11/15/2038 (f)(g)(h) | 85911 | 85884 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.1017% 2/15/2039 (f)(g)(h) | 449940 | 449940 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.3509% 3/15/2041 (f)(g)(h) | 151900 | 151900 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.8097% 2/15/2035 (f)(g)(h) | 566000 | 565235 |
| BX Trust Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.0597% 6/15/2035 (f)(g)(h) | 201000 | 201000 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class ASB, 3.462% 11/15/2050  | 30723 | 30542 |
| CD Mortgage Trust Series 2017-CD6 Class ASB, 3.332% 11/13/2050  | 566630 | 562727 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (f)(g) | 464000 | 475665 |
| Cent Trust Series 2025-CITY Class X, 0.2082% 7/10/2040 (f) | 16222000 | 106053 |
| CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2, 3.5853% 12/10/2054  | 439884 | 437001 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 671096 | 664806 |
| Citigroup Commercial Mortgage Trust Series 2017-P7 Class AAB, 3.509% 4/14/2050  | 50659 | 50526 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.0051% 8/10/2056 (g)(j) | 4124822 | 116779 |
| COMM Mortgage Trust Series 2016-COR1 Class ASB, 2.972% 10/10/2049  | 42065 | 41951 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class A, 4.6945% 2/10/2043 (f)(g) | 400000 | 404868 |
| DBJPM Mortgage Trust Series 2017-C6 Class ASB, 3.121% 6/10/2050  | 157913 | 156907 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 4.9597% 10/15/2042 (f)(g)(h) | 1070000 | 1071338 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.2597% 10/15/2042 (f)(g)(h) | 190000 | 190355 |
| Extended Stay America Trust Series 2026-ESH2 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 2/15/2043 (f)(g)(h) | 1474000 | 1474461 |
| Extended Stay America Trust Series 2026-ESH2 Class B, CME Term SOFR 1 month Index + 1.4%, 5.0597% 2/15/2043 (f)(g)(h) | 100000 | 100187 |
| Fannie Mae Guaranteed REMIC Series 2023-M1S Class A2, 4.497% 4/25/2033 (g) | 200000 | 205729 |
| Fannie Mae Guaranteed REMIC Series 2023-M8 Class A2, 4.4759% 3/25/2033 (g) | 400000 | 410836 |
| Fannie Mae Guaranteed REMIC Series 2025-M4 Class A2, 4.389% 8/25/2035  | 1100000 | 1114018 |
| Fannie Mae Mortgage pass-thru certificates Series 2018-M13 Class A2, 3.7513% 9/25/2030 (g) | 207541 | 207654 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  | 3200000 | 3291738 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 400000 | 397002 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 677451 | 672259 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 900000 | 893956 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  | 500000 | 496144 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 500000 | 497557 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  | 700000 | 696208 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 2289502 | 2284108 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  | 500000 | 501938 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  | 1600000 | 1605062 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  | 300000 | 301519 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  | 400000 | 403463 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  | 900000 | 870639 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K135 Class A2, 2.154% 10/25/2031  | 400000 | 365765 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K746 Class A2, 2.031% 9/25/2028  | 900000 | 863796 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  | 4200000 | 3837820 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  | 700000 | 717118 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K521 Class AS, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.1992% 3/25/2029 (g)(h) | 1694908 | 1692034 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K543 Class A2, 4.329% 6/25/2030 (g) | 900000 | 918762 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class A2, 4.266% 7/25/2030 (g) | 600000 | 611161 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (g) | 800000 | 817419 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class AS, U.S. 30-Day Avg. SOFR Index + 0.53%, 4.2092% 3/25/2030 (g)(h) | 1898387 | 1898386 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  | 1600000 | 1637719 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (g) | 1700000 | 1735791 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K549 Class A2, 4.34% 9/25/2030 (g) | 200000 | 204367 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class A2, 4.165% 11/25/2030 (g) | 600000 | 608962 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class AS, 4.2292% 10/25/2030 (g) | 5299144 | 5296937 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K552 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (g)(h) | 3199278 | 3199275 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K761 Class A2, 4.4% 6/25/2032  | 1400000 | 1434101 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K762 Class A2, 4.36% 9/25/2032  | 1700000 | 1733259 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K763 Class A2, 4.17% 10/25/2032 (g) | 1300000 | 1312229 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K553 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (g)(h) | 1866820 | 1866819 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K554 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 10/25/2030 (g)(h) | 1599848 | 1599847 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K555 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 11/25/2030 (g)(h) | 4200000 | 4200630 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K556 Class AS, U.S. 30-Day Avg. SOFR Index + 0.49%, 4.1692% 12/25/2030 (g)(h) | 3500000 | 3501093 |
| GS Mortgage Securities Trust Series 2013-GC13 Class AS, 3.858% 7/10/2046 (f)(g) | 18696 | 18509 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 184774 | 182672 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A4, 3.89% 7/10/2051  | 3200000 | 3185216 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 200000 | 200049 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 91001 | 90897 |
| GS Mortgage Securities Trust Series 2019-GSA1 Class A4, 3.0479% 11/10/2052  | 400000 | 385432 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 232550 | 227586 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.3597% 10/15/2035 (f)(g)(h) | 115000 | 114784 |
| Hilton USA Trust Series 2016-HHV Class B, 4.1935% 11/5/2038 (f)(g) | 446000 | 445037 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 5.0415% 11/5/2037 (f)(g) | 317000 | 323563 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 39180 | 38973 |
| JPMDB Commercial Mortgage Securities Trust Series 2017-C5 Class ASB, 3.4919% 3/15/2050  | 104893 | 104276 |
| JPMDB Commercial Mortgage Securities Trust Series 2018-C8 Class ASB, 4.145% 6/15/2051  | 430012 | 429964 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (f) | 59000 | 56271 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2020-NNN Class AFX, 2.8123% 1/16/2037 (f) | 670000 | 602993 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.4536% 5/15/2039 (f)(g)(h) | 400000 | 376053 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 9/15/2040 (f)(g)(h) | 491000 | 491408 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class A4, 3.259% 6/15/2050  | 700000 | 692656 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class A3, 3.33% 12/15/2050  | 296995 | 294060 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 600000 | 604053 |
| Morgan Stanley Capital I Trust Series 2019-L2 Class A3, 3.806% 3/15/2052  | 449297 | 445631 |
| Morgan Stanley Capital I Trust Series 2019-NUGS Class A, CME Term SOFR 1 month Index + 1.0645%, 4.7245% 12/15/2036 (f)(g)(h) | 1000000 | 766590 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.1406% 6/15/2054 (g)(j) | 886092 | 32657 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (f)(g) | 1350552 | 1333399 |
| Natixis Commercial Mortgage Securities Trust Series 2020-2PAC Class A, 2.966% 12/15/2038 (f) | 569453 | 555036 |
| Plym Commercial Mortgage Trust Series 2026-IND Class A, CME Term SOFR 1 month Index + 1.25%, 4.9% 3/15/2043 (f)(g)(h) | 1241000 | 1241000 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 4.9097% 8/15/2042 (f)(g)(h) | 600000 | 601497 |
| SCMS Series 2025-BNC1 Class A2, 4.5016% 12/15/2057 (f) | 1360000 | 1365332 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.5049% 11/15/2038 (f)(g)(h) | 1827836 | 1827264 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 4.8539% 11/15/2038 (f)(g)(h) | 189578 | 189519 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.9026% 12/15/2039 (f)(g)(h) | 604000 | 604755 |
| UBS Commercial Mortgage Trust Series 2017-C3 Class ASB, 3.215% 8/15/2050  | 382135 | 379422 |
| UBS Commercial Mortgage Trust Series 2018-C12 Class ASB, 4.1945% 8/15/2051  | 799534 | 799541 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.4294% 10/10/2042 (f)(g) | 1600000 | 27092 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9038% 8/15/2051 (g)(j) | 840527 | 12405 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class XA, 0.8293% 12/15/2052 (g)(j) | 5351891 | 143150 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 4.9745% 5/15/2031 (f)(g)(h) | 845000 | 844610 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 5.451% 10/15/2041 (f)(g)(h) | 638000 | 637169 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 5.9503% 10/15/2041 (f)(g)(h) | 1100000 | 1100383 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (f)(g) | 418000 | 421984 |
| TOTAL UNITED STATES |  | 119757617 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $119,041,909) |  | <br> **119757617** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 120.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 120.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 120.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 120.2%  |  |  |
| Fannie Mae 2% 3/1/2052  | 1771415 | 1481265 |
| Fannie Mae 2.5% 4/1/2052  | 397205 | 349302 |
| Fannie Mae 2.5% 5/1/2052  | 927985 | 813168 |
| Fannie Mae 2.5% 6/1/2052  | 1404882 | 1239841 |
| Fannie Mae 3% 12/1/2051  | 7244515 | 6618828 |
| Fannie Mae 3.5% 12/1/2036  | 174112 | 172041 |
| Fannie Mae 3.5% 5/1/2036  | 132447 | 131159 |
| Fannie Mae 5.5% 2/1/2055  | 5111093 | 5268150 |
| Fannie Mae 7% 6/1/2054  | 24337 | 26013 |
| Fannie Mae 7% 7/1/2054  | 22278 | 23876 |
| Fannie Mae 7% 8/1/2054  | 18853 | 20091 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 943309 | 862887 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 940076 | 858461 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 108273 | 93704 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 1004507 | 799866 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 84706 | 67449 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 572228 | 524694 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 547784 | 502281 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 292833 | 268508 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 20992 | 19248 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 14585 | 13373 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 105105 | 91093 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 1784559 | 1531271 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 590234 | 541205 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 14746 | 13522 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 106778 | 92475 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 32457 | 29690 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 30411 | 27818 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 110694 | 95730 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 811008 | 644520 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 40828 | 37348 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 40186 | 36760 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 14983 | 13682 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 113200 | 97835 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 1863690 | 1701890 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 41859 | 38225 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2031  | 307176 | 293897 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 21997 | 20087 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 5506208 | 5028174 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 44370 | 40518 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 154119 | 123877 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 1502535 | 1404614 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 772727 | 647123 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 2327165 | 1955440 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 1691564 | 1415551 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 783245 | 698183 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 165693 | 147867 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 16784 | 14971 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 597623 | 505711 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 191816 | 160577 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 58890 | 49299 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1319452 | 1113640 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 563304 | 475438 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2052  | 3135654 | 2622048 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 1955914 | 1759022 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 398026 | 355036 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 318814 | 284332 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 350208 | 294597 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 122697 | 102715 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 121816 | 101978 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1770827 | 1494608 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1113910 | 936678 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 215520 | 181094 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 47459 | 40056 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 32659 | 27565 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 1833892 | 1714376 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 116082 | 104670 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 14079 | 12655 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  | 392838 | 350013 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 376822 | 315454 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 125311 | 104864 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 100147 | 84244 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 15706 | 13276 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 891560 | 738840 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 519278 | 436332 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 357991 | 302150 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 333299 | 280268 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 50388 | 49617 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15078 | 13536 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 63027 | 53058 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 15513 | 13020 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 690701 | 581452 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 51463 | 43404 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 22274 | 18793 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 139236 | 124936 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 16714 | 14029 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1110556 | 938369 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 961936 | 808885 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 636827 | 536298 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 573460 | 482756 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 443324 | 373203 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 250467 | 210303 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 189411 | 159866 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 50241 | 42373 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 34262 | 28907 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 44529 | 40106 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1577062 | 1318746 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 205558 | 171889 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 140024 | 117089 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 22566 | 19067 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 1998583 | 1671224 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 1094855 | 1028635 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 32211 | 29007 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 16565 | 14834 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 230991 | 217020 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 382283 | 342129 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 2751205 | 2304868 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 398291 | 335418 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 342776 | 286310 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 288165 | 241415 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 69692 | 58669 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 32280 | 27074 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 352100 | 329484 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 106196 | 88967 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 103922 | 87028 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 54985 | 46408 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041  | 249569 | 222685 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  | 112337 | 94113 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 129693 | 126107 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2040  | 24740 | 22968 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 1739930 | 1540422 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 205018 | 180037 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 561454 | 494092 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 146746 | 129415 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 117237 | 103391 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 81943 | 71881 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 80559 | 71045 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 125735 | 122301 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 7824 | 7612 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 52014 | 49111 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1820585 | 1586796 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 275466 | 241383 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 82204 | 79959 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2034  | 8276 | 7951 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 586734 | 538468 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 372714 | 342351 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 266871 | 245712 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 84667 | 77990 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 82466 | 75923 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 79057 | 72806 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2072259 | 1806151 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1726177 | 1519075 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 657317 | 575989 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 229854 | 223422 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 1878391 | 1826410 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1148005 | 1005966 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 538042 | 473489 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 69168 | 67302 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 203459 | 187512 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 84674 | 74674 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 17015 | 15801 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 114262 | 106103 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 1230625 | 1079902 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 649686 | 571536 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 124553 | 121149 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 409501 | 386865 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 87111 | 79997 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 1498859 | 1333083 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 694571 | 608634 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 196108 | 172703 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 7658 | 7472 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2035  | 3298342 | 3160004 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 67428 | 62520 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 134828 | 124350 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 101731 | 94286 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 46545 | 42843 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 19000 | 17468 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 3808583 | 3361163 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2761727 | 2437288 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1404839 | 1239803 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1336259 | 1172181 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 870195 | 766608 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 727675 | 634913 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 1737595 | 1532382 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2040  | 407573 | 377588 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 1637478 | 1445113 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 106250 | 98114 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 807044 | 712739 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 10847 | 10574 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1589562 | 1394380 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1272467 | 1116222 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1228961 | 1078057 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 79625 | 69475 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 500437 | 460075 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 629340 | 553440 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 34696 | 30240 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 13387 | 13127 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 457521 | 417291 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 232427 | 214241 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 2453064 | 2250400 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 1465909 | 1341593 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 229521 | 209268 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 10296 | 10093 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 49351 | 48625 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1628973 | 1499992 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 90447 | 82494 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 1137391 | 1040935 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 1110883 | 1023271 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 704268 | 645423 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 570390 | 521662 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 16767 | 15408 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 15862 | 14576 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 257116 | 252822 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 36107 | 35506 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 18981 | 18547 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 1976811 | 1822759 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 831428 | 758321 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 4035622 | 3659333 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1474435 | 1348014 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 305671 | 279844 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 249236 | 227243 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 232143 | 212457 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 83625 | 82543 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 121478 | 119169 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 34299 | 33810 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 698632 | 643315 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 191412 | 176256 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1307574 | 1189739 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052 (b) | 719064 | 657410 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 573941 | 524730 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 17799 | 17489 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 17168 | 16848 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  | 55776 | 54061 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 961095 | 884996 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 494257 | 455586 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1524232 | 1391636 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1133845 | 1041233 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 326818 | 297367 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  | 24687 | 24154 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 968307 | 891334 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 965636 | 888574 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 32592 | 30012 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  | 682941 | 617982 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 98307 | 96937 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 17803 | 17295 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 74172 | 71790 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 961066 | 884068 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 317590 | 292146 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 657645 | 603313 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 110140 | 108068 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2038  | 10715 | 10398 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 1104466 | 1012183 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 419078 | 384586 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 663433 | 655038 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 8772 | 8608 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 7142 | 7007 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 215903 | 212296 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 233545 | 224676 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 59985 | 57276 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 1448923 | 1401431 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 280953 | 265542 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 70164 | 66666 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 2583857 | 2469584 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 213552 | 205576 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 35445 | 33855 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 78636 | 75699 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 115231 | 110489 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 655715 | 620363 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 60060 | 56822 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 8951 | 8684 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1446763 | 1398755 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 147599 | 139965 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  | 73609 | 70790 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 36195 | 34809 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052 (c) | 4367725 | 4156815 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 28117 | 27084 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 6003 | 5752 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 68403 | 65784 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 38898 | 37408 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 807228 | 762447 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2038  | 14679 | 14498 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 1355003 | 1297194 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 44187 | 43753 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 14977 | 14829 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 302825 | 293178 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 394811 | 376240 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 56457 | 55903 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  | 7170 | 6900 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2047  | 41217 | 39678 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 1898529 | 1812785 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 1311335 | 1250061 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 140646 | 135393 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 25322 | 25038 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 39049 | 38635 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 32806 | 32448 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 20280 | 20053 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 18087 | 17884 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 253268 | 252098 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2047  | 197255 | 195230 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 2281988 | 2261796 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 79387 | 77757 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 585636 | 575405 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 3148815 | 3092816 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2050  | 1020638 | 1001531 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 34361 | 34018 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 41140 | 40704 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 25415 | 25138 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 7640 | 7556 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 40955 | 40483 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 81537 | 81669 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 504442 | 512870 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 524685 | 527178 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 90142 | 90317 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 342877 | 349435 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 760630 | 773507 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049 (b) | 981469 | 982145 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 293148 | 298122 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 539238 | 541801 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 995313 | 1014192 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 795439 | 810029 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 67979 | 68630 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 636892 | 650565 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 611557 | 623157 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 394447 | 401435 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 401428 | 408791 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 646411 | 667128 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 1370093 | 1419997 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 1119088 | 1145774 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 265340 | 273512 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 3630517 | 3719359 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 596986 | 616306 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 309010 | 319010 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 123714 | 127988 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 1020911 | 1045893 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 619779 | 639836 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 632577 | 652208 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 421256 | 435810 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 442375 | 458729 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2052  | 480466 | 495865 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 641423 | 656719 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 1137278 | 1191269 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 502357 | 525892 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 946822 | 991106 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2055  | 2008147 | 2097018 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1292211 | 1338612 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 4864736 | 5078581 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 1168877 | 1222085 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 434849 | 455187 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 174116 | 182314 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1213451 | 1268309 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 466066 | 480328 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 2565145 | 2683516 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 1563849 | 1610724 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 742822 | 775707 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 573530 | 598203 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1562257 | 1609084 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 3015977 | 3134417 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1117302 | 1168162 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 909611 | 936592 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 2234154 | 2305230 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 2141404 | 2237544 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 1671734 | 1721320 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 344616 | 358257 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 1949368 | 2007189 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 771331 | 807648 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 2310338 | 2440797 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 255280 | 270992 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 678408 | 716716 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2054  | 38451 | 40483 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 47184 | 49885 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 43252 | 45840 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 37217 | 39438 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 518009 | 540582 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 1026003 | 1087226 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 436968 | 456010 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 58116 | 61784 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2053  | 104645 | 110296 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 1686411 | 1798108 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 1380228 | 1460862 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 583788 | 608589 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 158806 | 168084 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 513228 | 543011 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2054  | 42649 | 44893 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 2304849 | 2462087 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 1280601 | 1360961 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 590051 | 627262 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 333475 | 355365 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 172074 | 182993 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 26182 | 27800 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 21910 | 23100 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2053  | 215341 | 229477 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2053  | 71031 | 75820 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 337082 | 359762 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 86170 | 91017 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 50242 | 53238 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 47132 | 50004 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 16648 | 17635 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2054  | 15889 | 16964 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 359363 | 382167 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 303497 | 323324 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 155786 | 164623 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 155129 | 163855 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 76144 | 80405 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 34343 | 36337 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 24807 | 26246 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 656508 | 700679 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 251273 | 267688 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2054  | 17727 | 18724 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2054  | 700226 | 752427 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 37697 | 40089 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 37333 | 39860 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 27900 | 29989 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 24196 | 25697 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 22825 | 24533 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  | 204851 | 217786 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  | 16512 | 17517 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 184559 | 197684 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 162478 | 173575 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 125663 | 134403 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 517511 | 473390 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 993573 | 791160 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 391671 | 359136 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 51825 | 47520 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 70208 | 56366 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 568368 | 521155 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 65340 | 56587 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 46972 | 37711 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 6071 | 4880 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 38593 | 35303 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 111913 | 96777 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 1011210 | 803623 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 24720 | 22613 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 113275 | 97886 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 1055540 | 838853 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 914202 | 727672 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 16271 | 13078 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 2339537 | 2136425 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 578774 | 499906 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 114747 | 99017 |
| Freddie Mac Gold Pool 1.5% 4/1/2051 (b) | 6606255 | 5250090 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 5018308 | 3988125 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 42964 | 39234 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 43644 | 39855 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 39996 | 32148 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 194628 | 178705 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 315281 | 289486 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 26834 | 24475 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 262663 | 219804 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 128067 | 107170 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 60523 | 50893 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 42786 | 35979 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 187927 | 158026 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 111026 | 93742 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 39805 | 33596 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 17162 | 15308 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1800500 | 1512901 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 236871 | 199923 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 93450 | 78581 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 221904 | 197857 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 1694493 | 1418531 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 15440 | 13051 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1633121 | 1372258 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 877035 | 735847 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 334682 | 281432 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 133588 | 112333 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 77812 | 65431 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 932647 | 784256 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 20000 | 16880 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 17977 | 15173 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 179333 | 160997 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 1689434 | 1428023 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 2397211 | 2014298 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 2357170 | 1979179 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 192750 | 162323 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 103833 | 93548 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 445628 | 373333 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 637241 | 534656 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 141068 | 117565 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 163761 | 146724 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 5711990 | 4824587 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 144875 | 121960 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 77812 | 65261 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 278544 | 249412 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 1298766 | 1093745 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1391945 | 1247520 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 16465 | 14733 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 214525 | 179186 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 86073 | 72459 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 61606 | 51457 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 83230 | 70091 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 145371 | 121696 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 3839657 | 3216738 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 169198 | 141643 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 572339 | 525128 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 578833 | 509386 |
| Freddie Mac Gold Pool 2.5% 10/1/2040  | 524915 | 485596 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 277515 | 254918 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 1113472 | 985797 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 1089420 | 958714 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 106677 | 103761 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1469295 | 1354347 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 115949 | 106699 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 89843 | 82831 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 2115144 | 1867985 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 195651 | 173034 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 270538 | 238756 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 110977 | 96726 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 175391 | 155115 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 889143 | 779132 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 148982 | 131387 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 275161 | 254025 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 1592507 | 1406917 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 571398 | 501772 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 77134 | 70805 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 298250 | 263026 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 581029 | 539166 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 198193 | 182743 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1393893 | 1230143 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 283070 | 249816 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 6533 | 6382 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 92361 | 85000 |
| Freddie Mac Gold Pool 2.5% 7/1/2043  | 49262 | 44779 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 436767 | 385730 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 203948 | 180562 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1030947 | 907258 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 421193 | 387237 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 73351 | 67535 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 4967605 | 4397998 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 159970 | 147739 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1335075 | 1218934 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 177705 | 161691 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 323168 | 296166 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 666975 | 610829 |
| Freddie Mac Gold Pool 3% 11/1/2032  | 336614 | 330219 |
| Freddie Mac Gold Pool 3% 11/1/2047  | 69441 | 64290 |
| Freddie Mac Gold Pool 3% 11/1/2047  | 48127 | 44467 |
| Freddie Mac Gold Pool 3% 11/1/2048  | 22166 | 20480 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 940338 | 867939 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 61211 | 55829 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 207318 | 189024 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 89219 | 81179 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 26297 | 25910 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 24669 | 24257 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 502411 | 458234 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 24449 | 24101 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 13644 | 13375 |
| Freddie Mac Gold Pool 3% 2/1/2048  | 536696 | 495878 |
| Freddie Mac Gold Pool 3% 3/1/2048  | 28901 | 26685 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 583013 | 532842 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 384783 | 349867 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 90370 | 82226 |
| Freddie Mac Gold Pool 3% 4/1/2033  | 24123 | 23666 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 14458 | 14165 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 587091 | 536569 |
| Freddie Mac Gold Pool 3% 4/1/2051  | 1556702 | 1418363 |
| Freddie Mac Gold Pool 3% 5/1/2033  | 6467 | 6345 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 201968 | 184525 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 342828 | 315576 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 290228 | 264073 |
| Freddie Mac Gold Pool 3% 8/1/2049  | 47085 | 43151 |
| Freddie Mac Gold Pool 3% 8/1/2050  | 1702704 | 1568417 |
| Freddie Mac Gold Pool 3% 9/1/2047  | 26123 | 24161 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 185594 | 169391 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 92286 | 84143 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 10784 | 10454 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  | 520878 | 515447 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 6550 | 6305 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 9421 | 8884 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 15679 | 15513 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 48264 | 46431 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 11291 | 10862 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 49380 | 48690 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 156510 | 151556 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 129439 | 122986 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 725741 | 699224 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 7833 | 7486 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1734142 | 1635229 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1584361 | 1507854 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 20203 | 19101 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 1317303 | 1250811 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 701478 | 666728 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  | 13384 | 12801 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  | 5020 | 4807 |
| Freddie Mac Gold Pool 3.5% 6/1/2047  | 65338 | 62407 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 387613 | 375545 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 118139 | 113726 |
| Freddie Mac Gold Pool 3.5% 7/1/2048  | 1014560 | 969056 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 43002 | 40670 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 8865 | 8595 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 183725 | 176863 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 21438 | 20638 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 13821 | 13305 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 1091358 | 1033202 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 482398 | 466880 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 216147 | 209274 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 5454 | 5250 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 5100 | 4909 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 604097 | 594297 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 41748 | 41071 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 953812 | 938520 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 13528 | 13376 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 224242 | 226239 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 9845 | 9817 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 92894 | 91416 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 17354 | 17179 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 129103 | 128626 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 219515 | 215954 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 43186 | 42485 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 13281 | 13136 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 20374 | 20741 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 246516 | 248901 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 29854 | 29994 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 18255 | 18308 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 16561 | 16690 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 1323335 | 1345963 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 30121 | 30441 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 13295 | 13399 |
| Freddie Mac Gold Pool 4.5% 7/1/2049  | 1612240 | 1619901 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 515199 | 524085 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 808837 | 824178 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 396724 | 405240 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 233610 | 237895 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 905057 | 921658 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 463668 | 472173 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 422776 | 430266 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 150859 | 153532 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 482696 | 493360 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 3579787 | 3694236 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 1533720 | 1585767 |
| Freddie Mac Gold Pool 5.5% 1/1/2056  | 3743045 | 3865345 |
| Freddie Mac Gold Pool 5.5% 1/1/2056  | 1749152 | 1802340 |
| Freddie Mac Gold Pool 5.5% 10/1/2053  | 41395 | 42217 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 978499 | 1010088 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 913560 | 945622 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 249525 | 254325 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 108673 | 110933 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (d) | 2356973 | 2443560 |
| Freddie Mac Gold Pool 5.5% 8/1/2055  | 297480 | 307548 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 799798 | 837205 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 225332 | 234251 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 458048 | 479471 |
| Freddie Mac Gold Pool 6% 3/1/2053  | 418583 | 438553 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 2459410 | 2572902 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 2986738 | 3128296 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 559988 | 584429 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 5301099 | 5490925 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 1892488 | 1981149 |
| Freddie Mac Gold Pool 6% 9/1/2039  | 9956962 | 10378850 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1022557 | 1081896 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 734796 | 776288 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 296525 | 313269 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 293265 | 310284 |
| Freddie Mac Gold Pool 6.5% 12/1/2054  | 1430513 | 1525261 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 3173348 | 3350557 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 1321474 | 1398676 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 238972 | 253829 |
| Freddie Mac Gold Pool 6.5% 7/1/2054  | 20384 | 21690 |
| Freddie Mac Gold Pool 6.5% 7/1/2055  | 2134797 | 2264851 |
| Freddie Mac Gold Pool 6.5% 7/1/2055  | 443901 | 469938 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 157956 | 167183 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 150704 | 159214 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 4143443 | 4408814 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 286320 | 304121 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 756568 | 804281 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 736105 | 784425 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 543347 | 577825 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 365318 | 389298 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 210759 | 224198 |
| Freddie Mac Gold Pool 7% 11/1/2053  | 259031 | 276540 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 85197 | 89965 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 28905 | 30531 |
| Freddie Mac Gold Pool 7% 2/1/2054  | 391581 | 416153 |
| Freddie Mac Gold Pool 7% 3/1/2054  | 21685 | 23165 |
| Freddie Mac Gold Pool 7% 6/1/2054  | 700703 | 747848 |
| Freddie Mac Gold Pool 7% 6/1/2054  | 689922 | 733916 |
| Freddie Mac Gold Pool 7% 7/1/2043  | 17287 | 18327 |
| Freddie Mac Gold Pool 7% 8/1/2054  | 784704 | 843448 |
| Freddie Mac Gold Pool 7% 8/1/2054  | 307915 | 328825 |
| Freddie Mac Gold Pool 7% 9/1/2043  | 27288 | 28810 |
| Freddie Mac Gold Pool 7% 9/1/2054  | 396319 | 421313 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 558531 | 583781 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 960337 | 1017643 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 847630 | 900327 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 275524 | 294031 |
| Freddie Mac Non Gold Pool 3.5% 5/1/2049  | 157275 | 150249 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2055  | 3734346 | 3857238 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1114720 | 1152187 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 434245 | 453469 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 415785 | 433542 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 352778 | 367954 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 5546847 | 5792411 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 366373 | 382593 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 334423 | 348810 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 463775 | 482133 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 1937374 | 2047379 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 514829 | 547963 |
| Freddie Mac Non Gold Pool 6.5% 11/1/2054  | 214971 | 228806 |
| Freddie Mac Non Gold Pool 6.5% 2/1/2055  | 574125 | 611254 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 546404 | 480783 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 845337 | 743816 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 571896 | 502677 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 449239 | 395288 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 3066005 | 2694917 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 797606 | 701568 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 484553 | 425906 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1389273 | 1221125 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 800020 | 703191 |
| Ginnie Mae I Pool 3% 2/20/2050  | 186809 | 171554 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 826350 | 783307 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 7577 | 7255 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 3311 | 3164 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 2507 | 2403 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 956 | 915 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 4461427 | 4231830 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 2590667 | 2455725 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 2980687 | 2825429 |
| Ginnie Mae I Pool 4% 10/20/2052  | 3531782 | 3424906 |
| Ginnie Mae I Pool 4% 3/20/2047  | 9461 | 9299 |
| Ginnie Mae I Pool 4% 4/20/2048  | 10507 | 10267 |
| Ginnie Mae I Pool 4% 4/20/2048  | 9261 | 9050 |
| Ginnie Mae I Pool 4% 5/20/2049  | 87197 | 84749 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 1165547 | 1159639 |
| Ginnie Mae I Pool 5% 4/20/2048  | 157234 | 162127 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 1148300 | 1184311 |
| Ginnie Mae II Pool 2% 10/20/2050  | 4557098 | 3862226 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2070520 | 1755193 |
| Ginnie Mae II Pool 2% 12/20/2050  | 4291982 | 3637334 |
| Ginnie Mae II Pool 2% 3/1/2056 (e) | 48475000 | 41059774 |
| Ginnie Mae II Pool 2% 4/1/2056 (e) | 24700000 | 20924533 |
| Ginnie Mae II Pool 2% 9/20/2050  | 1672850 | 1421222 |
| Ginnie Mae II Pool 2.5% 1/20/2051  | 6903701 | 6104800 |
| Ginnie Mae II Pool 2.5% 1/20/2052  | 4153345 | 3666228 |
| Ginnie Mae II Pool 2.5% 11/20/2051  | 233594 | 206198 |
| Ginnie Mae II Pool 2.5% 12/20/2053  | 536929 | 474879 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 9192066 | 8113992 |
| Ginnie Mae II Pool 2.5% 3/1/2056 (e) | 1175000 | 1036632 |
| Ginnie Mae II Pool 2.5% 4/1/2056 (e) | 500000 | 441081 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 1647801 | 1454542 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 468663 | 413697 |
| Ginnie Mae II Pool 2.5% 7/20/2054  | 479132 | 423312 |
| Ginnie Mae II Pool 2.5% 8/20/2047  | 12834 | 11429 |
| Ginnie Mae II Pool 3% 1/20/2032  | 168946 | 166155 |
| Ginnie Mae II Pool 3% 10/20/2031  | 54980 | 54102 |
| Ginnie Mae II Pool 3% 11/20/2031  | 59471 | 58500 |
| Ginnie Mae II Pool 3% 12/20/2031  | 90271 | 88813 |
| Ginnie Mae II Pool 3% 12/20/2046  | 746200 | 692728 |
| Ginnie Mae II Pool 3% 2/20/2031  | 6988 | 6887 |
| Ginnie Mae II Pool 3% 3/20/2031  | 14047 | 13842 |
| Ginnie Mae II Pool 3% 3/20/2050  | 493694 | 454151 |
| Ginnie Mae II Pool 3% 3/20/2052  | 8626182 | 7915036 |
| Ginnie Mae II Pool 3% 4/20/2031  | 53229 | 52441 |
| Ginnie Mae II Pool 3% 4/20/2052  | 7324496 | 6720662 |
| Ginnie Mae II Pool 3% 5/20/2031  | 113487 | 111785 |
| Ginnie Mae II Pool 3% 5/20/2051  | 1081206 | 992308 |
| Ginnie Mae II Pool 3% 6/20/2050  | 10228 | 9399 |
| Ginnie Mae II Pool 3% 6/20/2051  | 287197 | 263610 |
| Ginnie Mae II Pool 3% 7/20/2031  | 2053 | 2021 |
| Ginnie Mae II Pool 3% 7/20/2051  | 363784 | 334078 |
| Ginnie Mae II Pool 3% 8/20/2031  | 17426 | 17155 |
| Ginnie Mae II Pool 3% 8/20/2051  | 431556 | 395911 |
| Ginnie Mae II Pool 3% 9/20/2031  | 6990 | 6880 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 3921 | 3759 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 2430 | 2332 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 1549 | 1496 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 1824 | 1758 |
| Ginnie Mae II Pool 3.5% 12/20/2043  | 1930 | 1850 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 2395 | 2302 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 1902 | 1823 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 208574 | 199491 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 28788 | 27649 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 2331 | 2238 |
| Ginnie Mae II Pool 3.5% 8/20/2052  | 3024938 | 2850124 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 3431 | 3312 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 2468 | 2368 |
| Ginnie Mae II Pool 4% 1/20/2041  | 36378 | 35915 |
| Ginnie Mae II Pool 4% 1/20/2046  | 8041 | 7880 |
| Ginnie Mae II Pool 4% 10/20/2040  | 11977 | 11827 |
| Ginnie Mae II Pool 4% 10/20/2045  | 1890 | 1853 |
| Ginnie Mae II Pool 4% 11/20/2042  | 58375 | 57507 |
| Ginnie Mae II Pool 4% 12/20/2045  | 10498 | 10291 |
| Ginnie Mae II Pool 4% 4/20/2047  | 502373 | 493764 |
| Ginnie Mae II Pool 4% 5/20/2046  | 18524 | 18149 |
| Ginnie Mae II Pool 4% 6/20/2045  | 503999 | 494474 |
| Ginnie Mae II Pool 4% 7/20/2044  | 27428 | 26943 |
| Ginnie Mae II Pool 4% 8/20/2043  | 4237 | 4169 |
| Ginnie Mae II Pool 4% 8/20/2044  | 78976 | 77571 |
| Ginnie Mae II Pool 4% 8/20/2045  | 355919 | 348967 |
| Ginnie Mae II Pool 4% 8/20/2048  | 293336 | 287393 |
| Ginnie Mae II Pool 4% 9/20/2045  | 1787 | 1752 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 3367275 | 3333896 |
| Ginnie Mae II Pool 4.5% 3/20/2055  | 978778 | 967699 |
| Ginnie Mae II Pool 5% 11/20/2054  | 8026783 | 8065186 |
| Ginnie Mae II Pool 5% 12/20/2054  | 647598 | 650697 |
| Ginnie Mae II Pool 5% 3/1/2056 (e) | 7050000 | 7074785 |
| Ginnie Mae II Pool 5% 4/1/2056 (e) | 7050000 | 7065146 |
| Ginnie Mae II Pool 5% 6/20/2048  | 201644 | 206641 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 973699 | 1003626 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 1184197 | 1223555 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 330347 | 335313 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (e) | 71300000 | 72218053 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (e) | 49950000 | 50540469 |
| Ginnie Mae II Pool 6% 12/20/2054  | 1734210 | 1773750 |
| Ginnie Mae II Pool 6% 3/1/2056 (e) | 69825000 | 71241428 |
| Ginnie Mae II Pool 6% 4/1/2056 (e) | 26600000 | 27120889 |
| Ginnie Mae II Pool 6.5% 3/1/2056 (e) | 6050000 | 6287441 |
| Uniform Mortgage Backed Securities 2% 3/1/2056 (e) | 66025000 | 54679535 |
| Uniform Mortgage Backed Securities 2% 4/1/2056 (e) | 35950000 | 29775307 |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 (e) | 4975000 | 4308234 |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 (e) | 4500000 | 4240899 |
| Uniform Mortgage Backed Securities 4% 3/1/2056 (e) | 1325000 | 1287889 |
| Uniform Mortgage Backed Securities 5% 3/1/2041 (e) | 28900000 | 29339144 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (e) | 14900000 | 15117679 |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 (e) | 17425000 | 17705434 |
| Uniform Mortgage Backed Securities 6% 3/1/2056 (e) | 39650000 | 40670678 |
| Uniform Mortgage Backed Securities 6% 4/1/2056 (e) | 4650000 | 4769157 |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 (e) | 3600000 | 3738516 |
| TOTAL UNITED STATES |  | 1029024120 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $1,030,115,695) |  | <br> **1029024120** |

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 3.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 3.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 3.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 3.5%** |
|  | Yield (%) (l) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.61 to 5.12 | 9480000 | 9569246 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.69 | 530000 | 529089 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.86 | 320000 | 325850 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.75 to 4.84 | 2990000 | 3110067 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.67 | 2700879 | 2663145 |
| US Treasury Notes 3.5% 1/15/2029  | 3.66 | 6750000 | 6770566 |
| US Treasury Notes 3.5% 2/15/2029  | 3.47 to 3.50 | 3430000 | 3440719 |
| US Treasury Notes 4.75% 2/15/2045  | 4.95 to 4.97 | 3070000 | 3146750 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $28,817,236) |  |  | **29555432** |

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.7%** | &nbsp;&nbsp;**Money Market Funds - 1.7%** | &nbsp;&nbsp;**Money Market Funds - 1.7%** | &nbsp;&nbsp;**Money Market Funds - 1.7%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (m)<br>(Cost $14,521,669)<br>| 3.70 | 14518765 | **14521669** |

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.87% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 3100000 | 82783 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/2029 | 2000000 | 50583 |
| 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 | 4/2026 | 3680000 | 3486 |
| 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 | 4/2030 | 400000 | 10800 |
| 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 | 5/2030 | 3470000 | 92501 |
| 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 | 8/2026 | 6580000 | 58289 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.887% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 4010000 | 123237 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.19% and receive annually a floating rate based on US SOFR Index, expiring January 2036 | 1/2031 | 1230000 | 33816 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.865% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 600000 | 3464 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.996% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 5700000 | 69791 |
| TOTAL PUT SWAPTIONS |  |  | 528750 |
| Call Swaptions - 0.2% |  |  |  |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.87% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 3100000 | 104033 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on the US SOFR Index, expiring December 2034 | 12/2029 | 2000000 | 73976 |
| 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 | 4/2026 | 3680000 | 115267 |
| 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 | 4/2030 | 400000 | 14894 |
| 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 | 5/2030 | 3470000 | 132437 |
| 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 | 8/2026 | 6580000 | 190790 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.887% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 4010000 | 131945 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.19% and pay annually a floating rate based on US SOFR Index, expiring January 2036 | 1/2031 | 1230000 | 48812 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.865% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 600000 | 19058 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.996% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 5700000 | 253962 |
| TOTAL CALL SWAPTIONS |  |  | 1085174 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $2,006,416) |  |  | <br> **1613924** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 160.2%**<br> (Cost $1,369,303,220)<br>| <br>**1371112982** |
| **NET OTHER ASSETS (LIABILITIES) - (60.2)%**  | **(514691154)** |
| **NET ASSETS - 100.0%** | **856421828** |

---

---

| | | |
|:---|:---|:---|
| **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% 3/1/2056 | (34200000) | (28968423) |
| Ginnie Mae II Pool 2.5% 3/1/2056 | (500000) | (441120) |
| Ginnie Mae II Pool 5% 3/1/2056 | (7050000) | (7074785) |
| Ginnie Mae II Pool 5.5% 3/1/2056 | (56250000) | (56974269) |
| Ginnie Mae II Pool 6% 3/1/2056 | (63875000) | (65170731) |
| Ginnie Mae II Pool 6.5% 3/1/2056 | (6050000) | (6287441) |
| Uniform Mortgage Backed Securities 2% 3/1/2056 | (49050000) | (40621449) |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 | (4975000) | (4308234) |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 | (4500000) | (4240899) |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 | (1900000) | (1789859) |
| Uniform Mortgage Backed Securities 4% 3/1/2056 | (1325000) | (1287890) |
| Uniform Mortgage Backed Securities 5% 3/1/2041 | (14900000) | (15126410) |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 | (17425000) | (17705434) |
| Uniform Mortgage Backed Securities 6% 3/1/2056 | (29025000) | (29772167) |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 | (3600000) | (3738516) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (283507627) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $282,746,823) |  | <br> **(283507627)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 17 | 6/2026 | 1934281 | 5881 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 617 | 6/2026 | 129097609 | 182517 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 54 | 6/2026 | 6564375 | 63721 |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **252119** |
| The notional amount of long futures as a percentage of Net Assets is 16.1%. | The notional amount of long futures as a percentage of Net Assets is 16.1%. | The notional amount of long futures as a percentage of Net Assets is 16.1%. | The notional amount of long futures as a percentage of Net Assets is 16.1%. | The notional amount of long futures as a percentage of Net Assets is 16.1%. |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 20000 | (75) | (57) | (132) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 350000 | (1316) | (3024) | (4340) |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1300000 | (4886) | (8355) | (13241) |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1410000 | (5300) | (9431) | (14731) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 1020000 | (3834) | (10559) | (14393) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 10000 | 1674 | (2422) | (748) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 20000 | 3348 | (5036) | (1688) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly | 60000 | 10044 | (16427) | (6383) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly | 10000 | 1674 | (2530) | (856) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 20000 | 3348 | (4758) | (1410) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 80000 | 13392 | (17872) | (4480) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 30000 | 5022 | (6412) | (1390) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 10000 | 1674 | (2633) | (959) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 80000 | 13392 | (18119) | (4727) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 110000 | 18414 | (24244) | (5830) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 16740 | (16135) | 605 |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 50000 | 8370 | (7890) | 480 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 200000 | 30227 | (29426) | 801 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 16078 | (7588) | 8490 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 8039 | (3794) | 4245 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 16026 | (6524) | 9502 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 16026 | (6984) | 9042 |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly | 100000 | 8039 | (4857) | 3182 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 200000 | 30227 | (31480) | (1253) |
| CMBX BB Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 200000 | 32051 | (29213) | 2838 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 8039 | (9630) | (1591) |
| CMBX AAA Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 900000 | (1132) | 152 | (980) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 30000 | 5022 | (5087) | (65) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 1600000 | (2013) | 5074 | 3061 |
| CMBX AAA Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (0.5%) | Monthly | 2196979 | 11712 | (3230) | 8482 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 1700000 | (2139) | 4245 | 2106 |
| CMBX AAA Series 19 Index |  | 12/2058 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 6700000 | 2846 | 4696 | 7542 |
| CMBX BBB- Series 19 Index |  | 12/2058 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 16076 | (14306) | 1770 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 400000 | 32156 | (30438) | 1718 |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 308961 | (324294) | (15333) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2040000 | 7668 | 44566 | 52234 |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2060000 | 7743 | 46282 | 54025 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 300000 | (3524) | 6459 | 2935 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 500000 | (5874) | 11988 | 6114 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 10000 | (117) | 239 | 122 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (2350) | 3079 | 729 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 90000 | (1057) | 1327 | 270 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 900000 | (10573) | 13786 | 3213 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 700000 | (8223) | 16913 | 8690 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 2400000 | (28194) | 40426 | 12232 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 1200000 | (14097) | 15429 | 1332 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 400000 | (4699) | 4482 | (217) |
| CMBX AAA Series 17 Index | NR | 12/2056 | JPMorgan Securities LLC | 0.5% | Monthly | 800000 | (9398) | 8753 | (645) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1100000 | (12922) | 10065 | (2857) |
| CMBX AAA Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1098490 | (469) | 51 | (418) |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (86086) | 223845 | 137759 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **222875** | **(100449)** | **122426** |

---

(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(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 | 115598000 | (252317) | 0 | (252317) |
| 4% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2056 | 2290000 | 110488 | 0 | 110488 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 3/2033 | 1350000 | (1272) | 0 | (1272) |
| 3.5% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2031 | 10000 | 108 | 0 | 108 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2030 | 34696000 | (264652) | 0 | (264652) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 | 59074000 | (359956) | 0 | (359956) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(767601)** | **0** | **(767601)** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

(4)Represents floating rate.

