# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0000795422-25-000112
**Filing Date:** 2025-10
**Character Count:** 885146
**Document Hash:** 328cc12e4c9860306336bf1dcd700283
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000795422-25-000112.hdr.sgml**: 20251023

**ACCESSION NUMBER**: 0000795422-25-000112

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 73

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251023

**DATE AS OF CHANGE**: 20251023

**EFFECTIVENESS DATE**: 20251023

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 251411977

**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, Massachusetts 02210</u>

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

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

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

---

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

---

Item 1.

<u>Reports to Stockholders</u>

---

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

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

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

---

A Amount represents less than $.50

B Amount represents less than 0.005%

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

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

• Against this backdrop, an underweight in Fannie Mae mortgage-backed securities with a coupon of 2.5% detracted from the fund's performance versus the benchmark Bloomberg U.S. Securitized Index for the fiscal year.

• A modest overweight in MBS made up of 15-year mortgages also hurt relative performance.

• In contrast, an overweight in non-government agency securities, including commercial mortgage-backed securities, auto asset-backed securities and residential mortgage-backed securities, contributed to performance versus the benchmark.

• An overweight in Fannie Mae MBS with a coupon of 6% also helped for the 12 months.

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

**CUMULATIVE PERFORMANCE**

August 17, 2018 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Fidelity® Series Investment Grade Securitized Fund<br>| $10000 | $10008<br>| $10791<br>| $11361<br>| $11397<br>| $10270<br>| $10093<br>| $10925<br>|
| Bloomberg U.S. Securitized Index<br>| $10000 | $10016<br>| $10745<br>| $11241<br>| $11237<br>| $10145<br>| $9947<br>| $10698<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10014<br>| $11033<br>| $11747<br>| $11737<br>| $10386<br>| $10262<br>| $11010<br>|
|  | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113789_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **Life of Fund** A |
| Fidelity® Series Investment Grade Securitized Fund | 3.72% | -0.05% | 1.79% |
| Bloomberg U.S. Securitized Index | 3.52%<br>| -0.30%<br>| 1.46% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.82% |

---

**A** From August 17, 2018

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $803182797<br>|
| Number of Holdings | 1263<br>|
| Total Advisory Fee | $0<br>|
| Portfolio Turnover | 720%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 93.3 |
| AAA | 11.1 |
| AA | 0.3 |
| A | 0.0 |
| CCC,CC,C | 0.1 |
| Not Rated | 14.7 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3223_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 93.3 |
| &nbsp;&nbsp;AAA - 11.1&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 - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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;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 - 14.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (19.5)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Government Agency - Mortgage Securities | 90.9 |
| CMOs and Other Mortgage Related Securities | 19.1 |
| Asset-Backed Securities | 6.7 |
| U.S. Treasury Obligations | 2.4 |
| Options | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img3223_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 90.9 |
| CMOs and Other Mortgage Related Securities - 19.1 |
| Asset-Backed Securities - 6.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (19.5)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3223_20250831_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 | 28.4<br>|
| Ginnie Mae II Pool | 23.6<br>|
| Freddie Mac Gold Pool | 19.7<br>|
| Uniform Mortgage Backed Securities | 12.3<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 5.7<br>|
| Ginnie Mae I Pool | 3.1<br>|
| Fannie Mae Guaranteed REMIC | 2.9<br>|
| Freddie Mac Non Gold Pool | 2.3<br>|
| Fannie Mae | 2.2<br>|
| US Treasury Bonds | 1.6<br>|
|  | 101.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img3223_20250831_2.jpg)<br>| ![](img113789_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913660.101 3223-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity® Mortgage Securities Fund : FMSFX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Mortgage Securities Fund  | $46  | 0.45% |

---

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

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

• Against this backdrop, the fund's positioning in MBS made up of 15-year mortgages detracted versus the benchmark Bloomberg U.S. MBS Index for the fiscal year.

• An underweight in MBS with a 2.5% coupon also hurt, as did trading in options contracts used to manage the fund's exposure to interest-rate volatility.

• In contrast, the fund's exposure to non-agency commercial mortgage-backed securities contributed to performance versus the benchmark.

• Exposure to residential mortgage-backed securities also boosted relative performance, as did a non-benchmark position in asset-backed securities.

• The use of interest-rate swaps helped for the 12 months.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Fidelity® Mortgage Securities Fund<br>| $10000 | $10393<br>| $10487<br>| $10396<br>| $11143<br>| $11682<br>| $11694<br>| $10514<br>| $10240<br>| $11028<br>| $11376<br>|
| Bloomberg U.S. MBS Index<br>| $10000 | $10393<br>| $10477<br>| $10421<br>| $11157<br>| $11664<br>| $11643<br>| $10510<br>| $10290<br>| $11058<br>| $11429<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113851_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Fidelity® Mortgage Securities Fund | 3.16% | -0.53% | 1.30% |
| Bloomberg U.S. MBS Index | 3.36%<br>| -0.41%<br>| 1.34% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $670938532<br>|
| Number of Holdings | 1605<br>|
| Total Advisory Fee | $1732583<br>|
| Portfolio Turnover | 652%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 102.8 |
| AAA | 9.1 |
| AA | 0.1 |
| A | 0.0 |
| BBB | 0.1 |
| Not Rated | 12.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 102.8 |
| &nbsp;&nbsp;AAA - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 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;A - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 0.1&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;Not Rated - 12.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (24.2)%  |
| 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. |