**Legend**

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

(b) 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 $1,154,476.

(c) 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 $3,885,383.

(d) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $795,565.

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $137,217,822 or 16.0% of net assets.

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

(h) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(i) 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.

(j) 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.

(k) 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.

(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 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 | 33039259 | 207879879 | 226400588 | 614906 | 3119 | - | 14521669 | 14518765 | 0.0% |
| Total | 33039259 | 207879879 | 226400588 | 614906 | 3119 | - | 14521669 |  |  |

---

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 February 28, 2026, 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** | 94041167 | - | 94041167 | - |
|  **Collateralized Mortgage Obligations** | 82599053 | - | 82599053 | - |
|  **Commercial Mortgage Securities** | 119757617 | - | 119757617 | - |
|  **U.S. Government Agency - Mortgage Securities** | 1029024120 | - | 1029024120 | - |
|  **U.S. Treasury Obligations** | 29555432 | - | 29555432 | - |
|  **Money Market Funds** | 14521669 | 14521669 | - | - |
|  **Purchased Swaptions** | 1613924 | - | 1613924 | - |
| **Total Investments in Securities:** | 1371112982 | 14521669 | 1356591313 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 252119 | 252119 | - | - |
| Swaps | 455663 | - | 455663 | - |
| Total Assets | 707782 | 252119 | 455663 | - |
|  **Liabilities** |  |  |  |  |
| Swaps | (1000389) | - | (1000389) | - |
| Total Liabilities | (1000389) | - | (1000389) | - |
| **Total Derivative Instruments:** | (292607) | 252119 | (544726) | - |
| **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (283507627) | - | (283507627) | - |
| **Total Other Financial Instruments:** | (283507627) | - | (283507627) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. 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)  | 345067 | (122192) |
| **Total Credit Risk**  | 345067 | (122192) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 252119 | - |
| Purchased Swaptions (c)  | 1613924 | - |
| Swaps (d)  | 110596 | (878197) |
| **Total Interest Rate Risk**  | 1976639 | (878197) |
| **Total Value of Derivatives** | 2321706 | (1000389) |

---

(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 cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,354,781,551) | $1356591313 |  |
| Fidelity Central Funds (cost $14,521,669) | 14521669 |  |
| Total Investment in Securities (cost $1,369,303,220) |  | $1371112982 |
| Cash |  | 6199 |
| Receivable for investments sold |  | 37147 |
| Receivable for TBA sale commitments |  | 282746823 |
| Receivable for swaps |  | 51 |
| Receivable for fund shares sold |  | 1309197 |
| Interest receivable |  | 2547181 |
| Distributions receivable from Fidelity Central Funds |  | 46529 |
| Receivable for daily variation margin on futures contracts |  | 185852 |
| Bi-lateral OTC swaps, at value |  | 345067 |
| Receivable from investment adviser for expense reductions |  | 2129 |
| **Total assets** |  | 1658339157 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $6141234 |  |
| Delayed delivery | 507728924 |  |
| TBA sale commitments, at value | 283507627 |  |
| Payable for swaps | 30438 |  |
| Payable for fund shares redeemed | 3922182 |  |
| Distributions payable | 46 |  |
| Bi-lateral OTC swaps, at value | 122192 |  |
| Payable for daily variation margin on centrally cleared swaps | 324716 |  |
| Other payables and accrued expenses | 139970 |  |
| **Total liabilities** |  | 801917329 |
| **Net Assets**  |  | $856421828 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $892139193 |
| Total accumulated earnings (loss) |  | (35717365) |
| **Net Assets** |  | $856421828 |
| **Net Asset Value**, offering price and redemption price per share ($856,421,828 ÷ 92,460,535 shares) |  | $9.26 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Interest  |  | $18137197 |
| Income from Fidelity Central Funds  |  | 614906 |
| **Total income** |  | 18752103 |
| **Expenses** |  |  |
| Custodian fees and expenses | $18167 |  |
| Independent trustees' fees and expenses | 867 |  |
| Total expenses before reductions | 19034 |  |
| Expense reductions | (7609) |  |
| Total expenses after reductions |  | 11425 |
| **Net Investment income (loss)** |  | 18740678 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 4432696 |  |
| Fidelity Central Funds | 3119 |  |
| Futures contracts | 165424 |  |
| Swaps | (564741) |  |
| Total net realized gain (loss) |  | 4036498 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 16460427 |  |
| Futures contracts | 212749 |  |
| Swaps | 466700 |  |
| TBA sale commitments | 818854 |  |
| Total change in net unrealized appreciation (depreciation) |  | 17958730 |
| **Net gain (loss)** |  | 21995228 |
| **Net increase (decrease) in net assets resulting from operations** |  | $40735906 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $18740678 | $31095111 |
| &nbsp;&nbsp;Net realized gain (loss) | 4036498<br>| (3054262)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 17958730 | (444992)<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 40735906<br>| 27595857<br>|
| Distributions to shareholders | (18217352)<br>| (32040267)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 126669092 | 303940696 |
| Reinvestment of distributions | 18187762<br>| 32031832<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (114136377) | (114743572) |
| **Net increase (decrease) in net assets resulting from share transactions** | 30720477<br>| 221228956<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 53239031<br>| 216784546<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 803182797 | 586398251<br>|
| &nbsp;&nbsp;End of period | $856421828 | $803182797 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 13866216 | 33941986 |
| Issued in reinvestment of distributions | 1987374<br>| 3582493<br>|
| &nbsp;&nbsp;Redeemed | (12498277) | (12862361) |
| &nbsp;&nbsp;Net increase (decrease) | 3355313 | 24662118 |

---

**Financial Highlights** 

**Fidelity® Series Investment Grade Securitized Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.01 | $9.10 | $8.77 | $9.24 | $10.41 | $10.68 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .208  | .402  | .373  | .317  | .142  | .056  |
| Net realized and unrealized gain (loss)  | .244  | (.076)  | .329  | (.477)  | (1.165)  | (.023)  |
| Total from investment operations  | .452  | .326  | .702  | (.160)  | (1.023)  | .033  |
| Distributions from net investment income  | (.202)  | (.416)  | (.372)  | (.310)  | (.147)  | (.083) C |
| Distributions from net realized gain  | -  | -  | -  | -  | -  | (.220) C |
| Total distributions  | (.202)  | (.416)  | (.372)  | (.310)  | (.147)  | (.303)  |
| Net asset value, end of period  | $9.26 | $9.01 | $9.10 | $8.77 | $9.24 | $10.41 |
| **Total Return** D,E | 5.06% <br>| 3.72%  | 8.25%  | (1.73)%  | (9.89)%  | .32%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | -% H,I | .01%  | .01%  | .01%  | .01%  | .01%  |
| Expenses net of fee waivers, if any I | -% H<br>| -%  | -%  | -%  | -%  | -%  |
| Expenses net of all reductions, if any I | -% H | -%  | -%  | -%  | -%  | -%  |
| Net investment income (loss)  | 4.58% H | 4.52%  | 4.25%  | 3.56%  | 1.45%  | .54%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $856422 | $803183 | $586398 | $519975 | $425309 | $426659 |
| Portfolio turnover rate J | 600% H<br>| 720%  | 721%  | 735%  | 761%  | 1091%  |

---

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 reflects reclassifications related to book to tax differences that were made in the year shown.*

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 represents less than .005%.*

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.* 

**Notes to Financial Statements** **(Unaudited)**

For the period ended February 28, 2026

**1. Organization.**

Fidelity Series Investment Grade Securitized Fund (the Fund) is a fund of Fidelity Advisor Series II (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. 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 movements in the underlying index, 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 February 28, 2026 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. 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** | $18768007 |
| **Gross unrealized depreciation** | <u>(18119587)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$648420</u> |
| **Tax cost** | <u>$1369310702</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 prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(28198557) |
| Long-term | <u>(11250339)</u> |
| **Total capital loss carryforward** | <u>$(39448896)</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. A fund realizes a gain or loss on settlement, either through the acquisition of an offsetting TBA purchase commitment on or before the sale commitment date, or by delivery of the securities under the commitment.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<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. 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 Series Investment Grade Securitized Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>(49517)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>56116</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(49517)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>56116</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | 165424 | 212749 |
| Purchased Options | (558741) | 75887 |
| Swaps | <u>(515224)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>410584</u> |
| **Total Interest Rate Risk** | <u>(908541)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>699220</u> |
| Totals | <u>(958058)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>755336</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 Series Investment Grade Securitized Fund** | 133357145 |

---

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 Series Investment Grade Securitized Fund** | Purchased Swaptions | 111130000 |

---

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 Series Investment Grade Securitized Fund** | 208826507 |

---

**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 and U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Series Investment Grade Securitized Fund** | 1787777968 | 1750463195 |

---

**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 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.

**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 2027 unless extended or renewed.

Effective March 24, 2026 the .10% spread adjustment on the SOFR benchmark was removed.

**8. 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 $5,902.

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 $1,707.

**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.

**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)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity Series Investment Grade Securitized Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board's Operations Committee, of which all the Independent Trustees are members, meets regularly throughout the year and requests, receives and considers, among other matters, information related to the annual consideration of the renewal of the fund's Advisory Contracts before making its recommendation to the Board. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet from time to time with trustees of other Fidelity U.S. registered funds (Fidelity funds) through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. The Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable in light of all of the surrounding circumstances. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

**Nature, Extent, and Quality of Services Provided**. The Board considered staffing as it relates to the fund, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, technology and operations capabilities and resources, which are integral parts of the investment management process.

<u>Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity and derivative risk management. The Board also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

<u>Investment Performance</u>. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies, collective investment trusts, and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies, collective investment trusts, and 529 plans.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Expense Ratio.** The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds, collective investment trusts, and 529 plans that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through December 31, 2027.

Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the level of Fidelity's profits in respect of the fund and all the Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.

**Economies of Scale.** The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.

**Additional Information Requested by the Board.** In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) portfolio manager changes that have occurred during the past year; (ii) hiring, training, compensating, and retaining adviser and sub-adviser personnel; (iii) the terms of the funds' various management fee structures and arrangements for transfer agent and pricing and bookkeeping services; (iv) Fidelity's fund profitability methodology, profitability trends for certain funds and asset classes, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (v) information about the role of fund profitability in considering changes to the fund lineup; (vi) the types of management fee and total expense comparisons provided, and challenges and limitations associated with such information; (vii) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons; (viii) matters related to money market funds, bond funds, allocation funds, exchange-traded funds, and target date funds; (ix) the arrangements with and compensation paid to certain fund sub-advisers and the treatment of such compensation within Fidelity's fund profitability methodology; and (x) the terms of management contracts between Fidelity and other funds and products not overseen by the Board.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that the fund's Advisory Contracts should be renewed through September 30, 2026.

![](img126664_4.jpg)<br>

1.9891238.107 IGS-SANN-0426

**Fidelity Advisor® Mortgage Securities Fund**

**Semi-Annual Report**

**February 28, 2026**

Includes Fidelity and Fidelity Advisor share classes

![](img126689_1.jpg)

![](img126689_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_AMOR-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity Advisor® Mortgage Securities Fund](#Sub_Sec_Fund_40_AMOR-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements40_AMOR-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_AMOR-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_AMOR-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_AMOR-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_AMOR-SANN)** |

---

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.© 2026 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 (Semi-Annual Report)**

**Fidelity Advisor® Mortgage Securities Fund**

**Schedule of Investments February 28, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 5.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (h) | 50310 | 50839 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (h) | 119179 | 120676 |
| TOTAL CANADA |  | 171515 |
| UNITED STATES - 5.1%  |  |  |
| Affirm Master Trust Series 2026-1A Class A, 4.37% 2/15/2034 (h) | 1165000 | 1171660 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (h) | 50123 | 50447 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (h) | 114076 | 114462 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (h) | 345000 | 351069 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (h) | 422455 | 429041 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (h) | 412784 | 419399 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  | 141882 | 143637 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 200000 | 202142 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 592890 | 594668 |
| CarMax Select Receivables Trust Series 2025-A Class A3, 4.77% 9/17/2029  | 325000 | 328311 |
| Carmax Select Receivables Trust Series 2026-A Class A2A, 4.03% 12/17/2029  | 360000 | 360051 |
| Carmax Select Receivables Trust Series 2026-A Class A3, 3.99% 5/17/2032  | 105000 | 105294 |
| Carvana Auto Receivables Trust Series 2025-P1 Class A2, 4.5% 6/12/2028  | 121455 | 121551 |
| Dell Equipment Finance Trust Series 2025-2 Class A3, 4.12% 3/24/2031 (h) | 500000 | 503456 |
| Dext Abs LLC Series 2025-2 Class A3, 4.23% 4/15/2036 (h) | 100000 | 100331 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (h) | 70437 | 71167 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (h) | 233264 | 234153 |
| Eff Series 2026-1 Class A3, 4.12% 3/20/2030 (h) | 800000 | 807028 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A3, 4.29% 7/20/2029 (h) | 315000 | 315171 |
| Enterprise Fleet Financing LLC Series 2023-1 Class A2, 5.51% 1/22/2029 (h) | 26143 | 26171 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (h) | 355000 | 358931 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (h) | 51697 | 51825 |
| Exeter Automobile Receivables Trust Series 2025-2A Class A3, 4.74% 1/16/2029  | 1077509 | 1080382 |
| Exeter Automobile Receivables Trust Series 2026-1A Class A3, 4.03% 3/15/2030  | 155000 | 155378 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 27307 | 27376 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 55000 | 55560 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 50000 | 50402 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (h) | 5100000 | 5110186 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class A1, 4.59% 3/15/2029 (h) | 235000 | 236833 |
| GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/2034 (h)(i) | 10814 | 9177 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 205071 | 206772 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 476624 | 477416 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (h) | 177976 | 178975 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (h) | 690000 | 695783 |
| Nissan Auto Lease Trust Series 2026-A Class A3, 3.87% 3/15/2029  | 330000 | 330580 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class A, 4.82% 7/14/2038 (h) | 5000000 | 5095313 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (h) | 1268 | 1268 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (h) | 410000 | 411114 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (h) | 1100000 | 1103423 |
| Optn Series 2026-A Class A, 4.32% 1/9/2034 (h) | 165000 | 165528 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A2, 4.27% 10/20/2028 (h) | 460000 | 461112 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A3, 4.39% 7/20/2033 (h) | 105000 | 106097 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (h) | 216111 | 217395 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.1313% 7/25/2054 (b)(c)(h) | 531454 | 529929 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (c)(h) | 222687 | 222998 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (h) | 299321 | 300691 |
| Santander Drive Auto Receivables Trust Series 2024-5 Class A3, 4.62% 11/15/2028  | 1295705 | 1297644 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 600000 | 603718 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (h) | 179208 | 179549 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (h) | 126633 | 128065 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A2A, 3.91% 8/20/2029 (h) | 300000 | 300210 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A3, 3.96% 7/21/2031 (h) | 400000 | 401237 |
| Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-CA Class A3, 4.11% 4/20/2029 (h) | 1800000 | 1812846 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (h) | 989180 | 937059 |
| Towd PT Mtg Trust Series 2018-5 Class A1A, 3.25% 7/25/2058 (h) | 648921 | 644036 |
| Toyota Lease Owner Trust Series 2024-B Class A3, 4.21% 9/20/2027 (h) | 1190173 | 1191675 |
| UPX HIL Issuer Trust Series 2025-1 Class B, 6.07% 1/25/2047 (h) | 200000 | 203711 |
| VCAT Asset Securitization LLC Series 2026-NPL2 Class A1, 4.987% 2/25/2056 (h)(i) | 600000 | 599999 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (h) | 162769 | 163468 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (h) | 322008 | 322590 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (h) | 346596 | 354890 |
| Wheels Fleet Lease Funding LLC Series 2023-1A Class A, 5.8% 4/18/2038 (h) | 200129 | 201253 |
| Wheels Fleet Lease Funding LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (h) | 292799 | 295829 |
| Wheels Fleet Lease Funding LLC Series 2025-1A Class A1, 4.57% 1/18/2040 (h) | 2263037 | 2286380 |
| Wheels Fleet Lease Funding LLC Series 2025-3A Class A1, 4.08% 9/18/2040 (h) | 400000 | 401711 |
| Willis Engine Structured Trust VII Series 2025-B Class A, 5.159% 12/15/2050 (h) | 764431 | 772822 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 63120 | 63464 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 413760 | 414500 |
| World Omni Select Auto Trust Series 2025-A Class A3, 4.08% 8/15/2031  | 285000 | 286502 |
| TOTAL UNITED STATES |  | 37952811 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $37,957,494) |  | <br> **38124326** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.3%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.3%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 10.3%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 6.115% 1/25/2061 (h) | 129958 | 130082 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (h) | 1483972 | 1340001 |
| Angel Oak Mortgage Trust 2026-2 Series 2026-2 Class A1, 4.694% 2/25/2071 (h) | 300000 | 300000 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (c)(h) | 373753 | 377822 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (c)(h) | 113383 | 112344 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (c)(h) | 58574 | 58431 |
| CFMT Series 2025-HB16 Class A, 3% 3/25/2035 (c)(h) | 72504 | 71372 |
| CIM Trust Series 2025-NR1 Class A1, 5% 6/25/2064 (h) | 939646 | 924871 |
| CIM Trust Series 2025-R1 Class A1, 5% 2/25/2099 (h) | 1382350 | 1378662 |
| Cross 2026-Nqm2 Mtg Tr Series 2026-NQM2 Class A1FC, 4.735% 3/25/2061 (c)(h) | 500000 | 500166 |
| CSMC Trust Series 2014-3R Class 2A1, CME Term SOFR 1 month Index + 0.8145%, 0% 5/27/2037 (b)(c)(h)(l) | 72121 | 6 |
| CSMC Trust Series 2015-1R Class 6A1, CME Term SOFR 1 month Index + 0.3945%, 4.3031% 5/27/2037 (b)(c)(h) | 37872 | 37733 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 10001 | 10147 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 15016 | 15296 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 11276 | 11479 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 15230 | 15522 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 5138 | 5215 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 2602 | 2696 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 4898 | 5104 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.7683% 11/25/2032 (c)(j) | 681 | 13 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 12/25/2033 (c)(j) | 19950 | 2470 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 3/25/2033 (c)(j) | 4031 | 426 |
| Fannie Mae Guaranteed REMIC Series 2005-39 Class TE, 5% 5/25/2035  | 44275 | 45384 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.9383% 6/25/2035 (c)(j) | 32441 | 2230 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index x 17.2524%, 7.7176% 8/25/2035 (b)(c) | 884 | 944 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 43820 | 44530 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.8583% 12/25/2036 (c)(j) | 11283 | 1153 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.6583% 5/25/2037 (c)(j) | 7207 | 688 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index x 39.9331%, 17.9299% 6/25/2037 (b)(c) | 21000 | 28730 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index x 38.9131%, 16.9099% 7/25/2037 (b)(c) | 2265 | 2611 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 24794 | 24040 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 207464 | 206010 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 90338 | 90254 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (j) | 20593 | 301 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 16072 | 15127 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 22268 | 21146 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (j) | 14 | 0 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 2.2683% 1/25/2044 (c)(j) | 25929 | 3009 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (j) | 124847 | 17277 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 170442 | 165109 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 2320265 | 2072384 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (j) | 79443 | 10352 |
| Fannie Mae Guaranteed REMIC Series 2017-32 Class PA, 2.7% 5/25/2047  | 3034936 | 2838728 |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  | 614928 | 574158 |
| Fannie Mae Guaranteed REMIC Series 2020-51 Class BA, 2% 6/25/2046  | 383862 | 356516 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 173918 | 152156 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 184825 | 161698 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 212116 | 185358 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 91383 | 77946 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 152770 | 139626 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 1226826 | 1121405 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 240321 | 218626 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 238057 | 226666 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 212265 | 202299 |
| Fannie Mae Guaranteed REMIC Series 2022-18 Class DL, 3.25% 7/25/2046  | 436866 | 422671 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 1904672 | 1743732 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 174457 | 159078 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 198660 | 197600 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 205879 | 182831 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 8/25/2052 (b)(c) | 679213 | 677057 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FH, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3672% 9/25/2052 (b)(c) | 1706844 | 1697088 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 9/25/2052 (b)(c) | 1433749 | 1429199 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (b)(c) | 486433 | 484722 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (b)(c) | 1672880 | 1667566 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 336498 | 320473 |
| Fannie Mae Guaranteed REMIC Series 2022-9 Class DJ, 3.25% 3/25/2049  | 247282 | 235638 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (b)(c) | 1010539 | 1022745 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FP, U.S. 30-Day Avg. SOFR Index + 1.55%, 5.2172% 11/25/2053 (b)(c) | 1834836 | 1858161 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (b)(c) | 1193619 | 1208175 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (b)(c) | 168836 | 170863 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.1972% 7/25/2054 (b)(c) | 435145 | 440921 |
| Fannie Mae Guaranteed REMIC Series 2024-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2053 (b)(c) | 2422832 | 2440302 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 12/25/2054 (b)(c) | 1435129 | 1445649 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 12/25/2054 (b)(c) | 806529 | 811146 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (j) | 16856 | 500 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (b)(c) | 1169096 | 1178623 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.2672% 8/25/2054 (b)(c) | 1046756 | 1060657 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2054 (b)(c) | 348212 | 350689 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (b)(c) | 456796 | 461644 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 9/25/2054 (b)(c) | 528536 | 533977 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (b)(c) | 802428 | 810008 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 353874 | 356813 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 426169 | 421364 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 651092 | 655492 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (c)(j) | 9962 | 1661 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (c)(j) | 6098 | 858 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (j) | 9512 | 1503 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (c)(j) | 5614 | 941 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (j) | 18752 | 2845 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class CJ, 6.5% 4/15/2028  | 4880 | 4938 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 263752 | 263987 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 137055 | 124588 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 263380 | 232149 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 5821 | 5944 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 6275 | 6384 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 12368 | 12636 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 2603 | 2659 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 4196 | 4261 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 14228 | 14792 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2380 Class SY, 8.0855% - U.S. 30-Day Avg. SOFR Index 4.4273% 11/15/2031 (c)(j) | 6225 | 301 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 13896 | 14429 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 18824 | 19543 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2587 Class IM, 6.5% 3/15/2033 (j) | 7332 | 997 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 289865 | 298475 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 22143 | 22843 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 100028 | 102159 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 52519 | 54816 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 61123 | 62108 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 26070 | 26915 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.8273% 2/15/2036 (c)(j) | 9082 | 862 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 28438 | 29902 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 78808 | 81119 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.8873% 11/15/2036 (c)(j) | 30355 | 2876 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.8073% 6/15/2037 (c)(j) | 26622 | 2717 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 10318 | 10538 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 133873 | 137520 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 18425 | 18573 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 17511 | 16675 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (j) | 11401 | 694 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (j) | 2 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (j) | 34865 | 847 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 50771 | 50692 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4646 Class LA, 4% 9/15/2045  | 30907 | 30851 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 147411 | 143959 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4692 Class KB, 4% 10/15/2046  | 167603 | 165611 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4746 Class PA, 4% 2/15/2047  | 81356 | 81202 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 132497 | 126651 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 62996 | 54028 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5041 Class LA, 1.5% 11/25/2040  | 735427 | 632399 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5046 Class PT, 1.5% 11/25/2040  | 556363 | 487342 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5058 Class BE, 3% 11/25/2050  | 483801 | 431127 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5059 Class GA, 1% 1/25/2051  | 371427 | 295421 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 160005 | 140036 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 210084 | 184725 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 206785 | 180369 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 868452 | 781101 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 170979 | 158941 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 1168054 | 1070210 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 196145 | 178540 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 190148 | 173078 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 179727 | 166910 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 159687 | 145313 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 202441 | 181921 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 1077570 | 981256 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 159688 | 145313 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 136289 | 126654 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 648944 | 605155 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 112576 | 106954 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 146070 | 135889 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EA, 3% 8/25/2050  | 356006 | 336475 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EJ, 3% 8/25/2050  | 356006 | 336475 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5237 Class FP, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.2172% 7/25/2052 (b)(c) | 196684 | 195013 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5248 Class A, 4% 4/15/2048  | 546703 | 545447 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5250 Class FA, U.S. 30-Day Avg. SOFR Index + 0.67%, 4.3372% 8/25/2052 (b)(c) | 362038 | 359361 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5254 Class FG, U.S. 30-Day Avg. SOFR Index + 0.75%, 4.4172% 9/25/2052 (b)(c) | 611998 | 609278 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5256 Class FA, U.S. 30-Day Avg. SOFR Index + 0.65%, 4.3172% 9/25/2052 (b)(c) | 257855 | 256194 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 8/25/2053 (b)(c) | 701876 | 706663 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 10/25/2053 (b)(c) | 532414 | 540194 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5357 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (b)(c) | 1879875 | 1901020 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (b)(c) | 494600 | 499163 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 4.6672% 10/25/2054 (b)(c) | 620981 | 623515 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 11/25/2054 (b)(c) | 1310687 | 1318213 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 867574 | 873799 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (b)(c) | 291285 | 292830 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9172% 10/25/2054 (b)(c) | 533003 | 537310 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 523081 | 527471 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 4/25/2055 (b)(c) | 632877 | 636458 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 13479 | 13737 |
| Freddie Mac Non Gold Pool Series 1998-2104 Class PG, 6% 12/15/2028  | 4509 | 4602 |
| Freddie Mac Non Gold Pool Series 1999-2114 Class ZM, 6% 1/15/2029  | 2007 | 2051 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 1313 | 1334 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.0969% 8/20/2060 (b)(c)(k) | 10163 | 10130 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 4/20/2061 (b)(c)(k) | 3555 | 3556 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 4.4469% 5/20/2061 (b)(c)(k) | 100 | 100 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (k) | 1127 | 1070 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 29602 | 27743 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 3.83% 8/20/2066 (b)(c)(k) | 55800 | 55738 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 40969 | 41813 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.7259% 5/16/2034 (c)(j) | 24441 | 1426 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 3.4259% 8/17/2034 (c)(j) | 8749 | 870 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.9159% 6/16/2037 (c)(j) | 14771 | 1330 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 278558 | 277286 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 61574 | 61292 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (j) | 2781 | 76 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-52 Class HI, 7% 4/16/2041 (j) | 73429 | 7555 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 68658 | 68059 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 82383 | 78497 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 345667 | 321291 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-11 Class F, CME Term SOFR 1 month Index + 0.5145%, 4.1817% 1/20/2049 (b)(c) | 58104 | 58032 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.2817% 10/20/2049 (b)(c) | 107525 | 106804 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.2317% 2/20/2049 (b)(c) | 203551 | 202567 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (h) | 242246 | 238194 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (c)(h) | 428744 | 434114 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (h) | 734957 | 704904 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (c)(h) | 249930 | 241911 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (c)(h) | 250613 | 253609 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-Nqm4 Series 2025-NQM4 Class A1, 5.588% 6/25/2070 (h) | 1212916 | 1228930 |
| New Residential Mortgage Loan Trust Series 2025-NQM7 Class A1FC, 4.949% 10/26/2065 (c)(h) | 486022 | 487786 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (h) | 631761 | 600880 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (h) | 321575 | 308916 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (h) | 1018593 | 997494 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (h)(i) | 732462 | 740399 |
| Obx Trust Series 2025-NQM19 Class A1, 4.869% 10/25/2065 (c)(h) | 470218 | 471700 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (h) | 3858 | 3853 |
| Ocwen Loan Investment Trust Series 2025-HB2 Class A, 3% 11/25/2038 (c)(h) | 126605 | 122718 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (h) | 170929 | 170929 |
| Preston Ridge Partners Mortgage Series 2025-RCF1 Class A1, 4.845% 1/25/2056 (c)(h) | 770599 | 777334 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (h)(i) | 558306 | 550598 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (h) | 457312 | 444693 |
| PRET Trust Series 2025-RPL2 Class A1, 4% 8/25/2064 (h) | 1426450 | 1401513 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (h) | 553336 | 549129 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (c)(h) | 79182 | 78459 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (c)(h) | 234743 | 232831 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (c)(h) | 504388 | 494120 |
| Prpm LLC Series 2025-RCF5 Class A1, 4.839% 10/25/2055 (h) | 183945 | 184243 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (h) | 210462 | 199822 |
| Santander Mtg Asset Receivables Tr 2025-Nqm3 Series 2025-NQM3 Class A1, 5.599% 5/25/2065 (h) | 1231641 | 1247614 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 4.4282% 9/25/2043 (b)(c) | 170272 | 165557 |
| Versus Securitization Trust Series 2026-R1 Class A1FC, 4.675% 10/25/2067 (c)(h) | 2567456 | 2575387 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (c)(h) | 512145 | 517394 |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.3385% 9/25/2033 (c) | 17812 | 17742 |
| TOTAL UNITED STATES |  | 77183017 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $76,181,028) |  | <br> **77183017** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 8.5%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 8.5%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 8.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 8.5%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4026% 6/15/2040 (b)(c)(h) | 1310000 | 1316572 |
| Ares Commercial Mortgage Trust Series 2026-GCP Class A, CME Term SOFR 1 month Index + 1.25%, 4.95% 2/15/2043 (b)(c)(h) | 250000 | 250078 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (h) | 194188 | 187882 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 1519217 | 1504880 |
| BANK Series 2020-BN25 Class XB, 0.4361% 1/15/2063 (c)(j) | 7140322 | 119095 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 574718 | 558938 |
| BANK Series 2021-BN33 Class XA, 1.0239% 5/15/2064 (c)(j) | 4852955 | 174373 |
| BANK5 Series 2025-5YR14 Class XA, 0.9831% 4/15/2058 (c)(j) | 5292664 | 193359 |
| BANK5 Series 2025-5YR14 Class XB, 0.2714% 4/15/2058 (c)(j) | 13100000 | 168218 |
| BANK5 Series 2025-5YR19 Class XB, 0.5998% 12/15/2058 (c)(j) | 2000000 | 57210 |
| Barings Issuer LLC Series 2026-SBP Class A, 4.82% 2/25/2059 (h) | 541000 | 541742 |
| BBCMS Mortgage Trust Series 2025-5C38 Class XB, 0.8919% 11/15/2058 (c)(h)(j) | 4800000 | 192257 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7596% 12/15/2062 (c)(j) | 11388255 | 216475 |
| Benchmark Mortgage Trust Series 2026-V20 Class A3, 5.184% 2/15/2059  | 900000 | 938849 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 4.7745% 9/15/2026 (b)(c)(h) | 772269 | 767500 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.0018% 3/15/2041 (b)(c)(h) | 171331 | 171331 |
| BMO Mortgage Trust Series 2025-5C11 Class XB, 0.5838% 7/15/2058 (c)(j) | 6600000 | 165597 |
| BMO Mortgage Trust Series 2025-5C12 Class XB, 0.7492% 10/15/2058 (c)(j) | 4600000 | 154849 |
| BMO Mortgage Trust Series 2025-5C13 Class A2, 4.7355% 12/15/2058  | 500000 | 510476 |
| BMO Mortgage Trust Series 2025-5C9 Class XA, 0.7069% 4/15/2058 (c)(j) | 2998743 | 79041 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.0513% 3/15/2041 (b)(c)(h) | 679750 | 679962 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.301% 5/15/2041 (c)(h) | 565177 | 565530 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 4.9525% 12/15/2039 (b)(c)(h) | 3540325 | 3541431 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 3/15/2043 (b)(c)(h) | 779000 | 779490 |
| BX Trust 2021 Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8245% 2/15/2036 (b)(c)(h) | 400000 | 399753 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.1015% 4/15/2041 (b)(c)(h) | 754313 | 754549 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.8035% 3/15/2030 (b)(c)(h) | 1569433 | 1567471 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 4.4104% 10/15/2026 (b)(c)(h) | 214868 | 214801 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.6885%, 4.463% 10/15/2038 (b)(c)(h) | 42407 | 42394 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.1017% 2/15/2039 (b)(c)(h) | 1011766 | 1011766 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.3509% 3/15/2041 (b)(c)(h) | 133000 | 133000 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.8097% 2/15/2035 (b)(c)(h) | 214000 | 213711 |
| BX Trust Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.0597% 6/15/2035 (b)(c)(h) | 168000 | 168000 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class ASB, 3.462% 11/15/2050  | 368064 | 365891 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (c)(h) | 377000 | 386478 |
| Citigroup Commercial Mortgage Trust Series 2016-P4 Class A4, 2.902% 7/10/2049  | 3644000 | 3625139 |
| Citigroup Commercial Mortgage Trust Series 2016-P6 Class XA, 0.5388% 12/10/2049 (c)(j) | 6023000 | 12264 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.0051% 8/10/2056 (c)(j) | 4695335 | 132931 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class A, 4.6945% 2/10/2043 (c)(h) | 300000 | 303651 |
| DBJPM Mortgage Trust Series 2020-C9 Class A5, 1.926% 8/15/2053  | 400000 | 363194 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 4.9597% 10/15/2042 (b)(c)(h) | 2015000 | 2017519 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.2597% 10/15/2042 (b)(c)(h) | 160000 | 160299 |
| Extended Stay America Trust Series 2026-ESH2 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 2/15/2043 (b)(c)(h) | 855000 | 855267 |
| Extended Stay America Trust Series 2026-ESH2 Class B, CME Term SOFR 1 month Index + 1.4%, 5.0597% 2/15/2043 (b)(c)(h) | 88000 | 88165 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 193558 | 192073 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 995435 | 993090 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K135 Class A2, 2.154% 10/25/2031  | 300000 | 274324 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K521 Class AS, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.1992% 3/25/2029 (b)(c) | 1395806 | 1393440 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K543 Class A2, 4.329% 6/25/2030 (c) | 700000 | 714593 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class A2, 4.266% 7/25/2030 (c) | 500000 | 509301 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (c) | 600000 | 613064 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  | 900000 | 921217 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (c) | 1400000 | 1429475 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K549 Class A2, 4.34% 9/25/2030 (c) | 200000 | 204367 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class A2, 4.165% 11/25/2030 (c) | 500000 | 507469 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class AS, 4.2292% 10/25/2030 (c) | 4399289 | 4397457 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K552 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (b)(c) | 2699390 | 2699389 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K763 Class A2, 4.17% 10/25/2032 (c) | 1100000 | 1110348 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K553 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (b)(c) | 1212883 | 1212882 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K554 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 10/25/2030 (b)(c) | 2899724 | 2899722 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K555 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 11/25/2030 (b)(c) | 3000000 | 3000450 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K556 Class AS, U.S. 30-Day Avg. SOFR Index + 0.49%, 4.1692% 12/25/2030 (b)(c) | 1800000 | 1800562 |
| GS Mortgage Securities Trust Series 2015-GC34 Class XA, 0.839% 10/10/2048 (c)(j) | 295343 | 11 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A4, 3.89% 7/10/2051  | 2200000 | 2189836 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 200000 | 200049 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 232550 | 227586 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.3597% 10/15/2035 (b)(c)(h) | 100000 | 99813 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 5.0415% 11/5/2037 (c)(h) | 268000 | 273549 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 39180 | 38973 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (h) | 455259 | 434203 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX, 1.116% 7/5/2033 (c)(h)(j) | 3909453 | 85817 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.4745% 7/15/2038 (b)(c)(h) | 340811 | 340555 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 9/15/2040 (b)(c)(h) | 411000 | 411341 |
| Morgan Stanley Capital I Trust Series 2018-BOP Class A, CME Term SOFR 1 month Index + 0.897%, 4.557% 8/15/2033 (b)(c)(h) | 723006 | 588137 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.1406% 6/15/2054 (c)(j) | 990778 | 36515 |
| Msbam Series 2025-5C2 Class A3, 5.107% 11/15/2058  | 1350000 | 1399359 |
| Plym Commercial Mortgage Trust Series 2026-IND Class A, CME Term SOFR 1 month Index + 1.25%, 4.9% 3/15/2043 (b)(c)(h) | 1084000 | 1084000 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 4.9097% 8/15/2042 (b)(c)(h) | 500000 | 501247 |
| SCMS Series 2025-BNC1 Class A2, 4.5016% 12/15/2057 (h) | 995000 | 998901 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.5049% 11/15/2038 (b)(c)(h) | 567300 | 567123 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 4.8539% 11/15/2038 (b)(c)(h) | 276966 | 276879 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.9026% 12/15/2039 (b)(c)(h) | 574000 | 574718 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 0.9635% 12/15/2050 (c)(j) | 4916295 | 70082 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.8156% 12/15/2050 (c)(j) | 6301260 | 78531 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9038% 8/15/2051 (c)(j) | 3599517 | 53123 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 4.9745% 5/15/2031 (b)(c)(h) | 468000 | 467784 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 5.451% 10/15/2041 (b)(c)(h) | 637000 | 636171 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (c)(h) | 340000 | 343240 |
| TOTAL UNITED STATES |  | 63502144 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $63,175,007) |  | <br> **63502144** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 126.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 126.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 126.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 126.9%  |  |  |
| Fannie Mae 2% 3/1/2052  | 1476334 | 1234517 |
| Fannie Mae 3% 12/1/2051  | 150928 | 137893 |
| Fannie Mae 3.5% 12/1/2036  | 92020 | 90925 |
| Fannie Mae 3.5% 5/1/2036  | 70048 | 69367 |
| Fannie Mae 6% 12/1/2054  | 1594717 | 1674287 |
| Fannie Mae 7% 6/1/2054  | 42004 | 44896 |
| Fannie Mae 7% 7/1/2054  | 38565 | 41332 |
| Fannie Mae 7% 8/1/2054  | 18853 | 20092 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (b)(c) | 6362 | 6578 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 5.96% 1/1/2035 (b)(c) | 1274 | 1314 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (b)(c) | 573 | 592 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.61%, 6.36% 8/1/2035 (b)(c) | 14228 | 14708 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6669%, 6.391% 11/1/2036 (b)(c) | 1007 | 1042 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6834%, 6.511% 5/1/2036 (b)(c) | 955 | 990 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7392%, 6.152% 3/1/2040 (b)(c) | 5149 | 5383 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.279% 7/1/2035 (b)(c) | 975 | 1008 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.5% 8/1/2041 (b)(c) | 7393 | 7764 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.07% 1/1/2042 (b)(c) | 11589 | 12171 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8063%, 6.388% 12/1/2040 (b)(c) | 99669 | 104669 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.593% 2/1/2042 (b)(c) | 4990 | 5241 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (b)(c) | 1170 | 1208 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.217% 6/1/2036 (b)(c) | 10047 | 10396 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.275%, 6.379% 10/1/2033 (b)(c) | 1580 | 1631 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 955147 | 873716 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 901113 | 822881 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 122160 | 105723 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 2294747 | 1827255 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 514125 | 471418 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 492163 | 451280 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 263100 | 241245 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 119369 | 103455 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 2530391 | 2171244 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 510234 | 467851 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 121621 | 105330 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 124738 | 107875 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 1852709 | 1472375 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 13661 | 12496 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 127559 | 110246 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 13873 | 12669 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 55297 | 50790 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2051  | 87751 | 69737 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 586930 | 466442 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 130078 | 104554 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 1412920 | 1292462 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 1978321 | 1849393 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 772727 | 647123 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 910800 | 812416 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 874294 | 739832 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 165440 | 138497 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 50553 | 42320 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1868171 | 1576768 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 13789 | 12401 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 673895 | 601108 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 538164 | 479958 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 549304 | 462077 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 105794 | 88565 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 105053 | 87945 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 2241891 | 1892194 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 185994 | 156285 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 48918 | 41288 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 34123 | 28800 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 962261 | 899550 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 131389 | 118473 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 14079 | 12655 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 942056 | 788635 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 108047 | 90417 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 86334 | 72625 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 471351 | 397828 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 63792 | 62816 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15078 | 13536 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 54247 | 45667 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 956052 | 804833 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 52914 | 44627 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 23726 | 20017 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 15467 | 13878 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2042  | 1651583 | 1469266 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 16714 | 14029 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 769549 | 647108 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 523176 | 440589 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 471012 | 396512 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 344238 | 289790 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 204892 | 172036 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 189411 | 159866 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 51714 | 43615 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 35705 | 30124 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 44529 | 40106 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 177298 | 148257 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 120885 | 101084 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 24030 | 20304 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 2173196 | 1817236 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 32211 | 29007 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 16565 | 14834 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 7552337 | 7095551 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 230991 | 217020 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 433929 | 388350 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 985506 | 825624 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 588282 | 495417 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 323746 | 272640 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 1758072 | 1472855 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 295670 | 246964 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 105877 | 89131 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 31900 | 26755 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 17573 | 14738 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 352100 | 329484 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 91514 | 76668 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 85426 | 71539 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 47479 | 40073 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  | 96803 | 81099 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 129693 | 126107 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2037  | 1216591 | 1162523 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 1826927 | 1617443 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 217000 | 190558 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1234941 | 1086777 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 150813 | 133002 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 125735 | 122301 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 27806 | 27056 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 112973 | 106666 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 431840 | 382324 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 394525 | 347931 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 183644 | 160922 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 82204 | 79959 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 179144 | 171071 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 406072 | 372667 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 257951 | 236937 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 91875 | 84585 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2167156 | 1907148 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 967715 | 847983 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 732312 | 641705 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 229854 | 223422 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 1719540 | 1671954 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1453391 | 1273567 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 672087 | 591452 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 98385 | 94382 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 69168 | 67302 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 305807 | 283989 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 97939 | 90946 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 461484 | 404963 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 1812053 | 1599179 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 124553 | 121149 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 1978955 | 1869564 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 1186007 | 1086916 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 3689168 | 3246553 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1687027 | 1484622 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1383567 | 1224921 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1254043 | 1115343 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 27265 | 26606 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 115567 | 106585 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 87198 | 80817 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 87002 | 80083 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 35685 | 32806 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1457607 | 1284094 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1103802 | 974131 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 1553810 | 1366418 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 96641 | 84986 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 2952054 | 2605255 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 176134 | 163029 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 91071 | 84098 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 38618 | 37646 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 346346 | 318412 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 4556274 | 4033831 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 509765 | 464942 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 1003317 | 924815 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 805651 | 739090 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 106136 | 96770 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 15657 | 15347 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 43156 | 42521 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1418865 | 1306520 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 100699 | 91844 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 908905 | 837222 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 686015 | 627409 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 16767 | 15408 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 854802 | 840565 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 485077 | 476975 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 59850 | 58483 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 3962562 | 3653762 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 926057 | 844629 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 497775 | 455095 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 352640 | 322735 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 115043 | 104892 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 73177 | 72231 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 515381 | 505587 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 29985 | 29557 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 41342 | 38859 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 1395140 | 1284674 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 504048 | 464137 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1026953 | 938900 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 637242 | 582604 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 77311 | 75965 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 26091 | 25605 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  | 15881 | 15393 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 819645 | 761662 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 1919267 | 1767301 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 990750 | 913232 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 964712 | 885915 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 586244 | 535245 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 150683 | 137104 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  | 9171 | 8973 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 1933668 | 1779957 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 821719 | 756142 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 132039 | 121585 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 2607348 | 2397640 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 326824 | 320735 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 86030 | 84831 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 5119 | 4973 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 21094 | 20416 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 565733 | 530100 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 48419 | 45487 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 674126 | 626648 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 2508322 | 2307363 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 850099 | 781992 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 547929 | 502661 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 1064303 | 975376 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 188934 | 185778 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 823056 | 758659 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 15470 | 14969 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 263049 | 251908 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 53448 | 51251 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 233549 | 224680 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 205510 | 194238 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 71062 | 67520 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 50145 | 48562 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 15928 | 15429 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 5572 | 5389 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 71094 | 68288 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 2398880 | 2292788 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 213552 | 205576 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 13874 | 13417 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 12450 | 12027 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 9080 | 8759 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 5664 | 5484 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 3286 | 3149 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 332024 | 314124 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 7215 | 6986 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1265917 | 1223910 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 462817 | 443216 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 87850 | 84129 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 51033 | 48968 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 10905 | 10554 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 134192 | 128844 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 69359 | 66464 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 186863 | 177197 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 67777 | 65398 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2047  | 45466 | 43598 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 99567 | 96221 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 72048 | 69577 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 17214 | 16638 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 10878 | 10520 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 24098 | 22927 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2050  | 201431 | 189942 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 13666 | 13242 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 138736 | 137373 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 47022 | 46560 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 454238 | 439768 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 177260 | 175519 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 211176 | 204560 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 11833 | 11444 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 90547 | 86712 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 62081 | 59568 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 72108 | 69841 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 30409 | 29444 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 12685 | 12313 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 49856 | 47838 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 140645 | 135392 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 676425 | 640802 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 308964 | 307971 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 11516 | 11481 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 4455 | 4445 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 211373 | 209298 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 25313 | 25029 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 6673 | 6654 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 11417 | 11394 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 11395 | 11341 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 33055 | 32632 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 111592 | 111239 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 10440 | 10422 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 88112 | 87761 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 47737 | 46962 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 32840 | 32481 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 6617 | 6592 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 142106 | 140892 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 20268 | 20040 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 255073 | 254266 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 29140 | 29043 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 14367 | 14281 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 7081 | 7073 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 6252 | 6233 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 18034 | 17832 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 39253 | 39158 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 16517 | 16481 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 117378 | 116724 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 20685 | 20602 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 17655 | 17560 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 11477 | 11423 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 169311 | 168530 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 123757 | 123226 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 86376 | 86010 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 40621 | 40446 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 24307 | 24191 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 18217 | 18118 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 74212 | 73410 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 50596 | 50055 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 926781 | 910589 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 40580 | 39520 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 20612 | 20565 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 10679 | 10651 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 1603 | 1600 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 754947 | 741521 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 6359 | 6295 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 25386 | 25109 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 7640 | 7557 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 41025 | 40552 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 86 | 85 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 38584 | 39228 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 9063 | 9216 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 31634 | 32142 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  | 75228 | 76366 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 730684 | 734156 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 84849 | 86274 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 26009 | 26452 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 6913 | 7023 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 61681 | 62730 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 125057 | 127181 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 172195 | 175135 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 60115 | 61141 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 405695 | 412534 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 112327 | 114231 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 34433 | 35015 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 342877 | 349435 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 44168 | 44879 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 6831 | 6861 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 8018 | 8155 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 5543 | 5637 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 441797 | 442101 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 24371 | 24786 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 886193 | 902448 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 659119 | 671621 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 2157301 | 2195522 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 930392 | 950365 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 473653 | 482637 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2040  | 986866 | 1002610 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 38001 | 39004 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 22270 | 22792 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 9662 | 9961 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 477092 | 489558 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 6822 | 7062 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 15066 | 15431 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2039  | 78178 | 79449 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 1206 | 1249 |
| Fannie Mae Mortgage pass-thru certificates 5.31% 8/1/2041 (c) | 65692 | 67103 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 927445 | 961226 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 307130 | 316589 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 141711 | 145803 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 867151 | 894401 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 371142 | 383965 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 632577 | 652208 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1263769 | 1307430 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 707800 | 733968 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 97632 | 101725 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 41049 | 42779 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 1928427 | 2019977 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 1134106 | 1188300 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 259722 | 271890 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 58468 | 60671 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2053  | 844047 | 887656 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 688598 | 720804 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2055  | 1769079 | 1847370 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 912149 | 944902 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 4269053 | 4456714 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 757606 | 792093 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 282651 | 295871 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 108822 | 113946 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2054  | 216508 | 222608 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1078623 | 1127385 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 33972 | 35536 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 32846 | 34369 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 31750 | 33244 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 310711 | 320218 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 1155376 | 1190007 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 1648382 | 1697790 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 834129 | 872621 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 813566 | 849584 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1685593 | 1736117 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 86374 | 90501 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2039  | 877631 | 909057 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 1476858 | 1545932 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1290814 | 1351993 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 909611 | 936592 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 3505797 | 3653332 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 1886478 | 1971173 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 1845605 | 1904320 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 77113 | 80634 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 36881 | 38555 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 1952011 | 2045138 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 2307662 | 2411198 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2038  | 147122 | 152666 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 229744 | 238838 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 1440837 | 1483575 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 599923 | 628169 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 26931 | 28283 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 255280 | 270992 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 6391 | 6831 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 744151 | 787625 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 1890 | 2022 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2035  | 623 | 662 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 310805 | 324349 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 427466 | 452973 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2035  | 405 | 430 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2038  | 727 | 780 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 621904 | 658042 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2036  | 8798 | 9378 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 471465 | 492011 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 377352 | 400459 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 645 | 689 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 3493730 | 3697837 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 583788 | 608589 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 3069 | 3280 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 1753 | 1875 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 513228 | 543011 |
| Fannie Mae Mortgage pass-thru certificates 6.783% 2/1/2039 (c) | 14878 | 15572 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 308 | 309 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 1455773 | 1555087 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 993559 | 1056217 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 808879 | 859637 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 562079 | 598976 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 146947 | 156272 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 16536 | 17558 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 13912 | 14667 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 203 | 203 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2053  | 363387 | 387240 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2053  | 44950 | 47981 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 288362 | 307764 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 80288 | 85180 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 54502 | 57568 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 31809 | 33707 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 14932 | 15818 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2054  | 18919 | 20200 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 159 | 158 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2028  | 405 | 413 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 605597 | 644025 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 191764 | 204292 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 98471 | 104056 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 98055 | 103571 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 64688 | 68308 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 20715 | 21918 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 20709 | 21911 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 414719 | 442622 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 214808 | 228842 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2054  | 10861 | 11472 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 15950 | 16745 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2054  | 442334 | 475309 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 279 | 279 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 24094 | 25724 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 22825 | 24533 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 22768 | 24212 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 18214 | 19578 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 14591 | 15496 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 421 | 421 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  | 175007 | 186057 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  | 28815 | 30569 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 311636 | 333797 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 212628 | 227416 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 138684 | 148156 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 70 | 70 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 22 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2032  | 1132 | 1203 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 6729 | 7212 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 1225 | 1311 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 3382 | 3604 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 1406 | 1506 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 746 | 796 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 373 | 395 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 298 | 317 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 257 | 275 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 161 | 170 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 1128 | 1177 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2032  | 18406 | 19697 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2030  | 78 | 81 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2032  | 4675 | 5020 |
| Fannie Mae Mortgage pass-thru certificates 8% 12/1/2029  | 14 | 13 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 4554 | 4934 |
| Fannie Mae Mortgage pass-thru certificates 9% 10/1/2030  | 12008 | 12781 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 520120 | 475777 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 2269773 | 1807369 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 482649 | 442557 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 14755 | 13530 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 53330 | 42816 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 509768 | 467423 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 73126 | 63330 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 35680 | 28646 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 20613 | 16568 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 126111 | 109055 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 2310062 | 1835840 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 127643 | 110302 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 945992 | 751794 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 27118 | 21797 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 578774 | 499906 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 130114 | 112277 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 1794385 | 1426025 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 1183842 | 1084394 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 33757 | 27133 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 197122 | 180994 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 407115 | 373806 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 8584566 | 7183818 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 226379 | 189441 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 110210 | 92227 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 52281 | 43963 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 36992 | 31106 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 161080 | 135451 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 112481 | 94971 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 41270 | 34832 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 17162 | 15308 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 509426 | 454221 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 4290176 | 3591487 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 15440 | 13051 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 358799 | 301711 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 21453 | 18107 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 17977 | 15173 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 392854 | 349716 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 158516 | 133493 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 103833 | 93548 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 1097923 | 919804 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 538886 | 452134 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 1410860 | 1183736 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 3648604 | 3070362 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 238439 | 200725 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 77435 | 64945 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 21081 | 17806 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 6576852 | 5513980 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 1838193 | 1548020 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1578959 | 1415130 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 16465 | 14733 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 184687 | 154263 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 130764 | 110081 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 52892 | 44179 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 71742 | 60417 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 193033 | 161596 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 1403349 | 1175680 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 422996 | 354108 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  | 292534 | 270012 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 396109 | 363435 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 192065 | 176426 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 1105022 | 974171 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 106676 | 103761 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 2749961 | 2534822 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 129178 | 118873 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 78158 | 72058 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 3619262 | 3196344 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 1184798 | 1047833 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1116663 | 978501 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 514545 | 475021 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 6706686 | 5925093 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 364918 | 320452 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 85934 | 78884 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 1026030 | 904854 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 403636 | 355966 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 1086380 | 1008107 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1041912 | 919511 |
| Freddie Mac Gold Pool 2.5% 5/1/2052  | 1147132 | 1009503 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 23273 | 22734 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 102899 | 94698 |
| Freddie Mac Gold Pool 2.5% 7/1/2041  | 1411679 | 1307180 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 1977079 | 1750379 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1583636 | 1393636 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 505432 | 464685 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 62873 | 57887 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 135961 | 125566 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 43415 | 40906 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 513490 | 468820 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 82123 | 74722 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 311417 | 285397 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 1080832 | 989848 |
| Freddie Mac Gold Pool 3% 11/1/2032  | 582416 | 571352 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 68401 | 62386 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 23017 | 22678 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 167886 | 165082 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 68973 | 67731 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 221996 | 209270 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 559781 | 510560 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 21321 | 21017 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 24877 | 23514 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 12744 | 12017 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 20205 | 19037 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 561812 | 513466 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 88571 | 80534 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 41505 | 37765 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 5590 | 5504 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 3823 | 3767 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 81625 | 79969 |
| Freddie Mac Gold Pool 3% 4/1/2037  | 240099 | 233117 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 29064 | 27048 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 28610 | 26626 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 565742 | 517058 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 470844 | 438189 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 71665 | 66695 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 466517 | 434162 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 911452 | 838999 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 133964 | 121892 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 9063 | 8909 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 12348 | 12138 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 8090 | 7951 |
| Freddie Mac Gold Pool 3% 9/1/2048  | 627392 | 579284 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 9300 | 8584 |
| Freddie Mac Gold Pool 3% 9/1/2050  | 16313 | 14894 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 44976 | 43171 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 6546 | 6302 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 238398 | 235868 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 48264 | 46431 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 87342 | 86687 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 84028 | 80563 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 11290 | 10862 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 207338 | 204440 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 234764 | 227333 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 22865 | 22249 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 163872 | 155702 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 106429 | 105763 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 621287 | 598587 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 540518 | 526031 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 265077 | 256663 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 27174 | 26340 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 8169 | 7906 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 426565 | 409109 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 83295 | 80069 |
| Freddie Mac Gold Pool 3.5% 4/1/2052 (f)(g) | 9821594 | 9347325 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 101905 | 101058 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 829358 | 797732 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 902948 | 870794 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 473759 | 455407 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 121703 | 116723 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 135689 | 127950 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 353181 | 350904 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  | 29712 | 28841 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 1004754 | 967236 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 163772 | 157938 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 350221 | 347941 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 76793 | 76303 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 339162 | 328602 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 118140 | 113727 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 172325 | 170853 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 183725 | 176863 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 21438 | 20638 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 13820 | 13304 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 422098 | 408520 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 324221 | 313911 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 112187 | 107561 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 25647 | 24638 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 5454 | 5250 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 5100 | 4909 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 189421 | 192174 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 96226 | 95908 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 23156 | 23009 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 11392 | 11307 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 12518 | 12482 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 7363 | 7330 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 28399 | 28210 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 12667 | 12572 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 9915 | 9869 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 953744 | 938273 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 446333 | 445295 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 127763 | 127370 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 62594 | 62431 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 24984 | 24877 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 21688 | 21572 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 9927 | 9870 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 929 | 931 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 153577 | 152887 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 38508 | 37883 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 490296 | 482436 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 178254 | 177918 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 27447 | 27381 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 16795 | 16693 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 7266 | 7220 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 15395 | 15298 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 8402 | 8356 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 145240 | 144213 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 1250 | 1239 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 223504 | 220270 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 13528 | 13376 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 29294 | 29167 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 28703 | 28615 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 480884 | 478789 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 25752 | 25672 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 5453 | 5422 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 11667 | 11613 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 21934 | 21610 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 20059 | 19762 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 10874 | 10713 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 4749 | 4679 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 4380 | 4316 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 30107 | 30046 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 13284 | 13201 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 5550 | 5512 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 1827 | 1817 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 55591 | 55434 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 333213 | 327912 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 15400 | 15358 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 34014 | 33739 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 142795 | 141131 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 275672 | 274333 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 26175 | 26009 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 23320 | 23203 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 10063 | 9994 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 8728 | 8667 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 7208 | 7157 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 96851 | 96022 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 113053 | 111912 |
| Freddie Mac Gold Pool 4% 8/1/2041  | 2899 | 2890 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 4058 | 4028 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 3972 | 3957 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 26906 | 26834 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 1339107 | 1334163 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 15821 | 15789 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 19639 | 19529 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 15664 | 15553 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 7349 | 7294 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 2649 | 2633 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 613 | 614 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 202477 | 199192 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 39834 | 39188 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 13281 | 13136 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 118442 | 120595 |
| Freddie Mac Gold Pool 4.5% 10/1/2035  | 5434 | 5525 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 513092 | 522332 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 133507 | 135933 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 9397 | 9568 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 13565 | 13813 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 64949 | 66138 |
| Freddie Mac Gold Pool 4.5% 10/1/2047  | 9065 | 9116 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 6207 | 6319 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 66743 | 67960 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 19806 | 19822 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 5538 | 5639 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 11376 | 11584 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 557605 | 560212 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 20698 | 21073 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 18538 | 18876 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 17989 | 18318 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 14616 | 14882 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 9075 | 9241 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 8286 | 8342 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 42683 | 43462 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 16947 | 17257 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 9367 | 9538 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 1800 | 1832 |
| Freddie Mac Gold Pool 4.5% 3/1/2047  | 10728 | 10802 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 16325 | 16621 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 14202 | 14461 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 77562 | 78975 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 32736 | 33329 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 6655 | 6775 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 21026 | 21408 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 12694 | 12926 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 27234 | 27723 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 13354 | 13595 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 3034 | 3088 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 9633 | 9687 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 70566 | 71850 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2917 | 2970 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2098 | 2136 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 24804 | 25249 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 1696 | 1727 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 4892 | 4981 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 10741 | 11037 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 695733 | 707733 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 558545 | 569139 |
| Freddie Mac Gold Pool 5% 11/1/2033  | 99151 | 101744 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 1301315 | 1325184 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 562528 | 574604 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 39472 | 40607 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1317688 | 1341857 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 203722 | 207332 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 148220 | 150846 |
| Freddie Mac Gold Pool 5% 7/1/2033  | 3496 | 3514 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 8094 | 8400 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 62129 | 64107 |
| Freddie Mac Gold Pool 5.5% 1/1/2056  | 1938363 | 2001697 |
| Freddie Mac Gold Pool 5.5% 1/1/2056  | 911016 | 938719 |
| Freddie Mac Gold Pool 5.5% 10/1/2053  | 165587 | 168876 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 521594 | 532017 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 236479 | 241294 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 726223 | 748306 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 100484 | 102220 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 72449 | 73956 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (d) | 2827878 | 2931764 |
| Freddie Mac Gold Pool 5.5% 4/1/2055  | 144272 | 146849 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 807434 | 832806 |
| Freddie Mac Gold Pool 5.5% 5/1/2054  | 533178 | 547442 |
| Freddie Mac Gold Pool 5.5% 8/1/2055  | 1834459 | 1896548 |
| Freddie Mac Gold Pool 6% 10/1/2034  | 9478 | 9832 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 733148 | 767438 |
| Freddie Mac Gold Pool 6% 11/1/2028  | 495 | 508 |
| Freddie Mac Gold Pool 6% 11/1/2038  | 194385 | 201710 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 150221 | 156168 |
| Freddie Mac Gold Pool 6% 12/1/2055  | 1189377 | 1246584 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 485 | 497 |
| Freddie Mac Gold Pool 6% 2/1/2040  | 359436 | 374553 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 2800318 | 2940042 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 1297164 | 1358239 |
| Freddie Mac Gold Pool 6% 4/1/2032  | 13502 | 14050 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 1936303 | 2025655 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 506211 | 527514 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 9808 | 10164 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 2044859 | 2141776 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 294731 | 307595 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 818 | 839 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 186 | 190 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 1553 | 1593 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 79 | 80 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 16 | 16 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 2159707 | 2237043 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 4634168 | 4851274 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 1735045 | 1817414 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 19165 | 20022 |
| Freddie Mac Gold Pool 6% 9/1/2036  | 44651 | 47358 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 2365555 | 2477673 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 674193 | 705936 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 167717 | 175037 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 11348 | 11868 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 818045 | 865517 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 11908 | 12516 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 263939 | 279255 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 966 | 1004 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 1944 | 2039 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 1084 | 1140 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 1228 | 1320 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 962 | 1011 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 810 | 849 |
| Freddie Mac Gold Pool 6.5% 5/1/2031  | 2204 | 2306 |
| Freddie Mac Gold Pool 6.5% 5/1/2033  | 24267 | 25198 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 1238602 | 1310963 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 238972 | 253829 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 19230 | 20690 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 76637 | 81114 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 3372570 | 3588570 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 286320 | 304121 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 3091 | 3276 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 1273626 | 1353946 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 1239227 | 1320572 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 465211 | 494731 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 312591 | 333110 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 180120 | 191606 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 175 | 175 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 5803 | 6185 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 5176 | 5476 |
| Freddie Mac Gold Pool 7% 11/1/2053  | 163678 | 174742 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 167 | 167 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 144463 | 152549 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 24246 | 25610 |
| Freddie Mac Gold Pool 7% 2/1/2054  | 659770 | 701171 |
| Freddie Mac Gold Pool 7% 3/1/2054  | 21685 | 23165 |
| Freddie Mac Gold Pool 7% 6/1/2054  | 1179738 | 1259115 |
| Freddie Mac Gold Pool 7% 6/1/2054  | 1161573 | 1235643 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 7292 | 7656 |
| Freddie Mac Gold Pool 7% 7/1/2043  | 11299 | 11979 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 287 | 288 |
| Freddie Mac Gold Pool 7% 8/1/2034  | 4520 | 4869 |
| Freddie Mac Gold Pool 7% 8/1/2054  | 519146 | 554400 |
| Freddie Mac Gold Pool 7% 8/1/2054  | 495684 | 532791 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 596 | 598 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 12946 | 13733 |
| Freddie Mac Gold Pool 7% 9/1/2043  | 17895 | 18894 |
| Freddie Mac Gold Pool 7% 9/1/2054  | 667707 | 709815 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 7 | 6 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 770 | 803 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 151 | 154 |
| Freddie Mac Gold Pool 7.5% 2/1/2032  | 67170 | 71616 |
| Freddie Mac Gold Pool 7.5% 6/1/2027  | 178 | 180 |
| Freddie Mac Gold Pool 7.5% 7/1/2034  | 24506 | 25569 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 171 | 179 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 1459 | 1546 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 800334 | 848091 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 706409 | 750327 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 229502 | 244918 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 5.85% 3/1/2036 (b)(c) | 17868 | 18443 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.202% 12/1/2040 (b)(c) | 54065 | 56621 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.436% 9/1/2041 (b)(c) | 10399 | 10915 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.939%, 6.607% 10/1/2042 (b)(c) | 5992 | 6292 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.961%, 6.711% 6/1/2033 (b)(c) | 12854 | 13278 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (b)(c) | 6418 | 6695 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.231%, 6.231% 5/1/2034 (b)(c) | 299 | 308 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 1433685 | 1481873 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 991243 | 1023321 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1114720 | 1152187 |
| Freddie Mac Non Gold Pool 5.5% 9/1/2054  | 1118998 | 1153724 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.26% 6/1/2037 (b)(c) | 47432 | 49327 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 604962 | 632122 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 515666 | 538495 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 467758 | 487735 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 412170 | 430418 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 386479 | 401777 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 432818 | 457393 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 419047 | 446016 |
| Freddie Mac Non Gold Pool 6.5% 11/1/2054  | 174976 | 186237 |
| Freddie Mac Non Gold Pool 6.5% 2/1/2055  | 467310 | 497532 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 471939 | 415261 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 729983 | 642316 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 476580 | 418898 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 388015 | 341416 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 4105328 | 3608448 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 1067981 | 939387 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 403794 | 354922 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1643090 | 1444222 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1071214 | 941562 |
| Ginnie Mae I Pool 3% 12/20/2042  | 153121 | 143253 |
| Ginnie Mae I Pool 3% 3/20/2043  | 99717 | 93327 |
| Ginnie Mae I Pool 3% 3/20/2043  | 41464 | 38832 |
| Ginnie Mae I Pool 3% 4/15/2045  | 22524 | 20815 |
| Ginnie Mae I Pool 3% 5/15/2043  | 25079 | 23418 |
| Ginnie Mae I Pool 3% 6/15/2042  | 37137 | 34780 |
| Ginnie Mae I Pool 3% 6/15/2043  | 50470 | 47604 |
| Ginnie Mae I Pool 3% 6/15/2043  | 30968 | 29013 |
| Ginnie Mae I Pool 3% 6/20/2042  | 182141 | 171312 |
| Ginnie Mae I Pool 3% 7/15/2043  | 9353 | 8737 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 550900 | 522205 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 206766 | 197134 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 9391 | 8967 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 139001 | 132879 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 23171 | 22202 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 13117 | 12568 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 11663 | 11175 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 11259 | 10788 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 9983 | 9565 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 6212 | 5940 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 42120 | 40358 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 18241 | 17477 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 14620 | 14008 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 13440 | 12877 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 11273 | 10801 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 7875 | 7545 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 5279 | 5063 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 15598 | 14882 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 37912 | 36108 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 750386 | 719683 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 3020758 | 2865301 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 1727111 | 1637150 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 2421522 | 2295390 |
| Ginnie Mae I Pool 4% 1/15/2042  | 4704 | 4621 |
| Ginnie Mae I Pool 4% 1/15/2043  | 17219 | 16895 |
| Ginnie Mae I Pool 4% 10/15/2040  | 75461 | 74279 |
| Ginnie Mae I Pool 4% 10/15/2040  | 30097 | 29635 |
| Ginnie Mae I Pool 4% 10/15/2040  | 7030 | 6922 |
| Ginnie Mae I Pool 4% 10/15/2040  | 3211 | 3163 |
| Ginnie Mae I Pool 4% 10/15/2041  | 133139 | 130821 |
| Ginnie Mae I Pool 4% 10/15/2041  | 36318 | 35731 |
| Ginnie Mae I Pool 4% 10/15/2041  | 19880 | 19539 |
| Ginnie Mae I Pool 4% 10/15/2041  | 13711 | 13460 |
| Ginnie Mae I Pool 4% 10/15/2041  | 2010 | 1973 |
| Ginnie Mae I Pool 4% 11/15/2041  | 94049 | 92470 |
| Ginnie Mae I Pool 4% 11/15/2042  | 5695 | 5590 |
| Ginnie Mae I Pool 4% 12/15/2040  | 8758 | 8626 |
| Ginnie Mae I Pool 4% 12/15/2040  | 3425 | 3371 |
| Ginnie Mae I Pool 4% 12/15/2041  | 40352 | 39688 |
| Ginnie Mae I Pool 4% 12/15/2041  | 30353 | 29821 |
| Ginnie Mae I Pool 4% 12/15/2041  | 1579 | 1553 |
| Ginnie Mae I Pool 4% 12/15/2042  | 6460 | 6345 |
| Ginnie Mae I Pool 4% 2/15/2041  | 12441 | 12246 |
| Ginnie Mae I Pool 4% 2/15/2042  | 63594 | 62510 |
| Ginnie Mae I Pool 4% 2/15/2042  | 14273 | 14024 |
| Ginnie Mae I Pool 4% 3/15/2040  | 10994 | 10817 |
| Ginnie Mae I Pool 4% 3/15/2041  | 25891 | 25530 |
| Ginnie Mae I Pool 4% 3/15/2041  | 13932 | 13686 |
| Ginnie Mae I Pool 4% 3/15/2041  | 5268 | 5186 |
| Ginnie Mae I Pool 4% 3/15/2042  | 48589 | 47724 |
| Ginnie Mae I Pool 4% 3/15/2042  | 13924 | 13684 |
| Ginnie Mae I Pool 4% 3/15/2042  | 7454 | 7316 |
| Ginnie Mae I Pool 4% 4/15/2042  | 9917 | 9728 |
| Ginnie Mae I Pool 4% 4/15/2043  | 3486 | 3425 |
| Ginnie Mae I Pool 4% 5/15/2041  | 61744 | 61100 |
| Ginnie Mae I Pool 4% 5/15/2042  | 646 | 643 |
| Ginnie Mae I Pool 4% 5/20/2049  | 164157 | 159548 |
| Ginnie Mae I Pool 4% 6/15/2041  | 87097 | 85654 |
| Ginnie Mae I Pool 4% 6/15/2041  | 9225 | 9072 |
| Ginnie Mae I Pool 4% 6/15/2041  | 6381 | 6268 |
| Ginnie Mae I Pool 4% 6/15/2041  | 6349 | 6264 |
| Ginnie Mae I Pool 4% 6/15/2042  | 2304 | 2260 |
| Ginnie Mae I Pool 4% 7/15/2041  | 6085 | 5994 |
| Ginnie Mae I Pool 4% 7/15/2041  | 3551 | 3487 |
| Ginnie Mae I Pool 4% 8/15/2041  | 8180 | 8055 |
| Ginnie Mae I Pool 4% 8/15/2043  | 5124 | 5015 |
| Ginnie Mae I Pool 4% 8/15/2043  | 3485 | 3420 |
| Ginnie Mae I Pool 4% 9/15/2040  | 3193 | 3145 |
| Ginnie Mae I Pool 4% 9/15/2041  | 44353 | 43603 |
| Ginnie Mae I Pool 4% 9/15/2041  | 4436 | 4355 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 19812 | 20056 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1263 | 1278 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 163774 | 165797 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 30562 | 30940 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 17100 | 17312 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 49082 | 49691 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 1831574 | 1822290 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 1866 | 1889 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 60214 | 60959 |
| Ginnie Mae I Pool 4.5% 5/20/2041  | 1743 | 1763 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 100444 | 101686 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 79815 | 80801 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 79555 | 80545 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 77627 | 78586 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 50831 | 51460 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 26327 | 26652 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 16900 | 17109 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 265922 | 269214 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 81289 | 82294 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 80003 | 80991 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 54003 | 54670 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 40799 | 41302 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 30274 | 30648 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 22549 | 22828 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 3465 | 3508 |
| Ginnie Mae I Pool 4.5% 8/15/2033  | 243 | 246 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 116412 | 117857 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 69733 | 70591 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 31578 | 31968 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 6016 | 6089 |
| Ginnie Mae I Pool 5% 11/15/2039  | 29510 | 30600 |
| Ginnie Mae I Pool 5% 11/15/2039  | 20584 | 21325 |
| Ginnie Mae I Pool 5% 4/15/2040  | 66618 | 68999 |
| Ginnie Mae I Pool 5% 4/15/2040  | 25609 | 26531 |
| Ginnie Mae I Pool 5% 4/20/2048  | 102528 | 105719 |
| Ginnie Mae I Pool 5% 5/15/2039  | 16962 | 17558 |
| Ginnie Mae I Pool 5% 6/15/2040  | 207175 | 214614 |
| Ginnie Mae I Pool 5% 6/15/2040  | 10181 | 10547 |
| Ginnie Mae I Pool 5% 6/15/2041  | 8527 | 8842 |
| Ginnie Mae I Pool 5% 7/15/2039  | 26672 | 27611 |
| Ginnie Mae I Pool 5% 7/15/2040  | 16115 | 16697 |
| Ginnie Mae I Pool 5% 7/15/2040  | 2180 | 2260 |
| Ginnie Mae I Pool 5% 8/15/2039  | 1025 | 1062 |
| Ginnie Mae I Pool 5% 9/15/2039  | 17086 | 17691 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 985 | 1031 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 931054 | 960253 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 49280 | 51725 |
| Ginnie Mae I Pool 5.5% 9/20/2054  | 588883 | 598287 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 17330 | 18431 |
| Ginnie Mae I Pool 6.5% 7/15/2036  | 319 | 344 |
| Ginnie Mae I Pool 7% 1/15/2028  | 12 | 11 |
| Ginnie Mae I Pool 7% 1/15/2029  | 33 | 33 |
| Ginnie Mae I Pool 7% 10/15/2028  | 177 | 180 |
| Ginnie Mae I Pool 7% 12/15/2027  | 68 | 68 |
| Ginnie Mae I Pool 7% 12/15/2031  | 986 | 1023 |
| Ginnie Mae I Pool 7% 2/15/2028  | 74 | 75 |
| Ginnie Mae I Pool 7% 4/20/2032  | 19022 | 19834 |
| Ginnie Mae I Pool 7% 5/15/2028  | 53 | 54 |
| Ginnie Mae I Pool 7% 5/15/2029  | 978 | 999 |
| Ginnie Mae I Pool 7% 7/15/2028  | 420 | 426 |
| Ginnie Mae I Pool 7% 7/15/2028  | 192 | 195 |
| Ginnie Mae I Pool 7% 7/15/2029  | 76 | 78 |
| Ginnie Mae I Pool 7% 7/15/2029  | 12 | 12 |
| Ginnie Mae I Pool 7% 8/15/2028  | 132 | 134 |
| Ginnie Mae I Pool 7% 8/15/2029  | 101 | 104 |
| Ginnie Mae I Pool 7% 9/15/2028  | 4012 | 4082 |
| Ginnie Mae I Pool 7% 9/15/2028  | 603 | 608 |
| Ginnie Mae I Pool 7% 9/15/2028  | 48 | 49 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 45 | 46 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 614 | 637 |
| Ginnie Mae I Pool 7.5% 12/15/2026  | 6 | 5 |
| Ginnie Mae I Pool 7.5% 12/15/2028  | 274 | 278 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 314 | 326 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 187 | 189 |
| Ginnie Mae I Pool 7.5% 4/15/2028  | 213 | 218 |
| Ginnie Mae I Pool 7.5% 5/15/2029  | 397 | 407 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 4058 | 4202 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 7 | 6 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 245 | 250 |
| Ginnie Mae I Pool 8.5% 10/15/2028  | 500 | 508 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 245 | 248 |
| Ginnie Mae II Pool 2% 1/20/2051  | 9026324 | 7651671 |
| Ginnie Mae II Pool 2% 10/20/2050  | 4739862 | 4017122 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2741188 | 2323722 |
| Ginnie Mae II Pool 2% 12/20/2050  | 3936916 | 3336425 |
| Ginnie Mae II Pool 2% 2/20/2051  | 516194 | 437440 |
| Ginnie Mae II Pool 2% 2/20/2052  | 8696541 | 7369394 |
| Ginnie Mae II Pool 2% 3/20/2052  | 681466 | 577683 |
| Ginnie Mae II Pool 2% 4/20/2051  | 211051 | 178843 |
| Ginnie Mae II Pool 2% 4/20/2052  | 19775136 | 16763506 |
| Ginnie Mae II Pool 2% 8/20/2051  | 303119 | 256862 |
| Ginnie Mae II Pool 2% 9/20/2050  | 1440509 | 1223829 |
| Ginnie Mae II Pool 2.5% 1/20/2051  | 8876187 | 7849030 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 543028 | 479340 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 3004146 | 2652045 |
| Ginnie Mae II Pool 2.5% 6/20/2054  | 385868 | 340914 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 197332 | 174188 |
| Ginnie Mae II Pool 2.5% 8/20/2051  | 8842101 | 7805072 |
| Ginnie Mae II Pool 3% 12/20/2046  | 547214 | 508001 |
| Ginnie Mae II Pool 3% 3/20/2050  | 493694 | 454151 |
| Ginnie Mae II Pool 3% 4/20/2052  | 7092860 | 6508122 |
| Ginnie Mae II Pool 3% 5/20/2051  | 1081208 | 992309 |
| Ginnie Mae II Pool 3% 5/20/2052  | 7948586 | 7293302 |
| Ginnie Mae II Pool 3% 6/20/2050  | 10228 | 9399 |
| Ginnie Mae II Pool 3% 6/20/2051  | 287195 | 263609 |
| Ginnie Mae II Pool 3% 7/20/2051  | 363786 | 334079 |
| Ginnie Mae II Pool 3% 8/20/2051  | 431553 | 395908 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 10755 | 10312 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 4494 | 4331 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 3706 | 3556 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 170893 | 164715 |
| Ginnie Mae II Pool 3.5% 11/20/2043  | 4094 | 3928 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 2075 | 2005 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 142087 | 136572 |
| Ginnie Mae II Pool 3.5% 2/20/2044  | 2189 | 2099 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 107954 | 103744 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 2230 | 2138 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 172310 | 165561 |
| Ginnie Mae II Pool 3.5% 4/20/2044  | 2028 | 1943 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 12169 | 11671 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 28761 | 27508 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 22889 | 21931 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 5718 | 5478 |
| Ginnie Mae II Pool 3.5% 7/20/2043  | 4990 | 4794 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 10044 | 9642 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 4659 | 4497 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 27612 | 26497 |
| Ginnie Mae II Pool 4% 1/20/2041  | 707769 | 698768 |
| Ginnie Mae II Pool 4% 1/20/2046  | 18446 | 18077 |
| Ginnie Mae II Pool 4% 10/20/2040  | 286024 | 282429 |
| Ginnie Mae II Pool 4% 10/20/2041  | 333906 | 329394 |
| Ginnie Mae II Pool 4% 10/20/2045  | 3700 | 3627 |
| Ginnie Mae II Pool 4% 11/20/2040  | 161099 | 159062 |
| Ginnie Mae II Pool 4% 11/20/2044  | 393605 | 386429 |
| Ginnie Mae II Pool 4% 12/20/2040  | 2196 | 2168 |
| Ginnie Mae II Pool 4% 12/20/2044  | 10650 | 10455 |
| Ginnie Mae II Pool 4% 12/20/2045  | 23683 | 23215 |
| Ginnie Mae II Pool 4% 2/20/2041  | 47951 | 47337 |
| Ginnie Mae II Pool 4% 3/20/2041  | 37947 | 37460 |
| Ginnie Mae II Pool 4% 6/20/2045  | 1039547 | 1019901 |
| Ginnie Mae II Pool 4% 7/20/2033  | 5071 | 5043 |
| Ginnie Mae II Pool 4% 7/20/2044  | 57360 | 56346 |
| Ginnie Mae II Pool 4% 8/20/2041  | 7073 | 6978 |
| Ginnie Mae II Pool 4% 8/20/2043  | 21311 | 20970 |
| Ginnie Mae II Pool 4% 8/20/2044  | 25524 | 25070 |
| Ginnie Mae II Pool 4% 8/20/2045  | 254621 | 249648 |
| Ginnie Mae II Pool 4% 8/20/2048  | 1069540 | 1047869 |
| Ginnie Mae II Pool 4% 9/20/2040  | 223861 | 221041 |
| Ginnie Mae II Pool 4% 9/20/2045  | 2847 | 2791 |
| Ginnie Mae II Pool 4.5% 1/20/2045  | 2328 | 2353 |
| Ginnie Mae II Pool 4.5% 10/20/2044  | 1914 | 1935 |
| Ginnie Mae II Pool 4.5% 11/20/2039  | 1473 | 1490 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 115549 | 116907 |
| Ginnie Mae II Pool 4.5% 11/20/2041  | 1111 | 1124 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 9084216 | 8994169 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 91623 | 92700 |
| Ginnie Mae II Pool 4.5% 2/20/2042  | 1365 | 1381 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 9029 | 9135 |
| Ginnie Mae II Pool 4.5% 3/20/2046  | 3349 | 3386 |
| Ginnie Mae II Pool 4.5% 4/20/2035  | 6000 | 6064 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 9822 | 9937 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 121687 | 123118 |
| Ginnie Mae II Pool 4.5% 5/20/2042  | 8612 | 8713 |
| Ginnie Mae II Pool 4.5% 5/20/2046  | 3391 | 3428 |
| Ginnie Mae II Pool 4.5% 6/20/2035  | 1083 | 1095 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 5127 | 5187 |
| Ginnie Mae II Pool 4.5% 6/20/2043  | 1731 | 1752 |
| Ginnie Mae II Pool 4.5% 6/20/2044  | 2164 | 2189 |
| Ginnie Mae II Pool 4.5% 9/20/2039  | 2779 | 2811 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 49981 | 50569 |
| Ginnie Mae II Pool 4.5% 9/20/2046  | 2311 | 2338 |
| Ginnie Mae II Pool 5% 12/20/2054  | 789018 | 796491 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 789485 | 813750 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 960160 | 992072 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 247773 | 251497 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (e) | 82975000 | 84043379 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (e) | 64675000 | 65439537 |
| Ginnie Mae II Pool 6% 12/20/2054  | 1477290 | 1510973 |
| Ginnie Mae II Pool 6% 3/1/2056 (e) | 47350000 | 48310515 |
| Ginnie Mae II Pool 6% 4/1/2056 (e) | 20250000 | 20646543 |
| Ginnie Mae II Pool 6.5% 3/1/2056 (e) | 8000000 | 8313973 |
| Ginnie Mae II Pool 7% 2/20/2032  | 5700 | 5950 |
| Ginnie Mae II Pool 7% 3/20/2032  | 2932 | 3064 |
| Uniform Mortgage Backed Securities 2% 3/1/2056 (e) | 85950000 | 71180705 |
| Uniform Mortgage Backed Securities 2% 4/1/2056 (e) | 51300000 | 42488825 |
| Uniform Mortgage Backed Securities 3% 3/1/2056 (e) | 100000 | 90426 |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 (e) | 2925000 | 2756584 |
| Uniform Mortgage Backed Securities 4% 3/1/2056 (e) | 1125000 | 1093491 |
| Uniform Mortgage Backed Securities 5% 3/1/2041 (e) | 41600000 | 42232124 |
| Uniform Mortgage Backed Securities 5% 3/1/2056 (e) | 625000 | 627832 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (e) | 23375000 | 23716492 |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 (e) | 5000000 | 5080469 |
| Uniform Mortgage Backed Securities 6% 3/1/2056 (e) | 30600000 | 31387711 |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 (e) | 4800000 | 4984688 |
| TOTAL UNITED STATES |  | 947019146 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $947,183,925) |  | <br> **947019146** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 4.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.0%** |
|  | Yield (%) (m) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.74 to 4.88 | 8360000 | 8438702 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.83 | 230000 | 234204 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.75 | 710000 | 738511 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.67 | 2249021 | 2217600 |
| US Treasury Notes 3.5% 2/15/2029  | 3.47 to 3.56 | 15970000 | 16019906 |
| US Treasury Notes 4.75% 2/15/2045  | 4.50 to 4.99 | 2470000 | 2531750 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $29,644,449) |  |  | **30180673** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 5.8%** | &nbsp;&nbsp;**Money Market Funds - 5.8%** | &nbsp;&nbsp;**Money Market Funds - 5.8%** | &nbsp;&nbsp;**Money Market Funds - 5.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (n)<br>(Cost $43,190,070)<br>| 3.70 | 43181519 | **43190156** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.837% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 2850000 | 19783 |
| 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 | 8/2026 | 2750000 | 24361 |
| 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 | 5/2030 | 790000 | 21059 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.865% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 500000 | 2886 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.565% and receive annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 3960000 | 74582 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.753% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 4600000 | 131919 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/2029 | 2000000 | 50583 |
| 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 | 4/2026 | 2040000 | 1932 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.805% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 3900000 | 108667 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.996% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 6900000 | 84483 |
| TOTAL PUT SWAPTIONS |  |  | 520255 |
| Call Swaptions - 0.2% |  |  |  |
| 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 | 5/2030 | 790000 | 30151 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.565% and pay annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 3960000 | 74334 |
| 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 | 8/2026 | 2750000 | 79737 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on the US SOFR Index, expiring December 2034 | 12/2029 | 2000000 | 73976 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.805% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 3900000 | 125242 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.865% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 500000 | 15882 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.996% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 6900000 | 307428 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.837% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 2850000 | 86878 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.753% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 4600000 | 142159 |
| 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 | 4/2026 | 2040000 | 63898 |
| TOTAL CALL SWAPTIONS |  |  | 999685 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $1,961,697) |  |  | <br> **1519940** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 160.8%**<br> (Cost $1,199,293,670)<br>| <br>**1200719402** |
| **NET OTHER ASSETS (LIABILITIES) - (60.8)%**  | **(453802391)** |
| **NET ASSETS - 100.0%** | **746917011** |

---

---

| | | |
|:---|:---|:---|
| **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% 3/1/2056 | (11800000) | (9994953) |
| Ginnie Mae II Pool 5.5% 3/1/2056 | (78100000) | (79105608) |
| Ginnie Mae II Pool 6% 3/1/2056 | (37925000) | (38694324) |
| Ginnie Mae II Pool 6.5% 3/1/2056 | (8000000) | (8313972) |
| Uniform Mortgage Backed Securities 2% 3/1/2056 | (55700000) | (46128740) |
| Uniform Mortgage Backed Securities 3% 3/1/2056 | (100000) | (90426) |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 | (2925000) | (2756584) |
| Uniform Mortgage Backed Securities 4% 3/1/2056 | (1125000) | (1093491) |
| Uniform Mortgage Backed Securities 5% 3/1/2041 | (23375000) | (23730190) |
| Uniform Mortgage Backed Securities 5% 3/1/2056 | (625000) | (627832) |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 | (5000000) | (5080469) |
| Uniform Mortgage Backed Securities 6% 3/1/2056 | (20800000) | (21335438) |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 | (4800000) | (4984688) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (241936715) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $241,258,804) |  | <br> **(241936715)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 543 | 6/2026 | 113614266 | 160624 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 72 | 6/2026 | 8752500 | 90694 |
| TOTAL LONG |  |  |  | 251318 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | (76) | 6/2026 | (8647375) | (33524) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **217794** |
| The notional amount of long futures as a percentage of Net Assets is 16.4%. | The notional amount of long futures as a percentage of Net Assets is 16.4%. | The notional amount of long futures as a percentage of Net Assets is 16.4%. | The notional amount of long futures as a percentage of Net Assets is 16.4%. | The notional amount of long futures as a percentage of Net Assets is 16.4%. |
| The notional amount of short futures as a percentage of Net Assets is 1.2%. | The notional amount of short futures as a percentage of Net Assets is 1.2%. | The notional amount of short futures as a percentage of Net Assets is 1.2%. | The notional amount of short futures as a percentage of Net Assets is 1.2%. | The notional amount of short futures as a percentage of Net Assets is 1.2%. |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 760000 | (2857) | (11717) | (14574) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 1620000 | (6089) | (16771) | (22860) |
| CMBX AAA Series 13 Index |  | 12/2072 | Merrill Lynch Capital Services Inc | (0.5%) | Monthly | 720000 | (2706) | (11559) | (14265) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 350000 | 58591 | (81935) | (23344) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 140000 | 23436 | (33910) | (10474) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 80000 | 13392 | (20144) | (6752) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 40000 | 6696 | (10946) | (4250) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 70000 | 11718 | (14962) | (3244) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 140000 | 23436 | (34327) | (10891) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 30000 | 5022 | (7898) | (2876) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 90000 | 15066 | (19836) | (4770) |
| CMBX BBB- Series 17 Index |  | 12/2056 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 13303 | (15424) | (2121) |
| CMBX BBB- Series 17 Index |  | 12/2056 | Goldman Sachs & Co LLC | (3%) | Monthly | 150000 | 19955 | (18484) | 1471 |
| CMBX BBB- Series 17 Index |  | 12/2056 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 13303 | (11141) | 2162 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 400000 | 32156 | (14973) | 17183 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 16078 | (7588) | 8490 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 600000 | 48233 | (21384) | 26849 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly | 200000 | 32051 | (13046) | 19005 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 16026 | (6984) | 9042 |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly | 100000 | 8039 | (4857) | 3182 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 15114 | (15740) | (626) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 400000 | 32156 | (41850) | (9694) |
| CMBX BB Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 100000 | 16026 | (14607) | 1419 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 50000 | 8013 | (7211) | 802 |
| CMBX BBB- Series 17 Index |  | 12/2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 13303 | (14239) | (936) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 600000 | (755) | (1096) | (1851) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 16078 | (14161) | 1917 |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 300000 | 50221 | (50868) | (647) |
| CMBX BBB- Series 17 Index |  | 12/2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 200000 | 26607 | (28474) | (1867) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 1500000 | (1887) | 3745 | 1858 |
| CMBX AAA Series 19 Index |  | 12/2058 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 900000 | 382 | 1155 | 1537 |
| CMBX BBB- Series 19 Index |  | 12/2058 | Goldman Sachs & Co LLC | (3%) | Monthly | 150000 | 12057 | (10730) | 1327 |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 532164 | (571962) | (39798) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 3100000 | 11652 | 69648 | 81300 |
| CMBX AAA Series 15 Index | NR | 11/2064 | Goldman Sachs & Co LLC | 0.5% | Monthly | 499313 | (213) | 3705 | 3492 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1000000 | (11748) | 11207 | (541) |
| CMBX AAA Series 17 Index | NR | 12/2056 | JPMorgan Securities LLC | 0.5% | Monthly | 500000 | (5874) | 5471 | (403) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 500000 | (5874) | 3813 | (2061) |
| CMBX AAA Series 16 Index | NR | 4/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 399451 | (2130) | 1956 | (174) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 900000 | (10958) | 10863 | (95) |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (25145) | 106663 | 81518 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **507019** | **(465299)** | **41720** |

---

(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(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 | 96116000 | (210979) | 0 | (210979) |
| 4% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2056 | 1320000 | 64171 | 0 | 64171 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 3/2033 | 4740000 | (21725) | 0 | (21725) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2030 | 25256000 | (192117) | 0 | (192117) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 | 48553000 | (295848) | 0 | (295848) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(656498)** | **0** | **(656498)** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

(4)Represents floating rate.