---

---

| | |
|:---|:---|
| U.S. Government Agency - Mortgage Securities | 98.4 |
| CMOs and Other Mortgage Related Securities | 15.6 |
| Asset-Backed Securities | 5.6 |
| U.S. Treasury Obligations | 4.4 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 98.4 |
| CMOs and Other Mortgage Related Securities - 15.6 |
| Asset-Backed Securities - 5.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.4&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) - (24.2)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_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 | 31.5<br>|
| Ginnie Mae II Pool | 25.1<br>|
| Freddie Mac Gold Pool | 23.0<br>|
| Uniform Mortgage Backed Securities | 13.8<br>|
| Fannie Mae Guaranteed REMIC | 3.9<br>|
| Ginnie Mae I Pool | 3.8<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 3.2<br>|
| US Treasury Notes | 2.8<br>|
| US Treasury Bonds | 1.6<br>|
| Freddie Mac Non Gold Pool | 1.4<br>|
|  | 110.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img40_20250831_2.jpg)<br>| ![](img113851_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913596.101 40-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class Z : FIKUX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

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

---

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

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

• Against this backdrop, the fund's positioning in MBS made up of 15-year mortgages detracted versus the benchmark Bloomberg U.S. MBS Index for the fiscal year.

• An underweight in MBS with a 2.5% coupon also hurt, as did trading in options contracts used to manage the fund's exposure to interest-rate volatility.

• In contrast, the fund's exposure to non-agency commercial mortgage-backed securities contributed to performance versus the benchmark.

• Exposure to residential mortgage-backed securities also boosted relative performance, as did a non-benchmark position in asset-backed securities.

• The use of interest-rate swaps helped for the 12 months.

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

**CUMULATIVE PERFORMANCE**

October 2, 2018 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class Z<br>| $10000 | $10782<br>| $11305<br>| $11333<br>| $10196<br>| $9948<br>| $10713<br>| $11061<br>|
| Bloomberg U.S. MBS Index<br>| $10000 | $10771<br>| $11260<br>| $11240<br>| $10146<br>| $9934<br>| $10675<br>| $11034<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $11086<br>| $11804<br>| $11794<br>| $10436<br>| $10311<br>| $11064<br>| $11411<br>|
|  | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113852_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **Life of Fund** A |
| Class Z | 3.25% | -0.44% | 1.47% |
| Bloomberg U.S. MBS Index | 3.36%<br>| -0.41%<br>| 1.43% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.93% |

---

**A** From October 2, 2018

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $670938532<br>|
| Number of Holdings | 1605<br>|
| Total Advisory Fee | $1732583<br>|
| Portfolio Turnover | 652%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 102.8 |
| AAA | 9.1 |
| AA | 0.1 |
| A | 0.0 |
| BBB | 0.1 |
| Not Rated | 12.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 102.8 |
| &nbsp;&nbsp;AAA - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 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;A - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 0.1&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;Not Rated - 12.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (24.2)%  |
| 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. |

---

---

| | |
|:---|:---|
| U.S. Government Agency - Mortgage Securities | 98.4 |
| CMOs and Other Mortgage Related Securities | 15.6 |
| Asset-Backed Securities | 5.6 |
| U.S. Treasury Obligations | 4.4 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 98.4 |
| CMOs and Other Mortgage Related Securities - 15.6 |
| Asset-Backed Securities - 5.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.4&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) - (24.2)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_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 | 31.5<br>|
| Ginnie Mae II Pool | 25.1<br>|
| Freddie Mac Gold Pool | 23.0<br>|
| Uniform Mortgage Backed Securities | 13.8<br>|
| Fannie Mae Guaranteed REMIC | 3.9<br>|
| Ginnie Mae I Pool | 3.8<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 3.2<br>|
| US Treasury Notes | 2.8<br>|
| US Treasury Bonds | 1.6<br>|
| Freddie Mac Non Gold Pool | 1.4<br>|
|  | 110.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img40_20250831_2.jpg)<br>| ![](img113852_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913595.101 3253-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class M : FMSAX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $82  | 0.81% |

---

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

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

• Against this backdrop, the fund's positioning in MBS made up of 15-year mortgages detracted versus the benchmark Bloomberg U.S. MBS Index for the fiscal year.

• An underweight in MBS with a 2.5% coupon also hurt, as did trading in options contracts used to manage the fund's exposure to interest-rate volatility.

• In contrast, the fund's exposure to non-agency commercial mortgage-backed securities contributed to performance versus the benchmark.

• Exposure to residential mortgage-backed securities also boosted relative performance, as did a non-benchmark position in asset-backed securities.

• The use of interest-rate swaps helped for the 12 months.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

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

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class M<br>| $9600 | $9934<br>| $9989<br>| $9876<br>| $10548<br>| $11011<br>| $10991<br>| $9839<br>| $9558<br>| $10249<br>| $10534<br>|
| Bloomberg U.S. MBS Index<br>| $10000 | $10393<br>| $10477<br>| $10421<br>| $11157<br>| $11664<br>| $11643<br>| $10510<br>| $10290<br>| $11058<br>| $11429<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113853_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Class M (incl. 4.00% sales charge)  | -1.33% | -1.69%<br>| 0.52% |
| Class M (without 4.00% sales charge) | 2.78% | -0.88% | 0.93% |
| Bloomberg U.S. MBS Index | 3.36%<br>| -0.41%<br>| 1.34% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $670938532<br>|
| Number of Holdings | 1605<br>|
| Total Advisory Fee | $1732583<br>|
| Portfolio Turnover | 652%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 102.8 |
| AAA | 9.1 |
| AA | 0.1 |
| A | 0.0 |
| BBB | 0.1 |
| Not Rated | 12.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 102.8 |
| &nbsp;&nbsp;AAA - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 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;A - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 0.1&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;Not Rated - 12.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (24.2)%  |
| 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. |

---

---

| | |
|:---|:---|
| U.S. Government Agency - Mortgage Securities | 98.4 |
| CMOs and Other Mortgage Related Securities | 15.6 |
| Asset-Backed Securities | 5.6 |
| U.S. Treasury Obligations | 4.4 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 98.4 |
| CMOs and Other Mortgage Related Securities - 15.6 |
| Asset-Backed Securities - 5.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.4&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) - (24.2)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_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 | 31.5<br>|
| Ginnie Mae II Pool | 25.1<br>|
| Freddie Mac Gold Pool | 23.0<br>|
| Uniform Mortgage Backed Securities | 13.8<br>|
| Fannie Mae Guaranteed REMIC | 3.9<br>|
| Ginnie Mae I Pool | 3.8<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 3.2<br>|
| US Treasury Notes | 2.8<br>|
| US Treasury Bonds | 1.6<br>|
| Freddie Mac Non Gold Pool | 1.4<br>|
|  | 110.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img40_20250831_2.jpg)<br>| ![](img113853_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913593.101 239-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class I : FMSCX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $61  | 0.60% |

---

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

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

• Against this backdrop, the fund's positioning in MBS made up of 15-year mortgages detracted versus the benchmark Bloomberg U.S. MBS Index for the fiscal year.

• An underweight in MBS with a 2.5% coupon also hurt, as did trading in options contracts used to manage the fund's exposure to interest-rate volatility.

• In contrast, the fund's exposure to non-agency commercial mortgage-backed securities contributed to performance versus the benchmark.

• Exposure to residential mortgage-backed securities also boosted relative performance, as did a non-benchmark position in asset-backed securities.

• The use of interest-rate swaps helped for the 12 months.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class I<br>| $10000 | $10388<br>| $10468<br>| $10381<br>| $11125<br>| $11650<br>| $11668<br>| $10481<br>| $10198<br>| $10976<br>| $11305<br>|
| Bloomberg U.S. MBS Index<br>| $10000 | $10393<br>| $10477<br>| $10421<br>| $11157<br>| $11664<br>| $11643<br>| $10510<br>| $10290<br>| $11058<br>| $11429<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113854_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Class I | 3.00% | -0.60% | 1.23% |
| Bloomberg U.S. MBS Index | 3.36%<br>| -0.41%<br>| 1.34% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $670938532<br>|
| Number of Holdings | 1605<br>|
| Total Advisory Fee | $1732583<br>|
| Portfolio Turnover | 652%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 102.8 |
| AAA | 9.1 |
| AA | 0.1 |
| A | 0.0 |
| BBB | 0.1 |
| Not Rated | 12.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 102.8 |
| &nbsp;&nbsp;AAA - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 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;A - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 0.1&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;Not Rated - 12.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (24.2)%  |
| 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. |

---

---

| | |
|:---|:---|
| U.S. Government Agency - Mortgage Securities | 98.4 |
| CMOs and Other Mortgage Related Securities | 15.6 |
| Asset-Backed Securities | 5.6 |
| U.S. Treasury Obligations | 4.4 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 98.4 |
| CMOs and Other Mortgage Related Securities - 15.6 |
| Asset-Backed Securities - 5.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.4&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) - (24.2)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_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 | 31.5<br>|
| Ginnie Mae II Pool | 25.1<br>|
| Freddie Mac Gold Pool | 23.0<br>|
| Uniform Mortgage Backed Securities | 13.8<br>|
| Fannie Mae Guaranteed REMIC | 3.9<br>|
| Ginnie Mae I Pool | 3.8<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 3.2<br>|
| US Treasury Notes | 2.8<br>|
| US Treasury Bonds | 1.6<br>|
| Freddie Mac Non Gold Pool | 1.4<br>|
|  | 110.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img40_20250831_2.jpg)<br>| ![](img113854_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913594.101 240-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class C : FOMCX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $162  | 1.60% |

---

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

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

• Against this backdrop, the fund's positioning in MBS made up of 15-year mortgages detracted versus the benchmark Bloomberg U.S. MBS Index for the fiscal year.

• An underweight in MBS with a 2.5% coupon also hurt, as did trading in options contracts used to manage the fund's exposure to interest-rate volatility.

• In contrast, the fund's exposure to non-agency commercial mortgage-backed securities contributed to performance versus the benchmark.

• Exposure to residential mortgage-backed securities also boosted relative performance, as did a non-benchmark position in asset-backed securities.