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

(d) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $265,937.

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

(f) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $3,172,719.

(g) 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 $1,034,395.

(h) 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 $77,704,019 or 10.4% of net assets.

(i) 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.

(j) 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.

(k) 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.

(l) Level 3 security.

(m) 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.

(n) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<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 | 14670673 | 230550676 | 202033523 | 1088371 | 2329 | 1 | 43190156 | 43181519 | 0.1% |
| Total | 14670673 | 230550676 | 202033523 | 1088371 | 2329 | 1 | 43190156 |  |  |

---

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 February 28, 2026, 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** | 38124326 | - | 38124326 | - |
|  **Collateralized Mortgage Obligations** | 77183017 | - | 77183011 | 6 |
|  **Commercial Mortgage Securities** | 63502144 | - | 63502144 | - |
|  **U.S. Government Agency - Mortgage Securities** | 947019146 | - | 947019146 | - |
|  **U.S. Treasury Obligations** | 30180673 | - | 30180673 | - |
|  **Money Market Funds** | 43190156 | 43190156 | - | - |
|  **Purchased Swaptions** | 1519940 | - | 1519940 | - |
| **Total Investments in Securities:** | 1200719402 | 43190156 | 1157529240 | 6 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 251318 | 251318 | - | - |
| Swaps | 622281 | - | 622281 | - |
| Total Assets | 873599 | 251318 | 622281 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (33524) | (33524) | - | - |
| Swaps | (771790) | (10838) | (760952) | - |
| Total Liabilities | (805314) | (44362) | (760952) | - |
| **Total Derivative Instruments:** | 68285 | 206956 | (138671) | - |
| **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (241936715) | - | (241936715) | - |
| **Total Other Financial Instruments:** | (241936715) | - | (241936715) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. 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)  | 558110 | (51091) |
| **Total Credit Risk**  | 558110 | (51091) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 251318 | (33524) |
| Purchased Swaptions (c)  | 1519940 | - |
| Swaps (d)  | 64171 | (720669) |
| **Total Interest Rate Risk**  | 1835429 | (754193) |
| **Total Value of Derivatives** | 2393539 | (805284) |

---

(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 cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,156,103,600) | $1157529246 |  |
| Fidelity Central Funds (cost $43,190,070) | 43190156 |  |
| Total Investment in Securities (cost $1,199,293,670) |  | $1200719402 |
| Cash |  | 17608 |
| Receivable for investments sold |  | 35458 |
| Receivable for TBA sale commitments |  | 241258804 |
| Receivable for swaps |  | 12819 |
| Receivable for fund shares sold |  | 676271 |
| Interest receivable |  | 2099934 |
| Distributions receivable from Fidelity Central Funds |  | 153911 |
| Receivable for daily variation margin on futures contracts |  | 139212 |
| Bi-lateral OTC swaps, at value |  | 558110 |
| Receivable from investment adviser for expense reductions |  | 8762 |
| Other receivables |  | 56 |
| **Total assets** |  | 1445680347 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $4724694 |  |
| Delayed delivery | 449790826 |  |
| TBA sale commitments, at value | 241936715 |  |
| Payable for fund shares redeemed | 838474 |  |
| Distributions payable | 804297 |  |
| Bi-lateral OTC swaps, at value | 51091 |  |
| Accrued management fee | 173332 |  |
| Distribution and service plan fees payable | 5646 |  |
| Payable for daily variation margin on centrally cleared swaps | 270675 |  |
| Other affiliated payables | 118322 |  |
| Other payables and accrued expenses | 49264 |  |
| **Total liabilities** |  | 698763336 |
| **Net Assets**  |  | $746917011 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $828437301 |
| Total accumulated earnings (loss) |  | (81520290) |
| **Net Assets** |  | $746917011 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($16,470,409 ÷ 1,625,681 shares)(a) |  | $10.13 |
| Maximum offering price per share (100/96.00 of $10.13) |  | $10.55 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($6,665,152 ÷ 656,533 shares)(a) |  | $10.15 |
| Maximum offering price per share (100/96.00 of $10.15) |  | $10.57 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($1,027,615 ÷ 102,356 shares)(a) |  | $10.04 |
| **Fidelity Mortgage Securities Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($410,566,553 ÷ 40,352,245 shares) |  | $10.17 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($156,755,779 ÷ 15,464,906 shares) |  | $10.14 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($155,431,503 ÷ 15,315,715 shares) |  | $10.15 |
| *(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** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Interest  |  | $14505398 |
| Income from Fidelity Central Funds  |  | 1088371 |
| **Total income** |  | 15593769 |
| **Expenses** |  |  |
| Management fee | $992617 |  |
| Transfer agent fees | 446466 |  |
| Distribution and service plan fees | 34019 |  |
| Fund wide operations fee | 238621 |  |
| Independent trustees' fees and expenses | 734 |  |
| Total expenses before reductions | 1712457 |  |
| Expense reductions | (31882) |  |
| Total expenses after reductions |  | 1680575 |
| **Net Investment income (loss)** |  | 13913194 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 4284449 |  |
| Fidelity Central Funds | 2329 |  |
| Futures contracts | (92818) |  |
| Swaps | (393606) |  |
| Total net realized gain (loss) |  | 3800354 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 14559635 |  |
| Fidelity Central Funds  | 1 |  |
| Futures contracts | 337120 |  |
| Swaps | 364145 |  |
| TBA sale commitments | 738224 |  |
| Total change in net unrealized appreciation (depreciation) |  | 15999125 |
| **Net gain (loss)** |  | 19799479 |
| **Net increase (decrease) in net assets resulting from operations** |  | $33712673 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $13913194 | $25020452 |
| &nbsp;&nbsp;Net realized gain (loss) | 3800354<br>| (764917)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 15999125 | (4511228)<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 33712673<br>| 19744307<br>|
| Distributions to shareholders | (13311774)<br>| (26297581)<br>|
| Share transactions - net increase (decrease) | 55577580<br>| 68852913<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 75978479<br>| 62299639<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 670938532 | 608638893<br>|
| &nbsp;&nbsp;End of period | $746917011 | $670938532 |

---

**Financial Highlights** 

**Fidelity Advisor® Mortgage Securities Fund Class A**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.84 | $9.96 | $9.62 | $10.17 | $11.49 | $11.66 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .181  | .366  | .329  | .268  | .083  | (.002)  |
| Net realized and unrealized gain (loss)  | .282  | (.099)  | .349  | (.559)  | (1.272)  | (.029)  |
| Total from investment operations  | .463  | .267  | .678  | (.291)  | (1.189)  | (.031)  |
| Distributions from net investment income  | (.173)  | (.387)  | (.338)  | (.259)  | (.094)  | (.028) C |
| Distributions from net realized gain  | -  | -  | -  | -  | (.037)  | (.111) C |
| Total distributions  | (.173)  | (.387)  | (.338)  | (.259)  | (.131)  | (.139)  |
| Net asset value, end of period  | $10.13 | $9.84 | $9.96 | $9.62 | $10.17 | $11.49 |
| **Total Return** D,E,F | 4.74% <br>| 2.78%  | 7.23%  | (2.88)%  | (10.42)%  | (.27)%  |
| **Ratios to Average Net Assets** B,G,H |  |  |  |  |  |  |
| Expenses before reductions  | .81% I | .81%  | .81%  | .80%  | .79%  | .78%  |
| Expenses net of fee waivers, if any  | .81% I<br>| .81%  | .81%  | .80%  | .79%  | .78%  |
| Expenses net of all reductions, if any  | .81% I | .81%  | .81%  | .80%  | .79%  | .78%  |
| Net investment income (loss)  | 3.66% I | 3.75%  | 3.43%  | 2.73%  | .76%  | (.01)%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $16470 | $16353 | $18821 | $20480 | $27180 | $33438 |
| Portfolio turnover rate J | 701% I<br>| 652%  | 767%  | 865% K | 662%  | 1032%  |

---

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 reflects reclassifications related to book to tax differences that were made in the year shown.*

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.*

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*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Fidelity Advisor® Mortgage Securities Fund Class M**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.86 | $9.98 | $9.64 | $10.19 | $11.52 | $11.68 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .182  | .366  | .330  | .270  | .082  | (.003)  |
| Net realized and unrealized gain (loss)  | .281  | (.099)  | .348  | (.559)  | (1.281)  | (.018)  |
| Total from investment operations  | .463  | .267  | .678  | (.289)  | (1.199)  | (.021)  |
| Distributions from net investment income  | (.173)  | (.387)  | (.338)  | (.261)  | (.094)  | (.028) C |
| Distributions from net realized gain  | -  | -  | -  | -  | (.037)  | (.111) C |
| Total distributions  | (.173)  | (.387)  | (.338)  | (.261)  | (.131)  | (.139)  |
| Net asset value, end of period  | $10.15 | $9.86 | $9.98 | $9.64 | $10.19 | $11.52 |
| **Total Return** D,E,F | 4.73% <br>| 2.78%  | 7.22%  | (2.85)%  | (10.48)%  | (.18)%  |
| **Ratios to Average Net Assets** B,G,H |  |  |  |  |  |  |
| Expenses before reductions  | .81% I | .81%  | .81%  | .79%  | .79%  | .79%  |
| Expenses net of fee waivers, if any  | .81% I<br>| .81%  | .81%  | .79%  | .79%  | .79%  |
| Expenses net of all reductions, if any  | .81% I | .81%  | .80%  | .79%  | .79%  | .79%  |
| Net investment income (loss)  | 3.66% I | 3.75%  | 3.43%  | 2.75%  | .76%  | (.02)%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $6665 | $6559 | $7314 | $7808 | $10066 | $12070 |
| Portfolio turnover rate J | 701% I<br>| 652%  | 767%  | 865% K | 662%  | 1032%  |

---

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 reflects reclassifications related to book to tax differences that were made in the year shown.*

D*Total returns do not include the effect of the sales charges.*

E*Total returns for periods of less than one year are not annualized.*

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

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.*

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*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Fidelity Advisor® Mortgage Securities Fund Class C**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.75 | $9.88 | $9.54 | $10.08 | $11.42 | $11.64 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .140  | .286  | .251  | .188  | (.005)  | (.092)  |
| Net realized and unrealized gain (loss)  | .282  | (.109)  | .349  | (.549)  | (1.270)  | (.018)  |
| Total from investment operations  | .422  | .177  | .600  | (.361)  | (1.275)  | (.110)  |
| Distributions from net investment income  | (.132)  | (.307)  | (.260)  | (.179)  | (.028)  | (.007) C |
| Distributions from net realized gain  | -  | -  | -  | -  | (.037)  | (.103) C |
| Total distributions  | (.132)  | (.307)  | (.260)  | (.179)  | (.065)  | (.110)  |
| Net asset value, end of period  | $10.04 | $9.75 | $9.88 | $9.54 | $10.08 | $11.42 |
| **Total Return** D,E,F | 4.35% <br>| 1.87%  | 6.42%  | (3.60)%  | (11.21)%  | (.95)%  |
| **Ratios to Average Net Assets** B,G,H |  |  |  |  |  |  |
| Expenses before reductions  | 1.61% I | 1.60%  | 1.60%  | 1.60%  | 1.60%  | 1.56%  |
| Expenses net of fee waivers, if any  | 1.61% I<br>| 1.60%  | 1.60%  | 1.60%  | 1.60%  | 1.56%  |
| Expenses net of all reductions, if any  | 1.61% I | 1.60%  | 1.60%  | 1.60%  | 1.60%  | 1.56%  |
| Net investment income (loss)  | 2.86% I | 2.96%  | 2.64%  | 1.93%  | (.05)%  | (.80)%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $1028 | $942 | $1252 | $1831 | $2678 | $3701 |
| Portfolio turnover rate J | 701% I<br>| 652%  | 767%  | 865% K | 662%  | 1032%  |

---

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 reflects reclassifications related to book to tax differences that were made in the year shown.*

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.*

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*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Fidelity® Mortgage Securities Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.89 | $10.01 | $9.66 | $10.22 | $11.54 | $11.69 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .200  | .402  | .365  | .306  | .120  | .037  |
| Net realized and unrealized gain (loss)  | .271  | (.099)  | .358  | (.572)  | (1.275)  | (.025)  |
| Total from investment operations  | .471  | .303  | .723  | (.266)  | (1.155)  | .012  |
| Distributions from net investment income  | (.191)  | (.423)  | (.373)  | (.294)  | (.128)  | (.042) C |
| Distributions from net realized gain  | -  | -  | -  | -  | (.037)  | (.120) C |
| Total distributions  | (.191)  | (.423)  | (.373)  | (.294)  | (.165)  | (.162)  |
| Net asset value, end of period  | $10.17 | $9.89 | $10.01 | $9.66 | $10.22 | $11.54 |
| **Total Return** D,E | 4.81% <br>| 3.16%  | 7.70%  | (2.61)%  | (10.09)%  | .10%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .45% H | .45%  | .45%  | .45%  | .45%  | .45%  |
| Expenses net of fee waivers, if any  | .45% H<br>| .45%  | .45%  | .45%  | .45%  | .45%  |
| Expenses net of all reductions, if any  | .45% H | .45%  | .45%  | .45%  | .45%  | .45%  |
| Net investment income (loss)  | 4.02% H | 4.11%  | 3.79%  | 3.08%  | 1.10%  | .32%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $410567 | $357883 | $331958 | $357995 | $836806 | $1002528 |
| Portfolio turnover rate I | 701% H<br>| 652%  | 767%  | 865% J | 662%  | 1032%  |

---

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 reflects reclassifications related to book to tax differences that were made in the year shown.*

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.*

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*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Fidelity Advisor® Mortgage Securities Fund Class I**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.85 | $9.97 | $9.62 | $10.18 | $11.50 | $11.64 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .192  | .386  | .349  | .297  | .113  | .030  |
| Net realized and unrealized gain (loss)  | .281  | (.099)  | .365  | (.570)  | (1.274)  | (.012)  |
| Total from investment operations  | .473  | .287  | .714  | (.273)  | (1.161)  | .018  |
| Distributions from net investment income  | (.183)  | (.407)  | (.364)  | (.287)  | (.122)  | (.040) C |
| Distributions from net realized gain  | -  | -  | -  | -  | (.037)  | (.118) C |
| Total distributions  | (.183)  | (.407)  | (.364)  | (.287)  | (.159)  | (.158)  |
| Net asset value, end of period  | $10.14 | $9.85 | $9.97 | $9.62 | $10.18 | $11.50 |
| **Total Return** D,E | 4.84% <br>| 3.00%  | 7.62%  | (2.70)%  | (10.17)%  | .16%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .61% H | .60%  | .58%  | .52%  | .51%  | .51%  |
| Expenses net of fee waivers, if any  | .61% H<br>| .60%  | .58%  | .52%  | .51%  | .51%  |
| Expenses net of all reductions, if any  | .61% H | .60%  | .58%  | .52%  | .51%  | .51%  |
| Net investment income (loss)  | 3.86% H | 3.96%  | 3.66%  | 3.01%  | 1.04%  | .26%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $156756 | $153198 | $151019 | $20030 | $38256 | $50695 |
| Portfolio turnover rate I | 701% H<br>| 652%  | 767%  | 865% J | 662%  | 1032%  |

---

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 reflects reclassifications related to book to tax differences that were made in the year shown.*

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.*

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*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Fidelity Advisor® Mortgage Securities Fund Class Z**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.86 | $9.98 | $9.64 | $10.19 | $11.51 | $11.65 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .204  | .409  | .373  | .315  | .130  | .047  |
| Net realized and unrealized gain (loss)  | .281  | (.098)  | .348  | (.563)  | (1.275)  | (.018)  |
| Total from investment operations  | .485  | .311  | .721  | (.248)  | (1.145)  | .029  |
| Distributions from net investment income  | (.195)  | (.431)  | (.381)  | (.302)  | (.138)  | (.046) C |
| Distributions from net realized gain  | -  | -  | -  | -  | (.037)  | (.123) C |
| Total distributions  | (.195)  | (.431)  | (.381)  | (.302)  | (.175)  | (.169)  |
| Net asset value, end of period  | $10.15 | $9.86 | $9.98 | $9.64 | $10.19 | $11.51 |
| **Total Return** D,E | 4.97% <br>| 3.25%  | 7.70%  | (2.44)%  | (10.03)%  | .25%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .40% H | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of fee waivers, if any  | .36% H<br>| .36%  | .36%  | .36%  | .36%  | .36%  |
| Expenses net of all reductions, if any  | .36% H | .36%  | .36%  | .36%  | .36%  | .36%  |
| Net investment income (loss)  | 4.11% H | 4.20%  | 3.88%  | 3.17%  | 1.19%  | .41%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $155432 | $136003 | $98275 | $86046 | $86006 | $126756 |
| Portfolio turnover rate I | 701% H<br>| 652%  | 767%  | 865% J | 662%  | 1032%  |

---

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 reflects reclassifications related to book to tax differences that were made in the year shown.*

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.*

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*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended February 28, 2026

**1. Organization.**

Fidelity Advisor Mortgage Securities Fund (the Fund) is a fund of Fidelity Advisor Series II (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 Mortgage Securities 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. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. 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 February 28, 2026 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. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.

**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. 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.

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, market discount, options, swaps, capital loss carryforwards and losses deferred due to futures contracts, options and 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** | $16126283 |
| **Gross unrealized depreciation** | <u>(15786874)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$339409</u> |
| **Tax cost** | <u>$1199305098</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 prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(50304434) |
| Long-term | <u>(32124608)</u> |
| **Total capital loss carryforward** | <u>$(82429042)</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. A fund realizes a gain or loss on settlement, either through the acquisition of an offsetting TBA purchase commitment on or before the sale commitment date, or by delivery of the securities under the commitment.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

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| | |
|:---|:---|
| 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. 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.

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| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Advisor Mortgage Securities Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | <u>(183802)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>138399</u> |
| **Total Credit Risk** | <u>(183802)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>138399</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | (92818) | 337120 |
| Purchased Options | (299229) | (129312) |
| Swaps | <u>(209804)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>225746</u> |
| **Total Interest Rate Risk** | <u>(601851)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>433554</u> |
| Totals | <u>(785653)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>571953</u> |

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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.

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| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Advisor Mortgage Securities Fund** | 111178378 |

---

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.

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| | | |
|:---|:---|:---|
|  | **Type** | **Average Notional Amount ($)** |
| **Fidelity Advisor Mortgage Securities Fund** | Purchased Swaptions | 95686667 |

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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.

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| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Advisor Mortgage Securities Fund** | 171961749 |

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**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.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Advisor Mortgage Securities Fund** | 1832145479 | 1796397476 |

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**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.

**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% | 20661 | 264 |
| **Class M** | - % | .25% | 8266 | - |
| **Class C** | .75% | .25% | <u>5092</u> | <u>844</u> |
|  |  |  | <u>34019</u> | <u>1108</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** | 1920 |
| **Class M** | <u>113</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2033</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 each respective class of the Fund, with the exception of Fidelity Advisor Mortgage Securities Fund and Class Z. FIIOC receives an asset-based fee of Fidelity Advisor Mortgage Securities 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 AssetsA** |
| **Class A** | 16972 | .21 |
| **Class M** | 6830 | .21 |
| **Class C** | 1268 | .25 |
| **Fidelity Mortgage Securities Fund** | 190759 | .10 |
| **Class I** | 194821 | .25 |
| **Class Z** | &nbsp;&nbsp;&nbsp;&nbsp; <u>35816</u> | .05 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; <u>446466</u> |  |

---

*A Annualized*

**Fund Wide Operations Fee.** Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund-level expenses (which may not include transfer agent, the compensation of the independent Trustees, interest, taxes or extraordinary expenses, as applicable) in return for a FWOE fee equal to .35% of fund-level average net assets less the total amount of the management fee. The FWOE paid by a fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fees were equivalent to the following annualized rate expressed as a percentage of average net assets:

---

| | |
|:---|:---|
| **Fidelity Advisor Mortgage Securities Fund** | .07% |

---

**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.

**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 2027 unless extended or renewed.

Effective March 24, 2026 the .10% spread adjustment on the SOFR benchmark was removed.

**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 other expenses such as interest expense, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class Z** | .36% | 31015 |

---

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 $867.

**9. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Six months ended** <br> **February 28, 2026** | **Year ended**<br> **August 31, 2025** |
| **Fidelity Advisor Mortgage Securities Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $285990 | $680216 |
| Class M | 114352 | 265016 |
| Class C | 13570 | 35540 |
| Fidelity Mortgage Securities Fund | 7265018 | 14528228 |
| Class I | 2839180 | 6227089 |
| Class Z | <u>2793664</u> | <u>4561492</u> |
| Total  | <u>$13311774</u> | <u>$26297581</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** |
|  | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** |
| **Fidelity Advisor Mortgage Securities Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 100755 | 186228 | $1007657 | $1830904 |
| Reinvestment of distributions  | 26672 | 64379 | 266821 | 628092 |
| Shares redeemed | <u>(163103)</u> | <u>(478228)</u> | <u>(1629806)</u> | <u>(4675285)</u> |
| Net increase (decrease) | <u>(35676)</u> | <u>(227621)</u> | <u>$(355328)</u> | <u>$(2216289)</u> |
| **Class M** |  |  |  |  |
| Shares sold | 18084 | 26134 | $180771 | $255891 |
| Reinvestment of distributions  | 11245 | 26622 | 112717 | 260268 |
| Shares redeemed | <u>(37770)</u> | <u>(120356)</u> | <u>(377508)</u> | <u>(1172281)</u> |
| Net increase (decrease) | <u>(8441)</u> | <u>(67600)</u> | <u>$(84020)</u> | <u>$(656122)</u> |
| **Class C** |  |  |  |  |
| Shares sold | 14520 | 16179 | $143275 | $156321 |
| Reinvestment of distributions  | 1366 | 3651 | 13543 | 35283 |
| Shares redeemed | <u>(10126)</u> | <u>(50025)</u> | <u>(100199)</u> | <u>(481721)</u> |
| Net increase (decrease) | <u>5760</u> | <u>(30195)</u> | <u>$56619</u> | <u>$(290117)</u> |
| **Fidelity Mortgage Securities Fund** |  |  |  |  |
| Shares sold | 7267812 | 13864266 | $72928735 | $135667890 |
| Reinvestment of distributions  | 357109 | 848356 | 3586794 | 8311788 |
| Shares redeemed | <u>(3477055)</u> | <u>(11684875)</u> | <u>(34894325)</u> | <u>(114036327)</u> |
| Net increase (decrease) | <u>4147866</u> | <u>3027747</u> | <u>$41621204</u> | <u>$29943351</u> |
| **Class I** |  |  |  |  |
| Shares sold | 802227 | 3543915 | $8019879 | $34491721 |
| Reinvestment of distributions  | 233813 | 518122 | 2340324 | 5057616 |
| Shares redeemed | <u>(1127610)</u> | <u>(3655668)</u> | <u>(11280082)</u> | <u>(35603224)</u> |
| Net increase (decrease) | <u>(91570)</u> | <u>406369</u> | <u>$(919879)</u> | <u>$3946113</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 1755283 | 6258397 | $17582993 | $60649909 |
| Reinvestment of distributions  | 260819 | 432403 | 2614680 | 4227093 |
| Shares redeemed | <u>(494153)</u> | <u>(2744117)</u> | <u>(4938689)</u> | <u>(26751025)</u> |
| Net increase (decrease) | <u>1521949</u> | <u>3946683</u> | <u>$15258984</u> | <u>$38125977</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.

**12. Credit Risk.** 

The Fund invests a significant portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

**13. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity Advisor Mortgage Securities Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board's Operations Committee, of which all the Independent Trustees are members, meets regularly throughout the year and requests, receives and considers, among other matters, information related to the annual consideration of the renewal of the fund's Advisory Contracts before making its recommendation to the Board. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet from time to time with trustees of other Fidelity U.S. registered funds (Fidelity funds) through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class; (iii) the total costs of the services provided by and the profits realized by FMR and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board also considered the broad range of investment choices available to shareholders from FMR's competitors and that the fund's shareholders have chosen to invest in the fund, which is part of the Fidelity family of funds. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable in light of all of the surrounding circumstances.

**Nature, Extent, and Quality of Services Provided**. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds and experience of investment personnel, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, managing, training, and compensating investment personnel. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, technology and operations capabilities and resources, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity and derivatives risk management. The Board also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account and market information over the Internet, via the Fidelity mobile app and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

<u>Investment in a Large Fund Family</u>. The Board considered the benefits to shareholders of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds and/or the Fidelity funds in general.

<u>Investment Performance</u>. The Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for the fund for different time periods, measured against an appropriate index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also considered information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds over different time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Expense Ratio.** The Board was provided with information regarding industry trends in management fees and expenses. In its review of the fund's management fee and the total expense ratio of a representative class (the retail class), the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) of the fund relative to the funds and classes in the total peer group; (ii) gross management fee comparisons of the fund relative to a subset of non-Fidelity funds in the total peer group that are similar in size to the fund (referred to as the "asset-sized peer group"); (iii) total expense comparisons of the fund relative to the total peer group; and (iv) total expense comparisons (excluding performance adjustments and fund-paid 12b-1 fees) of the fund relative to the asset-sized peer group. The asset-sized peer group comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the total peer group for 2024 and below the competitive median of the asset-sized peer group for 2024. Further, the information provided to the Board indicated that the total expense ratio of the retail class of the fund ranked below the competitive median of the total peer group for 2024 and below the competitive median of the asset-sized peer group for 2024.

The Board also considered that the total expenses for Class C of the fund ranked in the 4th quartile of the total peer group. The Board noted that Class C has a 1.00% 12b-1 fee, while Lipper's level load definition is broad and includes both traditionally priced (1.00%) 12b-1 fee classes and funds without sales loads that have relatively lower distribution and service fees. The Board considered that, when excluding 12b-1 fees, the fund was below median.

The Board also considered that the total expenses for Class I of the fund ranked in the 3rd quartile of the total peer group. The Board noted that Lipper categorizes Class I as institutional load, but Fidelity's Class I has no investment minimum, unlike many institutional load funds. The Board further noted that Lipper's institutional load classification includes classes with a range of investment minimums, 12b-1 fees and distribution methods, and that funds with higher investment minimums tend to have lower total expenses. In information provided to the Board, Fidelity stated that it believes Class I is generally more comparable to retail no-load funds and classes, which tend to have similar investment minimums.

<u>Other Contractual Arrangements</u>. The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. These contractual arrangements may not be amended to increase the fees or expenses payable by the fund except by a vote of a majority of the Board. The Board further considered that FMR has contractually agreed to reimburse Class Z of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.36% through December 31, 2026.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered. Further, based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of the fund and all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each Fidelity fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board concluded, taking into account the analysis of the committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

**Additional Information Requested by the Board.** In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) portfolio manager changes that have occurred during the past year; (ii) hiring, training, compensating, and retaining adviser and sub-adviser personnel; (iii) the terms of the funds' various management fee structures and arrangements for transfer agent and pricing and bookkeeping services; (iv) Fidelity's fund profitability methodology, profitability trends for certain funds and asset classes, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (v) information about the role of fund profitability in considering changes to the fund lineup; (vi) the types of management fee and total expense comparisons provided, and challenges and limitations associated with such information; (vii) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons; (viii) matters related to money market funds, bond funds, allocation funds, exchange-traded funds, and target date funds; (ix) the arrangements with and compensation paid to certain fund sub-advisers and the treatment of such compensation within Fidelity's fund profitability methodology; and (x) the terms of management contracts between Fidelity and other funds and products not overseen by the Board.

**Conclusion**. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that the fund's Advisory Contracts should be renewed through September 30, 2026.

![](img126689_4.jpg)<br>

1.703540.128 AMOR-SANN-0426

**Fidelity Advisor® Limited Term Bond Fund**

**Semi-Annual Report**

**February 28, 2026**

Includes Fidelity and Fidelity Advisor share classes

![](img126690_1.jpg)

![](img126690_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_LTB-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity Advisor® Limited Term Bond Fund](#Sub_Sec_Fund_87_LTB-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements87_LTB-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_LTB-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_LTB-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_LTB-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_LTB-SANN)** |

---

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.© 2026 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 (Semi-Annual Report)**