• The use of interest-rate swaps helped for the 12 months.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class C<br>| $10000 | $10272<br>| $10252<br>| $10061<br>| $10669<br>| $11052<br>| $10947<br>| $9720<br>| $9370<br>| $10047<br>| $10327<br>|
| Bloomberg U.S. MBS Index<br>| $10000 | $10393<br>| $10477<br>| $10421<br>| $11157<br>| $11664<br>| $11643<br>| $10510<br>| $10290<br>| $11058<br>| $11429<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113855_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Class C (incl. contingent deferred sales charge) | 0.88% | -1.67%<br>| 0.32% |
| Class C | 1.87% | -1.67% | 0.32% |
| Bloomberg U.S. MBS Index | 3.36%<br>| -0.41%<br>| 1.34% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $670938532<br>|
| Number of Holdings | 1605<br>|
| Total Advisory Fee | $1732583<br>|
| Portfolio Turnover | 652%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 102.8 |
| AAA | 9.1 |
| AA | 0.1 |
| A | 0.0 |
| BBB | 0.1 |
| Not Rated | 12.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 102.8 |
| &nbsp;&nbsp;AAA - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 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;A - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 0.1&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;Not Rated - 12.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (24.2)%  |
| 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. |

---

---

| | |
|:---|:---|
| U.S. Government Agency - Mortgage Securities | 98.4 |
| CMOs and Other Mortgage Related Securities | 15.6 |
| Asset-Backed Securities | 5.6 |
| U.S. Treasury Obligations | 4.4 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 98.4 |
| CMOs and Other Mortgage Related Securities - 15.6 |
| Asset-Backed Securities - 5.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.4&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) - (24.2)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_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 | 31.5<br>|
| Ginnie Mae II Pool | 25.1<br>|
| Freddie Mac Gold Pool | 23.0<br>|
| Uniform Mortgage Backed Securities | 13.8<br>|
| Fannie Mae Guaranteed REMIC | 3.9<br>|
| Ginnie Mae I Pool | 3.8<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 3.2<br>|
| US Treasury Notes | 2.8<br>|
| US Treasury Bonds | 1.6<br>|
| Freddie Mac Non Gold Pool | 1.4<br>|
|  | 110.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img40_20250831_2.jpg)<br>| ![](img113855_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913597.101 5635-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity Advisor® Mortgage Securities Fund<br> **Fidelity Advisor® Mortgage Securities Fund Class A : FMGAX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $82  | 0.81% |

---

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

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

• Against this backdrop, the fund's positioning in MBS made up of 15-year mortgages detracted versus the benchmark Bloomberg U.S. MBS Index for the fiscal year.

• An underweight in MBS with a 2.5% coupon also hurt, as did trading in options contracts used to manage the fund's exposure to interest-rate volatility.

• In contrast, the fund's exposure to non-agency commercial mortgage-backed securities contributed to performance versus the benchmark.

• Exposure to residential mortgage-backed securities also boosted relative performance, as did a non-benchmark position in asset-backed securities.

• The use of interest-rate swaps helped for the 12 months.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

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

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class A<br>| $9600 | $9935<br>| $9990<br>| $9878<br>| $10542<br>| $11015<br>| $10986<br>| $9842<br>| $9558<br>| $10249<br>| $10534<br>|
| Bloomberg U.S. MBS Index<br>| $10000 | $10393<br>| $10477<br>| $10421<br>| $11157<br>| $11664<br>| $11643<br>| $10510<br>| $10290<br>| $11058<br>| $11429<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113856_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Class A (incl. 4.00% sales charge)  | -1.33% | -1.69%<br>| 0.52% |
| Class A (without 4.00% sales charge) | 2.78% | -0.89% | 0.93% |
| Bloomberg U.S. MBS Index | 3.36%<br>| -0.41%<br>| 1.34% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $670938532<br>|
| Number of Holdings | 1605<br>|
| Total Advisory Fee | $1732583<br>|
| Portfolio Turnover | 652%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 102.8 |
| AAA | 9.1 |
| AA | 0.1 |
| A | 0.0 |
| BBB | 0.1 |
| Not Rated | 12.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 102.8 |
| &nbsp;&nbsp;AAA - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 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;A - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 0.1&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;Not Rated - 12.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (24.2)%  |
| 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. |

---

---

| | |
|:---|:---|
| U.S. Government Agency - Mortgage Securities | 98.4 |
| CMOs and Other Mortgage Related Securities | 15.6 |
| Asset-Backed Securities | 5.6 |
| U.S. Treasury Obligations | 4.4 |
| Options | 0.2 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img40_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Government Agency - Mortgage Securities - 98.4 |
| CMOs and Other Mortgage Related Securities - 15.6 |
| Asset-Backed Securities - 5.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 4.4&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) - (24.2)% |

---

United States 100.0 <br> Canada 0.0

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img40_20250831_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 | 31.5<br>|
| Ginnie Mae II Pool | 25.1<br>|
| Freddie Mac Gold Pool | 23.0<br>|
| Uniform Mortgage Backed Securities | 13.8<br>|
| Fannie Mae Guaranteed REMIC | 3.9<br>|
| Ginnie Mae I Pool | 3.8<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 3.2<br>|
| US Treasury Notes | 2.8<br>|
| US Treasury Bonds | 1.6<br>|
| Freddie Mac Non Gold Pool | 1.4<br>|
|  | 110.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img40_20250831_2.jpg)<br>| ![](img113856_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913592.101 237-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity Advisor® Limited Term Bond Fund<br> **Fidelity® Limited Term Bond Fund : FJRLX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Limited Term Bond Fund  | $31  | 0.30% |

---

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

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

• Against this backdrop, the fund's strategy of favoring limited-term corporate bonds, while underweighting similar-duration U.S. Treasurys, contributed to its performance versus the Composite index for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added value.

• Non-Composite exposure to asset-backed securities, including collateralized loan obligations and car loan debt, also meaningfully contributed, as did an out-of-index allocation to commercial mortgage-backed securities.

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

• At period end, corporates made up about 69% of fund assets, down from roughly 72% a year ago but still notably overweight versus the 1-5 year benchmark average of approximately 25%, though roughly equal with the average of the Composite index.