**Fidelity Advisor® Limited Term Bond Fund**

**Schedule of Investments February 28, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 9.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 9.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 9.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.8%  |  |  |
| Hartwick Park Clo Ltd Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.16%, 4.8276% 1/20/2037 (c)(d)(j) | 6418000 | 6426279 |
| Neuberger Berman Ln Advisers Nbla CLO Ltd / Neuberger Berman Ln Series 2026-50A Class AR2, CME Term SOFR 3 month Index + 1.04%, 4.6989% 7/23/2036 (c)(d)(j) | 12130000 | 12131638 |
| Valley Stream Pk Clo Ltd / Vy Stream Pk Clo LLC Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.19%, 4.8576% 1/20/2037 (c)(d)(j) | 5784000 | 5788818 |
| TOTAL BAILIWICK OF JERSEY |  | 24346735 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (j) | 243832 | 246395 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (j) | 483285 | 489357 |
| TOTAL CANADA |  | 735752 |
| GRAND CAYMAN (UK OVERSEAS TER) - 3.3%  |  |  |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 4.9822% 7/15/2038 (c)(d)(j) | 2953000 | 2963894 |
| Bain Capital Credit Clo Ltd Series 2025-5A Class ARR, CME Term SOFR 3 month Index + 1.15%, 4.8176% 4/20/2034 (c)(d)(j) | 7540000 | 7547133 |
| Barings CLO Ltd Series 2024-3A Class A1RR, CME Term SOFR 3 month Index + 1.14%, 4.8076% 1/20/2036 (c)(d)(j) | 2400000 | 2402412 |
| Bbam US Clo I Ltd Series 2025-1A Class D1R, CME Term SOFR 3 month Index + 3%, 6.6722% 3/30/2038 (c)(d)(j) | 125000 | 122881 |
| Benefit Street Partners Clo Xxii Ltd Series 2025-22A Class ARR, CME Term SOFR 3 month Index + 1.15%, 4.8176% 4/20/2035 (c)(d)(j) | 7900000 | 7909843 |
| Benefit Street Partners Clo Xxv Ltd Series 2025-25A Class A1R, CME Term SOFR 3 month Index + 1%, 4.6722% 1/15/2035 (c)(d)(j) | 4005000 | 4005773 |
| Buckhorn Park Clo Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.07%, 4.7376% 7/18/2034 (c)(d)(j) | 4766000 | 4770399 |
| Carlyle US Clo Ltd Series 2024-6A Class E, CME Term SOFR 3 month Index + 5.75%, 9.418% 10/25/2037 (c)(d)(j) | 150000 | 143772 |
| CIFC Funding Ltd Series 2025-4A Class D2R, CME Term SOFR 3 month Index + 3.75%, 7.4176% 1/17/2038 (c)(d)(j) | 100000 | 98497 |
| Dryden 104 Clo Ltd / Dryden 104 Clo LLC Series 2024-104A Class A1R, CME Term SOFR 3 month Index + 1.29%, 4.9456% 8/20/2034 (c)(d)(j) | 2769000 | 2774200 |
| Dryden 68 Clo Ltd Series 2024-68A Class ARR, CME Term SOFR 3 month Index + 1.1%, 4.7722% 7/15/2035 (c)(d)(j) | 4228000 | 4224622 |
| Flatiron Clo 28 Ltd / Flatiron Clo LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.08%, 4.7522% 7/15/2036 (c)(d)(j) | 10354000 | 10373041 |
| Flatiron Clo Ltd Series 2025-1A Class AR2, CME Term SOFR 3 month Index + 1.18%, 4.8325% 11/16/2034 (c)(d)(j) | 2595513 | 2597174 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (j) | 305850 | 303550 |
| Invesco CLO 2021-3 Ltd Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.08%, 4.7492% 10/22/2034 (c)(d)(j) | 5100000 | 5106497 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 4.7522% 7/15/2034 (c)(d)(j) | 4205000 | 4208044 |
| Magnetite Xxii Ltd / Magnetite Xxii LLC Series 2024-22A Class ARR, CME Term SOFR 3 month Index + 1.25%, 4.9222% 7/15/2036 (c)(d)(j) | 4257000 | 4259580 |
| Magnetite Xxiii Ltd Series 2026-23A Class AR2, CME Term SOFR 3 month Index + 0.99%, 4.6371% 1/25/2035 (c)(d)(j) | 9070000 | 9077818 |
| Oha Credit Funding 22 Ltd Series 2025-22A Class A1, CME Term SOFR 3 month Index + 1.33%, 4.9976% 7/20/2038 (c)(d)(j) | 4678000 | 4687403 |
| Oha Credit Partners VII Ltd Series 2025-7A Class D1R4, CME Term SOFR 3 month Index + 2.5%, 6.389% 2/20/2038 (c)(d)(j) | 150000 | 146424 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 4.6122% 7/15/2033 (c)(d)(j) | 8970408 | 8975889 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 4.6722% 1/15/2033 (c)(d)(j) | 565249 | 565249 |
| RR Ltd Series 2025-16A Class A1R, CME Term SOFR 3 month Index + 1.05%, 4.7222% 7/15/2036 (c)(d)(j) | 2529000 | 2529240 |
| SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/2046 (j) | 9788789 | 9388789 |
| Trapeza Cdo Xii Ltd Series 2007-12A Class B, CME Term SOFR 3 month Index + 0.8216%, 4.4714% 4/6/2042 (c)(d)(j) | 304000 | 240610 |
| Voya Clo 2022-1 Ltd / Voya Clo 2022-1 LLC Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9176% 4/20/2035 (c)(d)(j) | 3393000 | 3399138 |
| Voya CLO Ltd Series 2024-2A Class AR, CME Term SOFR 3 month Index + 1.2%, 4.8676% 7/20/2032 (c)(d)(j) | 3058665 | 3061072 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 105882944 |
| UNITED STATES - 5.0%  |  |  |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (j) | 1174487 | 1143350 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (j) | 3763797 | 3611480 |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (j) | 413055 | 413589 |
| Affirm Asset Securitization Trust Series 2025-X2 Class A, 4.45% 10/15/2030 (j) | 4285194 | 4290095 |
| Affirm Master Trust Series 2026-1A Class A, 4.37% 2/15/2034 (j) | 4005000 | 4027894 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (j) | 187314 | 186041 |
| ARI Fleet Lease Trust Series 2023-B Class A2, 6.05% 7/15/2032 (j) | 1027060 | 1033749 |
| ARI Fleet Lease Trust Series 2024-B Class A3, 5.26% 4/15/2033 (j) | 408000 | 415910 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (j) | 945000 | 961624 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-3A Class A, 4.17% 2/20/2030 (j) | 3035000 | 3048476 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (j) | 3011824 | 2889435 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 677199 | 684988 |
| Carvana Auto Receivables Trust 2025-P2 Series 2025-P2 Class A3, 4.55% 8/12/2030  | 3315000 | 3347709 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (j) | 724950 | 728683 |
| Daimler Trucks Retail Trust Series 2024-1 Class A3, 5.49% 12/15/2027  | 1861748 | 1875178 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (j) | 123280 | 122827 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (j) | 11490000 | 11315976 |
| DB Master Finance LLC Series 2025-1A Class A2I, 4.891% 8/20/2055 (j) | 1296750 | 1310181 |
| Dell Equipment Finance Trust Series 2023-3 Class A3, 5.93% 4/23/2029 (j) | 796206 | 799527 |
| Dell Equipment Finance Trust Series 2024-2 Class A3, 4.59% 8/22/2030 (j) | 893000 | 898809 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (j) | 279000 | 284786 |
| Domino's Pizza Master Issuer LLC Series 2017-1A Class A23, 4.118% 7/25/2047 (j) | 3745900 | 3736711 |
| Domino's Pizza Master Issuer LLC Series 2018-1A Class A2II, 4.328% 7/25/2048 (j) | 7083510 | 7075135 |
| Domino's Pizza Master Issuer LLC Series 2025-1A Class A2I, 4.93% 7/25/2055 (j) | 7700000 | 7840043 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A2, 4.38% 7/20/2029 (j) | 2516 | 2517 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (j) | 651053 | 658636 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A3, 4.98% 8/21/2028 (j) | 2821000 | 2857990 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (j) | 1071000 | 1082859 |
| Enterprise Fleet Financing LLC Series 2025-1 Class A3, 4.82% 2/20/2029 (j) | 2825000 | 2874592 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (j) | 588000 | 596733 |
| Flatiron Clo 23 LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.24%, 4.9076% 4/17/2036 (c)(d)(j) | 5801000 | 5810699 |
| Flatiron Rr Clo 22 LLC Series 2025-2A Class AR, CME Term SOFR 3 month Index + 0.91%, 4.5822% 10/15/2034 (c)(d)(j) | 6400000 | 6396800 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class B, 5.48% 4/15/2029 (j) | 2797000 | 2841869 |
| Fordf Series 2025-1 Class A1, 4.63% 4/15/2030  | 3575000 | 3639571 |
| Fordf Series 2025-1 Class B, 4.84% 4/15/2030  | 1805000 | 1831989 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (j) | 1075000 | 1091978 |
| Juniper Valley Park CLO LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.08%, 4.7476% 7/20/2036 (c)(d)(j) | 5000000 | 5003340 |
| Kubota Credit Owner Trust Series 2024-2A Class A3, 5.26% 11/15/2028 (j) | 719000 | 729598 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (j) | 209292 | 209601 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  | 4278047 | 4286360 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (j) | 547162 | 550233 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (j) | 2410000 | 2430197 |
| MetLife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/2058 (j) | 129874 | 128686 |
| Nissan Master Owner Tr Receivable Series 2024-B Class A, 5.05% 2/15/2029 (j) | 1648000 | 1665750 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (j) | 3780 | 3781 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (j) | 3050000 | 3067869 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (j) | 1425000 | 1428872 |
| Optn Series 2026-A Class A, 4.32% 1/9/2034 (j) | 615000 | 616968 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A2, 4.27% 10/20/2028 (j) | 1575000 | 1578807 |
| Phantom Aviation Series 2026-1A Class A, 5.24% 1/15/2051 (j) | 1250000 | 1272062 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (j) | 201471 | 206769 |
| Pk Alift Loan Funding 7 LP Series 2025-2 Class A, 4.75% 3/15/2043 (j) | 1678218 | 1689158 |
| Porsche Finl Auto Securitization Tr 2023-2 Series 2023-2A Class A3, 5.79% 1/22/2029 (j) | 796325 | 801970 |
| Pstat Series 2026-2A Class A1R, CME Term SOFR 3 month Index + 0.82%, 0.82% 1/15/2033 (c)(d)(j) | 10720000 | 10719946 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (j) | 1055448 | 1090765 |
| Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-CA Class A3, 4.11% 4/20/2029 (j) | 5146000 | 5182724 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 4.6482% 9/25/2034 (c)(d) | 1586 | 1707 |
| Tesla Electric Vehicle Trust Series 2023-1 Class A3, 5.38% 6/20/2028 (j) | 2088050 | 2106473 |
| Upstart Securitization Trust Series 2023-3 Class A, 6.9% 10/20/2033 (j) | 106823 | 107014 |
| USB Auto Owner Trust 2025-1 Series 2025-1A Class A3, 4.49% 6/17/2030 (j) | 1615000 | 1631301 |
| Verizon Master Trust Series 2024-8 Class A1A, 4.62% 11/20/2030  | 5345000 | 5427898 |
| Wheels Fleet Lease Funding LLC Series 2023-2A Class A, 6.46% 8/18/2038 (j) | 1835590 | 1855735 |
| Wheels Fleet Lease Funding LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (j) | 879807 | 888913 |
| Wheels Fleet Lease Funding LLC Series 2025-2A Class A1, 4.41% 5/18/2040 (j) | 6300000 | 6362707 |
| World Omni Auto Trust Series 2024-C Class A3, 4.43% 12/17/2029  | 2687000 | 2705407 |
| World Omni Select Auto Trust Series 2025-A Class A3, 4.08% 8/15/2031  | 975000 | 980138 |
| TOTAL UNITED STATES |  | 156459178 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $286,802,910) |  | <br> **287424609** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 1.4%** | &nbsp;&nbsp;**Bank Loan Obligations - 1.4%** | &nbsp;&nbsp;**Bank Loan Obligations - 1.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COLOMBIA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Canacol Energy Ltd Tranche DIP 1LN, term loan CME Term SOFR 3 month Index + 9%, 13% 6/30/2026 (b)(c)(d)(f) | 22102 | 22101 |
| FINLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Paper & Forest Products - 0.0% |  |  |
| Ahlstrom Holding 3 Oy Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.1836% 5/23/2030 (b)(c)(d) | 502478 | 502207 |
| LUXEMBOURG - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Accelya Lux Finco Sarl Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.25%, 8.9219% 10/1/2032 (b)(c)(d) | 670000 | 648225 |
| NETHERLANDS - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Building Products - 0.0% |  |  |
| Hunter Douglas Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.6719% 1/17/2032 (b)(c)(d) | 302520 | 302205 |
| SWITZERLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Consolidated Energy Finance SA 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 0% 11/18/2030 (b)(c)(d)(g) | 180000 | 161100 |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 11/15/2030 (b)(c)(d) | 925487 | 827441 |
| TOTAL SWITZERLAND |  | 988541 |
| UNITED KINGDOM - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| EG America LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 2/10/2031 (b)(c)(d)(g) | 425000 | 424044 |
| UNITED STATES - 1.4%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Level 3 Financing Inc Tranche B4 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 3/29/2032 (b)(c)(d) | 80000 | 80120 |
| Uniti Services LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 10/6/2032 (b)(c)(d) | 455000 | 455000 |
|  |  | 535120 |
| Media - 0.1% |  |  |
| CMG Media Corp Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.2719% 6/18/2029 (b)(c)(d) | 582327 | 549426 |
| EW Scripps Co/The Tranche B3 1LN, term loan CME Term SOFR 1 month Index + 3.35%, 7.1317% 11/30/2029 (b)(c)(d) | 315000 | 304919 |
| Sinclair Television Group Inc Tranche B7 1LN, term loan CME Term SOFR 1 month Index + 4.1%, 7.873% 12/31/2030 (b)(c)(d) | 1038090 | 867667 |
| Univision Communications Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0375% 1/31/2029 (b)(c)(d) | 1292991 | 1284910 |
| Virgin Media Bristol LLC Tranche Q 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0241% 1/31/2029 (b)(c)(d) | 650000 | 630013 |
|  |  | 3636935 |
| TOTAL COMMUNICATION SERVICES |  | 4172055 |
| Consumer Discretionary - 0.4% |  |  |
| Automobile Components - 0.0% |  |  |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 1/28/2032 (b)(c)(d) | 79800 | 79534 |
| Broadline Retail - 0.0% |  |  |
| Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 1/23/2032 (b)(c)(d) | 975852 | 973413 |
| Saks Global Enterprises LLC Tranche SECOND OUT ROLL-UP DIP 1LN, term loan CME Term SOFR 1 month Index + 12.5%, 16.1556% 7/15/2026 (b)(c)(d) | 59171 | 17751 |
|  |  | 991164 |
| Distributors - 0.0% |  |  |
| Solenis Holdings Ltd Tranche B6 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.6719% 6/20/2031 (b)(c)(d) | 387324 | 379338 |
| Diversified Consumer Services - 0.0% |  |  |
| TKC Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1597% 8/19/2030 (b)(c)(d) | 335000 | 333744 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |
| Fertitta Entertainment LLC/NV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 1/29/2029 (b)(c)(d) | 918776 | 912767 |
| Flynn Restaurant Group LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 1/28/2032 (b)(c)(d) | 261155 | 256422 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9336% 6/1/2028 (b)(c)(d) | 1037886 | 963812 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9285% 12/30/2026 (b)(c)(d) | 447873 | 430406 |
|  |  | 2563407 |
| Household Durables - 0.0% |  |  |
| TGP Holdings III LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.023% 6/29/2028 (b)(c)(d) | 339698 | 314299 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.4108% 10/1/2032 (b)(c)(d) | 775000 | 774806 |
|  |  | 1089105 |
| Specialty Retail - 0.2% |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.527% 6/6/2031 (b)(c)(d) | 879197 | 723580 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.677% 6/6/2031 (b)(c)(d) | 542224 | 467897 |
| Michaels Cos Inc/The 1LN, term loan CME Term SOFR 1 month Index + 5%, 0% 2/19/2033 (b)(c)(d)(g) | 465000 | 442475 |
| Park River Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1608% 3/15/2031 (b)(c)(d) | 25000 | 24855 |
| SGUS LLC 1LN, term loan 16.1597% 7/15/2026 (b)(c) | 87808 | 26343 |
| SGUS LLC Tranche FIRST OUT DIP FINAL 1LN, term loan CME Term SOFR 1 month Index + 10%, 14.6597% 7/15/2026 (b)(c)(d) | 201736 | 185597 |
| SGUS LLC Tranche FIRST OUT DIP FINAL, term loan 14.677% 7/7/2026 (b)(c) | 84150 | 77418 |
| SGUS LLC Tranche THIRD OUT 1LN, term loan CME Term SOFR 1 month Index + 8%, 13.6597% 7/15/2026 (b)(c)(d)(f) | 164577 | 16732 |
| Tory Burch LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0375% 4/16/2028 (b)(c)(d) | 626872 | 624991 |
| Wand NewCo 3 Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 1/30/2031 (b)(c)(d) | 170312 | 169224 |
| White Cap Supply Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 2/10/2033 (b)(c)(d)(g) | 265000 | 261854 |
|  |  | 3020966 |
| TOTAL CONSUMER DISCRETIONARY |  | 8457258 |
| 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%, 8.6719% 9/20/2030 (b)(c)(d) | 463838 | 454561 |
| Food Products - 0.0% |  |  |
| Del Monte Foods Corp II Inc 1LN, term loan CME Term SOFR 3 month Index + 8.15%, 0% (b)(c)(d)(e)(f) | 64646 | 0 |
| Del Monte Foods Corp II Inc Tranche FLFO B 1LN, term loan CME Term SOFR 3 month Index + 8%, 0% (b)(c)(d)(e)(f) | 18811 | 0 |
| Del Monte Foods Corp II Inc Tranche TLA DIP, term loan CME Term SOFR 3 month Index + 1%, 13.2597% 3/30/2026 (b)(c)(d)(f) | 163919 | 163919 |
| Del Monte Foods Corp II Inc Tranche TLB DIP ROLLUP, term loan CME Term SOFR 3 month Index + 9.5%, 13.2643% 3/30/2026 (b)(c)(d)(f) | 218469 | 108142 |
| Nourish Buyer I Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.6692% 7/9/2032 (b)(c)(d) | 339150 | 340846 |
|  |  | 612907 |
| TOTAL CONSUMER STAPLES |  | 1067468 |
| 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%, 0% (b)(c)(d)(e) | 1175624 | 557974 |
| Financials - 0.1% |  |  |
| Capital Markets - 0.0% |  |  |
| Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4132% 2/3/2032 (b)(c)(d) | 1045916 | 1029579 |
| Financial Services - 0.1% |  |  |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 7/31/2031 (b)(c)(d) | 431304 | 403675 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 7/31/2031 (b)(c)(d) | 549325 | 524331 |
| Nexus Buyer LLC Tranche B 2LN, term loan CME Term SOFR 1 month Index + 5.75%, 9.423% 2/16/2032 (b)(c)(d) | 330000 | 320512 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 0% 2/20/2032 (b)(c)(d)(g) | 85000 | 84788 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1556% 2/20/2032 (b)(c)(d) | 791025 | 789047 |
|  |  | 2122353 |
| Insurance - 0.0% |  |  |
| Acrisure LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 11/6/2030 (b)(c)(d) | 4950 | 4785 |
| Alliant Hldgs Intermediate LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 9/19/2031 (b)(c)(d) | 402861 | 393067 |
| Asurion LLC Tranche B14 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.427% 2/23/2033 (b)(c)(d) | 629927 | 618381 |
| USI Inc/NY Tranche D 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 11/21/2029 (b)(c)(d) | 496125 | 493644 |
|  |  | 1509877 |
| TOTAL FINANCIALS |  | 4661809 |
| Health Care - 0.1% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Bausch + Lomb Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 1/15/2031 (b)(c)(d) | 999975 | 999475 |
| Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.423% 10/23/2028 (b)(c)(d) | 280780 | 281083 |
|  |  | 1280558 |
| Health Care Technology - 0.0% |  |  |
| AthenaHealth Group Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 2/15/2029 (b)(c)(d) | 342916 | 333486 |
| Pharmaceuticals - 0.1% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 9.923% 10/8/2030 (b)(c)(d) | 1370623 | 1333315 |
| TOTAL HEALTH CARE |  | 2947359 |
| Industrials - 0.1% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| TransDigm Inc Tranche N 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1596% 2/13/2033 (b)(c)(d) | 30000 | 30023 |
| Commercial Services & Supplies - 0.1% |  |  |
| ABG Intermediate Holdings 2 LLC Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 12/21/2028 (b)(c)(d) | 578278 | 576109 |
| Allied Universal Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 8/20/2032 (b)(c)(d) | 274313 | 274142 |
| Brand Industrial Services Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1636% 8/1/2030 (b)(c)(d) | 74701 | 63682 |
| CSC ServiceWorks East LLC Tranche EXCHANGE FLSO TL 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.671% 9/4/2030 (b)(c)(d) | 1313423 | 1014620 |
| CSC ServiceWorks East LLC Tranche INITIAL FL1O 1LN, term loan CME Term SOFR 1 month Index + 5.43%, 9.101% 9/4/2030 (b)(c)(d)(f) | 415336 | 423468 |
| Neptune Bidco US Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.7602% 2/3/2033 (b)(c)(d) | 695000 | 653474 |
|  |  | 3005495 |
| Ground Transportation - 0.0% |  |  |
| Genesee & Wyoming Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.4219% 4/10/2031 (b)(c)(d) | 424625 | 423907 |
| Machinery - 0.0% |  |  |
| Beach Acquisition Bidco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 9/13/2032 (b)(c)(d) | 35000 | 35044 |
| Passenger Airlines - 0.0% |  |  |
| Vista Management Holding Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4108% 4/1/2031 (b)(c)(d) | 34850 | 34872 |
| TOTAL INDUSTRIALS |  | 3529341 |
| Information Technology - 0.3% |  |  |
| IT Services - 0.1% |  |  |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9338% 2/10/2028 (b)(c)(d) | 366309 | 316172 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (b) | 630000 | 660555 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.4475% 10/26/2029 (b)(c)(d) | 1975218 | 1979327 |
|  |  | 2956054 |
| Software - 0.2% |  |  |
| Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 12/11/2028 (b)(c)(d) | 842718 | 800582 |
| Cloud Software Group Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 8/13/2032 (b)(c)(d) | 94525 | 87483 |
| Disco Parent Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6727% 8/6/2032 (b)(c)(d) | 618450 | 601443 |
| Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.6785% 6/2/2028 (b)(c)(d) | 284757 | 241841 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6719% 8/31/2028 (b)(c)(d) | 1583835 | 1513797 |
| X.AI LLC 1LN, term loan 12.5% 6/28/2030 (b) | 329237 | 372792 |
| X.AI LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 7.25%, 11.1219% 6/28/2030 (b)(c)(d) | 109587 | 113520 |
|  |  | 3731458 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Sandisk Corp/DE Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 0% 2/20/2032 (b)(c)(d)(g) | 19974 | 19974 |
| TOTAL INFORMATION TECHNOLOGY |  | 6707486 |
| Materials - 0.3% |  |  |
| Chemicals - 0.3% |  |  |
| Advancion Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.7727% 11/24/2027 (b)(c)(d) | 540523 | 517551 |
| Arc Falcon I Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.273% 9/30/2028 (b)(c)(d) | 401644 | 400250 |
| Chemours Co/The Tranche B3 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 10/15/2032 (b)(c)(d) | 375000 | 373688 |
| Discovery Purchaser Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4192% 10/4/2029 (b)(c)(d) | 811568 | 795037 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.925%, 7.6969% 7/3/2028 (b)(c)(d) | 1020156 | 908663 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.677% 3/15/2029 (b)(c)(d) | 852520 | 835316 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.4168% 8/25/2031 (b)(c)(d) | 856108 | 843977 |
| Olympus Water US Holding Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.9219% 11/3/2032 (b)(c)(d) | 30000 | 29462 |
| Scih Salt Hldgs Inc Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.5218% 1/31/2029 (b)(c)(d) | 499696 | 498292 |
| Tronox Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1724% 9/30/2031 (b)(c)(d) | 953300 | 741191 |
| Tronox Finance LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 4/4/2029 (b)(c)(d) | 139648 | 112591 |
|  |  | 6056018 |
| Containers & Packaging - 0.0% |  |  |
| BradyPlus Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1898% 12/29/2032 (b)(c)(d) | 450000 | 445783 |
| Clydesdale Acquisition Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 3.175%, 6.848% 4/13/2029 (b)(c)(d) | 1144237 | 1133961 |
|  |  | 1579744 |
| TOTAL MATERIALS |  | 7635762 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| NRG Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.5203% 4/16/2031 (b)(c)(d) | 34823 | 34883 |
| WEC US Holdings Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6713% 1/27/2031 (b)(c)(d) | 501057 | 499403 |
|  |  | 534286 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.173% 3/29/2030 (b)(c)(d) | 250219 | 251157 |
| TOTAL UTILITIES |  | 785443 |
| TOTAL UNITED STATES |  | 40521955 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $44,746,142) |  | <br> **43409278** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.9%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.9%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.9%  |  |  |
| Angel Oak Mortgage Trust 2026-2 Series 2026-2 Class AFCF, 4.631% 2/25/2071 (c)(j) | 4000000 | 4000000 |
| Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/2066 (j) | 3880791 | 3523923 |
| Bravo Residential Funding Trust Series 2020-RPL2 Class A1, 2% 5/25/2059 (j) | 2619752 | 2482231 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (c)(j) | 350993 | 347779 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (c)(j) | 175229 | 174801 |
| CSMC Trust Series 2020-RPL4 Class A1, 2% 1/25/2060 (j) | 685057 | 628428 |
| Fannie Mae Guaranteed REMIC Series 2018-3 Class LP, 3% 2/25/2047  | 2759477 | 2662634 |
| Fannie Mae Guaranteed REMIC Series 2019-33 Class N, 3% 3/25/2048  | 3640797 | 3512606 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 25989 | 26197 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-4873 Class CA, 4% 7/15/2047  | 889170 | 886093 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-4903 Class DA, 3% 10/25/2048  | 1872643 | 1780539 |
| Gcat 2021-Nqm7 Tr Series 2021-NQM7 Class A1, 1.915% 8/25/2066 (j) | 1835925 | 1732949 |
| Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 6.25% 7/25/2067 (c)(j) | 4853359 | 4875218 |
| New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/2059 (j) | 731067 | 705562 |
| Oceanview Mortgage Loan Trust Series 2020-1 Class A1A, 1.7329% 5/28/2050 (j) | 1028963 | 981260 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (j) | 17602 | 17578 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 4.9277% 7/20/2034 (c)(d) | 340 | 319 |
| TOTAL UNITED STATES |  | 28338117 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $29,539,231) |  | <br> **28338117** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 2.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 2.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 2.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 2.9%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4026% 6/15/2040 (c)(d)(j) | 4840000 | 4864282 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (j) | 1289960 | 1248072 |
| BANK Series 2021-BN33 Class XA, 1.0239% 5/15/2064 (c)(o) | 20113677 | 722709 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7596% 12/15/2062 (c)(o) | 21222682 | 403413 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.3751% 3/15/2053 (c)(o) | 40101098 | 1611210 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 4.7745% 9/15/2026 (c)(d)(j) | 5047000 | 5015832 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.0316% 6/15/2041 (c)(d)(j) | 1009000 | 1009315 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.103% 4/15/2040 (c)(d)(j) | 2765258 | 2768715 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.301% 5/15/2041 (c)(j) | 1657101 | 1658137 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.4636% 10/15/2036 (c)(d)(j) | 4501000 | 4492561 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 4.6726% 2/15/2039 (c)(d)(j) | 668635 | 668426 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.4211% 12/9/2040 (c)(d)(j) | 597365 | 597365 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 4.9525% 12/15/2039 (c)(d)(j) | 395983 | 396107 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 3/15/2043 (c)(d)(j) | 3538000 | 3540225 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.1015% 4/15/2041 (c)(d)(j) | 6617692 | 6619761 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.8035% 3/15/2030 (c)(d)(j) | 4501384 | 4495757 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.0531% 3/15/2030 (c)(d)(j) | 561209 | 559806 |
| BX Trust Series 2021-ACNT Class A, CME Term SOFR 1 month Index + 0.9645%, 4.6245% 11/15/2038 (c)(d)(j) | 3257152 | 3256134 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.8097% 2/15/2035 (c)(d)(j) | 2327000 | 2323855 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (c)(j) | 1322000 | 1355235 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A1, 1.69% 7/15/2060 (j) | 6515265 | 5521304 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (j) | 5241687 | 4286567 |
| EQT Trust Series 2024-EXTR Class A, 5.3308% 7/5/2041 (c)(j) | 5418000 | 5554821 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 4.9597% 10/15/2042 (c)(d)(j) | 4153000 | 4158191 |
| Extended Stay America Trust Series 2026-ESH2 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 2/15/2043 (c)(d)(j) | 2941000 | 2941919 |
| GS Mortgage Securities Trust Series 2013-GC13 Class AS, 3.858% 7/10/2046 (c)(j) | 1300578 | 1287572 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 5.0415% 11/5/2037 (c)(j) | 933000 | 952317 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (j) | 2708000 | 2582755 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD Class A, CME Term SOFR 1 month Index + 1.6145%, 5.2745% 9/15/2029 (c)(d)(j) | 957087 | 938225 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.4745% 7/15/2038 (c)(d)(j) | 2266000 | 2264297 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.1406% 6/15/2054 (c)(o) | 6347074 | 233923 |
| Plym Commercial Mortgage Trust Series 2026-IND Class A, CME Term SOFR 1 month Index + 1.25%, 4.9% 3/15/2043 (c)(d)(j) | 4026000 | 4026000 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.5049% 11/15/2038 (c)(d)(j) | 3402341 | 3401278 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.9026% 12/15/2039 (c)(d)(j) | 2467000 | 2470086 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 5.451% 10/15/2041 (c)(d)(j) | 1920000 | 1917500 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (c)(j) | 1076000 | 1086255 |
| TOTAL UNITED STATES |  | 91229927 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $93,943,047) |  | <br> **91229927** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice France Holding SA (f)<br>(Cost $39,094)<br>| 2216 | **40271** |

---

---

| | | |
|:---|:---|:---|
| &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 - 0.0% |  |  |
| Media - 0.0% |  |  |
| EchoStar Corp 3.875% 11/30/2030 pay-in-kind (c) | 357297 | 1262151 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Redfin Corp 0.5% 4/1/2027  | 1435000 | 1370425 |
| Information Technology - 0.2% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| MKS Inc 1.25% 6/1/2030  | 221000 | 384430 |
| Software - 0.2% |  |  |
| Riot Platforms Inc 0.75% 1/15/2030  | 602000 | 816613 |
| Strategy Inc 0% 12/1/2029 (i) | 1267000 | 1034252 |
| Terawulf Inc 0% 5/1/2032 (i)(j) | 425000 | 466055 |
|  |  | 2316920 |
| TOTAL INFORMATION TECHNOLOGY |  | 2701350 |
| TOTAL UNITED STATES |  | 5333926 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $4,169,377) |  | <br> **5333926** |

---

---

| | | |
|:---|:---|:---|
| &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%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Household Durables - 0.0% |  |  |
| Whirlpool Corp Series A, 8.5%  | 5921 | 290780 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Apollo Global Management Inc Series A, 6.75%  | 4411 | 247135 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Oracle Corp Series D 6.5%  | 7837 | 359484 |
| TOTAL UNITED STATES |  | 897399 |
| <br> **TOTAL CONVERTIBLE PREFERRED STOCKS**<br> (Cost $974,874) |  | <br> **897399** |

---

---

| | | |
|:---|:---|:---|
| &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>|
| COLOMBIA - 0.2%  |  |  |
| Colombian Republic 5.375% 1/21/2029  | 4230000 | 4221540 |
| Colombian Republic 6.125% 1/21/2031  | 1285000 | 1281788 |
| TOTAL COLOMBIA |  | 5503328 |
| MEXICO - 0.2%  |  |  |
| United Mexican States 3.25% 4/16/2030  | 3525000 | 3355359 |
| United Mexican States 6% 5/13/2030  | 2190000 | 2303880 |
| TOTAL MEXICO |  | 5659239 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $11,169,302) |  | <br> **11162567** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 64.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 64.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 64.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ANGOLA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Azule Energy Finance Plc 8.125% 1/23/2030 (j) | 250000 | 253908 |
| AUSTRALIA - 0.8%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Westpac Banking Corp 4.11% 7/24/2034 (c) | 8710000 | 8635108 |
| Materials - 0.5% |  |  |
| Metals & Mining - 0.5% |  |  |
| Glencore Funding LLC 4.907% 4/1/2028 (j) | 10311000 | 10499474 |
| Glencore Funding LLC 5.338% 4/4/2027 (j) | 5275000 | 5351185 |
| Mineral Resources Ltd 7% 4/1/2031 (j) | 140000 | 147281 |
| Mineral Resources Ltd 9.25% 10/1/2028 (j) | 980000 | 1026405 |
| TOTAL MATERIALS |  | 17024345 |
| TOTAL AUSTRALIA |  | 25659453 |
| BAILIWICK OF JERSEY - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobiles - 0.0% |  |  |
| Aston Martin Capital Holdings Ltd 10% 3/31/2029 (j) | 330000 | 266475 |
| BRAZIL - 0.1%  |  |  |
| Industrials - 0.0% |  |  |
| Commercial Services & Supplies - 0.0% |  |  |
| Ambipar Lux Sarl 9.875% (e)(j) | 395000 | 74063 |
| Passenger Airlines - 0.0% |  |  |
| Azul Secured Finance LLP 9.875% 2/15/2031 (j) | 215000 | 215991 |
| TOTAL INDUSTRIALS |  | 290054 |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| ERO Copper Corp 6.5% 2/15/2030 (j) | 995000 | 999975 |
| Samarco Mineracao SA 9% 6/30/2031 pay-in-kind (c)(j) | 428657 | 430663 |
| TOTAL MATERIALS |  | 1430638 |
| TOTAL BRAZIL |  | 1720692 |
| CAMEROON - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Golar LNG Ltd 7.5% 10/2/2030 (j) | 595000 | 595785 |
| Golar LNG Ltd 7.75% 9/19/2029 (j)(n) | 200000 | 201596 |
| TOTAL CAMEROON |  | 797381 |
| CANADA - 3.1%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| TELUS Corp 6.375% 6/9/2056 (c) | 465000 | 471866 |
| TELUS Corp 6.625% 10/15/2055 (c) | 640000 | 660876 |
|  |  | 1132742 |
| Wireless Telecommunication Services - 0.1% |  |  |
| Rogers Communications Inc 3.2% 3/15/2027  | 3100000 | 3077301 |
| TOTAL COMMUNICATION SERVICES |  | 4210043 |
| Consumer Discretionary - 0.1% |  |  |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| 1011778 BC ULC / New Red Finance Inc 3.875% 1/15/2028 (j) | 700000 | 691159 |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (j) | 730000 | 701024 |
| 1011778 BC ULC / New Red Finance Inc 5.625% 9/15/2029 (j) | 700000 | 712372 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (j) | 305000 | 313681 |
| Ontario Gaming GTA LP/OTG Co-Issuer Inc 8% 8/1/2030 (j) | 380000 | 367310 |
| TOTAL CONSUMER DISCRETIONARY |  | 2785546 |
| Consumer Staples - 0.2% |  |  |
| Consumer Staples Distribution & Retail - 0.2% |  |  |
| Alimentation Couche-Tard Inc 4.148% 9/29/2028 (j) | 7826000 | 7870026 |
| Energy - 1.4% |  |  |
| Oil, Gas & Consumable Fuels - 1.4% |  |  |
| Canadian Natural Resources Ltd 5% 12/15/2029  | 4369000 | 4509008 |
| Cenovus Energy Inc 4.65% 3/20/2031  | 3476000 | 3520108 |
| Enbridge Inc 1.6% 10/4/2026  | 10000000 | 9862798 |
| Enbridge Inc 4.2% 11/20/2028  | 3340000 | 3360520 |
| Enbridge Inc 4.6% 6/20/2028  | 3822000 | 3873352 |
| Enbridge Inc 5.3% 4/5/2029  | 3720000 | 3855657 |
| Enbridge Inc 5.9% 11/15/2026  | 2300000 | 2327902 |
| South Bow USA Infrastructure Holdings LLC 4.911% 9/1/2027  | 8989000 | 9086092 |
| TOTAL ENERGY |  | 40395437 |
| Financials - 0.9% |  |  |
| Banks - 0.7% |  |  |
| Bank of Nova Scotia/The 4.247% 2/2/2030 (c) | 8300000 | 8340956 |
| Bank of Nova Scotia/The 5.13% 2/14/2031 (c) | 7890000 | 8169511 |
| Toronto Dominion Bank 4.783% 12/17/2029  | 4185000 | 4304784 |
|  |  | 20815251 |
| Insurance - 0.2% |  |  |
| Empower Finance 2020 LP 1.357% 9/17/2027 (j) | 5321000 | 5117370 |
| TOTAL FINANCIALS |  | 25932621 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Bausch Health Cos Inc 11% 9/30/2028 (j) | 103000 | 107698 |
| Industrials - 0.1% |  |  |
| Commercial Services & Supplies - 0.0% |  |  |
| Wrangler Holdco Corp 6.625% 4/1/2032 (j) | 235000 | 244802 |
| Ground Transportation - 0.1% |  |  |
| Canadian Pacific Railway Co 1.75% 12/2/2026  | 2099000 | 2066670 |
| TOTAL INDUSTRIALS |  | 2311472 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Open Text Corp 3.875% 2/15/2028 (j) | 1110000 | 1058099 |
| Materials - 0.3% |  |  |
| Chemicals - 0.3% |  |  |
| Methanex Corp 5.125% 10/15/2027  | 705000 | 707761 |
| Nutrien Ltd 4.9% 3/27/2028  | 8000000 | 8144973 |
|  |  | 8852734 |
| Metals & Mining - 0.0% |  |  |
| Capstone Copper Corp 6.75% 3/31/2033 (j) | 245000 | 253192 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (j) | 900000 | 899415 |
| New Gold Inc 6.875% 4/1/2032 (j) | 215000 | 228487 |
|  |  | 1381094 |
| TOTAL MATERIALS |  | 10233828 |
| TOTAL CANADA |  | 94904770 |
| COLOMBIA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Canacol Energy Ltd 5.75% (e)(j) | 485000 | 143075 |
| 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 (j) | 675000 | 634500 |
| TOTAL COLOMBIA |  | 777575 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Ivanhoe Mines Ltd 7.875% 1/23/2030 (j) | 360000 | 374794 |
| DENMARK - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Danske Bank A/S 4.298% 4/1/2028 (c)(j) | 7500000 | 7527729 |
| FRANCE - 1.5%  |  |  |
| Communication Services - 0.4% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| Altice France SA 6.5% 4/15/2032 (j) | 160061 | 153291 |
| Altice France SA 6.875% 10/15/2030 (j) | 152439 | 147777 |
| Altice France SA 6.875% 7/15/2032 (j) | 1176379 | 1129352 |
| Orange SA 4% 1/13/2029 (j) | 2830000 | 2838802 |
| Orange SA 4.25% 1/13/2031 (j) | 7353000 | 7364982 |
| TOTAL COMMUNICATION SERVICES |  | 11634204 |
| Energy - 0.0% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Viridien 10% 10/15/2030 (j) | 250000 | 268079 |
| Financials - 1.1% |  |  |
| Banks - 1.1% |  |  |
| BNP Paribas SA 4.792% 5/9/2029 (c)(j) | 7300000 | 7392630 |
| BPCE SA 2.045% 10/19/2027 (c)(j) | 6865000 | 6781596 |
| BPCE SA 6.714% 10/19/2029 (c)(j) | 2900000 | 3079712 |
| Societe Generale SA 1.792% 6/9/2027 (c)(j) | 6750000 | 6708226 |
| Societe Generale SA 5.249% 5/22/2029 (c)(j) | 7350000 | 7510084 |
| Societe Generale SA 5.5% 4/13/2029 (c)(j) | 4296000 | 4408235 |
| TOTAL FINANCIALS |  | 35880483 |
| TOTAL FRANCE |  | 47782766 |
| GERMANY - 1.9%  |  |  |
| Consumer Discretionary - 0.4% |  |  |
| Automobile Components - 0.0% |  |  |
| ZF North America Capital Inc 6.75% 4/23/2030 (j)(l) | 265000 | 267955 |
| ZF North America Capital Inc 7.5% 3/24/2031 (j) | 260000 | 267960 |
|  |  | 535915 |
| Automobiles - 0.4% |  |  |
| Mercedes-Benz Finance North America LLC 4.8% 8/1/2029 (j) | 8000000 | 8193951 |
| Volkswagen Group of America Finance LLC 4.95% 8/15/2029 (j) | 3000000 | 3056552 |
|  |  | 11250503 |
| TOTAL CONSUMER DISCRETIONARY |  | 11786418 |
| Financials - 1.0% |  |  |
| Capital Markets - 1.0% |  |  |
| Deutsche Bank AG/New York NY 2.311% 11/16/2027 (c) | 7028000 | 6942634 |
| Deutsche Bank AG/New York NY 4.725% 2/6/2032 (c) | 9110000 | 9187846 |
| Deutsche Bank AG/New York NY 4.95% 8/4/2031 (c) | 9430000 | 9604169 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (c) | 7000000 | 7321032 |
| TOTAL FINANCIALS |  | 33055681 |
| Health Care - 0.2% |  |  |
| Pharmaceuticals - 0.2% |  |  |
| Bayer US Finance II LLC 4.375% 12/15/2028 (j) | 3000000 | 3010754 |
| Bayer US Finance LLC 6.125% 11/21/2026 (j) | 3000000 | 3038851 |
| TOTAL HEALTH CARE |  | 6049605 |
| Industrials - 0.3% |  |  |
| Machinery - 0.3% |  |  |
| Daimler Truck Finance North America LLC 2% 12/14/2026 (j) | 5000000 | 4929277 |
| Daimler Truck Finance North America LLC 4.95% 1/13/2028 (j) | 1704000 | 1733139 |
| Daimler Truck Finance North America LLC 5.125% 9/25/2027 (j) | 1437000 | 1461755 |
| TK Elevator US Newco Inc 5.25% 7/15/2027 (j) | 1375000 | 1374442 |
| TOTAL INDUSTRIALS |  | 9498613 |
| TOTAL GERMANY |  | 60390317 |
| GHANA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Kosmos Energy Ltd 7.5% 3/1/2028 (j) | 700000 | 604625 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (j) | 955000 | 984319 |
| IRELAND - 1.4%  |  |  |
| Financials - 0.9% |  |  |
| Banks - 0.1% |  |  |
| Bank of Ireland Group PLC 5.601% 3/20/2030 (c)(j) | 3531000 | 3673932 |
| Consumer Finance - 0.8% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 2102000 | 2081657 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.125% 2/28/2029  | 7626000 | 7629989 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.375% 11/15/2030  | 5778000 | 5793247 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.1% 1/15/2027  | 5500000 | 5593302 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 3836000 | 3932535 |
|  |  | 25030730 |
| Financial Services - 0.0% |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (j) | 670000 | 680599 |
| TOTAL FINANCIALS |  | 29385261 |
| Industrials - 0.5% |  |  |
| Transportation Infrastructure - 0.5% |  |  |
| Avolon Holdings Funding Ltd 2.528% 11/18/2027 (j) | 1756000 | 1709744 |
| Avolon Holdings Funding Ltd 4.85% 4/1/2033 (j) | 150000 | 148675 |
| Avolon Holdings Funding Ltd 4.95% 1/15/2028 (j) | 3331000 | 3375239 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (j) | 5853000 | 6053781 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (j) | 4950000 | 5149662 |
| TOTAL INDUSTRIALS |  | 16437101 |
| TOTAL IRELAND |  | 45822362 |
| ISRAEL - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Energean Israel Finance Ltd 5.375% 3/30/2028 (j)(n) | 130000 | 128508 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  | 635000 | 658915 |
| TOTAL ISRAEL |  | 787423 |
| ITALY - 0.4%  |  |  |
| Utilities - 0.4% |  |  |
| Electric Utilities - 0.4% |  |  |
| Enel Finance International NV 4.375% 9/30/2030 (j) | 5152000 | 5178322 |
| Enel Finance International NV 5.125% 6/26/2029 (j) | 8000000 | 8241855 |
| TOTAL ITALY |  | 13420177 |
| JAPAN - 1.9%  |  |  |
| Communication Services - 0.3% |  |  |
| Diversified Telecommunication Services - 0.3% |  |  |
| NTT Finance Corp 1.591% 4/3/2028 (j) | 10000000 | 9539475 |
| NTT Finance Corp 4.567% 7/16/2027 (j) | 311000 | 313821 |
| NTT Finance Corp 4.62% 7/16/2028 (j) | 314000 | 318744 |
| TOTAL COMMUNICATION SERVICES |  | 10172040 |
| Consumer Staples - 0.2% |  |  |
| Tobacco - 0.2% |  |  |
| Japan Tobacco Inc 4.85% 5/15/2028 (j) | 2993000 | 3053905 |
| Japan Tobacco Inc 5.21% 6/15/2030 (j) | 2486000 | 2596055 |
| TOTAL CONSUMER STAPLES |  | 5649960 |
| Financials - 1.4% |  |  |
| Banks - 1.0% |  |  |
| Mitsubishi UFJ Financial Group Inc 1.538% 7/20/2027 (c) | 10000000 | 9907849 |
| Mitsubishi UFJ Financial Group Inc 1.64% 10/13/2027 (c) | 5000000 | 4931177 |
| Mizuho Financial Group Inc 1.234% 5/22/2027 (c) | 10000000 | 9940646 |
| Mizuho Financial Group Inc 4.711% 7/8/2031 (c) | 7464000 | 7610934 |
|  |  | 32390606 |
| Capital Markets - 0.4% |  |  |
| Nomura Holdings Inc 1.653% 7/14/2026  | 12500000 | 12396051 |
| TOTAL FINANCIALS |  | 44786657 |
| TOTAL JAPAN |  | 60608657 |
| LUXEMBOURG - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice Financing SA 5% 1/15/2028 (j) | 115000 | 80948 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Breakwater Energy Holdings Sarl 9.25% 11/15/2030 (j) | 255000 | 271652 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Herens Holdco Sarl 4.75% 5/15/2028 (j) | 105000 | 92402 |
| TOTAL LUXEMBOURG |  | 445002 |
| MAURITIUS - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Axian Telecom Holding & Management PLC 7.25% 7/11/2030 (j) | 150000 | 151995 |
| MEXICO - 0.4%  |  |  |
| Energy - 0.4% |  |  |
| Oil, Gas & Consumable Fuels - 0.4% |  |  |
| Petroleos Mexicanos 6.7% 2/16/2032  | 12250000 | 12285525 |
| NETHERLANDS - 1.3%  |  |  |
| Consumer Staples - 0.3% |  |  |
| Food Products - 0.3% |  |  |
| JDE Peet's NV 1.375% 1/15/2027 (j) | 10440000 | 10198199 |
| Financials - 1.0% |  |  |
| Banks - 1.0% |  |  |
| ABN AMRO Bank NV 1.542% 6/16/2027 (c)(j) | 8114000 | 8052891 |
| Cooperatieve Rabobank UA 1.98% 12/15/2027 (c)(j) | 7500000 | 7386300 |
| ING Groep NV 1.726% 4/1/2027 (c) | 4192000 | 4184058 |
| ING Groep NV 5.335% 3/19/2030 (c) | 9464000 | 9804197 |
| TOTAL FINANCIALS |  | 29427446 |
| Information Technology - 0.0% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.3% 8/19/2028  | 1545000 | 1555339 |
| TOTAL NETHERLANDS |  | 41180984 |
| NIGERIA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| IHS Holding Ltd 5.625% 11/29/2026 (j) | 685000 | 681623 |
| IHS Holding Ltd 7.875% 5/29/2030 (j) | 185000 | 193094 |
| TOTAL NIGERIA |  | 874717 |
| NORWAY - 0.6%  |  |  |
| Energy - 0.0% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Seadrill Finance Ltd 8.375% 8/1/2030 (j) | 370000 | 388816 |
| TGS ASA 8.5% 1/15/2030 (j) | 720000 | 760519 |
| TOTAL ENERGY |  | 1149335 |
| Financials - 0.6% |  |  |
| Banks - 0.6% |  |  |
| DNB Bank ASA 1.535% 5/25/2027 (c)(j) | 4643000 | 4616107 |
| DNB Bank ASA 1.605% 3/30/2028 (c)(j) | 9570000 | 9337650 |
| DNB Bank ASA 4.384% 11/4/2031 (c)(j) | 3000000 | 3014362 |
| TOTAL FINANCIALS |  | 16968119 |
| TOTAL NORWAY |  | 18117454 |
| PANAMA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (j) | 610000 | 617324 |
| Wireless Telecommunication Services - 0.0% |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (j) | 545000 | 562864 |
| TOTAL PANAMA |  | 1180188 |
| PERU - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Volcan Cia Minera SAA 8.5% 10/28/2032 (j) | 265000 | 277265 |
| SOUTH AFRICA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Liquid Telecommunications Financing Plc 5.5% 9/4/2026 (j) | 620000 | 598393 |
| SPAIN - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Banco Santander SA 1.722% 9/14/2027 (c) | 5000000 | 4940186 |
| Banco Santander SA 5.365% 7/15/2028 (c) | 4000000 | 4070965 |
| TOTAL SPAIN |  | 9011151 |
| SWITZERLAND - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Capital Markets - 0.1% |  |  |
| UBS Group AG 6.246% 9/22/2029 (c)(j) | 2900000 | 3052764 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 7.875% 5/1/2027 (j) | 490000 | 491221 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 9.5% 6/1/2028 (j) | 125000 | 128901 |
| TOTAL INDUSTRIALS |  | 620122 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Consolidated Energy Finance SA 6.5% 5/15/2026 (j) | 725000 | 719858 |
| TOTAL SWITZERLAND |  | 4392744 |
| TANZANIA - 0.0%  |  |  |
| Information Technology - 0.0% |  |  |
| Communications Equipment - 0.0% |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (j) | 545000 | 563198 |
| UNITED KINGDOM - 4.9%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Specialty Retail - 0.0% |  |  |
| Belron UK Finance PLC 5.75% 10/15/2029 (j) | 710000 | 725573 |
| Consumer Staples - 1.0% |  |  |
| Tobacco - 1.0% |  |  |
| BAT International Finance PLC 1.668% 3/25/2026  | 15000000 | 14976858 |
| BAT International Finance PLC 5.931% 2/2/2029  | 5000000 | 5267175 |
| Imperial Brands Finance PLC 4.5% 6/30/2028 (j) | 2134000 | 2156303 |
| Imperial Brands Finance PLC 5.5% 2/1/2030 (j) | 7900000 | 8252130 |
| TOTAL CONSUMER STAPLES |  | 30652466 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| EG Global Finance PLC 12% 11/30/2028 (j) | 1750000 | 1881332 |
| Financials - 3.6% |  |  |
| Banks - 3.4% |  |  |
| Barclays PLC 2.279% 11/24/2027 (c) | 5000000 | 4932900 |
| Barclays PLC 4.219% 5/24/2030 (c) | 2159000 | 2159472 |
| Barclays PLC 4.476% 11/11/2029 (c) | 7700000 | 7759593 |
| Barclays PLC 5.367% 2/25/2031 (c) | 5200000 | 5397749 |
| Barclays PLC 5.69% 3/12/2030 (c) | 4721000 | 4921649 |
| HSBC Holdings PLC 4.899% 3/3/2029 (c) | 9152000 | 9301336 |
| HSBC Holdings PLC 5.21% 8/11/2028 (c) | 4327000 | 4395089 |
| HSBC Holdings PLC 5.24% 5/13/2031 (c) | 7250000 | 7510751 |
| HSBC Holdings PLC 5.597% 5/17/2028 (c) | 6300000 | 6415229 |
| HSBC Holdings PLC 7.39% 11/3/2028 (c) | 6900000 | 7270319 |
| Lloyds Banking Group PLC 3.574% 11/7/2028 (c) | 4000000 | 3973479 |
| Lloyds Banking Group PLC 4.818% 6/13/2029 (c) | 3954000 | 4020921 |
| Lloyds Banking Group PLC 5.087% 11/26/2028 (c) | 1122000 | 1142727 |
| Lloyds Banking Group PLC 5.721% 6/5/2030 (c) | 3667000 | 3850425 |
| Lloyds Banking Group PLC 5.871% 3/6/2029 (c) | 2900000 | 3005909 |
| NatWest Group PLC 4.964% 8/15/2030 (c) | 13500000 | 13840294 |
| NatWest Group PLC 5.115% 5/23/2031 (c) | 2900000 | 2990828 |
| NatWest Markets PLC 4.789% 3/21/2028 (j) | 6000000 | 6101104 |
| Standard Chartered PLC 4.299% 1/13/2030 (c)(j) | 6481000 | 6499562 |
|  |  | 105489336 |
| Financial Services - 0.2% |  |  |
| Nationwide Building Society 6.557% 10/18/2027 (c)(j) | 5800000 | 5891922 |
| TOTAL FINANCIALS |  | 111381258 |
| Industrials - 0.2% |  |  |
| Aerospace & Defense - 0.2% |  |  |
| BAE Systems Finance Inc 7.5% 7/1/2027 (j) | 4000000 | 4187830 |
| BAE Systems PLC 5% 3/26/2027 (j) | 1667000 | 1686783 |
| BAE Systems PLC 5.125% 3/26/2029 (j) | 1551000 | 1606688 |
| TOTAL INDUSTRIALS |  | 7481301 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| INEOS Quattro Finance 2 Plc 9.625% 3/15/2029 (j) | 50000 | 42999 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (j) | 645000 | 643102 |
| TOTAL UNITED KINGDOM |  | 152808031 |
| UNITED STATES - 45.3%  |  |  |
| Communication Services - 2.4% |  |  |
| Diversified Telecommunication Services - 1.0% |  |  |
| APLD ComputeCo LLC 9.25% 12/15/2030 (j) | 1770000 | 1857778 |
| AT&T Inc 1.65% 2/1/2028  | 12588000 | 12071328 |
| AT&T Inc 4.4% 4/30/2031  | 9080000 | 9163814 |
| AT&T Inc 4.7% 8/15/2030  | 2877000 | 2949841 |
| Black Pearl Compute LLC 6.125% 2/15/2031 (j)(l) | 342000 | 350021 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (j) | 1160000 | 1159085 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (j) | 605000 | 604553 |
| Cipher Compute LLC 7.125% 11/15/2030 (j)(l) | 255000 | 265798 |
| Flash Compute LLC 7.25% 12/31/2030 (j) | 835000 | 854722 |
| Frontier Communications Holdings LLC 5% 5/1/2028 (j) | 960000 | 960553 |
| Level 3 Financing Inc 7% 3/31/2034 (j) | 170000 | 176722 |
| SV RNO Property Owner 1 LLC 5.875% 3/1/2031 (j) | 910000 | 914077 |
| Uniti Services LLC 7.5% 10/15/2033 (j)(l) | 60000 | 62425 |
| WULF Compute LLC 7.75% 10/15/2030 (j)(l) | 1375000 | 1456144 |
|  |  | 32846861 |
| Entertainment - 0.1% |  |  |
| Live Nation Entertainment Inc 4.75% 10/15/2027 (j) | 1550000 | 1549008 |
| ROBLOX Corp 3.875% 5/1/2030 (j) | 395000 | 377192 |
|  |  | 1926200 |
| Interactive Media & Services - 0.1% |  |  |
| Meta Platforms Inc 4.2% 11/15/2030  | 3378000 | 3407708 |
| Media - 0.9% |  |  |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 3/1/2030 (j) | 485000 | 468880 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.125% 5/1/2027 (j)(l) | 505000 | 504887 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.375% 6/1/2029 (j) | 630000 | 628501 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7% 2/1/2033 (j) | 1120000 | 1145140 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.25% 1/15/2029  | 8030000 | 7580470 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.75% 2/15/2028  | 4000000 | 3964688 |
| Clear Channel Outdoor Holdings Inc 7.125% 2/15/2031 (j) | 505000 | 533791 |
| Clear Channel Outdoor Holdings Inc 7.5% 3/15/2033 (j) | 150000 | 161928 |
| Clear Channel Outdoor Holdings Inc 7.5% 6/1/2029 (j) | 80000 | 80569 |
| CSC Holdings LLC 5.5% 4/15/2027 (j) | 240000 | 203480 |
| Discovery Global Holdings Inc 3.755% 3/15/2027  | 2385000 | 2377583 |
| DISH DBS Corp 5.125% 6/1/2029  | 135000 | 120559 |
| DISH DBS Corp 5.25% 12/1/2026 (j) | 405000 | 393389 |
| DISH DBS Corp 7.75% 7/1/2026  | 1195000 | 1180198 |
| DISH Network Corp 11.75% 11/15/2027 (j)(l) | 1175000 | 1216449 |
| EchoStar Corp 10.75% 11/30/2029  | 1195000 | 1305203 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (c) | 1695000 | 1716618 |
| EW Scripps Co/The 9.875% 8/15/2030 (j) | 1345000 | 1350571 |
| Sirius XM Radio LLC 3.125% 9/1/2026 (j) | 1430000 | 1422254 |
| TEGNA Inc 5% 9/15/2029  | 310000 | 309707 |
| Univision Communications Inc 7.375% 6/30/2030 (j)(l) | 870000 | 870017 |
| Univision Communications Inc 8% 8/15/2028 (j) | 375000 | 385201 |
| Univision Communications Inc 9.375% 8/1/2032 (j) | 125000 | 132271 |
|  |  | 28052354 |
| Wireless Telecommunication Services - 0.3% |  |  |
| T-Mobile USA Inc 3.875% 4/15/2030  | 10000000 | 9923124 |
| TOTAL COMMUNICATION SERVICES |  | 76156247 |
| Consumer Discretionary - 3.6% |  |  |
| Automobile Components - 0.1% |  |  |
| American Axle & Manufacturing Inc 6.375% 10/15/2032 (j) | 195000 | 198456 |
| Clarios Global LP / Clarios US Finance Co 6.75% 9/15/2032 (j) | 510000 | 529393 |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (j) | 480000 | 502780 |
| Clarios Global LP / Clarios US Finance Co 6.75% 5/15/2028 (j) | 1200000 | 1227430 |
| Patrick Industries Inc 6.375% 11/1/2032 (j) | 505000 | 518697 |
|  |  | 2976756 |
| Automobiles - 1.6% |  |  |
| General Motors Financial Co Inc 2.35% 2/26/2027  | 7500000 | 7381976 |
| General Motors Financial Co Inc 4.2% 10/27/2028  | 2709000 | 2719347 |
| General Motors Financial Co Inc 4.6% 1/8/2031  | 8300000 | 8376045 |
| General Motors Financial Co Inc 5.8% 6/23/2028  | 7500000 | 7773730 |
| General Motors Financial Co Inc 6% 1/9/2028  | 7900000 | 8161120 |
| Hyundai Capital America 4.875% 6/23/2027 (j) | 6250000 | 6324782 |
| Hyundai Capital America 5.45% 6/24/2026 (j) | 3147000 | 3159891 |
| Hyundai Capital America 5.6% 3/30/2028 (j) | 2900000 | 2984564 |
| Nissan Motor Acceptance Co LLC 2.45% 9/15/2028 (j) | 45000 | 42100 |
| Nissan Motor Acceptance Co LLC 5.55% 9/13/2029 (j) | 70000 | 69847 |
| Nissan Motor Acceptance Co LLC 6.125% 9/30/2030 (j) | 190000 | 190440 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (j) | 360000 | 340517 |
|  |  | 47524359 |
| Broadline Retail - 0.0% |  |  |
| Saks Global Enterprises LLC 11% (e)(j) | 459933 | 2012 |
| Saks Global Enterprises LLC 11% (e)(f)(j) | 155247 | 0 |
| Wayfair LLC 6.75% 11/15/2032 (j)(l) | 130000 | 132495 |
| Wayfair LLC 7.25% 10/31/2029 (j)(l) | 530000 | 547724 |
| Wayfair LLC 7.75% 9/15/2030 (j) | 745000 | 783450 |
|  |  | 1465681 |
| Diversified Consumer Services - 0.1% |  |  |
| Service Corp International/US 5.75% 10/15/2032  | 575000 | 586218 |
| Sotheby's 7.375% 10/15/2027 (j) | 1835000 | 1823817 |
| StoneMor Inc 8.5% 5/15/2029 (j) | 875000 | 848771 |
| TKC Holdings Inc 12% 2/15/2031 (j) | 655000 | 688458 |
| TKC Holdings Inc 8.5% 8/15/2030 (j) | 575000 | 588392 |
|  |  | 4535656 |
| Hotels, Restaurants & Leisure - 0.4% |  |  |
| Boyd Gaming Corp 4.75% 12/1/2027  | 475000 | 474365 |
| Caesars Entertainment Inc 4.625% 10/15/2029 (j) | 525000 | 513611 |
| Caesars Entertainment Inc 6.5% 2/15/2032 (j) | 815000 | 828201 |
| Carnival Corp 5.125% 5/1/2029 (j) | 265000 | 268529 |
| Carnival Corp 5.75% 3/15/2030 (j) | 520000 | 537793 |
| Carnival Corp 5.75% 8/1/2032 (j) | 125000 | 129725 |
| Carnival Corp 5.875% 6/15/2031 (j) | 1200000 | 1254026 |
| Carnival Corp 6.125% 2/15/2033 (j) | 455000 | 471015 |
| Churchill Downs Inc 4.75% 1/15/2028 (j) | 375000 | 373783 |
| Churchill Downs Inc 6.75% 5/1/2031 (j)(l) | 605000 | 623214 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (j) | 1465000 | 1381671 |
| Hilton Domestic Operating Co Inc 3.75% 5/1/2029 (j) | 490000 | 477081 |
| Hilton Domestic Operating Co Inc 5.875% 4/1/2029 (j) | 245000 | 250810 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 5% 6/1/2029 (j) | 480000 | 468462 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (j) | 305000 | 311170 |
| Life Time Inc 6% 11/15/2031 (j)(l) | 550000 | 566505 |
| Lindblad Expeditions LLC 7% 9/15/2030 (j)(l) | 145000 | 152110 |
| MajorDrive Holdings IV LLC 6.375% 6/1/2029 (j) | 110000 | 81479 |
| NCL Corp Ltd 5.875% 1/15/2031 (j) | 385000 | 388965 |
| NCL Corp Ltd 6.25% 3/1/2030 (j) | 125000 | 127970 |
| Royal Caribbean Cruises Ltd 5.5% 4/1/2028 (j) | 990000 | 1011686 |
| Royal Caribbean Cruises Ltd 5.625% 9/30/2031 (j) | 210000 | 216541 |
| Six Flags Entertainment Corp/Canada's Wonderland Co/Millennium Operations LLC 8.625% 1/15/2032 (j) | 590000 | 597371 |
| Viking Cruises Ltd 9.125% 7/15/2031 (j) | 465000 | 494734 |
| Viking Ocean Cruises Ship VII Ltd 5.625% 2/15/2029 (j) | 125000 | 124897 |
| VOC Escrow Ltd 5% 2/15/2028 (j) | 200000 | 199830 |
| Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp 5.25% 5/15/2027 (j) | 325000 | 325914 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 6.25% 3/15/2033 (j) | 175000 | 178717 |
|  |  | 12830175 |
| Household Durables - 0.1% |  |  |
| LGI Homes Inc 4% 7/15/2029 (j) | 340000 | 315871 |
| LGI Homes Inc 7% 11/15/2032 (j) | 565000 | 553893 |
| LGI Homes Inc 8.75% 12/15/2028 (j) | 370000 | 386044 |
| New Home Co Inc/The 8.5% 11/1/2030 (j) | 255000 | 265536 |
| Somnigroup International Inc 4% 4/15/2029 (j) | 1035000 | 1005847 |
| Whirlpool Corp 6.125% 6/15/2030  | 350000 | 351571 |
| Whirlpool Corp 6.5% 6/15/2033  | 90000 | 89815 |
|  |  | 2968577 |
| Leisure Products - 0.4% |  |  |
| Brunswick Corp/DE 5.85% 3/18/2029  | 4539000 | 4719178 |
| Mattel Inc 5% 11/17/2030  | 7013000 | 7120674 |
|  |  | 11839852 |
| Specialty Retail - 0.9% |  |  |
| Advance Auto Parts Inc 5.95% 3/9/2028  | 6525000 | 6708046 |
| Advance Auto Parts Inc 7% 8/1/2030 (j) | 180000 | 184657 |
| AutoNation Inc 4.45% 1/15/2029  | 9760000 | 9833149 |
| AutoZone Inc 5.165% 6/15/2030  | 3975000 | 4120000 |
| AutoZone Inc 6.25% 11/1/2028  | 3398000 | 3589046 |
| Group 1 Automotive Inc 6.375% 1/15/2030 (j) | 670000 | 686808 |
| LBM Acquisition LLC 6.25% 1/15/2029 (j) | 120000 | 91491 |
| LBM Acquisition LLC 9.5% 6/15/2031 (j) | 540000 | 503658 |
| Michaels Cos Inc/The 8.5% 3/15/2033 (j)(m) | 150000 | 145906 |
| O'Reilly Automotive Inc 5.75% 11/20/2026  | 1697000 | 1716949 |
| Park River Holdings Inc 8% 3/15/2031 (j) | 95000 | 95608 |
| Staples Inc 10.75% 9/1/2029 (j) | 1210000 | 1110253 |
| Wand NewCo 3 Inc 7.625% 1/30/2032 (j) | 215000 | 224344 |
| White Cap Supply Holdings LLC 7.375% 11/15/2030 (j) | 230000 | 233528 |
|  |  | 29243443 |
| TOTAL CONSUMER DISCRETIONARY |  | 113384499 |
| Consumer Staples - 1.2% |  |  |
| Beverages - 0.3% |  |  |
| Molson Coors Beverage Co 3% 7/15/2026  | 10575000 | 10530494 |
| Consumer Staples Distribution & Retail - 0.3% |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 3.5% 3/15/2029 (j) | 265000 | 255519 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.5% 3/31/2031 (j) | 235000 | 236582 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.5% 2/15/2028 (j) | 935000 | 951568 |
| Albertsons Cos Inc 5.625% 3/31/2032 (j) | 425000 | 426673 |
| C&S Group Enterprises LLC 5% 12/15/2028 (j) | 285000 | 269433 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (j) | 735000 | 771227 |
| Mars Inc 4.6% 3/1/2028 (j) | 4141000 | 4201069 |
| Mars Inc 4.8% 3/1/2030 (j) | 1360000 | 1398073 |
| Performance Food Group Inc 6.125% 9/15/2032 (j) | 450000 | 461924 |
| US Foods Inc 4.75% 2/15/2029 (j) | 580000 | 577560 |
| US Foods Inc 5.75% 4/15/2033 (j) | 210000 | 214206 |
|  |  | 9763834 |
| Food Products - 0.2% |  |  |
| Bunge Ltd Finance Corp 4.1% 1/7/2028  | 2685000 | 2698267 |
| Campbell's Company/The 5.3% 3/20/2026  | 1106000 | 1106572 |
| Fiesta Purchaser Inc 7.875% 3/1/2031 (j) | 165000 | 169957 |
| Fiesta Purchaser Inc 9.625% 9/15/2032 (j) | 715000 | 726931 |
| Post Holdings Inc 4.625% 4/15/2030 (j)(l) | 370000 | 362174 |
| Post Holdings Inc 6.375% 3/1/2033 (j) | 230000 | 234113 |
|  |  | 5298014 |
| Tobacco - 0.4% |  |  |
| Philip Morris International Inc 4.125% 4/28/2028  | 7300000 | 7351964 |
| Philip Morris International Inc 4.875% 2/13/2029  | 6400000 | 6578734 |
|  |  | 13930698 |
| TOTAL CONSUMER STAPLES |  | 39523040 |
| Energy - 3.9% |  |  |
| Energy Equipment & Services - 0.1% |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp 6.25% 4/1/2028 (j) | 370000 | 370289 |
| Archrock Partners LP / Archrock Partners Finance Corp 6.625% 9/1/2032 (j) | 195000 | 202925 |
| Kodiak Gas Services LLC 7.25% 2/15/2029 (j) | 485000 | 502912 |
| SESI LLC 7.875% 9/30/2030 (j) | 665000 | 678989 |
| Transocean International Ltd 7.875% 10/15/2032 (j) | 70000 | 75161 |
| Transocean International Ltd 8.25% 5/15/2029 (j) | 620000 | 645525 |
| USA Compression Partners LP / USA Compression Finance Corp 6.25% 10/1/2033 (j) | 290000 | 294917 |
| USA Compression Partners LP / USA Compression Finance Corp 7.125% 3/15/2029 (j) | 240000 | 247999 |
| Valaris Ltd 8.375% 4/30/2030 (j) | 300000 | 314613 |
| WBI Operating LLC 6.25% 10/15/2030 (j) | 900000 | 917316 |
|  |  | 4250646 |
| Oil, Gas & Consumable Fuels - 3.8% |  |  |
| Aethon United BR LP / Aethon United Finance Corp 7.5% 10/1/2029 (j) | 260000 | 273518 |
| Buckeye Partners LP 4.125% 12/1/2027  | 255000 | 253451 |
| California Resources Corp 8.25% 6/15/2029 (j) | 820000 | 860843 |
| Cheniere Energy Inc 4.625% 10/15/2028  | 745000 | 744734 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (j) | 585000 | 570530 |
| CNX Resources Corp 7.25% 3/1/2032 (j) | 445000 | 466625 |
| Comstock Resources Inc 5.875% 1/15/2030 (j) | 530000 | 510784 |
| Comstock Resources Inc 6.75% 3/1/2029 (j) | 860000 | 856676 |
| CVR Energy Inc 7.5% 2/15/2031 (j) | 905000 | 901933 |
| DBR Land Holdings LLC 6.25% 12/1/2030 (j) | 315000 | 324891 |
| DCP Midstream Operating LP 5.125% 5/15/2029  | 7900000 | 8124632 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (j) | 1020000 | 1065039 |
| Diamondback Energy Inc 5.2% 4/18/2027  | 5172000 | 5238395 |
| Energy Transfer LP 4.55% 1/15/2031  | 6374000 | 6435084 |
| Energy Transfer LP 5.25% 7/1/2029  | 515000 | 534006 |
| Energy Transfer LP 6.5% 2/15/2056 (c) | 490000 | 495113 |
| EQT Corp 3.625% 5/15/2031 (j) | 5400000 | 5166239 |
| EQT Corp 5.7% 4/1/2028  | 4000000 | 4135712 |
| Global Partners LP / GLP Finance Corp 6.875% 1/15/2029  | 215000 | 217115 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (j) | 85000 | 87946 |
| Harvest Midstream I LP 7.5% 5/15/2032 (j) | 465000 | 482662 |
| Hess Corp 4.3% 4/1/2027  | 4500000 | 4517982 |
| Hess Midstream Operations LP 4.25% 2/15/2030 (j) | 290000 | 284273 |
| Hess Midstream Operations LP 5.875% 3/1/2028 (j) | 565000 | 574373 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (j) | 700000 | 724331 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (j) | 240000 | 253276 |
| Kinetik Holdings LP 6.625% 12/15/2028 (j) | 1125000 | 1159785 |
| Matador Resources Co 6.5% 4/15/2032 (j) | 300000 | 306378 |
| Moss Creek Resources Holdings Inc 8.25% 9/1/2031 (j) | 180000 | 177380 |
| MPLX LP 1.75% 3/1/2026  | 15044000 | 15042364 |
| Northern Oil & Gas Inc 7.875% 10/15/2033 (j) | 365000 | 373147 |
| Northern Oil & Gas Inc 8.75% 6/15/2031 (j)(l) | 470000 | 490395 |
| Occidental Petroleum Corp 6.625% 9/1/2030  | 4410000 | 4772617 |
| ONEOK Inc 4.25% 9/24/2027  | 458000 | 460191 |
| ONEOK Inc 4.4% 10/15/2029  | 479000 | 483044 |
| ONEOK Inc 4.85% 7/15/2026  | 525000 | 525361 |
| ONEOK Inc 6.5% 9/1/2030 (j) | 5247000 | 5663817 |
| PBF Holding Co LLC / PBF Finance Corp 6% 2/15/2028  | 210000 | 209122 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (j)(l) | 705000 | 707444 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (j)(l) | 595000 | 631521 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 5242000 | 5140695 |
| Plains All American Pipeline LP / PAA Finance Corp 3.8% 9/15/2030  | 5174000 | 5076994 |
| Prairie Acquiror LP 9% 8/1/2029 (j) | 1240000 | 1293921 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (j) | 185000 | 194883 |
| SM Energy Co 6.625% 1/15/2027 (l) | 400000 | 400290 |
| Summit Midstream Holdings LLC 8.625% 10/31/2029 (j) | 125000 | 130828 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  | 315000 | 315119 |
| Sunoco LP / Sunoco Finance Corp 6% 4/15/2027  | 605000 | 605272 |
| Sunoco LP 5.375% 7/15/2031 (j)(m) | 480000 | 481121 |
| Sunoco LP 5.625% 3/15/2031 (j) | 985000 | 993468 |
| Sunoco LP 5.625% 7/15/2034 (j)(m) | 210000 | 209967 |
| Sunoco LP 6.625% 8/15/2032 (j) | 540000 | 558952 |
| Talos Production Inc 9% 2/1/2029 (j)(l) | 270000 | 281192 |
| Targa Resources Corp 4.9% 9/15/2030  | 3825000 | 3928025 |
| Targa Resources Corp 6.15% 3/1/2029  | 7061000 | 7470889 |
| Venture Global LNG Inc 7% 1/15/2030 (j) | 355000 | 360096 |
| Venture Global Plaquemines LNG LLC 6.125% 12/15/2030 (j) | 335000 | 348001 |
| Venture Global Plaquemines LNG LLC 6.5% 6/15/2034 (j) | 195000 | 204742 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (j) | 225000 | 249599 |
| Western Gas Partners LP 4.8% 3/1/2031  | 4047000 | 4081283 |
| Western Gas Partners LP 6.35% 1/15/2029  | 5546000 | 5860582 |
| Williams Cos Inc/The 4.625% 6/30/2030  | 4288000 | 4361917 |
| Williams Cos Inc/The 4.8% 11/15/2029  | 2339000 | 2397388 |
|  |  | 120047953 |
| TOTAL ENERGY |  | 124298599 |
| Financials - 20.4% |  |  |
| Banks - 8.1% |  |  |
| Bank of America Corp 1.734% 7/22/2027 (c) | 7174000 | 7109599 |
| Bank of America Corp 4.271% 7/23/2029 (c) | 6000000 | 6033935 |
| Bank of America Corp 4.623% 5/9/2029 (c) | 7300000 | 7403610 |
| Bank of America Corp 5.202% 4/25/2029 (c) | 10500000 | 10757735 |
| Bank of America Corp 5.819% 9/15/2029 (c) | 9400000 | 9803395 |
| Citigroup Inc 4.075% 4/23/2029 (c) | 10879000 | 10895135 |
| Citigroup Inc 4.786% 3/4/2029 (c) | 11300000 | 11469851 |
| Citigroup Inc 5.174% 2/13/2030 (c) | 12400000 | 12776736 |
| HAT Holdings I LLC / HAT Holdings II LLC 8% 6/15/2027 (j) | 81000 | 84250 |
| Huntington Bancshares Inc/OH 4.443% 8/4/2028 (c) | 9370000 | 9431391 |
| Huntington Bancshares Inc/OH 6.208% 8/21/2029 (c) | 5000000 | 5251164 |
| JPMorgan Chase & Co 1.47% 9/22/2027 (c) | 10000000 | 9859266 |
| JPMorgan Chase & Co 2.522% 4/22/2031 (c) | 3000000 | 2815013 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (c) | 12053000 | 11469262 |
| JPMorgan Chase & Co 4.603% 10/22/2030 (c) | 5000000 | 5092427 |
| JPMorgan Chase & Co 4.915% 1/24/2029 (c) | 5300000 | 5396779 |
| JPMorgan Chase & Co 4.995% 7/22/2030 (c) | 21400000 | 22044770 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (c) | 1642000 | 1702865 |
| JPMorgan Chase & Co 5.571% 4/22/2028 (c) | 3266000 | 3324562 |
| Morgan Stanley Bank NA 5.016% 1/12/2029 (c) | 2928000 | 2984410 |
| Morgan Stanley Private Bank NA 4.204% 11/17/2028 (c) | 8100000 | 8130136 |
| Morgan Stanley Private Bank NA 4.466% 7/6/2028 (c) | 7560000 | 7609367 |
| PNC Financial Services Group Inc/The 5.492% 5/14/2030 (c) | 10391000 | 10851946 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (c) | 2768000 | 2728100 |
| Santander Holdings USA Inc 3.244% 10/5/2026  | 4000000 | 3979847 |
| Santander Holdings USA Inc 6.174% 1/9/2030 (c) | 3664000 | 3826413 |
| Truist Financial Corp 4.873% 1/26/2029 (c) | 4000000 | 4065224 |
| Truist Financial Corp 5.071% 5/20/2031 (c) | 5288000 | 5457794 |
| Truist Financial Corp 7.161% 10/30/2029 (c) | 2800000 | 3014317 |
| US Bancorp 4.653% 2/1/2029 (c) | 2000000 | 2025505 |
| Wells Fargo & Co 4.078% 9/15/2029 (c) | 7800000 | 7802092 |
| Wells Fargo & Co 4.182% 1/23/2030 (c) | 5600000 | 5619844 |
| Wells Fargo & Co 4.3% 7/22/2027  | 7000000 | 7025000 |
| Wells Fargo & Co 4.97% 4/23/2029 (c) | 5300000 | 5403433 |
| Wells Fargo & Co 5.244% 1/24/2031 (c) | 7692000 | 7980213 |
| Wells Fargo & Co 5.707% 4/22/2028 (c) | 6200000 | 6313512 |
| Wells Fargo & Co 6.303% 10/23/2029 (c) | 5800000 | 6116806 |
|  |  | 253655704 |
| Capital Markets - 5.4% |  |  |
| Ares Strategic Income Fund 4.85% 1/15/2029 (j) | 7791000 | 7669224 |
| Ares Strategic Income Fund 5.45% 9/9/2028 (j) | 7076000 | 7075615 |
| Athene Global Funding 1.73% 10/2/2026 (j) | 5000000 | 4931432 |
| Athene Global Funding 4.721% 10/8/2029 (j) | 8300000 | 8304409 |
| Athene Global Funding 5.516% 3/25/2027 (j) | 7000000 | 7103053 |
| Bank of New York Mellon 4.729% 4/20/2029 (c) | 2106000 | 2141928 |
| Broadstreet Partners Group LLC 5.875% 4/15/2029 (j) | 510000 | 493933 |
| Equitable America Global Funding 4.65% 6/9/2028 (j) | 2575000 | 2604397 |
| Equitable America Global Funding 4.95% 6/9/2030 (j) | 3483000 | 3558488 |
| Focus Financial Partners LLC 6.75% 9/15/2031 (j) | 490000 | 487421 |
| GA Global Funding Trust 5.4% 1/13/2030 (j) | 6308000 | 6463742 |
| Goldman Sachs Group Inc/The 2.64% 2/24/2028 (c) | 10000000 | 9863131 |
| Goldman Sachs Group Inc/The 4.223% 5/1/2029 (c) | 6000000 | 6017744 |
| Goldman Sachs Group Inc/The 4.516% 1/21/2032 (c) | 3328000 | 3348550 |
| Goldman Sachs Group Inc/The 4.937% 4/23/2028 (c) | 10500000 | 10599160 |
| Goldman Sachs Group Inc/The 6.484% 10/24/2029 (c) | 7439000 | 7875019 |
| HPS Corporate Lending Fund 4.9% 9/11/2028 (j) | 2137000 | 2108408 |
| HPS Corporate Lending Fund 5.15% 4/2/2029 (j) | 5407000 | 5364503 |
| HPS Corporate Lending Fund 6.25% 9/30/2029  | 5000000 | 5104924 |
| Intercontinental Exchange Inc 3.625% 9/1/2028  | 5500000 | 5463061 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (j) | 540000 | 543224 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (j) | 320000 | 328379 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 5% 8/15/2028 (j) | 655000 | 622785 |
| LPL Holdings Inc 4.9% 4/3/2028  | 8265000 | 8360642 |
| Morgan Stanley 4.133% 10/18/2029 (c) | 6660000 | 6670322 |
| Morgan Stanley 4.994% 4/12/2029 (c) | 3914000 | 3985329 |
| Morgan Stanley 5.042% 7/19/2030 (c) | 11500000 | 11832858 |
| Morgan Stanley 5.164% 4/20/2029 (c) | 9860000 | 10083828 |
| Morgan Stanley 6.407% 11/1/2029 (c) | 3900000 | 4129356 |
| Nuveen LLC 5.55% 1/15/2030 (j) | 984000 | 1027093 |
| Sammons Financial Group Global Funding 4.8% 12/12/2030 (j) | 8410000 | 8503473 |
| Sammons Financial Group Global Funding 5.05% 1/10/2028 (j) | 4131000 | 4201934 |
| Sammons Financial Group Global Funding 5.1% 12/10/2029 (j) | 3365000 | 3451609 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (j) | 480000 | 499594 |
|  |  | 170818568 |
| Consumer Finance - 2.1% |  |  |
| American Express Co 4.731% 4/25/2029 (c) | 6000000 | 6099374 |
| American Express Co 5.085% 1/30/2031 (c) | 5697000 | 5885953 |
| Capital One Financial Corp 1.878% 11/2/2027 (c) | 7000000 | 6890590 |
| Capital One Financial Corp 5.468% 2/1/2029 (c) | 9443000 | 9681742 |
| Capital One Financial Corp 7.149% 10/29/2027 (c) | 5000000 | 5099186 |
| Ford Motor Credit Co LLC 4.97% 4/6/2029  | 3485000 | 3507225 |
| Ford Motor Credit Co LLC 5.73% 9/5/2030  | 650000 | 668434 |
| Ford Motor Credit Co LLC 5.85% 5/17/2027  | 4000000 | 4065549 |
| Ford Motor Credit Co LLC 5.875% 11/7/2029  | 13200000 | 13652057 |
| Ford Motor Credit Co LLC 6.95% 6/10/2026  | 6500000 | 6533588 |
| Navient Corp 6.75% 6/15/2026  | 765000 | 766553 |
| OneMain Finance Corp 3.5% 1/15/2027  | 655000 | 647325 |
| OneMain Finance Corp 6.125% 5/15/2030  | 450000 | 451767 |
| OneMain Finance Corp 6.75% 3/15/2032  | 75000 | 75582 |
| OneMain Finance Corp 7.5% 5/15/2031  | 555000 | 573783 |
| PRA Group Inc 5% 10/1/2029 (j) | 135000 | 124612 |
| PRA Group Inc 8.875% 1/31/2030 (j) | 365000 | 371388 |
| Stellantis Financial Services US Corp 4.95% 9/15/2028 (j) | 1758000 | 1772469 |
|  |  | 66867177 |
| Financial Services - 1.3% |  |  |
| Aircastle Ltd / Aircastle Ireland DAC 5% 9/15/2030 (j) | 6290000 | 6431299 |
| Aircastle Ltd / Aircastle Ireland DAC 5.25% 3/15/2030 (j) | 6585000 | 6797467 |
| Block Inc 5.625% 8/15/2030 (j) | 365000 | 369786 |
| Block Inc 6% 8/15/2033 (j) | 150000 | 152428 |
| Block Inc 6.5% 5/15/2032  | 430000 | 442366 |
| CNH Industrial Capital LLC 4.5% 10/8/2027  | 5320000 | 5357877 |
| CNH Industrial Capital LLC 4.75% 3/21/2028  | 3820000 | 3870973 |
| Compass Group Diversified Holdings LLC 5.25% 4/15/2029 (j) | 815000 | 762881 |
| Corebridge Financial Inc 3.65% 4/5/2027  | 3345000 | 3327445 |
| CrossCountry Intermediate HoldCo LLC 6.5% 10/1/2030 (j) | 320000 | 318730 |
| CrossCountry Intermediate HoldCo LLC 6.75% 12/1/2032 (j) | 160000 | 158361 |
| Global Payments Inc 4.5% 11/15/2028  | 8521000 | 8540599 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (j) | 915000 | 901275 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.25% 5/15/2027  | 1355000 | 1334633 |
| Jackson Financial Inc 5.17% 6/8/2027  | 1397000 | 1413989 |
| NFE Financing LLC 12% (e)(j) | 270536 | 97798 |
| Rocket Cos Inc 6.125% 8/1/2030 (j) | 530000 | 543756 |
| Rocket Cos Inc 6.5% 8/1/2029 (j) | 355000 | 364716 |
| UWM Holdings LLC 6.25% 3/15/2031 (j)(l) | 385000 | 371976 |
| UWM Holdings LLC 6.625% 2/1/2030 (j) | 565000 | 560731 |
| Windstream Services LLC / Windstream Escrow Finance Corp 8.25% 10/1/2031 (j) | 480000 | 505361 |
|  |  | 42624447 |
| Insurance - 3.4% |  |  |
| Acrisure LLC / Acrisure Finance Inc 8.25% 2/1/2029 (j) | 840000 | 840207 |
| Acrisure LLC / Acrisure Finance Inc 8.5% 6/15/2029 (j) | 690000 | 688415 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.75% 4/15/2028 (j)(l) | 865000 | 874955 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7% 1/15/2031 (j)(l) | 175000 | 178176 |
| American International Group Inc 4.85% 5/7/2030  | 7000000 | 7182114 |
| AmWINS Group Inc 4.875% 6/30/2029 (j) | 170000 | 165050 |
| AmWINS Group Inc 6.375% 2/15/2029 (j) | 290000 | 295108 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (j) | 865000 | 838029 |
| Arthur J Gallagher & Co 4.6% 12/15/2027  | 3119000 | 3154024 |
| Asurion LLC and Asurion Co-Issuer Inc 8% 12/31/2032 (j) | 215000 | 225815 |
| Brown & Brown Inc 4.7% 6/23/2028  | 1180000 | 1191159 |
| Brown & Brown Inc 4.9% 6/23/2030  | 5414000 | 5503671 |
| Corebridge Global Funding 4.65% 8/20/2027 (j) | 1596000 | 1610923 |
| Corebridge Global Funding 4.9% 1/7/2028 (j) | 2298000 | 2337005 |
| Equitable Financial Life Global Funding 1.4% 8/27/2027 (j) | 15000000 | 14459052 |
| Equitable Financial Life Global Funding 1.7% 11/12/2026 (j) | 5000000 | 4921164 |
| Equitable Financial Life Global Funding 5% 3/27/2030 (j) | 3000000 | 3072948 |
| Fortitude Group Holdings LLC 6.25% 4/1/2030 (j) | 6322000 | 6566392 |
| Guardian Life Global Funding 1.4% 7/6/2027 (j) | 8010000 | 7755986 |
| HUB International Ltd 7.375% 1/31/2032 (j) | 855000 | 870240 |
| Jackson National Life Global Funding 4.6% 10/1/2029 (j) | 4963000 | 4979821 |
| Jackson National Life Global Funding 5.35% 1/13/2030 (j) | 7744000 | 7980381 |
| Jackson National Life Global Funding 5.55% 7/2/2027 (j) | 1453000 | 1479276 |
| Lincoln Financial Global Funding 5.3% 1/13/2030 (j) | 4954000 | 5089692 |
| MassMutual Global Funding II 4% 1/22/2029 (j) | 2284000 | 2288580 |
| Panther Escrow Issuer LLC 7.125% 6/1/2031 (j) | 355000 | 361158 |
| RGA Global Funding 2% 11/30/2026 (j) | 3680000 | 3625030 |
| RGA Global Funding 4.35% 8/25/2028 (j) | 5350000 | 5377124 |
| RGA Global Funding 5.448% 5/24/2029 (j) | 2658000 | 2759191 |
| Ryan Specialty LLC 5.875% 8/1/2032 (j) | 645000 | 649873 |
| USI Inc/NY 7.5% 1/15/2032 (j) | 235000 | 241061 |
| Western-Southern Global Funding 4.25% 1/29/2029 (j) | 5818000 | 5843809 |
| Western-Southern Global Funding 4.9% 5/1/2030 (j) | 653000 | 669629 |
| Willis North America Inc 4.5% 9/15/2028  | 5000000 | 5030040 |
|  |  | 109105098 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.1% |  |  |
| Rithm Capital Corp 8% 4/1/2029 (j) | 120000 | 120761 |
| Starwood Property Trust Inc 5.25% 10/15/2028 (j) | 780000 | 783750 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (j) | 675000 | 702017 |
|  |  | 1606528 |
| TOTAL FINANCIALS |  | 644677522 |
| Health Care - 2.1% |  |  |
| Biotechnology - 0.2% |  |  |
| Amgen Inc 5.15% 3/2/2028  | 6578000 | 6736406 |
| Health Care Equipment & Supplies - 0.2% |  |  |
| Alcon Finance Corp 2.75% 9/23/2026 (j) | 4038000 | 4010077 |
| Avantor Funding Inc 3.875% 11/1/2029 (j) | 410000 | 391406 |
| Avantor Funding Inc 4.625% 7/15/2028 (j) | 625000 | 619303 |
| Medline Borrower LP 3.875% 4/1/2029 (j) | 285000 | 280301 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (j) | 440000 | 454068 |
|  |  | 5755155 |
| Health Care Providers & Services - 1.5% |  |  |
| Acadia Healthcare Co Inc 5% 4/15/2029 (j)(l) | 430000 | 421165 |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (j)(l) | 145000 | 149690 |
| Accendra Health Inc 6.625% 4/1/2030 (j) | 270000 | 129907 |
| Centene Corp 2.45% 7/15/2028  | 4360000 | 4109424 |
| Centene Corp 3.375% 2/15/2030  | 815000 | 755745 |
| Centene Corp 4.625% 12/15/2029  | 310000 | 302487 |
| CHS/Community Health Systems Inc 5.25% 5/15/2030 (j) | 225000 | 216187 |
| CHS/Community Health Systems Inc 9.75% 1/15/2034 (j) | 305000 | 321415 |
| CVS Health Corp 4.3% 3/25/2028  | 11600000 | 11668127 |
| CVS Health Corp 7% 3/10/2055 (c) | 360000 | 378657 |
| HCA Inc 3.125% 3/15/2027  | 7100000 | 7040985 |
| HCA Inc 5% 3/1/2028  | 2439000 | 2489512 |
| Humana Inc 5.75% 12/1/2028  | 6000000 | 6218925 |
| Icon Investments Six DAC 5.809% 5/8/2027  | 5583000 | 5632911 |
| Icon Investments Six DAC 5.849% 5/8/2029  | 3000000 | 3071796 |
| LifePoint Health Inc 11% 10/15/2030 (j) | 325000 | 352990 |
| Molina Healthcare Inc 6.25% 1/15/2033 (j) | 700000 | 688601 |
| Molina Healthcare Inc 6.5% 2/15/2031 (j) | 850000 | 852716 |
| National Mentor Holdings Inc 10.5% 12/15/2030 (j) | 470000 | 468267 |
| Surgery Center Holdings Inc 7.25% 4/15/2032 (j) | 285000 | 284654 |
| Tenet Healthcare Corp 5.125% 11/1/2027  | 2360000 | 2361374 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (j) | 565000 | 565176 |
|  |  | 48480711 |
| Health Care Technology - 0.1% |  |  |
| IQVIA Inc 5% 5/15/2027 (j) | 1510000 | 1506698 |
| IQVIA Inc 6.25% 6/1/2032 (j) | 275000 | 282886 |
| IQVIA Inc 6.5% 5/15/2030 (j) | 540000 | 555235 |
|  |  | 2344819 |
| Pharmaceuticals - 0.1% |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (j) | 855000 | 884183 |
| Jazz Securities DAC 4.375% 1/15/2029 (j) | 540000 | 532378 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (j)(l) | 470000 | 461383 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (j) | 410000 | 364328 |
|  |  | 2242272 |
| TOTAL HEALTH CARE |  | 65559363 |
| Industrials - 2.3% |  |  |
| Aerospace & Defense - 0.7% |  |  |
| Boeing Co 3.2% 3/1/2029  | 7200000 | 7035063 |
| Boeing Co 5.04% 5/1/2027  | 2300000 | 2324184 |
| Boeing Co 6.259% 5/1/2027  | 418000 | 428215 |
| BWX Technologies Inc 4.125% 4/15/2029 (j) | 825000 | 807625 |
| L3Harris Technologies Inc 5.4% 1/15/2027  | 6000000 | 6079533 |
| RTX Corp 5.75% 1/15/2029  | 1205000 | 1266079 |
| TransDigm Inc 6.125% 7/31/2034 (j) | 300000 | 304721 |
| TransDigm Inc 6.25% 1/31/2034 (j)(l) | 110000 | 113794 |
| TransDigm Inc 6.375% 3/1/2029 (j) | 3730000 | 3827913 |
| TransDigm Inc 6.75% 1/31/2034 (j) | 380000 | 394357 |
|  |  | 22581484 |
| Air Freight & Logistics - 0.0% |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (j) | 720000 | 751047 |
| Building Products - 0.0% |  |  |
| Camelot Return Merger Sub Inc 8.75% 8/1/2028 (j)(l) | 845000 | 637985 |
| JH North America Holdings Inc 5.875% 1/31/2031 (j) | 655000 | 668959 |
| MIWD Holdco II LLC / MIWD Finance Corp 5.5% 2/1/2030 (j)(l) | 285000 | 267074 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (j) | 370000 | 380854 |
|  |  | 1954872 |
| Commercial Services & Supplies - 0.3% |  |  |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6.875% 6/15/2030 (j)(l) | 420000 | 437158 |
| Artera Services LLC 8.5% 2/15/2031 (j) | 1560000 | 1304110 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (j)(l) | 695000 | 649040 |
| CoreCivic Inc 8.25% 4/15/2029  | 355000 | 368653 |
| GEO Group Inc/The 10.25% 4/15/2031  | 650000 | 697897 |
| GEO Group Inc/The 8.625% 4/15/2029  | 350000 | 364180 |
| GFL Environmental Inc 4% 8/1/2028 (j) | 1630000 | 1604774 |
| Madison IAQ LLC 4.125% 6/30/2028 (j)(l) | 860000 | 848722 |
| Neptune Bidco US Inc 10.375% 5/15/2031 (j) | 345000 | 348210 |
| Neptune Bidco US Inc 9.29% 4/15/2029 (j)(l) | 1040000 | 1042600 |
| Neptune Bidco US Inc 9.5% 2/15/2033 (j) | 275000 | 269167 |
| Prime Security Services Borrower LLC / Prime Finance Inc 5.75% 4/15/2026 (j) | 51000 | 51101 |
| Waste Pro USA Inc 7% 2/1/2033 (j) | 210000 | 218557 |
| Williams Scotsman Inc 6.625% 4/15/2030 (j)(l) | 585000 | 606088 |
|  |  | 8810257 |
| Construction & Engineering - 0.0% |  |  |
| Railworks Holdings LP / Railworks Rally Inc 8.25% 11/15/2028 (j) | 610000 | 616052 |
| Electrical Equipment - 0.3% |  |  |
| Trans-Allegheny Interstate Line Co 5.2% 1/15/2031 (j) | 7896000 | 8161220 |
| WESCO Distribution Inc 5.25% 4/15/2031 (j) | 350000 | 349381 |
| WESCO Distribution Inc 6.375% 3/15/2033 (j) | 245000 | 255441 |
|  |  | 8766042 |
| Ground Transportation - 0.1% |  |  |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8.25% 1/15/2030 (j) | 120000 | 121050 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (j) | 400000 | 412294 |
| Uber Technologies Inc 4.15% 1/15/2031  | 1106000 | 1101669 |
| XPO Inc 6.25% 6/1/2028 (j) | 710000 | 721415 |
|  |  | 2356428 |
| Machinery - 0.3% |  |  |
| Beach Acquisition Bidco LLC 10% 7/15/2033 pay-in-kind (c)(j) | 258241 | 285357 |
| Esab Corp 6.25% 4/15/2029 (j) | 385000 | 394647 |
| Ingersoll Rand Inc 5.176% 6/15/2029  | 4200000 | 4356182 |
| Ingersoll Rand Inc 5.197% 6/15/2027  | 4200000 | 4261402 |
|  |  | 9297588 |
| Passenger Airlines - 0.2% |  |  |
| American Airlines 2016-3 Class A Pass Through Trust 7.25% 2/15/2028 (j) | 245000 | 249697 |
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/2029  | 2384917 | 2341723 |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.5% 4/20/2026 (j) | 179167 | 179409 |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/2029  | 1452760 | 1422588 |
| United Airlines Holdings Inc 5.375% 3/1/2031  | 1055000 | 1074087 |
|  |  | 5267504 |
| Professional Services - 0.2% |  |  |
| Amentum Holdings Inc 7.25% 8/1/2032 (j) | 565000 | 592026 |
| ION Platform Finance US Inc / ION Platform Finance SARL 5% 5/1/2028 (j) | 475000 | 439999 |
| ION Platform Finance US Inc / ION Platform Finance SARL 5.75% 5/15/2028 (j) | 190000 | 178022 |
| Leidos Inc 4.1% 3/15/2029 (m) | 2149000 | 2154503 |
| Paychex Inc 5.1% 4/15/2030  | 3097000 | 3162827 |
| TriNet Group Inc 7.125% 8/15/2031 (j) | 750000 | 727615 |
| Verisk Analytics Inc 4.45% 3/15/2031  | 359000 | 360749 |
|  |  | 7615741 |
| Trading Companies & Distributors - 0.2% |  |  |
| Air Lease Corp 2.2% 1/15/2027  | 3565000 | 3510941 |
| FTAI Aviation Investors LLC 7% 6/15/2032 (j) | 235000 | 246680 |
| FTAI Aviation Investors LLC 7.875% 12/1/2030 (j)(l) | 490000 | 518483 |
| Herc Holdings Inc 5.75% 3/15/2031 (j) | 180000 | 182470 |
| Herc Holdings Inc 7% 6/15/2030 (j)(l) | 540000 | 565875 |
| QXO Building Products Inc 6.75% 4/30/2032 (j) | 335000 | 346965 |
| Synergy Infrastructure Holdings LLC 7.875% 12/1/2030 (j) | 115000 | 119793 |
| United Rentals North America Inc 3.875% 11/15/2027  | 575000 | 571648 |
|  |  | 6062855 |
| Transportation Infrastructure - 0.0% |  |  |
| Beacon Mobility Corp 7.25% 8/1/2030 (j) | 250000 | 261858 |
| TOTAL INDUSTRIALS |  | 74341728 |
| Information Technology - 2.4% |  |  |
| Electronic Equipment, Instruments & Components - 0.5% |  |  |
| Amphenol Corp 5.05% 4/5/2029  | 1216000 | 1257055 |
| Coherent Corp 5% 12/15/2029 (j)(l) | 765000 | 765412 |
| Dell International LLC / EMC Corp 5% 4/1/2030  | 5305000 | 5455979 |
| Dell International LLC / EMC Corp 5.25% 2/1/2028  | 8564000 | 8760080 |
| Lightning Power LLC 7.25% 8/15/2032 (j) | 240000 | 254799 |
|  |  | 16493325 |
| IT Services - 0.3% |  |  |
| Ahead DB Holdings LLC 6.625% 5/1/2028 (j) | 1550000 | 1499254 |
| CDW LLC / CDW Finance Corp 5.1% 3/1/2030  | 4789000 | 4863606 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (j)(l) | 970000 | 952188 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (j) | 585000 | 574983 |
| CoreWeave Inc 9% 2/1/2031 (j) | 990000 | 955217 |
| CoreWeave Inc 9.25% 6/1/2030 (j) | 1255000 | 1229210 |
| Sabre GLBL Inc 11.125% 7/15/2030 (j)(l) | 205000 | 148625 |
|  |  | 10223083 |
| Semiconductors & Semiconductor Equipment - 0.5% |  |  |
| Broadcom Inc 4.15% 11/15/2030  | 15000000 | 15047112 |
| Entegris Inc 4.75% 4/15/2029 (j) | 1430000 | 1431188 |
| Wolfspeed Inc 9.875% 6/23/2030 pay-in-kind (c)(j) | 104456 | 111643 |
|  |  | 16589943 |
| Software - 1.0% |  |  |
| Cloud Software Group Inc 6.5% 3/31/2029 (j) | 615000 | 603116 |
| Cloud Software Group Inc 9% 9/30/2029 (j) | 2100000 | 2056424 |
| Elastic NV 4.125% 7/15/2029 (j) | 655000 | 618830 |
| Ellucian Holdings Inc 6.5% 12/1/2029 (j) | 925000 | 907072 |
| Oracle Corp 2.95% 4/1/2030  | 655000 | 609559 |
| Oracle Corp 4.45% 9/26/2030  | 8341000 | 8180466 |
| Oracle Corp 4.8% 9/26/2032  | 180000 | 175882 |
| Oracle Corp 4.95% 2/4/2031  | 7955000 | 7938706 |
| SS&C Technologies Inc 5.5% 9/30/2027 (j) | 1625000 | 1622556 |
| UKG Inc 6.875% 2/1/2031 (j)(l) | 1300000 | 1261193 |
| VMware LLC 1.4% 8/15/2026  | 2882000 | 2847918 |
| X.AI LLC / X.AI Co Issuer Corp 12.5% 6/30/2030 (j) | 1430000 | 1628644 |
|  |  | 28450366 |
| Technology Hardware, Storage & Peripherals - 0.1% |  |  |
| Hewlett Packard Enterprise Co 4.4% 9/25/2027  | 2177000 | 2189527 |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (j) | 695000 | 715261 |
|  |  | 2904788 |
| TOTAL INFORMATION TECHNOLOGY |  | 74661505 |
| Materials - 1.1% |  |  |
| Chemicals - 0.6% |  |  |
| Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/2031 (j) | 650000 | 683326 |
| Celanese US Holdings LLC 6.5% 4/15/2030 (l) | 300000 | 307371 |
| Celanese US Holdings LLC 7% 2/15/2031  | 740000 | 762277 |
| Chemours Co/The 4.625% 11/15/2029 (j) | 175000 | 165762 |
| Chemours Co/The 5.75% 11/15/2028 (j) | 1225000 | 1232122 |
| Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP 4.75% 5/15/2030 (j) | 3787000 | 3868914 |
| LSB Industries Inc 6.25% 10/15/2028 (j) | 435000 | 437277 |
| Mativ Holdings Inc 8% 10/1/2029 (j) | 220000 | 217121 |
| Methanex US Operations Inc 6.25% 3/15/2032 (j) | 125000 | 129375 |
| Mosaic Co/The 5.375% 11/15/2028  | 5750000 | 5938961 |
| Olin Corp 6.625% 4/1/2033 (j) | 140000 | 136706 |
| Olympus Water US Holding Corp 7.25% 2/15/2033 (j)(l) | 350000 | 348414 |
| Olympus Water US Holding Corp 7.25% 6/15/2031 (j)(l) | 430000 | 439952 |
| Scih Salt Hldgs Inc 6.625% 5/1/2029 (j) | 1110000 | 1107225 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (j) | 290000 | 277802 |
| WR Grace Holdings LLC 6.625% 8/15/2032 (j)(l) | 530000 | 536162 |
| WR Grace Holdings LLC 7% 8/1/2033 (j) | 185000 | 188357 |
| WR Grace Holdings LLC 7.375% 3/1/2031 (j)(l) | 260000 | 266910 |
|  |  | 17044034 |
| Construction Materials - 0.4% |  |  |
| Amrize Finance US LLC 4.6% 4/7/2027  | 1936000 | 1950151 |
| Amrize Finance US LLC 4.7% 4/7/2028  | 1401000 | 1422689 |
| CRH America Finance Inc 4.4% 2/9/2031  | 6600000 | 6649196 |
| Quikrete Holdings Inc 6.375% 3/1/2032 (j) | 770000 | 800259 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (j) | 750000 | 796788 |
| VM Consolidated Inc 5.5% 4/15/2029 (j) | 615000 | 603667 |
|  |  | 12222750 |
| Containers & Packaging - 0.1% |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 3.25% 9/1/2028 (j) | 265000 | 256165 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (j) | 1065000 | 1016474 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6.25% 1/30/2031 (j) | 235000 | 240526 |
| Berry Global Inc 4.875% 7/15/2026 (j) | 187000 | 187035 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (j) | 350000 | 352642 |
| Clydesdale Acquisition Holdings Inc 8.75% 4/15/2030 (j)(l) | 915000 | 910967 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (j) | 430000 | 435583 |
| Sealed Air Corp 5% 4/15/2029 (j) | 450000 | 453678 |
|  |  | 3853070 |
| Metals & Mining - 0.0% |  |  |
| Alcoa Nederland Holding BV 7.125% 3/15/2031 (j) | 90000 | 95149 |
| Alumina Pty Ltd 6.375% 9/15/2032 (j) | 860000 | 892886 |
| Cleveland-Cliffs Inc 7% 3/15/2032 (j) | 125000 | 126953 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (j) | 350000 | 365312 |
|  |  | 1480300 |
| TOTAL MATERIALS |  | 34600154 |
| Real Estate - 1.6% |  |  |
| Diversified REITs - 0.3% |  |  |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 6.5% 2/15/2029 (j) | 975000 | 948268 |
| Vici Properties LP / Vici Note Co Inc 3.875% 2/15/2029 (j) | 6000000 | 5914330 |
| VICI Properties LP 4.75% 4/1/2028  | 352000 | 355458 |
| Vornado Realty LP 2.15% 6/1/2026  | 1017000 | 1009053 |
|  |  | 8227109 |
| Health Care REITs - 0.2% |  |  |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  | 621000 | 618485 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027  | 770000 | 754603 |
| Ventas Realty LP 3% 1/15/2030  | 4013000 | 3847218 |
|  |  | 5220306 |
| Hotel & Resort REITs - 0.0% |  |  |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 4.875% 5/15/2029 (j)(l) | 450000 | 442014 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 7% 2/1/2030 (j) | 280000 | 289904 |
| RHP Hotel Properties LP / RHP Finance Corp 7.25% 7/15/2028 (j) | 350000 | 359393 |
|  |  | 1091311 |
| Office REITs - 0.0% |  |  |
| COPT Defense Properties LP 4.5% 10/15/2030  | 3225000 | 3239079 |
| Real Estate Management & Development - 0.0% |  |  |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 9.75% 4/15/2030 (j) | 240000 | 258603 |
| Taylor Morrison Communities Inc 5.75% 11/15/2032 (j) | 210000 | 216991 |
|  |  | 475594 |
| Retail REITs - 0.6% |  |  |
| Brixmor Operating Partnership LP 2.25% 4/1/2028  | 4348000 | 4196824 |
| Brookfield Property REIT Inc / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL 5.75% 5/15/2026 (j) | 720000 | 718029 |
| Realty Income Corp 2.1% 3/15/2028  | 5695000 | 5495691 |
| Realty Income Corp 2.2% 6/15/2028  | 456000 | 439310 |
| Simon Property Group LP 4.375% 10/1/2030  | 7660000 | 7757876 |
|  |  | 18607730 |
| Specialized REITs - 0.5% |  |  |
| American Tower Corp 3.6% 1/15/2028  | 4000000 | 3970776 |
| American Tower Corp 4.9% 3/15/2030  | 7910000 | 8128530 |
| Iron Mountain Inc 4.875% 9/15/2027 (j) | 475000 | 474833 |
| Millrose Properties Inc 6.375% 8/1/2030 (j) | 725000 | 743778 |
| SBA Communications Corp 3.875% 2/15/2027  | 1525000 | 1515658 |
|  |  | 14833575 |
| TOTAL REAL ESTATE |  | 51694704 |
| Utilities - 4.3% |  |  |
| Electric Utilities - 2.4% |  |  |
| American Electric Power Co Inc 5.8% 3/15/2056 (c) | 790000 | 793842 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 2893000 | 2888522 |
| Duke Energy Corp 4.3% 3/15/2028  | 9784000 | 9862047 |
| Duke Energy Florida LLC 4.2% 12/1/2030  | 2734000 | 2753468 |
| Edison International 7.875% 6/15/2054 (c) | 250000 | 260260 |
| Eversource Energy 5.45% 3/1/2028  | 9000000 | 9235714 |
| Eversource Energy 6.1% 8/15/2056 (c) | 605000 | 607759 |
| Exelon Corp 2.75% 3/15/2027  | 681000 | 672975 |
| FirstEnergy Pennsylvania Electric Co 5.15% 3/30/2026 (j) | 2524000 | 2525387 |
| Georgia Power Co 4.65% 5/16/2028  | 3465000 | 3521332 |
| Jersey Central Power & Light Co 4.4% 1/15/2031 (j) | 2825000 | 2841272 |
| NextEra Energy Capital Holdings Inc 4.685% 9/1/2027  | 3111000 | 3146278 |
| NRG Energy Inc 5.75% 7/15/2029 (j) | 1275000 | 1277203 |
| Pacific Gas and Electric Co 2.1% 8/1/2027  | 7100000 | 6918875 |
| PG&E Corp 5% 7/1/2028  | 300000 | 299207 |
| PG&E Corp 6.85% 9/15/2056 (c) | 471000 | 470237 |
| PG&E Corp 7.375% 3/15/2055 (c) | 1275000 | 1319599 |
| Pinnacle West Capital Corp 4.9% 5/15/2028  | 1038000 | 1058152 |
| Pinnacle West Capital Corp 5.15% 5/15/2030  | 3598000 | 3727696 |
| Sierra Pacific Power Co 6.2% 12/15/2055 (c) | 947000 | 941691 |
| Southern Co/The 5.5% 3/15/2029  | 3052000 | 3181088 |
| Vistra Operations Co LLC 4.7% 1/31/2031 (j) | 1350000 | 1357724 |
| Vistra Operations Co LLC 5% 7/31/2027 (j) | 11550000 | 11533345 |
| Vistra Operations Co LLC 5.05% 12/30/2026 (j) | 1288000 | 1301981 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (j) | 550000 | 581218 |
| Xcel Energy Inc 5.75% 12/3/2056 (c) | 760000 | 759997 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (j)(l) | 345000 | 358093 |
|  |  | 74194962 |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |
| Alpha Generation LLC 6.25% 1/15/2034 (j) | 130000 | 132016 |
| Alpha Generation LLC 6.75% 10/15/2032 (j) | 450000 | 467558 |
| Calpine LLC 5.125% 3/15/2028 (j) | 850000 | 849685 |
| Southern Power Co 4.25% 10/1/2030  | 5170000 | 5195620 |
| Sunnova Energy Corp 5.875% (e)(f)(j) | 525000 | 1313 |
|  |  | 6646192 |
| Multi-Utilities - 1.7% |  |  |
| Dominion Energy Inc 1.45% 4/15/2026  | 8000000 | 7975677 |
| Dominion Energy Inc 3.375% 4/1/2030  | 5770000 | 5612931 |
| Dominion Energy Inc 5% 6/15/2030  | 6400000 | 6598024 |
| DTE Energy Co 4.95% 7/1/2027  | 1444000 | 1461199 |
| DTE Energy Co 5.2% 4/1/2030  | 8060000 | 8380822 |
| NiSource Inc 2.95% 9/1/2029  | 5690000 | 5494475 |
| NiSource Inc 5.25% 3/30/2028  | 6140000 | 6295631 |
| Public Service Enterprise Group Inc 4.9% 3/15/2030  | 6966000 | 7171931 |
| Sempra 3.4% 2/1/2028  | 2613000 | 2584458 |
| Sempra 6.375% 4/1/2056 (c) | 840000 | 860094 |
|  |  | 52435242 |
| TOTAL UTILITIES |  | 133276396 |
| TOTAL UNITED STATES |  | 1432173757 |
| ZAMBIA - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| First Quantum Minerals Ltd 8% 3/1/2033 (j) | 200000 | 213124 |
| First Quantum Minerals Ltd 8.625% 6/1/2031 (j) | 500000 | 524155 |
| TOTAL ZAMBIA |  | 737279 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $2,019,119,970) |  | <br> **2037481106** |