• Exposure to U.S. Treasurys stood at roughly 15% as of August 31, compared with an average of 68% for the Bloomberg benchmark and 20% for the Composite index, while out-of-benchmark exposure to ABS stood at about 10% of fund assets at the close of the fiscal year.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Fidelity® Limited Term Bond Fund<br>| $10000 | $10306<br>| $10451<br>| $10440<br>| $11071<br>| $11610<br>| $11692<br>| $10938<br>| $11197<br>| $12070<br>| $12741<br>|
| Fidelity Limited Term Composite Index℠<br>| $10000 | $10307<br>| $10465<br>| $10451<br>| $11120<br>| $11679<br>| $11788<br>| $11078<br>| $11279<br>| $12127<br>| $12792<br>|
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index<br>| $10000 | $10238<br>| $10334<br>| $10289<br>| $10902<br>| $11417<br>| $11454<br>| $10785<br>| $10913<br>| $11641<br>| $12198<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113857_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Fidelity® Limited Term Bond Fund | 5.56% | 1.88% | 2.45% |
| Fidelity Limited Term Composite Index℠ | 5.49%<br>| 1.84%<br>| 2.49% |
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index | 4.79%<br>| 1.33%<br>| 2.01% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $2574138860<br>|
| Number of Holdings | 1018<br>|
| Total Advisory Fee | $4524071<br>|
| Portfolio Turnover | 57%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 14.8 |
| AAA | 8.2 |
| AA | 1.7 |
| A | 24.6 |
| BBB | 35.3 |
| BB | 5.6 |
| B | 3.2 |
| CCC,CC,C | 0.9 |
| Not Rated | 4.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 14.8 |
| &nbsp;&nbsp;AAA - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 35.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 5.6&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 - 3.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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) - 1.3 |
| 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. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 66.4 |
| U.S. Treasury Obligations | 14.7 |
| Asset-Backed Securities | 10.2 |
| CMOs and Other Mortgage Related Securities | 5.2 |
| Bank Loan Obligations | 1.6 |
| Preferred Securities | 0.3 |
| Foreign Government and Government Agency Obligations | 0.2 |
| U.S. Government Agency - Mortgage Securities | 0.1 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 66.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 14.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 10.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 5.2 |
| Bank Loan Obligations - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.2 |
| U.S. Government Agency - Mortgage Securities - 0.1 |
| 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) - 1.3 |

---

---

| | |
|:---|:---|
| United States | 74.4 |
| United Kingdom | 5.1 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| Germany | 2.9 |
| Canada | 2.3 |
| Japan | 2.2 |
| France | 1.8 |
| Ireland | 1.7 |
| Netherlands | 1.5 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 74.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 14.7<br>|
| JPMorgan Chase & Co | 2.4<br>|
| Bank of America Corp | 1.9<br>|
| Citigroup Inc | 1.4<br>|
| Wells Fargo & Co | 1.3<br>|
| HSBC Holdings PLC | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Morgan Stanley | 1.3<br>|
| Deutsche Bank AG/New York NY | 1.2<br>|
| General Motors Financial Co Inc | 1.1<br>|
|  | 27.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img87_20250831_2.jpg)<br>| ![](img113857_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913605.101 2622-TSRA-1025 <br>|

---

---

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

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

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

---

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

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

• Against this backdrop, the fund's strategy of favoring limited-term corporate bonds, while underweighting similar-duration U.S. Treasurys, contributed to its performance versus the Composite index for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added value.

• Non-Composite exposure to asset-backed securities, including collateralized loan obligations and car loan debt, also meaningfully contributed, as did an out-of-index allocation to commercial mortgage-backed securities.

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

• At period end, corporates made up about 69% of fund assets, down from roughly 72% a year ago but still notably overweight versus the 1-5 year benchmark average of approximately 25%, though roughly equal with the average of the Composite index.

• Exposure to U.S. Treasurys stood at roughly 15% as of August 31, compared with an average of 68% for the Bloomberg benchmark and 20% for the Composite index, while out-of-benchmark exposure to ABS stood at about 10% of fund assets at the close of the fiscal year.

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

**CUMULATIVE PERFORMANCE**

October 2, 2018 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class Z<br>| $10000 | $10618<br>| $11145<br>| $11234<br>| $10519<br>| $10776<br>| $11622<br>| $12275<br>|
| Fidelity Limited Term Composite Index℠<br>| $10000 | $10650<br>| $11185<br>| $11290<br>| $10610<br>| $10802<br>| $11615<br>| $12252<br>|
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index<br>| $10000 | $10616<br>| $11117<br>| $11153<br>| $10502<br>| $10626<br>| $11335<br>| $11878<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $11086<br>| $11804<br>| $11794<br>| $10436<br>| $10311<br>| $11064<br>| $11411<br>|
|  | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113858_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **Life of Fund** A |
| Class Z | 5.62% | 1.95% | 3.01% |
| Fidelity Limited Term Composite Index℠ | 5.49%<br>| 1.84%<br>| 2.98% |
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index | 4.79%<br>| 1.33%<br>| 2.52% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.93% |

---

**A** From October 2, 2018

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $2574138860<br>|
| Number of Holdings | 1018<br>|
| Total Advisory Fee | $4524071<br>|
| Portfolio Turnover | 57%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 14.8 |
| AAA | 8.2 |
| AA | 1.7 |
| A | 24.6 |
| BBB | 35.3 |
| BB | 5.6 |
| B | 3.2 |
| CCC,CC,C | 0.9 |
| Not Rated | 4.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 14.8 |
| &nbsp;&nbsp;AAA - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 35.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 5.6&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 - 3.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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) - 1.3 |
| 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. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 66.4 |
| U.S. Treasury Obligations | 14.7 |
| Asset-Backed Securities | 10.2 |
| CMOs and Other Mortgage Related Securities | 5.2 |
| Bank Loan Obligations | 1.6 |
| Preferred Securities | 0.3 |
| Foreign Government and Government Agency Obligations | 0.2 |
| U.S. Government Agency - Mortgage Securities | 0.1 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 66.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 14.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 10.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 5.2 |
| Bank Loan Obligations - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.2 |
| U.S. Government Agency - Mortgage Securities - 0.1 |
| 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) - 1.3 |

---

---

| | |
|:---|:---|
| United States | 74.4 |
| United Kingdom | 5.1 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| Germany | 2.9 |
| Canada | 2.3 |
| Japan | 2.2 |
| France | 1.8 |
| Ireland | 1.7 |
| Netherlands | 1.5 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 74.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 14.7<br>|
| JPMorgan Chase & Co | 2.4<br>|
| Bank of America Corp | 1.9<br>|
| Citigroup Inc | 1.4<br>|
| Wells Fargo & Co | 1.3<br>|
| HSBC Holdings PLC | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Morgan Stanley | 1.3<br>|
| Deutsche Bank AG/New York NY | 1.2<br>|
| General Motors Financial Co Inc | 1.1<br>|
|  | 27.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img87_20250831_2.jpg)<br>| ![](img113858_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913607.101 3252-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity Advisor® Limited Term Bond Fund<br> **Fidelity Advisor® Limited Term Bond Fund Class M : FTBRX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $62  | 0.60% |

---

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

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

• Against this backdrop, the fund's strategy of favoring limited-term corporate bonds, while underweighting similar-duration U.S. Treasurys, contributed to its performance versus the Composite index for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added value.

• Non-Composite exposure to asset-backed securities, including collateralized loan obligations and car loan debt, also meaningfully contributed, as did an out-of-index allocation to commercial mortgage-backed securities.

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

• At period end, corporates made up about 69% of fund assets, down from roughly 72% a year ago but still notably overweight versus the 1-5 year benchmark average of approximately 25%, though roughly equal with the average of the Composite index.

• Exposure to U.S. Treasurys stood at roughly 15% as of August 31, compared with an average of 68% for the Bloomberg benchmark and 20% for the Composite index, while out-of-benchmark exposure to ABS stood at about 10% of fund assets at the close of the fiscal year.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

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

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class M<br>| $9725 | $10000<br>| $10109<br>| $10058<br>| $10642<br>| $11118<br>| $11162<br>| $10408<br>| $10633<br>| $11418<br>| $12018<br>|
| Fidelity Limited Term Composite Index℠<br>| $10000 | $10307<br>| $10465<br>| $10451<br>| $11120<br>| $11679<br>| $11788<br>| $11078<br>| $11279<br>| $12127<br>| $12792<br>|
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index<br>| $10000 | $10238<br>| $10334<br>| $10289<br>| $10902<br>| $11417<br>| $11454<br>| $10785<br>| $10913<br>| $11641<br>| $12198<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113859_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Class M (incl. 2.75% sales charge)  | 2.36% | 1.00%<br>| 1.86% |
| Class M (without 2.75% sales charge) | 5.25% | 1.57% | 2.14% |
| Fidelity Limited Term Composite Index℠ | 5.49%<br>| 1.84%<br>| 2.49% |
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index | 4.79%<br>| 1.33%<br>| 2.01% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $2574138860<br>|
| Number of Holdings | 1018<br>|
| Total Advisory Fee | $4524071<br>|
| Portfolio Turnover | 57%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 14.8 |
| AAA | 8.2 |
| AA | 1.7 |
| A | 24.6 |
| BBB | 35.3 |
| BB | 5.6 |
| B | 3.2 |
| CCC,CC,C | 0.9 |
| Not Rated | 4.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 14.8 |
| &nbsp;&nbsp;AAA - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 35.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 5.6&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 - 3.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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) - 1.3 |
| 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. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 66.4 |
| U.S. Treasury Obligations | 14.7 |
| Asset-Backed Securities | 10.2 |
| CMOs and Other Mortgage Related Securities | 5.2 |
| Bank Loan Obligations | 1.6 |
| Preferred Securities | 0.3 |
| Foreign Government and Government Agency Obligations | 0.2 |
| U.S. Government Agency - Mortgage Securities | 0.1 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 66.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 14.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 10.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 5.2 |
| Bank Loan Obligations - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.2 |
| U.S. Government Agency - Mortgage Securities - 0.1 |
| 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) - 1.3 |

---

---

| | |
|:---|:---|
| United States | 74.4 |
| United Kingdom | 5.1 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| Germany | 2.9 |
| Canada | 2.3 |
| Japan | 2.2 |
| France | 1.8 |
| Ireland | 1.7 |
| Netherlands | 1.5 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 74.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 14.7<br>|
| JPMorgan Chase & Co | 2.4<br>|
| Bank of America Corp | 1.9<br>|
| Citigroup Inc | 1.4<br>|
| Wells Fargo & Co | 1.3<br>|
| HSBC Holdings PLC | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Morgan Stanley | 1.3<br>|
| Deutsche Bank AG/New York NY | 1.2<br>|
| General Motors Financial Co Inc | 1.1<br>|
|  | 27.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img87_20250831_2.jpg)<br>| ![](img113859_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913606.101 287-TSRA-1025 <br>|

---

---

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

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $31  | 0.30% |

---

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

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

• Against this backdrop, the fund's strategy of favoring limited-term corporate bonds, while underweighting similar-duration U.S. Treasurys, contributed to its performance versus the Composite index for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added value.