---

---

| | | |
|:---|:---|:---|
| &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 11.25% (h) | 1822 | 182200 |
| Strategy Inc Series A, 10%  | 2500 | 246675 |
| TOTAL UNITED STATES |  | 428875 |
| <br> **TOTAL NON-CONVERTIBLE PREFERRED STOCKS**<br> (Cost $421,838) |  | <br> **428875** |

---

---

| | | |
|:---|:---|:---|
| &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>|
| FRANCE - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| BNP Paribas SA 6.875% (c)(j)(k) | 625000 | 637260 |
| UNITED KINGDOM - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Barclays PLC 7.625% (c)(k) | 200000 | 215591 |
| UNITED STATES - 0.4%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Energy Transfer LP Series G, 7.125% (c)(k) | 690000 | 729892 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.0241% (c)(d)(k) | 880000 | 881988 |
| Sunoco LP 7.875% (c)(j)(k) | 1045000 | 1117551 |
| TOTAL ENERGY |  | 2729431 |
| Financials - 0.3% |  |  |
| Banks - 0.2% |  |  |
| Bank of America Corp 6.25% (c)(k) | 1180000 | 1221141 |
| Citigroup Inc 6.5% (c)(k) | 755000 | 768680 |
| Citigroup Inc 6.625% (c)(k) | 775000 | 812659 |
| Citigroup Inc 6.875% (c)(k) | 875000 | 899374 |
| Citigroup Inc 6.95% (c)(k) | 325000 | 335016 |
| Citigroup Inc 7.125% (c)(k) | 300000 | 310919 |
| JPMorgan Chase & Co 6.5% (c)(k) | 455000 | 481452 |
| Wells Fargo & Co 7.625% (c)(k)(l) | 425000 | 460381 |
|  |  | 5289622 |
| Capital Markets - 0.0% |  |  |
| Bank of New York Mellon Corp/The 5.625% (c)(k) | 760000 | 759851 |
| Goldman Sachs Group Inc/The 6.125% (c)(k) | 105000 | 110165 |
| Goldman Sachs Group Inc/The 6.85% (c)(k) | 579000 | 608404 |
|  |  | 1478420 |
| Consumer Finance - 0.1% |  |  |
| Ally Financial Inc 4.7% (c)(k)(l) | 1380000 | 1378453 |
| Ally Financial Inc 4.7% (c)(k) | 900000 | 852088 |
|  |  | 2230541 |
| TOTAL FINANCIALS |  | 8998583 |
| Industrials - 0.0% |  |  |
| Trading Companies & Distributors - 0.0% |  |  |
| Air Lease Corp 4.125% (c)(k) | 960000 | 960203 |
| TOTAL UNITED STATES |  | 12688217 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $13,089,028) |  | <br> **13541068** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2035  | 3059 | 3105 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2035  | 1957 | 1986 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 274892 | 280150 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 140119 | 142799 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 372538 | 379663 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 2505964 | 2517872 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 1643 | 1720 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 15484 | 16274 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 4901 | 5131 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 1649 | 1726 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 2164 | 2278 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 14483 | 15206 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 11347 | 11914 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 2630 | 2767 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2033  | 134 | 142 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2031  | 1868 | 1970 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 355 | 376 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2032  | 2084 | 2224 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2033  | 808 | 864 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2033  | 10873 | 11545 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 644 | 680 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 79 | 83 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2031  | 2635 | 2766 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 1684 | 1787 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 153 | 163 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2033  | 3186 | 3394 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2028  | 1693 | 1778 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 7815 | 8218 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 6783 | 7225 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 813 | 855 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 141 | 150 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 71 | 74 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 277 | 281 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 1533 | 1555 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 292 | 294 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 216 | 219 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 37 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 33 | 33 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 10 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 43 | 44 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 16 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 279 | 282 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 60 | 61 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 165 | 167 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 507 | 516 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 22 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 3 | 3 |
| Freddie Mac Gold Pool 8.5% 2/1/2027  | 870 | 872 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 56 | 56 |
| Ginnie Mae I Pool 7% 11/15/2028  | 4875 | 4950 |
| Ginnie Mae I Pool 7% 7/15/2028  | 236 | 239 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 850 | 868 |
| TOTAL UNITED STATES |  | 3437417 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $3,614,472) |  | <br> **3437417** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 20.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 20.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 20.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 20.1%** |
|  | Yield (%) (p) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Notes 1.5% 2/15/2030  | 3.89 | 1184000 | 1099362 |
| US Treasury Notes 3.5% 11/15/2028  | 3.49 | 142631300 | 143038022 |
| US Treasury Notes 3.5% 12/15/2028  | 3.53 to 3.65 | 187634000 | 188191039 |
| US Treasury Notes 3.5% 2/15/2029  | 3.39 to 3.45 | 165634200 | 166151807 |
| US Treasury Notes 3.75% 1/31/2031  | 3.52 to 3.80 | 101180400 | 102208013 |
| US Treasury Notes 4% 3/31/2030  | 3.95 | 35310600 | 36016812 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $633,748,979) |  |  | **636705055** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 3.8%** | &nbsp;&nbsp;**Money Market Funds - 3.8%** | &nbsp;&nbsp;**Money Market Funds - 3.8%** | &nbsp;&nbsp;**Money Market Funds - 3.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (q) | 3.70 | 104964680 | 104985673 |
| Fidelity Securities Lending Cash Central Fund (q)(r) | 3.69 | 14170278 | 14171695 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $119,157,368) |  |  | **119157368** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 103.4%**<br> (Cost $3,260,535,632)<br>| <br>**3278586983** |
| **NET OTHER ASSETS (LIABILITIES) - (3.4)%**  | **(106861805)** |
| **NET ASSETS - 100.0%** | **3171725178** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 389 | 6/2026 | 81392172 | 71228 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 2308 | 6/2026 | 254150469 | 1506749 |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **1577977** |
| The notional amount of long futures as a percentage of Net Assets is 10.6%. | The notional amount of long futures as a percentage of Net Assets is 10.6%. | The notional amount of long futures as a percentage of Net Assets is 10.6%. | The notional amount of long futures as a percentage of Net Assets is 10.6%. | The notional amount of long futures as a percentage of Net Assets is 10.6%. |

---

**Legend**

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

(b) 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.

(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) Non-income producing - Security is in default.

(f) Level 3 security.

(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) 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.

(i) Zero coupon bond which is issued at a discount.

(j) 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 $1,042,330,287 or 32.9% of net assets.

(k) Security is perpetual in nature with no stated maturity date.

(l) Security or a portion of the security is on loan at period end.

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

(n) 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 $330,104 or 0.0% of net assets.

(o) 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.

(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) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(r) 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 | 28586805 | 652160922 | 575757759 | 746663 | (4295) | - | 104985673 | 104964680 | 0.2% |
| Fidelity Securities Lending Cash Central Fund | 9771190 | 92463099 | 88062691 | 10021 | 97 | - | 14171695 | 14170278 | 0.0% |
| Total | 38357995 | 744624021 | 663820450 | 756684 | (4198) | - | 119157368 |  |  |

---

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 February 28, 2026, 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** | 287424609 | - | 287424609 | - |
|  **Bank Loan Obligations** |  |  |  |  |
| Communication Services | 4172055 | - | 4172055 | - |
| Consumer Discretionary | 8457258 | - | 8440526 | 16732 |
| Consumer Staples | 1067468 | - | 795407 | 272061 |
| Energy | 1004119 | - | 982018 | 22101 |
| Financials | 5310034 | - | 5310034 | - |
| Health Care | 2947359 | - | 2947359 | - |
| Industrials | 3831546 | - | 3408078 | 423468 |
| Information Technology | 6707486 | - | 6707486 | - |
| Materials | 9126510 | - | 9126510 | - |
| Utilities | 785443 | - | 785443 | - |
|  **Collateralized Mortgage Obligations** | 28338117 | - | 28338117 | - |
|  **Commercial Mortgage Securities** | 91229927 | - | 91229927 | - |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 40271 | - | - | 40271 |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 1262151 | - | 1262151 | - |
| Financials | 1370425 | - | 1370425 | - |
| Information Technology | 2701350 | - | 2701350 | - |
|  **Convertible Preferred Stocks** |  |  |  |  |
| Consumer Discretionary | 290780 | - | 290780 | - |
| Financials | 247135 | - | 247135 | - |
| Information Technology | 359484 | - | 359484 | - |
|  **Foreign Government and Government Agency Obligations** | 11162567 | - | 11162567 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 105058775 | - | 105058775 | - |
| Consumer Discretionary | 128948511 | - | 128948511 | - |
| Consumer Staples | 93893691 | - | 93893691 | - |
| Energy | 182477456 | - | 182477456 | - |
| Financials | 1000706119 | - | 1000706119 | - |
| Health Care | 72375581 | - | 72375581 | - |
| Industrials | 110980391 | - | 110980391 | - |
| Information Technology | 77838141 | - | 77838141 | - |
| Materials | 65533562 | - | 65533562 | - |
| Real Estate | 51694704 | - | 51694704 | - |
| Utilities | 147974175 | - | 147972862 | 1313 |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Information Technology | 428875 | 428875 | - | - |
|  **Preferred Securities** |  |  |  |  |
| Energy | 2729431 | - | 2729431 | - |
| Financials | 9851434 | - | 9851434 | - |
| Industrials | 960203 | - | 960203 | - |
|  **U.S. Government Agency - Mortgage Securities** | 3437417 | - | 3437417 | - |
|  **U.S. Treasury Obligations** | 636705055 | - | 636705055 | - |
|  **Money Market Funds** | 119157368 | 119157368 | - | - |
| **Total Investments in Securities:** | 3278586983 | 119586243 | 3158224794 | 775946 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 1577977 | 1577977 | - | - |
| Total Assets | 1577977 | 1577977 | - | - |
| **Total Derivative Instruments:** | 1577977 | 1577977 | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. 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 ($)** | **Liability ($)** |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 1577977 | - |
| **Total Interest Rate Risk**  | 1577977 | - |
| **Total Value of Derivatives** | 1577977 | - |

---

(a)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 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $13,578,615) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $3,141,378,264) | $3159429615 |  |
| Fidelity Central Funds (cost $119,157,368) | 119157368 |  |
| Total Investment in Securities (cost $3,260,535,632) |  | $3278586983 |
| Cash |  | 515303 |
| Receivable for investments sold |  | 71528419 |
| Receivable for fund shares sold |  | 3613741 |
| Dividends receivable |  | 3141 |
| Interest receivable |  | 25735582 |
| Distributions receivable from Fidelity Central Funds |  | 110174 |
| Receivable for daily variation margin on futures contracts |  | 743827 |
| Receivable from investment adviser for expense reductions |  | 30645 |
| Other receivables |  | 784 |
| **Total assets** |  | 3380868599 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $186696717 |  |
| Delayed delivery | 2987625 |  |
| Payable for fund shares redeemed | 3397737 |  |
| Distributions payable | 1001213 |  |
| Accrued management fee | 508392 |  |
| Distribution and service plan fees payable | 108765 |  |
| Other affiliated payables | 271374 |  |
| Collateral on securities loaned | 14171598 |  |
| **Total liabilities** |  | 209143421 |
| **Net Assets**  |  | $3171725178 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $3250192103 |
| Total accumulated earnings (loss) |  | (78466925) |
| **Net Assets** |  | $3171725178 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($376,553,412 ÷ 32,298,897 shares)(a) |  | $11.66 |
| Maximum offering price per share (100/97.25 of $11.66) |  | $11.99 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($90,652,849 ÷ 7,771,078 shares)(a) |  | $11.67 |
| Maximum offering price per share (100/97.25 of $11.67) |  | $12.00 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($14,017,274 ÷ 1,205,125 shares)(a) |  | $11.63 |
| **Fidelity Limited Term Bond Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,532,818,641 ÷ 131,139,420 shares) |  | $11.69 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($491,128,112 ÷ 42,010,157 shares) |  | $11.69 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($666,554,890 ÷ 57,028,104 shares) |  | $11.69 |
| *(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** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $292732 |
| Interest  |  | 59522765 |
| Income from Fidelity Central Funds (including $10,021 from security lending)  |  | 756684 |
| **Total income** |  | 60572181 |
| **Expenses** |  |  |
| Management fee | $2759554 |  |
| Transfer agent fees | 1538825 |  |
| Distribution and service plan fees | 645810 |  |
| Independent trustees' fees and expenses | 2835 |  |
| Total expenses before reductions | 4947024 |  |
| Expense reductions | (131961) |  |
| Total expenses after reductions |  | 4815063 |
| **Net Investment income (loss)** |  | 55757118 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 5477359 |  |
| Fidelity Central Funds | (4198) |  |
| Futures contracts | 779277 |  |
| Total net realized gain (loss) |  | 6252438 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 9385905 |  |
| Futures contracts | 93382 |  |
| Total change in net unrealized appreciation (depreciation) |  | 9479287 |
| **Net gain (loss)** |  | 15731725 |
| **Net increase (decrease) in net assets resulting from operations** |  | $71488843 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $55757118 | $87885199 |
| &nbsp;&nbsp;Net realized gain (loss) | 6252438<br>| (4826313)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 9479287 | 42194835<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 71488843<br>| 125253721<br>|
| Distributions to shareholders | (55805223)<br>| (84398184)<br>|
| Share transactions - net increase (decrease) | 581902698<br>| 489628791<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 597586318<br>| 530484328<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 2574138860 | 2043654532<br>|
| &nbsp;&nbsp;End of period | $3171725178 | $2574138860 |

---

**Financial Highlights** 

**Fidelity Advisor® Limited Term Bond Fund Class A**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.60 | $11.41 | $10.91 | $10.90 | $11.83 | $11.97 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .220  | .416  | .314  | .217  | .116  | .132  |
| Net realized and unrealized gain (loss)  | .061  | .172  | .491  | .004  | (.910)  | (.085)  |
| Total from investment operations  | .281  | .588  | .805  | .221  | (.794)  | .047  |
| Distributions from net investment income  | (.221)  | (.398)  | (.305)  | (.211)  | (.112)  | (.129)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.221)  | (.398)  | (.305)  | (.211)  | (.136)  | (.187)  |
| Net asset value, end of period  | $11.66 | $11.60 | $11.41 | $10.91 | $10.90 | $11.83 |
| **Total Return** C,D,E | 2.44% <br>| 5.25%  | 7.48%  | 2.06%  | (6.75)%  | .40%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .61% H | .60%  | .60%  | .69%  | .75%  | .75%  |
| Expenses net of fee waivers, if any  | .61% H<br>| .60%  | .60%  | .69%  | .75%  | .75%  |
| Expenses net of all reductions, if any  | .61% H | .60%  | .60%  | .69%  | .75%  | .75%  |
| Net investment income (loss)  | 3.83% H | 3.64%  | 2.83%  | 2.00%  | 1.02%  | 1.11%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $376553 | $345397 | $308260 | $313202 | $365178 | $445468 |
| Portfolio turnover rate I | 66% H<br>| 57%  | 65%  | 26%  | 29%  | 81%  |

---

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 for periods of less than one year are not annualized.*

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

E*Total returns do not include the effect of the sales charges.*

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® Limited Term Bond Fund Class M**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.60 | $11.41 | $10.92 | $10.90 | $11.83 | $11.97 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .221  | .417  | .314  | .217  | .115  | .132  |
| Net realized and unrealized gain (loss)  | .070  | .171  | .481  | .015  | (.909)  | (.085)  |
| Total from investment operations  | .291  | .588  | .795  | .232  | (.794)  | .047  |
| Distributions from net investment income  | (.221)  | (.398)  | (.305)  | (.212)  | (.112)  | (.129)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.221)  | (.398)  | (.305)  | (.212)  | (.136)  | (.187)  |
| Net asset value, end of period  | $11.67 | $11.60 | $11.41 | $10.92 | $10.90 | $11.83 |
| **Total Return** C,D,E | 2.53% <br>| 5.25%  | 7.39%  | 2.15%  | (6.75)%  | .40%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .60% H | .60%  | .60%  | .69%  | .75%  | .75%  |
| Expenses net of fee waivers, if any  | .60% H<br>| .60%  | .60%  | .69%  | .75%  | .75%  |
| Expenses net of all reductions, if any  | .60% H | .60%  | .60%  | .69%  | .75%  | .75%  |
| Net investment income (loss)  | 3.83% H | 3.64%  | 2.83%  | 2.00%  | 1.01%  | 1.11%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $90653 | $95223 | $99607 | $111487 | $118756 | $161105 |
| Portfolio turnover rate I | 66% H<br>| 57%  | 65%  | 26%  | 29%  | 81%  |

---

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 for periods of less than one year are not annualized.*

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

E*Total returns do not include the effect of the sales charges.*

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® Limited Term Bond Fund Class C**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.57 | $11.38 | $10.88 | $10.87 | $11.80 | $11.94 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .175  | .328  | .228  | .132  | .027  | .039  |
| Net realized and unrealized gain (loss)  | .060  | .171  | .491  | .005  | (.908)  | (.084)  |
| Total from investment operations  | .235  | .499  | .719  | .137  | (.881)  | (.045)  |
| Distributions from net investment income  | (.175)  | (.309)  | (.219)  | (.127)  | (.025)  | (.037)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.175)  | (.309)  | (.219)  | (.127)  | (.049)  | (.095)  |
| Net asset value, end of period  | $11.63 | $11.57 | $11.38 | $10.88 | $10.87 | $11.80 |
| **Total Return** C,D,E | 2.05% <br>| 4.45%  | 6.67%  | 1.27%  | (7.49)%  | (.38)%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | 1.38% H | 1.37%  | 1.37%  | 1.48%  | 1.53%  | 1.53%  |
| Expenses net of fee waivers, if any  | 1.38% H<br>| 1.37%  | 1.37%  | 1.48%  | 1.53%  | 1.53%  |
| Expenses net of all reductions, if any  | 1.38% H | 1.37%  | 1.37%  | 1.48%  | 1.53%  | 1.53%  |
| Net investment income (loss)  | 3.05% H | 2.87%  | 2.06%  | 1.22%  | .24%  | .33%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $14017 | $15536 | $17816 | $22420 | $31080 | $45658 |
| Portfolio turnover rate I | 66% H<br>| 57%  | 65%  | 26%  | 29%  | 81%  |

---

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 for periods of less than one year are not annualized.*

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

E*Total returns do not include the effect of the contingent deferred sales charge.*

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® Limited Term Bond Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.63 | $11.44 | $10.94 | $10.93 | $11.86 | $12.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .239  | .451  | .349  | .251  | .150  | .168  |
| Net realized and unrealized gain (loss)  | .060  | .172  | .491  | .004  | (.909)  | (.085)  |
| Total from investment operations  | .299  | .623  | .840  | .255  | (.759)  | .083  |
| Distributions from net investment income  | (.239)  | (.433)  | (.340)  | (.245)  | (.147)  | (.165)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.239)  | (.433)  | (.340)  | (.245)  | (.171)  | (.223)  |
| Net asset value, end of period  | $11.69 | $11.63 | $11.44 | $10.94 | $10.93 | $11.86 |
| **Total Return** C,D | 2.59% <br>| 5.56%  | 7.80%  | 2.37%  | (6.45)%  | .70%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .30% G | .30%  | .30%  | .39%  | .45%  | .45%  |
| Expenses net of fee waivers, if any  | .30% G<br>| .30%  | .30%  | .39%  | .45%  | .45%  |
| Expenses net of all reductions, if any  | .30% G | .30%  | .30%  | .39%  | .45%  | .45%  |
| Net investment income (loss)  | 4.13% G | 3.94%  | 3.13%  | 2.30%  | 1.32%  | 1.41%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $1532819 | $1365636 | $960952 | $1277525 | $1593604 | $2245757 |
| Portfolio turnover rate H | 66% G<br>| 57%  | 65%  | 26%  | 29%  | 81%  |

---

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 for periods of less than one year are not annualized.*

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

E*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*Annualized.*

H*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® Limited Term Bond Fund Class I**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.63 | $11.44 | $10.94 | $10.93 | $11.86 | $12.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .239  | .452  | .349  | .247  | .145  | .162  |
| Net realized and unrealized gain (loss)  | .060  | .171  | .491  | .005  | (.910)  | (.084)  |
| Total from investment operations  | .299  | .623  | .840  | .252  | (.765)  | .078  |
| Distributions from net investment income  | (.239)  | (.433)  | (.340)  | (.242)  | (.141)  | (.160)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.239)  | (.433)  | (.340)  | (.242)  | (.165)  | (.218)  |
| Net asset value, end of period  | $11.69 | $11.63 | $11.44 | $10.94 | $10.93 | $11.86 |
| **Total Return** C,D | 2.59% <br>| 5.56%  | 7.80%  | 2.34%  | (6.49)%  | .66%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .35% G | .35%  | .35%  | .44%  | .50%  | .50%  |
| Expenses net of fee waivers, if any  | .30% G<br>| .30%  | .30%  | .42%  | .50%  | .50%  |
| Expenses net of all reductions, if any  | .30% G | .30%  | .30%  | .42%  | .50%  | .50%  |
| Net investment income (loss)  | 4.13% G | 3.94%  | 3.13%  | 2.27%  | 1.27%  | 1.36%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $491128 | $496558 | $477123 | $494305 | $656342 | $871438 |
| Portfolio turnover rate H | 66% G<br>| 57%  | 65%  | 26%  | 29%  | 81%  |

---

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 for periods of less than one year are not annualized.*

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

E*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*Annualized.*

H*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® Limited Term Bond Fund Class Z**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.63 | $11.44 | $10.94 | $10.93 | $11.86 | $12.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .240  | .457  | .354  | .259  | .160  | .179  |
| Net realized and unrealized gain (loss)  | .062  | .172  | .491  | .004  | (.909)  | (.085)  |
| Total from investment operations  | .302  | .629  | .845  | .263  | (.749)  | .094  |
| Distributions from net investment income  | (.242)  | (.439)  | (.345)  | (.253)  | (.157)  | (.176)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.242)  | (.439)  | (.345)  | (.253)  | (.181)  | (.234)  |
| Net asset value, end of period  | $11.69 | $11.63 | $11.44 | $10.94 | $10.93 | $11.86 |
| **Total Return** C,D | 2.62% <br>| 5.62%  | 7.85%  | 2.45%  | (6.36)%  | .79%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .25% G | .25%  | .25%  | .34%  | .40%  | .40%  |
| Expenses net of fee waivers, if any  | .25% G<br>| .25%  | .25%  | .32%  | .36%  | .36%  |
| Expenses net of all reductions, if any  | .25% G | .25%  | .25%  | .32%  | .36%  | .36%  |
| Net investment income (loss)  | 4.18% G | 3.99%  | 3.18%  | 2.38%  | 1.41%  | 1.50%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $666555 | $255789 | $179895 | $157093 | $215329 | $301008 |
| Portfolio turnover rate H | 66% G<br>| 57%  | 65%  | 26%  | 29%  | 81%  |

---

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 for periods of less than one year are not annualized.*

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

E*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*Annualized.*

H*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** **(Unaudited)**

For the period ended February 28, 2026

**1. Organization.**

Fidelity Advisor Limited Term Bond Fund (the Fund) is a fund of Fidelity Advisor Series II (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 Limited Term 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, 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. 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

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.

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 February 28, 2026 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. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. 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. 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. 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.

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, market discount, partnerships, 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** | $40017942 |
| **Gross unrealized depreciation** | <u>(15927648)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$24090294</u> |
| **Tax cost** | <u>$3256074666</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 prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(26574586) |
| Long-term | <u>(81958380)</u> |
| **Total capital loss carryforward** | <u>$(108532966)</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.

**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.

**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. 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 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):

<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. Counterparty credit risk related to exchange-traded 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.

**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 Advisor Limited Term Bond Fund** | 364096457 |

---

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 Advisor Limited Term Bond Fund** | 736554099 | 389597508 |

---

**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 .20% 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, transfer agent fees, distribution and service plan fees 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% | 456919 | 72726 |
| **Class M** | - % | .25% | 115286 | 2090 |
| **Class C** | .75% | .25% | &nbsp;&nbsp;&nbsp;&nbsp; <u>73605</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>8028</u> |
|  |  |  | <u>645810</u> | <u>82844</u> |

---

**Sales Load.** FDC may receive a front-end sales charge of up to 2.75% 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% 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** | 15593 |
| **Class M** | 2139 |
| **Class C** A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>24</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp; <u>17756</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 each respective class of the Fund, with the exception of Fidelity Limited Term Bond Fund and Class Z. FIIOC receives an asset-based fee of Fidelity Limited Term 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 AssetsA** |
| **Class A** | 276367 | .15 |
| **Class M** | 68913 | .15 |
| **Class C** | 12784 | .18 |
| **Fidelity Limited Term Bond Fund** | 725003 | .10 |
| **Class I** | 369478 | .15 |
| **Class Z** | &nbsp;&nbsp;&nbsp;&nbsp; <u>86280</u> | .05 |
|  | <u>1538825</u> |  |

---

*A Annualized*

**Brokerage Commissions.** A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Advisor Limited Term Bond Fund** | 7 |

---

**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.

**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 2027 unless extended or renewed.

Effective March 24, 2026 the .10% spread adjustment on the SOFR benchmark was removed.

**8. 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 in security lending. 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 Advisor Limited Term Bond Fund** | 988 | - | - |

---

**9. 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 other expenses such as interest expense, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class I** | .30% | 129688 |

---

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 $2,273.

**10. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Six months ended** <br> **February 28, 2026** | **Year ended**<br> **August 31, 2025** |
| **Fidelity Advisor Limited Term Bond Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $6948554 | $11528812 |
| Class M | 1751324 | 3338028 |
| Class C | 222573 | 455441 |
| Fidelity Limited Term Bond Fund | 29719245 | 42531465 |
| Class I | 10073935 | 17961889 |
| Class Z | <u>7089592</u> | <u>8582549</u> |
| Total  | <u>$55805223</u> | <u>$84398184</u> |

---

**11. 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** |
|  | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** |
| **Fidelity Advisor Limited Term Bond Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 12338431 | 21798676 | $143328711 | $249237820 |
| Reinvestment of distributions  | 577827 | 969324 | 6715811 | 11103533 |
| Shares redeemed | <u>(10399893)</u> | <u>(20006741)</u> | <u>(120847569)</u> | <u>(228750795)</u> |
| Net increase (decrease) | <u>2516365</u> | <u>2761259</u> | <u>$29196953</u> | <u>$31590558</u> |
| **Class M** |  |  |  |  |
| Shares sold | 920071 | 2340118 | $10699250 | $26794377 |
| Reinvestment of distributions  | 145224 | 280898 | 1688528 | 3218633 |
| Shares redeemed | <u>(1500051)</u> | <u>(3141224)</u> | <u>(17439638)</u> | <u>(35930148)</u> |
| Net increase (decrease) | <u>(434756)</u> | <u>(520208)</u> | <u>$(5051860)</u> | <u>$(5917138)</u> |
| **Class C** |  |  |  |  |
| Shares sold | 99656 | 411426 | $1155368 | $4688425 |
| Reinvestment of distributions  | 18652 | 38021 | 216278 | 434464 |
| Shares redeemed | <u>(255929)</u> | <u>(672058)</u> | <u>(2966931)</u> | <u>(7664212)</u> |
| Net increase (decrease) | <u>(137621)</u> | <u>(222611)</u> | <u>$(1595285)</u> | <u>$(2541323)</u> |
| **Fidelity Limited Term Bond Fund** |  |  |  |  |
| Shares sold | 26826063 | 52700766 | $312489440 | $604195683 |
| Reinvestment of distributions  | 2292035 | 3311103 | 26708519 | 38050851 |
| Shares redeemed | <u>(15430429)</u> | <u>(22577772)</u> | <u>(179779163)</u> | <u>(258908615)</u> |
| Net increase (decrease) | <u>13687669</u> | <u>33434097</u> | <u>$159418796</u> | <u>$383337919</u> |
| **Class I** |  |  |  |  |
| Shares sold | 5750008 | 11136041 | $67000847 | $127601683 |
| Reinvestment of distributions  | 695654 | 1206214 | 8107242 | 13857272 |
| Shares redeemed | <u>(7133972)</u> | <u>(11351639)</u> | <u>(83070378)</u> | <u>(130205847)</u> |
| Net increase (decrease) | <u>(688310)</u> | <u>990616</u> | <u>$(7962289)</u> | <u>$11253108</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 36496875 | 9922191 | $424992996 | $113723926 |
| Reinvestment of distributions  | 490969 | 584759 | 5723735 | 6716871 |
| Shares redeemed | <u>(1959535)</u> | <u>(4236203)</u> | <u>(22820348)</u> | <u>(48535130)</u> |
| Net increase (decrease) | <u>35028309</u> | <u>6270747</u> | <u>$407896383</u> | <u>$71905667</u> |

---

**12. 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.

**13. Credit Risk.** 

The Fund invests a significant portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

**14. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

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

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

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

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity Advisor Limited Term Bond Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board's Operations Committee, of which all the Independent Trustees are members, meets regularly throughout the year and requests, receives and considers, among other matters, information related to the annual consideration of the renewal of the fund's Advisory Contracts before making its recommendation to the Board. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet from time to time with trustees of other Fidelity U.S. registered funds (Fidelity funds) through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class; (iii) the total costs of the services provided by and the profits realized by FMR and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board also considered the broad range of investment choices available to shareholders from FMR's competitors and that the fund's shareholders have chosen to invest in the fund, which is part of the Fidelity family of funds. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable in light of all of the surrounding circumstances.

**Nature, Extent, and Quality of Services Provided**. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds and experience of investment personnel, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, managing, training, and compensating investment personnel. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, technology and operations capabilities and resources, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by Fidelity under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity and derivatives risk management. The Board also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account and market information over the Internet, via the Fidelity mobile app and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

<u>Investment in a Large Fund Family</u>. The Board considered the benefits to shareholders of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds and/or the Fidelity funds in general.

<u>Investment Performance</u>. The Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for the fund for different time periods, measured against an appropriate index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also considered information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds over different time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Expense Ratio.** The Board was provided with information regarding industry trends in management fees and expenses. In its review of the fund's management fee and the total expense ratio of a representative class (the retail class), the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) of the fund relative to the funds and classes in the total peer group; (ii) gross management fee comparisons of the fund relative to a subset of non-Fidelity funds in the total peer group that are similar in size to the fund (referred to as the "asset-sized peer group"); (iii) total expense comparisons of the fund relative to the total peer group; and (iv) total expense comparisons (excluding performance adjustments and fund-paid 12b-1 fees) of the fund relative to the asset-sized peer group. The asset-sized peer group comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the total peer group for 2024 and below the competitive median of the asset-sized peer group for 2024. Further, the information provided to the Board indicated that the total expense ratio of the retail class of the fund ranked below the competitive median of the total peer group for 2024 and below the competitive median of the asset-sized peer group for 2024.

<u>Other Contractual Arrangements</u>. The Board considered that FMR has contractually agreed to reimburse Class I of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.30% through December 31, 2026.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered. Further, based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered. Further, based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of the fund and all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each Fidelity fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board concluded, taking into account the analysis of the committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

**Additional Information Requested by the Board.** In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) portfolio manager changes that have occurred during the past year; (ii) hiring, training, compensating, and retaining adviser and sub-adviser personnel; (iii) the terms of the funds' various management fee structures and arrangements for transfer agent and pricing and bookkeeping services; (iv) Fidelity's fund profitability methodology, profitability trends for certain funds and asset classes, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (v) information about the role of fund profitability in considering changes to the fund lineup; (vi) the types of management fee and total expense comparisons provided, and challenges and limitations associated with such information; (vii) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons; (viii) matters related to money market funds, bond funds, allocation funds, exchange-traded funds, and target date funds; (ix) the arrangements with and compensation paid to certain fund sub-advisers and the treatment of such compensation within Fidelity's fund profitability methodology; and (x) the terms of management contracts between Fidelity and other funds and products not overseen by the Board.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that the fund's Advisory Contracts should be renewed through September 30, 2026.