• Non-Composite exposure to asset-backed securities, including collateralized loan obligations and car loan debt, also meaningfully contributed, as did an out-of-index allocation to commercial mortgage-backed securities.

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

• At period end, corporates made up about 69% of fund assets, down from roughly 72% a year ago but still notably overweight versus the 1-5 year benchmark average of approximately 25%, though roughly equal with the average of the Composite index.

• Exposure to U.S. Treasurys stood at roughly 15% as of August 31, compared with an average of 68% for the Bloomberg benchmark and 20% for the Composite index, while out-of-benchmark exposure to ABS stood at about 10% of fund assets at the close of the fiscal year.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class I<br>| $10000 | $10310<br>| $10450<br>| $10425<br>| $11050<br>| $11583<br>| $11659<br>| $10902<br>| $11157<br>| $12027<br>| $12696<br>|
| Fidelity Limited Term Composite Index℠<br>| $10000 | $10307<br>| $10465<br>| $10451<br>| $11120<br>| $11679<br>| $11788<br>| $11078<br>| $11279<br>| $12127<br>| $12792<br>|
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index<br>| $10000 | $10238<br>| $10334<br>| $10289<br>| $10902<br>| $11417<br>| $11454<br>| $10785<br>| $10913<br>| $11641<br>| $12198<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113860_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Class I | 5.56% | 1.85% | 2.42% |
| Fidelity Limited Term Composite Index℠ | 5.49%<br>| 1.84%<br>| 2.49% |
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index | 4.79%<br>| 1.33%<br>| 2.01% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $2574138860<br>|
| Number of Holdings | 1018<br>|
| Total Advisory Fee | $4524071<br>|
| Portfolio Turnover | 57%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 14.8 |
| AAA | 8.2 |
| AA | 1.7 |
| A | 24.6 |
| BBB | 35.3 |
| BB | 5.6 |
| B | 3.2 |
| CCC,CC,C | 0.9 |
| Not Rated | 4.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 14.8 |
| &nbsp;&nbsp;AAA - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 35.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 5.6&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 - 3.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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) - 1.3 |
| 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. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 66.4 |
| U.S. Treasury Obligations | 14.7 |
| Asset-Backed Securities | 10.2 |
| CMOs and Other Mortgage Related Securities | 5.2 |
| Bank Loan Obligations | 1.6 |
| Preferred Securities | 0.3 |
| Foreign Government and Government Agency Obligations | 0.2 |
| U.S. Government Agency - Mortgage Securities | 0.1 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 66.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 14.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 10.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 5.2 |
| Bank Loan Obligations - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.2 |
| U.S. Government Agency - Mortgage Securities - 0.1 |
| 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) - 1.3 |

---

---

| | |
|:---|:---|
| United States | 74.4 |
| United Kingdom | 5.1 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| Germany | 2.9 |
| Canada | 2.3 |
| Japan | 2.2 |
| France | 1.8 |
| Ireland | 1.7 |
| Netherlands | 1.5 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 74.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 14.7<br>|
| JPMorgan Chase & Co | 2.4<br>|
| Bank of America Corp | 1.9<br>|
| Citigroup Inc | 1.4<br>|
| Wells Fargo & Co | 1.3<br>|
| HSBC Holdings PLC | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Morgan Stanley | 1.3<br>|
| Deutsche Bank AG/New York NY | 1.2<br>|
| General Motors Financial Co Inc | 1.1<br>|
|  | 27.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img87_20250831_2.jpg)<br>| ![](img113860_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913609.101 87-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity Advisor® Limited Term Bond Fund<br> **Fidelity Advisor® Limited Term Bond Fund Class C : FNBCX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $140  | 1.37% |

---

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

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

• Against this backdrop, the fund's strategy of favoring limited-term corporate bonds, while underweighting similar-duration U.S. Treasurys, contributed to its performance versus the Composite index for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added value.

• Non-Composite exposure to asset-backed securities, including collateralized loan obligations and car loan debt, also meaningfully contributed, as did an out-of-index allocation to commercial mortgage-backed securities.

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

• At period end, corporates made up about 69% of fund assets, down from roughly 72% a year ago but still notably overweight versus the 1-5 year benchmark average of approximately 25%, though roughly equal with the average of the Composite index.