![](img126690_4.jpg)<br>

1.704556.128 LTB-SANN-0426

**Fidelity® Limited Term Securitized Completion Fund**

**Semi-Annual Report**

**February 28, 2026**

![](img126703_1.jpg)

![](img126703_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_LTS-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Limited Term Securitized Completion Fund](#Sub_Sec_Fund_7612_LTS-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7612_LTS-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_LTS-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_LTS-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_LTS-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_LTS-SANN)** |

---

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.© 2026 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 (Semi-Annual Report)**

**Fidelity® Limited Term Securitized Completion Fund**

**Schedule of Investments February 28, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 50.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 50.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 50.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.6%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (e) | 61730 | 62379 |
| Evergreen Cr Card Tr Series 2025-CRT5 Class B, 5.24% 5/15/2029 (e) | 700000 | 708518 |
| Securitized Term Auto Receivables Trust Series 2025-A Class B, 5.038% 7/25/2031 (e) | 5701 | 5762 |
| TOTAL CANADA |  | 776659 |
| UNITED STATES - 50.0%  |  |  |
| Affirm Asset Securitization Trust Series 2024-B Class A, 4.62% 9/15/2029 (e) | 320000 | 320842 |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (e) | 18861 | 18885 |
| Affirm Asset Securitization Trust Series 2025-X1 Class B, 5.19% 4/15/2030 (e) | 400000 | 400783 |
| Affirm Master Trust Series 2025-1A Class A, 4.99% 2/15/2033 (e) | 235000 | 237224 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (e) | 1000000 | 1007440 |
| American Express Credit Account Master Trust Series 2024-1 Class A, 5.23% 4/15/2029  | 625000 | 636016 |
| Amur Equip Fin Receivables Xv LLC Series 2025-1A Class A2, 4.7% 9/22/2031 (e) | 1184650 | 1197505 |
| Amur Equipment Finance Receivables Xiv LLC Series 2024-2A Class A2, 5.19% 7/21/2031 (e) | 455405 | 461692 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (e) | 41084 | 41350 |
| ARI Fleet Lease Trust Series 2024-B Class A3, 5.26% 4/15/2033 (e) | 896000 | 913371 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (e) | 87751 | 88048 |
| ARI Fleet Lease Trust Series 2025-A Class B, 4.7% 1/17/2034 (e) | 250000 | 254401 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (e) | 53205 | 53308 |
| AutoNation Finance Trust Series 2026-1A Class A3, 4.03% 8/12/2030 (e) | 65000 | 65363 |
| Avis Budget Rental Car Funding AESOP LLC Series 2024-3A Class A, 5.23% 12/20/2030 (e) | 500000 | 518320 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (e) | 100000 | 101759 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (e) | 120701 | 122583 |
| Barings Equipment Finance LLC Series 2025-A Class A2, 4.64% 10/13/2028 (e) | 299702 | 301450 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (e) | 1816247 | 1845355 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (e) | 200000 | 201434 |
| Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/2028  | 800000 | 793636 |
| Carmax Auto Owner Trust Series 2025-4 Class A3, 3.97% 12/16/2030  | 100000 | 100500 |
| Carmax Auto Owner Trust Series 2025-4 Class B, 4.42% 7/15/2031  | 1000000 | 1017623 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 75000 | 75608 |
| Carmax Select Receivables Trust Series 2025-B Class A3, 4.12% 3/15/2030  | 1000000 | 1004979 |
| Carmax Select Receivables Trust Series 2026-A Class A2A, 4.03% 12/17/2029  | 115000 | 115016 |
| Carmax Select Receivables Trust Series 2026-A Class A3, 3.99% 5/17/2032  | 70000 | 70196 |
| Carmax Series 2026-1 Class A3, 4.04% 3/17/2031  | 200000 | 201609 |
| Carvana Auto Receivables Trust Series 2025-N1 Class A3, 4.91% 8/10/2029 (e) | 100000 | 100823 |
| Carvana Auto Receivables Trust Series 2025-P1 Class B, 4.98% 5/12/2031  | 200000 | 206587 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (e) | 84290 | 84712 |
| Ccg Receivables Trust. Series 2025-1 Class B, 4.69% 10/14/2032 (e) | 250000 | 253918 |
| Chase Issuance Trust Series 2023-A1 Class A, 5.16% 9/15/2028  | 374000 | 376751 |
| Chase Issuance Trust Series 2024-A1 Class A, 4.6% 1/15/2029 (f) | 100000 | 100785 |
| Citizens Auto Receivables Trust Series 2024-1 Class A3, 5.11% 4/17/2028 (e) | 151279 | 152040 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (e) | 300000 | 303623 |
| Dell Equipment Finance Trust Series 2023-2 Class A3, 5.65% 1/22/2029 (e) | 21325 | 21350 |
| Dell Equipment Finance Trust Series 2024-1 Class A3, 5.39% 3/22/2030 (e) | 561933 | 565639 |
| Dext Abs LLC Series 2025-1 Class A3, 4.77% 8/15/2035 (e) | 1460000 | 1476267 |
| Dext Abs LLC Series 2025-2 Class A3, 4.23% 4/15/2036 (e) | 100000 | 100331 |
| DLLAA LLC Series 2025-1A Class A3, 4.95% 9/20/2029 (e) | 85000 | 86850 |
| Dllad LLC Series 2025-1A Class A3, 4.42% 9/20/2030 (e) | 100000 | 101598 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (e) | 435270 | 436930 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (e) | 400000 | 408296 |
| DLLMT LLC Series 2024-1A Class A3, 4.84% 8/21/2028 (e) | 750000 | 755975 |
| DLLMT LLC Series 2026-1A Class A2, 4.03% 7/20/2028 (e) | 75000 | 75105 |
| DLLMT LLC Series 2026-1A Class A3, 4.2% 12/20/2029 (e) | 40000 | 40278 |
| Eff Series 2026-1 Class A3, 4.12% 3/20/2030 (e) | 100000 | 100878 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A3, 4.98% 8/21/2028 (e) | 250000 | 253278 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (e) | 50000 | 50554 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (e) | 28305 | 28376 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A3, 4.39% 9/17/2029  | 170000 | 170921 |
| Exeter Automobile Receivables Trust Series 2025-4A Class B, 4.4% 5/15/2030  | 145000 | 146170 |
| Exeter Automobile Receivables Trust Series 2026-1A Class A3, 4.03% 3/15/2030  | 25000 | 25061 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 1505000 | 1517088 |
| Exeter Select Automobile Receivables Trust Series 2025-3 Class A3, 4.18% 12/16/2030  | 40000 | 40227 |
| Exeter Select Automobile Receivables Trust Series 2025-3 Class B, 4.42% 3/15/2032  | 1000000 | 1009964 |
| Ford Cr Floorplan Mast Own Tr Series 2018-4 Class A, 4.06% 11/15/2030  | 1905000 | 1920647 |
| Ford Credit Auto Owner Trust Series 2021-1 Class A, 1.37% 10/17/2033 (e) | 1330000 | 1325487 |
| Ford Credit Auto Owner Trust Series 2024-1 Class A, 4.87% 8/15/2036 (e) | 400000 | 412156 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (e) | 400000 | 406421 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-3 Class A1, 4.3% 9/15/2029 (e) | 1000000 | 1007715 |
| FORDO Series 2024-B Class A3, 5.1% 4/15/2029  | 342000 | 345581 |
| Fordr Series 2025-2 Class B, 4.67% 2/15/2038 (e)(h) | 1700000 | 1741376 |
| GM Financial Revolving Receivables Trust Series 2021-1 Class A, 1.17% 6/12/2034 (e) | 1000000 | 985737 |
| GM Financial Revolving Receivables Trust Series 2023-1 Class A, 5.12% 4/11/2035 (e) | 300000 | 308678 |
| GM Financial Revolving Receivables Trust Series 2025-1 Class B, 4.8% 12/11/2037 (e) | 250000 | 256176 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A2, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8082% 6/15/2028 (e)(f)(g) | 400000 | 400855 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class B, 5.73% 6/15/2028 (e) | 115000 | 115492 |
| GMF Floorplan Owner Revolving Trust Series 2024-1A Class A1, 5.13% 3/15/2029 (e) | 1000000 | 1013670 |
| GMF Floorplan Owner Revolving Trust Series 2024-2A Class A, 5.06% 3/15/2031 (e) | 1382000 | 1431684 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class B, 4.79% 3/15/2029 (e) | 100000 | 100701 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (e) | 128019 | 128414 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A3, 4.49% 4/16/2029 (e) | 150000 | 151807 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (e) | 17070 | 17104 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (e) | 76216 | 76629 |
| Hpefs Equipment Trust Series 2025-2A Class A3, 4.03% 11/22/2032 (e) | 500000 | 501980 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 170223 | 170506 |
| Kubota Credit Owner Trust Series 2024-2A Class A3, 5.26% 11/15/2028 (e) | 1600000 | 1623585 |
| Kubota Credit Owner Trust Series 2026-1A Class A3, 3.87% 5/15/2030 (e) | 200000 | 200680 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (e) | 40496 | 40627 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (e) | 66162 | 66534 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (e) | 110000 | 110922 |
| Merchants Fleet Funding LLC Series 2025-1A Class B, 4.91% 1/20/2039 (e) | 1200000 | 1214936 |
| Nissan Auto Lease Trust Series 2026-A Class A3, 3.87% 3/15/2029  | 55000 | 55097 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (e) | 2200000 | 2220420 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class A, 4.82% 7/14/2038 (e) | 1000000 | 1019063 |
| OneMain Financial Issuance Trust Series 2019-2A Class A, 3.14% 10/14/2036 (e) | 600000 | 593670 |
| OneMain Financial Issuance Trust Series 2023-1A Class A, 5.5% 6/14/2038 (e) | 1000000 | 1035992 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (e) | 470 | 470 |
| Oportun Funding Trust Series 2025-1 Class A, 4.96% 8/16/2032 (e) | 26486 | 26510 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (e) | 100000 | 100586 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (e) | 1100000 | 1102989 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (e) | 1000000 | 1003112 |
| Optn Series 2026-A Class A, 4.32% 1/9/2034 (e) | 100000 | 100320 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (e) | 157767 | 161010 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A2, 4.27% 10/20/2028 (e) | 75000 | 75181 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A3, 4.39% 7/20/2033 (e) | 15000 | 15157 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (e) | 44104 | 44366 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (e) | 85642 | 86397 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (e)(f) | 449885 | 447136 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (e) | 47811 | 47925 |
| Rcktl Series 2025-2A Class A, 4.48% 11/27/2034 (e) | 70358 | 70428 |
| Rcktl Series 2025-2A Class B, 4.6% 11/27/2034 (e) | 1000000 | 1002693 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (e)(f) | 111343 | 111499 |
| Reach ABS Trust Series 2025-1A Class A, 4.96% 8/16/2032 (e) | 253451 | 254137 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (e) | 63685 | 63976 |
| Reach Abs Trust Series 2026-1A Class B, 4.37% 2/15/2033 (e) | 300000 | 300576 |
| Santander Drive Auto Receivables Trust Series 2025-1 Class A3, 4.74% 1/16/2029  | 18506 | 18553 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class B, 4.87% 5/15/2031  | 200000 | 202552 |
| Santander Drive Auto Receivables Trust Series 2026-1 Class A3, 3.93% 7/15/2030  | 85000 | 85178 |
| Santander Drive Auto Receivables Trust Series 2026-1 Class B, 4.07% 4/15/2032  | 500000 | 501635 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (e) | 2974 | 2980 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (e) | 202229 | 203300 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A2A, 3.91% 8/20/2029 (e) | 100000 | 100070 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A3, 3.96% 7/21/2031 (e) | 100000 | 100309 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (e) | 62926 | 63103 |
| Sofi Consumer Loan Program Trust Series 2026-1 Class A, 4.06% 12/26/2035 (e) | 1000000 | 1000585 |
| Sofi Consumer Loan Program Trust Series 2026-1 Class B, 4.44% 12/26/2035 (e) | 250000 | 251846 |
| Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-CA Class A3, 4.11% 4/20/2029 (e) | 2500000 | 2517842 |
| Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-CA Class A4, 4.13% 12/20/2029 (e) | 1500000 | 1512109 |
| UPX HIL Issuer Trust Series 2025-1 Class B, 6.07% 1/25/2047 (e) | 500000 | 509279 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (e) | 152889 | 154079 |
| VCAT Asset Securitization LLC Series 2026-NPL1 Class A1, 5.101% 1/25/2056 (e)(f) | 774270 | 772113 |
| VCAT Asset Securitization LLC Series 2026-NPL2 Class A1, 4.987% 2/25/2056 (e)(h) | 1000000 | 1000000 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (e) | 85668 | 86036 |
| Verizon Master Trust Series 2024-8 Class A1A, 4.62% 11/20/2030  | 1305000 | 1325240 |
| Volkswagen Auto Loan Enhanced Trust 2023-2 Series 2023-2 Class A3, 5.48% 12/20/2028  | 811905 | 821500 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (e) | 120753 | 120971 |
| Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/2029  | 400000 | 404630 |
| Wells Fargo Card Issuance Trust Series 2024-A2 Class A, 4.29% 10/15/2029  | 110000 | 111095 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (e) | 244082 | 249923 |
| Westlake Automobile Receivables Trust Series 2026-1A Class A3, 4.01% 7/16/2029 (e) | 1500000 | 1502697 |
| Wheels Fleet Lease Funding LLC Series 2023-2A Class A, 6.46% 8/18/2038 (e) | 69794 | 70560 |
| Wheels Fleet Lease Funding LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (e) | 555150 | 561346 |
| Wheels Fleet Lease Funding LLC Series 2025-2A Class A1, 4.41% 5/18/2040 (e) | 2300000 | 2322893 |
| Wheels Fleet Lease Funding LLC Series 2025-3A Class A1, 4.08% 9/18/2040 (e) | 190000 | 190813 |
| Willis Engine Structured Trust III Series 2017-A Class A, 4.69% 8/15/2042 (e)(f) | 632972 | 630848 |
| Willis Engine Structured Trust VII Series 2025-B Class A, 5.159% 12/15/2050 (e) | 248192 | 250916 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 118217 | 118429 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class B, 4.68% 5/15/2030  | 250000 | 253018 |
| World Omni Select Auto Trust Series 2025-A Class A3, 4.08% 8/15/2031  | 40000 | 40211 |
| TOTAL UNITED STATES |  | 65228140 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $65,492,561) |  | <br> **66004799** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 10.4%  |  |  |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (e)(f) | 968011 | 921731 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (e)(f) | 112126 | 113347 |
| Bravo Residential Funding Trust Series 2023-RPL1 Class A1, 5% 5/25/2063 (e) | 67417 | 68184 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (e)(f) | 49222 | 49101 |
| CFMT LLC Series 2024-R1 Class A1, 4% 10/25/2054 (e) | 353748 | 349390 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (e)(f) | 85442 | 86538 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class EA, 2.25% 9/25/2046  | 85201 | 80082 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FH, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3672% 9/25/2052 (f)(g) | 273095 | 271534 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (f)(g) | 149203 | 151022 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.1972% 7/25/2054 (f)(g) | 62394 | 63222 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (f)(g) | 130591 | 131655 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-12 Class CF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 3/25/2055 (f)(g) | 154247 | 155738 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5148 Class D, 1.75% 10/25/2051  | 180256 | 149352 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5000 Class XA, 2% 4/25/2043  | 489283 | 474177 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 8/25/2053 (f)(g) | 187167 | 188444 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 10/25/2053 (f)(g) | 212965 | 216077 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (f)(g) | 131893 | 133110 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 11/25/2054 (f)(g) | 693893 | 697877 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (f)(g) | 123939 | 124828 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 4/25/2055 (f)(g) | 169116 | 170073 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (e) | 484492 | 476387 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (e)(f) | 83310 | 80637 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (e) | 462997 | 453406 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (e)(h) | 419946 | 422948 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (e)(h) | 406923 | 411333 |
| Obx Trust Series 2025-NQM19 Class A1, 4.869% 10/25/2065 (e)(f) | 940437 | 943401 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (e)(f) | 46040 | 45333 |
| Ocwen Loan Investment Trust Series 2025-HB2 Class A, 3% 11/25/2038 (e)(f) | 74482 | 72196 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (e) | 170929 | 170929 |
| Onslow Bay Financial LLC Series 2025-NQM20 Class A1, 5.021% 10/25/2065 (e)(f) | 187328 | 188393 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (e)(h) | 93051 | 91766 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (e)(f) | 163246 | 164071 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (e) | 96154 | 95436 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (e)(f) | 158364 | 156918 |
| PRPM LLC Series 2024-RPL4 Class A1, 4% 12/25/2054 (e)(h) | 436010 | 429716 |
| Prpm LLC Series 2025-RCF5 Class A1, 4.839% 10/25/2055 (e) | 919724 | 921214 |
| Towd Point Mortgage Trust 2023-1 Series 2023-1 Class A1, 3.75% 1/25/2063 (e) | 1272538 | 1244169 |
| TOWD Point Mortgage Trust Series 2018-1 Class A2, 3.25% 1/25/2058 (e) | 700000 | 688352 |
| Versus Securitization Trust Series 2026-1 Class A1FC, 4.743% 1/25/2071 (e)(h) | 990603 | 992030 |
| Versus Securitization Trust Series 2026-R1 Class A1FC, 4.675% 10/25/2067 (e)(f) | 394993 | 396213 |
| Verus Securitization Trust Series 2025-4 Class A1, 5.448% 5/25/2070 (e) | 167081 | 168821 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (e)(f) | 426788 | 431161 |
| TOTAL UNITED STATES |  | 13640312 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $13,475,555) |  | <br> **13640312** |

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---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 25.6%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 25.6%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 25.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 25.6%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4026% 6/15/2040 (e)(f)(g) | 141000 | 141707 |
| BANK Series 2017-BNK5 Class A4, 3.131% 6/15/2060  | 23532 | 23298 |
| BANK Series 2017-BNK8 Class A3, 3.229% 11/15/2050  | 147580 | 145411 |
| BANK Series 2019-BN21 Class A4, 2.6% 10/17/2052  | 1260724 | 1206620 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 656820 | 638786 |
| BANK Series 2023-BNK45 Class A5, 5.203% 2/15/2056 (f) | 100000 | 103708 |
| BANK5 Series 2025-5YR14 Class A3, 5.646% 4/15/2058  | 200000 | 210940 |
| BANK5 Series 2025-5YR16 Class XB, 0.3468% 8/15/2063 (f)(i) | 1000000 | 17704 |
| BANK5 Series 2025-5YR19 Class XB, 0.5998% 12/15/2058 (f)(i) | 1000000 | 28605 |
| BANK5 Series 2026-5YR20 Class A3, 5.104% 2/15/2059  | 1300000 | 1349360 |
| Barings Issuer LLC Series 2026-SBP Class A, 4.82% 2/25/2059 (e) | 100000 | 100137 |
| BBCMS Mortgage Trust Series 2022-C14 Class ASB, 2.901% 2/15/2055  | 190000 | 183012 |
| Benchmark Mortgage Trust Series 2018-B4 Class ASB, 4.059% 7/15/2051  | 11909 | 11916 |
| Benchmark Mortgage Trust Series 2018-B7 Class A3, 4.241% 5/15/2053  | 1100000 | 1101433 |
| Benchmark Mortgage Trust Series 2018-B7 Class A4, 4.51% 5/15/2053  | 300000 | 302274 |
| Benchmark Mortgage Trust Series 2019-B12 Class A5, 3.1156% 8/15/2052  | 150000 | 145127 |
| Benchmark Mortgage Trust Series 2021-B31 Class A5, 2.669% 12/15/2054  | 50000 | 45605 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  | 100000 | 104506 |
| Benchmark Mortgage Trust Series 2025-B41 Class A5, 5.4072% 7/15/2068  | 300000 | 318561 |
| Benchmark Mortgage Trust Series 2025-V16 Class XB, 0.3267% 8/15/2058 (f)(i) | 1000000 | 14685 |
| Benchmark Mortgage Trust Series 2026-V20 Class A3, 5.184% 2/15/2059  | 200000 | 208633 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.0018% 3/15/2041 (e)(f)(g) | 85666 | 85666 |
| BMO Mortgage Trust Series 2025-5C12 Class XB, 0.7492% 10/15/2058 (f)(i) | 2900000 | 97622 |
| BMO Mortgage Trust Series 2025-5C13 Class A3, 5.227% 12/15/2058  | 1200000 | 1249836 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (f) | 1400000 | 1477452 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.3919% 11/5/2039 (e)(f) | 700000 | 720132 |
| BX Commercial Mortgage Trust 2021-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.1507% 4/15/2037 (e)(f)(g) | 465903 | 465903 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.0513% 3/15/2041 (e)(f)(g) | 122257 | 122295 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.103% 4/15/2040 (e)(f)(g) | 90664 | 90778 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.301% 5/15/2041 (e)(f) | 165644 | 165747 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.4636% 10/15/2036 (e)(f)(g) | 100000 | 99813 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 4.972% 2/15/2039 (e)(f)(g) | 70000 | 69978 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 5.8505% 12/9/2040 (e)(f)(g) | 70000 | 70000 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 4.9525% 12/15/2039 (e)(f)(g) | 736293 | 736524 |
| BX Trust 2021 Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8245% 2/15/2036 (e)(f)(g) | 250000 | 249846 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.1015% 4/15/2041 (e)(f)(g) | 327962 | 328065 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.8035% 3/15/2030 (e)(f)(g) | 160067 | 159866 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.0531% 3/15/2030 (e)(f)(g) | 21472 | 21419 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.2029% 3/15/2030 (e)(f)(g) | 585609 | 584149 |
| BX Trust Series 2021-ACNT Class B, CME Term SOFR 1 month Index + 1.3645%, 5.0245% 11/15/2038 (e)(f)(g) | 74705 | 74682 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.1017% 2/15/2039 (e)(f)(g) | 359632 | 359632 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.4512% 2/15/2039 (e)(f)(g) | 186210 | 186210 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.8097% 2/15/2035 (e)(f)(g) | 1060000 | 1058567 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (e)(f) | 100000 | 102514 |
| Cent Trust Series 2025-CITY Class X, 0.2082% 7/10/2040 (e) | 1571000 | 10271 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 409763 | 405923 |
| Citigroup Commercial Mortgage Trust Series 2017-C4 Class A4, 3.471% 10/12/2050  | 100000 | 99160 |
| Citigroup Commercial Mortgage Trust Series 2017-P8 Class A3, 3.203% 9/15/2050  | 400000 | 395973 |
| COMM Mortgage Trust Series 2017-CD4 Class A4, 3.514% 5/10/2050  | 169000 | 167464 |
| CSAIL Commercial Mortgage Trust Series 2016-C6 Class A5, 3.0898% 1/15/2049  | 168367 | 167886 |
| CSAIL Commercial Mortgage Trust Series 2018-CX11 Class A5, 4.0331% 4/15/2051 (f) | 1200000 | 1197490 |
| CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A3, 3.9585% 8/15/2051  | 500000 | 498786 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class A, 4.6945% 2/10/2043 (e)(f) | 100000 | 101217 |
| DBJPM Mortgage Trust Series 2020-C9 Class A5, 1.926% 8/15/2053  | 300000 | 272396 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (e)(f) | 503000 | 518802 |
| EQT Trust Series 2024-EXTR Class A, 5.3308% 7/5/2041 (e)(f) | 1000000 | 1025253 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 4.9597% 10/15/2042 (e)(f)(g) | 645000 | 645806 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.2597% 10/15/2042 (e)(f)(g) | 25000 | 25047 |
| Extended Stay America Trust Series 2026-ESH2 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 2/15/2043 (e)(f)(g) | 143000 | 143045 |
| Extended Stay America Trust Series 2026-ESH2 Class B, CME Term SOFR 1 month Index + 1.4%, 5.0597% 2/15/2043 (e)(f)(g) | 15000 | 15028 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 200000 | 198501 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 200000 | 198657 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K748 Class A2, 2.26% 1/25/2029  | 300000 | 288358 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class AS, U.S. 30-Day Avg. SOFR Index + 0.53%, 4.2092% 6/25/2030 (f)(g) | 300000 | 299883 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K763 Class A2, 4.17% 10/25/2032 (f) | 200000 | 201881 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K554 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 10/25/2030 (f)(g) | 1699838 | 1699837 |
| GS Mortgage Securities Corp II Series 2019-GC40 Class A4, 3.16% 7/10/2052  | 150000 | 144739 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 448077 | 442979 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 150000 | 150037 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 130001 | 129853 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.3597% 10/15/2035 (e)(f)(g) | 15000 | 14972 |
| Hilton USA Trust Series 2016-HHV Class B, 4.1935% 11/5/2038 (e)(f) | 102000 | 101780 |
| ILPT Trust Series 2019-SURF Class A, 4.145% 2/11/2041 (e) | 600000 | 596027 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 5.0415% 11/5/2037 (e)(f) | 100000 | 102070 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class ASB, 3.4743% 12/15/2049 (f) | 53037 | 52871 |
| JPMDB Commercial Mortgage Securities Trust Series 2019-COR6 Class A4, 3.0565% 11/13/2052  | 1500000 | 1385687 |
| JPMDB Commercial Mortgage Securities Trust Series 2020-COR7 Class A5, 2.1798% 5/13/2053  | 200000 | 176008 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 9/15/2040 (e)(f)(g) | 1625000 | 1626350 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 285000 | 286925 |
| Morgan Stanley Capital I Trust Series 2019-H7 Class A4, 3.261% 7/15/2052  | 600000 | 584108 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class A4, 2.444% 6/15/2054 (f) | 120000 | 109385 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (e)(f) | 54022 | 53336 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 4.9097% 8/15/2042 (e)(f)(g) | 1000000 | 1002494 |
| SCMS Series 2025-BNC1 Class A2, 4.5016% 12/15/2057 (e) | 155000 | 155608 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.5049% 11/15/2038 (e)(f)(g) | 545247 | 545077 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.9026% 12/15/2039 (e)(f)(g) | 100000 | 100125 |
| UBS Commercial Mortgage Trust Series 2017-C1 Class A3, 3.196% 6/15/2050  | 8852 | 8775 |
| UBS Commercial Mortgage Trust Series 2017-C5 Class ASB, 3.345% 11/15/2050  | 62517 | 62035 |
| UBS Commercial Mortgage Trust Series 2019-C18 Class A4, 3.0352% 12/15/2052  | 200000 | 191622 |
| Wells Fargo Commercial Mortgage Trust Series 2016-LC24 Class A3, 2.684% 10/15/2049  | 138049 | 137330 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class A4, 4.152% 8/15/2051  | 50000 | 50012 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C51 Class ASB, 3.16% 6/15/2052  | 66380 | 65467 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C58 Class ASB, 1.849% 7/15/2053  | 744584 | 715176 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C61 Class ASB, 2.525% 11/15/2054  | 525000 | 503777 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 5.451% 10/15/2041 (e)(f)(g) | 100000 | 99870 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 5.9503% 10/15/2041 (e)(f)(g) | 100000 | 100035 |
| Wells Fargo Commercial Mortgage Trust Series 2025-5C4 Class XB, 0.5147% 5/15/2058 (f)(i) | 2000000 | 43595 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (e)(f) | 100000 | 100953 |
| TOTAL UNITED STATES |  | 33394466 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $33,014,346) |  | <br> **33394466** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 15.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 15.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 15.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 15.5%  |  |  |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 80755 | 69889 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 561894 | 513112 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 168051 | 154091 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 12503 | 11465 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 324071 | 280663 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 12694 | 11612 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 13980 | 12788 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 727691 | 664514 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 449208 | 408665 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 69091 | 63093 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 166855 | 152369 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 14488 | 13231 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 180577 | 168978 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 13908 | 12973 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 54792 | 51222 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  | 392091 | 349005 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  | 19670 | 18376 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2038  | 652568 | 610040 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2036  | 46718 | 43848 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2036  | 668062 | 624524 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2036  | 97399 | 93192 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2035  | 244642 | 234076 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030 (b)(c) | 128569 | 126942 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2040  | 779766 | 802545 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054 (b)(c) | 82691 | 85144 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055 (b)(c) | 194275 | 200455 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055 (b)(c) | 127638 | 135494 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 12302 | 11253 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 16197 | 14851 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 12617 | 11541 |
| Freddie Mac Gold Pool 1.5% 2/1/2037  | 2686536 | 2450360 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 333140 | 288084 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 83941 | 76653 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 172731 | 149052 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 14416 | 13165 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 14751 | 13470 |
| Freddie Mac Gold Pool 2% 10/1/2035  | 188755 | 176631 |
| Freddie Mac Gold Pool 2% 4/1/2036  | 12882 | 12030 |
| Freddie Mac Gold Pool 2% 8/1/2036  | 90445 | 84890 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 98168 | 101684 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 192783 | 201935 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 169838 | 177795 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 67333 | 70398 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 82590 | 83832 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (d) | 650000 | 658369 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (d) | 600000 | 607093 |
| Uniform Mortgage Backed Securities 4.5% 3/1/2041 (d) | 950000 | 953748 |
| Uniform Mortgage Backed Securities 5% 3/1/2041 (d) | 4725000 | 4796798 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (d) | 3275000 | 3322845 |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 (d) | 50000 | 51924 |
| TOTAL UNITED STATES |  | 20240707 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $19,969,925) |  | <br> **20240707** |

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---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 1.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 1.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 1.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 1.9%** |
|  | Yield (%) (j) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.74 to 5.12 | 520000 | 524895 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.70 | 80000 | 79863 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.67 to 4.81 | 390000 | 397130 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.67 | 390241 | 384789 |
| US Treasury Notes 3.5% 11/15/2028  | 3.49 | 1070000 | 1073051 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $2,412,957) |  |  | **2459728** |

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---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 4.5%** | &nbsp;&nbsp;**Money Market Funds - 4.5%** | &nbsp;&nbsp;**Money Market Funds - 4.5%** | &nbsp;&nbsp;**Money Market Funds - 4.5%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (k)<br>(Cost $5,932,049)<br>| 3.70 | 5930863 | **5932049** |

---

---

| | | | |
|:---|:---|:---|:---|
| &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 - 0.0% |  |  |  |
| 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 | 4/2030 | 200000 | 5400 |
| 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 | 5/2030 | 1620000 | 43185 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 400000 | 12541 |
| 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 | 3/2030 | 400000 | 11100 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.455% and receive annually a floating rate based on US SOFR Index, expiring August 2034 | 8/2029 | 200000 | 6668 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.964% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 1300000 | 17075 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 540000 | 16914 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.805% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 300000 | 8358 |
| 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 | 5/2030 | 410000 | 11311 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.87% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 300000 | 8011 |
| TOTAL PUT SWAPTIONS |  |  | 140563 |
| Call Swaptions - 0.3% |  |  |  |
| 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 | 5/2030 | 1620000 | 61830 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.964% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 1300000 | 55562 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 400000 | 12881 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 540000 | 17373 |
| 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 | 4/2030 | 200000 | 7447 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.455% and pay annually a floating rate based on US SOFR Index, expiring August 2034 | 8/2029 | 200000 | 4902 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.805% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 300000 | 9634 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.87% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 300000 | 10068 |
| 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 | 5/2030 | 410000 | 15110 |
| 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 | 3/2030 | 400000 | 13999 |
| TOTAL CALL SWAPTIONS |  |  | 208806 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $396,504) |  |  | <br> **349369** |

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---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 108.8%**<br> (Cost $140,693,897)<br>| <br>**142021430** |
| **NET OTHER ASSETS (LIABILITIES) - (8.8)%**  | **(11430476)** |
| **NET ASSETS - 100.0%** | **130590954** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 5.5% 3/1/2056 | (600000) | (607726) |
| Uniform Mortgage Backed Securities 5% 3/1/2041 | (3275000) | (3324765) |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 | (50000) | (51924) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (3984415) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $3,979,190) |  | <br> **(3984415)** |

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---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 161 | 6/2026 | 33686734 | 43973 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 6 | 6/2026 | 729375 | 3515 |
| TOTAL LONG |  |  |  | 47488 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | (23) | 6/2026 | (2616969) | (17522) |
| CBOT 5Y US Treasury Notes Contracts (United States) | (16) | 6/2026 | (1761875) | (9278) |
| TOTAL SHORT |  |  |  | (26800) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **20688** |
| The notional amount of long futures as a percentage of Net Assets is 26.4%. | The notional amount of long futures as a percentage of Net Assets is 26.4%. | The notional amount of long futures as a percentage of Net Assets is 26.4%. | The notional amount of long futures as a percentage of Net Assets is 26.4%. | The notional amount of long futures as a percentage of Net Assets is 26.4%. |
| The notional amount of short futures as a percentage of Net Assets is 3.3%. | The notional amount of short futures as a percentage of Net Assets is 3.3%. | The notional amount of short futures as a percentage of Net Assets is 3.3%. | The notional amount of short futures as a percentage of Net Assets is 3.3%. | The notional amount of short futures as a percentage of Net Assets is 3.3%. |

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---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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) ($) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 100000 | (1175) | 2398 | 1223 |
| CMBX AAA Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly | 99863 | (43) | 1467 | 1424 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 100000 | (1175) | 1995 | 820 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (2350) | 4011 | 1661 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 100000 | (1175) | 1539 | 364 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 500000 | (5874) | 6516 | 642 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 300000 | (3524) | 4425 | 901 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (2350) | 3064 | 714 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 100000 | (1175) | 2666 | 1491 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 600000 | (7049) | 10114 | 3065 |
| CMBX BBB- Series 16 Index | NR | 4/2065 | Citigroup Global Markets Ltd | 3% | Monthly | 150000 | (25111) | 24330 | (781) |
| CMBX BBB- Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 3% | Monthly | 100000 | (13303) | 11947 | (1356) |
| CMBX BBB- Series 16 Index | NR | 4/2065 | JPMorgan Securities LLC | 3% | Monthly | 100000 | (16740) | 15319 | (1421) |
| Custom Index Swap on Cmbx Bb Cdsi S15 Prc Corp | NR | 11/2064 | Goldman Sachs & Co LLC | 5% | Monthly | 100000 | (24993) | 24145 | (848) |
| CMBX BBB Series 15 Index | NR | 11/2064 | Goldman Sachs & Co LLC | 3% | Monthly | 100000 | (15114) | 13982 | (1132) |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **(121151)** | **127918** | **6767** |

---

(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(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 | 5325000 | (12688) | 0 | (12688) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 3/2033 | 3250000 | (17357) | 0 | (17357) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2030 | 1154000 | (9267) | 0 | (9267) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 | 4026000 | (24532) | 0 | (24532) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(63844)** | **0** | **(63844)** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

(4)Represents floating rate.

**Legend**

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

(b) 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 $252,723.

(c) 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 $289,357.

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

(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 $75,732,107 or 58.0% of net assets.

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

(g) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(h) 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.

(i) 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.

(j) 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.

(k) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

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 | 10129623 | 40838047 | 45036266 | 64461 | 645 | - | 5932049 | 5930863 | 0.0% |
| Total | 10129623 | 40838047 | 45036266 | 64461 | 645 | - | 5932049 |  |  |

---

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 February 28, 2026, 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** | 66004799 | - | 66004799 | - |
|  **Collateralized Mortgage Obligations** | 13640312 | - | 13640312 | - |
|  **Commercial Mortgage Securities** | 33394466 | - | 33394466 | - |
|  **U.S. Government Agency - Mortgage Securities** | 20240707 | - | 20240707 | - |
|  **U.S. Treasury Obligations** | 2459728 | - | 2459728 | - |
|  **Money Market Funds** | 5932049 | 5932049 | - | - |
|  **Purchased Swaptions** | 349369 | - | 349369 | - |
| **Total Investments in Securities:** | 142021430 | 5932049 | 136089381 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 47488 | 47488 | - | - |
| Total Assets | 47488 | 47488 | - | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (26800) | (26800) | - | - |
| Swaps | (184995) | - | (184995) | - |
| Total Liabilities | (211795) | (26800) | (184995) | - |
| **Total Derivative Instruments:** | (164307) | 20688 | (184995) | - |
| **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (3984415) | - | (3984415) | - |
| **Total Other Financial Instruments:** | (3984415) | - | (3984415) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. 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)  | - | (121151) |
| **Total Credit Risk**  | - | (121151) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 47488 | (26800) |
| Purchased Swaptions (c)  | 349369 | - |
| Swaps (d)  | - | (63844) |
| **Total Interest Rate Risk**  | 396857 | (90644) |
| **Total Value of Derivatives** | 396857 | (211795) |

---

(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 cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $134,761,848) | $136089381 |  |
| Fidelity Central Funds (cost $5,932,049) | 5932049 |  |
| Total Investment in Securities (cost $140,693,897) |  | $142021430 |
| Receivable for TBA sale commitments |  | 3979190 |
| Receivable for fund shares sold |  | 305696 |
| Interest receivable |  | 283089 |
| Distributions receivable from Fidelity Central Funds |  | 12503 |
| Receivable for daily variation margin on futures contracts |  | 22650 |
| **Total assets** |  | 146624558 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $1396501 |  |
| Delayed delivery | 10365408 |  |
| TBA sale commitments, at value | 3984415 |  |
| Payable for fund shares redeemed | 12122 |  |
| Distributions payable | 127331 |  |
| Bi-lateral OTC swaps, at value | 121151 |  |
| Payable for daily variation margin on centrally cleared swaps | 26676 |  |
| **Total liabilities** |  | 16033604 |
| **Net Assets**  |  | $130590954 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $129026087 |
| Total accumulated earnings (loss) |  | 1564867 |
| **Net Assets** |  | $130590954 |
| **Net Asset Value**, offering price and redemption price per share ($130,590,954 ÷ 12,637,494 shares) |  | $10.33 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Interest  |  | $2306913 |
| Income from Fidelity Central Funds  |  | 64461 |
| **Total income** |  | 2371374 |
| **Expenses** |  |  |
| Independent trustees' fees and expenses | $109 |  |
| **Total expenses** |  | 109 |
| **Net Investment income (loss)** |  | 2371265 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 244897 |  |
| Fidelity Central Funds | 645 |  |
| Futures contracts | (12973) |  |
| Swaps | 36558 |  |
| Total net realized gain (loss) |  | 269127 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 557254 |  |
| Futures contracts | (3535) |  |
| Swaps | (5717) |  |
| TBA sale commitments | 37483 |  |
| Total change in net unrealized appreciation (depreciation) |  | 585485 |
| **Net gain (loss)** |  | 854612 |
| **Net increase (decrease) in net assets resulting from operations** |  | $3225877 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $2371265 | $2146098 |
| &nbsp;&nbsp;Net realized gain (loss) | 269127<br>| 177590<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 585485 | 628603<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 3225877<br>| 2952291<br>|
| Distributions to shareholders | (2629487)<br>| (2078751)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 46765602 | 85983208 |
| Reinvestment of distributions | 1867941<br>| 1483900<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (9031029) | (8333168) |
| **Net increase (decrease) in net assets resulting from share transactions** | 39602514<br>| 79133940<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 40198904<br>| 80007480<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 90392050 | 10384570<br>|
| &nbsp;&nbsp;End of period | $130590954 | $90392050 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 4542684 | 8445601 |
| Issued in reinvestment of distributions | 181414<br>| 145380<br>|
| &nbsp;&nbsp;Redeemed | (877251) | (818616) |
| &nbsp;&nbsp;Net increase (decrease) | 3846847 | 7772365 |

---

**Financial Highlights** 

**Fidelity® Limited Term Securitized Completion Fund** <br>

---

| | | | |
|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024** A  |
| **Selected Per-Share Data**  |  |  |  |
| Net asset value, beginning of period  | $10.28 | $10.20 | $10.00 |
| Income from Investment Operations  |  |  |  |
| Net investment income (loss) B,C | .221  | .460  | .126  |
| Net realized and unrealized gain (loss)  | .076  | .081  | .190  |
| Total from investment operations  | .297  | .541  | .316  |
| Distributions from net investment income  | (.226)  | (.450)  | (.116)  |
| Distributions from net realized gain  | (.021)  | (.011)  | -  |
| Total distributions  | (.247)  | (.461)  | (.116)  |
| Net asset value, end of period  | $10.33 | $10.28 | $10.20 |
| **Total Return** D | 2.92% <br>| 5.44%  | 3.17%  |
| **Ratios to Average Net Assets** C,E,F |  |  |  |
| Expenses before reductions G | -% H | -%  | -% H |
| Expenses net of fee waivers, if any G | -% H<br>| -%  | -% H |
| Expenses net of all reductions, if any G | -% H | -%  | -% H |
| Net investment income (loss)  | 4.33% H | 4.55%  | 4.95% H |
| **Supplemental Data** |  |  |  |
| Net assets, end of period (000 omitted) | $130591 | $90392 | $10385 |
| Portfolio turnover rate I | 197% H<br>| 323%  | 182% J |

---

A*For the period May 30, 2024 (commencement of operations) through August 31, 2024.*

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*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 represents less than $.0005 per share.*

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** **(Unaudited)**

For the period ended February 28, 2026

**1. Organization.**

Fidelity Limited Term Securitized Completion Fund (the Fund) is a fund of Fidelity Advisor Series II (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 February 28, 2026 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. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.

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

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to swaps, futures contracts, market discount 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** | $1601068 |
| **Gross unrealized depreciation** | <u>(194461)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$1406607</u> |
| **Tax cost** | <u>$140573209</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. A fund realizes a gain or loss on settlement, either through the acquisition of an offsetting TBA purchase commitment on or before the sale commitment date, or by delivery of the securities under the commitment.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<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. 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 Limited Term Securitized Completion Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>61758</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(16548)</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>61758</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(16548)</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | (12973) | (3535) |
| Purchased Options | (41161) | 258 |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>(25200)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>10831</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(79334)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>7554</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp; <u>(17576)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(8994)</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 Limited Term Securitized Completion Fund** | 31671354 |

---

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.

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 Limited Term Securitized Completion Fund** | 15712704 |

---

**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.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Limited Term Securitized Completion Fund** | 119321008 | 68434644 |

---

**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 and the Fund does not pay any fees for these services. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding 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.

**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 2027 unless extended or renewed.

Effective March 24, 2026 the .10% spread adjustment on the SOFR benchmark was removed.

**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.

**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)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity Limited Term Securitized Completion Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board's Operations Committee, of which all the Independent Trustees are members, meets regularly throughout the year and requests, receives and considers, among other matters, information related to the annual consideration of the renewal of the fund's Advisory Contracts before making its recommendation to the Board. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet from time to time with trustees of other Fidelity U.S. registered funds (Fidelity funds) through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. The Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable in light of all of the surrounding circumstances. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

**Nature, Extent, and Quality of Services Provided**. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds and experience of investment personnel, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, technology and operations capabilities and resources, which are integral parts of the investment management process.

<u>Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by Fidelity under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity risk management. The Board also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

<u>Investment in a Large Fund Family</u>. The Board considered the benefits to shareholders of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of fund investor services. The Board noted that Fidelity had taken, or had made recommendations to the Board that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds and/or the Fidelity funds in general.

<u>Investment Performance</u>. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is available exclusively to certain advisory programs offered by Fidelity,

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Expense Ratio.** The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR is indirectly compensated for its services out of Fidelity advisory program fees. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.

Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the level of Fidelity's profits in respect of the fund and all the Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.

**Economies of Scale.** The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.

**Additional Information Requested by the Board.** In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) portfolio manager changes that have occurred during the past year; (ii) hiring, training, compensating, and retaining adviser and sub-adviser personnel; (iii) the terms of the funds' various management fee structures and arrangements for transfer agent and pricing and bookkeeping services; (iv) Fidelity's fund profitability methodology, profitability trends for certain funds and asset classes, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (v) information about the role of fund profitability in considering changes to the fund lineup; (vi) the types of management fee and total expense comparisons provided, and challenges and limitations associated with such information; (vii) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons; (viii) matters related to money market funds, bond funds, allocation funds, exchange-traded funds, and target date funds; (ix) the arrangements with and compensation paid to certain fund sub-advisers and the treatment of such compensation within Fidelity's fund profitability methodology; and (x) the terms of management contracts between Fidelity and other funds and products not overseen by the Board.

**Conclusion**. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that the fund's Advisory Contracts should be renewed through September 30, 2026.

![](img126703_4.jpg)<br>

1.9911979.101 LTS-SANN-0426

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>Purchases 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 Fidelity Advisor Series II'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 Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 17.

<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) Not applicable.

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.](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 Advisor Series II

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| | |
|:---|:---|
| &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; April 22, 2026 |

---

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.

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| | |
|:---|:---|
| &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; April 22, 2026 |

---

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| | |
|:---|:---|
| &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; April 22, 2026 |

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## 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;

<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 Advisor Series II;

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:

April 22, 2026

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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) |

---

I, Stephanie Caron, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Advisor Series II;

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:

April 22, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

## 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 Advisor Series II (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: April 22, 2026

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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) |

---

Dated: April 22, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

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.

<br>