• Exposure to U.S. Treasurys stood at roughly 15% as of August 31, compared with an average of 68% for the Bloomberg benchmark and 20% for the Composite index, while out-of-benchmark exposure to ABS stood at about 10% of fund assets at the close of the fiscal year.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class C<br>| $10000 | $10205<br>| $10237<br>| $10107<br>| $10612<br>| $11001<br>| $10959<br>| $10138<br>| $10267<br>| $11035<br>| $11615<br>|
| Fidelity Limited Term Composite Index℠<br>| $10000 | $10307<br>| $10465<br>| $10451<br>| $11120<br>| $11679<br>| $11788<br>| $11078<br>| $11279<br>| $12127<br>| $12792<br>|
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index<br>| $10000 | $10238<br>| $10334<br>| $10289<br>| $10902<br>| $11417<br>| $11454<br>| $10785<br>| $10913<br>| $11641<br>| $12198<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113861_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Class C (incl. contingent deferred sales charge) | 3.45% | 0.79%<br>| 1.51% |
| Class C | 4.45% | 0.79% | 1.51% |
| Fidelity Limited Term Composite Index℠ | 5.49%<br>| 1.84%<br>| 2.49% |
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index | 4.79%<br>| 1.33%<br>| 2.01% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $2574138860<br>|
| Number of Holdings | 1018<br>|
| Total Advisory Fee | $4524071<br>|
| Portfolio Turnover | 57%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 14.8 |
| AAA | 8.2 |
| AA | 1.7 |
| A | 24.6 |
| BBB | 35.3 |
| BB | 5.6 |
| B | 3.2 |
| CCC,CC,C | 0.9 |
| Not Rated | 4.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 14.8 |
| &nbsp;&nbsp;AAA - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 35.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 5.6&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 - 3.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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) - 1.3 |
| 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. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 66.4 |
| U.S. Treasury Obligations | 14.7 |
| Asset-Backed Securities | 10.2 |
| CMOs and Other Mortgage Related Securities | 5.2 |
| Bank Loan Obligations | 1.6 |
| Preferred Securities | 0.3 |
| Foreign Government and Government Agency Obligations | 0.2 |
| U.S. Government Agency - Mortgage Securities | 0.1 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 66.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 14.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 10.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 5.2 |
| Bank Loan Obligations - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.2 |
| U.S. Government Agency - Mortgage Securities - 0.1 |
| 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) - 1.3 |

---

---

| | |
|:---|:---|
| United States | 74.4 |
| United Kingdom | 5.1 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| Germany | 2.9 |
| Canada | 2.3 |
| Japan | 2.2 |
| France | 1.8 |
| Ireland | 1.7 |
| Netherlands | 1.5 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 74.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 14.7<br>|
| JPMorgan Chase & Co | 2.4<br>|
| Bank of America Corp | 1.9<br>|
| Citigroup Inc | 1.4<br>|
| Wells Fargo & Co | 1.3<br>|
| HSBC Holdings PLC | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Morgan Stanley | 1.3<br>|
| Deutsche Bank AG/New York NY | 1.2<br>|
| General Motors Financial Co Inc | 1.1<br>|
|  | 27.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img87_20250831_2.jpg)<br>| ![](img113861_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913608.101 524-TSRA-1025 <br>|

---

---

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

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $62  | 0.60% |

---

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

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

• Against this backdrop, the fund's strategy of favoring limited-term corporate bonds, while underweighting similar-duration U.S. Treasurys, contributed to its performance versus the Composite index for the fiscal year. Within corporates, debt holdings among financial institutions, especially banks, and industrial firms, particularly in the consumer cyclical and consumer non-cyclical segments, added value.

• Non-Composite exposure to asset-backed securities, including collateralized loan obligations and car loan debt, also meaningfully contributed, as did an out-of-index allocation to commercial mortgage-backed securities.

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

• At period end, corporates made up about 69% of fund assets, down from roughly 72% a year ago but still notably overweight versus the 1-5 year benchmark average of approximately 25%, though roughly equal with the average of the Composite index.

• Exposure to U.S. Treasurys stood at roughly 15% as of August 31, compared with an average of 68% for the Bloomberg benchmark and 20% for the Composite index, while out-of-benchmark exposure to ABS stood at about 10% of fund assets at the close of the fiscal year.

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

**CUMULATIVE PERFORMANCE**

August 31, 2015 through August 31, 2025.

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

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Class A<br>| $9725 | $9992<br>| $10111<br>| $10060<br>| $10636<br>| $11122<br>| $11166<br>| $10413<br>| $10627<br>| $11423<br>| $12022<br>|
| Fidelity Limited Term Composite Index℠<br>| $10000 | $10307<br>| $10465<br>| $10451<br>| $11120<br>| $11679<br>| $11788<br>| $11078<br>| $11279<br>| $12127<br>| $12792<br>|
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index<br>| $10000 | $10238<br>| $10334<br>| $10289<br>| $10902<br>| $11417<br>| $11454<br>| $10785<br>| $10913<br>| $11641<br>| $12198<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10597<br>| $10649<br>| $10537<br>| $11609<br>| $12360<br>| $12350<br>| $10928<br>| $10797<br>| $11585<br>| $11949<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img113862_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Class A (incl. 2.75% sales charge)  | 2.36% | 1.00%<br>| 1.86% |
| Class A (without 2.75% sales charge) | 5.25% | 1.57% | 2.14% |
| Fidelity Limited Term Composite Index℠ | 5.49%<br>| 1.84%<br>| 2.49% |
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index | 4.79%<br>| 1.33%<br>| 2.01% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| -0.68%<br>| 1.80% |

---

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $2574138860<br>|
| Number of Holdings | 1018<br>|
| Total Advisory Fee | $4524071<br>|
| Portfolio Turnover | 57%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 14.8 |
| AAA | 8.2 |
| AA | 1.7 |
| A | 24.6 |
| BBB | 35.3 |
| BB | 5.6 |
| B | 3.2 |
| CCC,CC,C | 0.9 |
| Not Rated | 4.4 |
| Equities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 14.8 |
| &nbsp;&nbsp;AAA - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 24.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 35.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 5.6&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 - 3.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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) - 1.3 |
| 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. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 66.4 |
| U.S. Treasury Obligations | 14.7 |
| Asset-Backed Securities | 10.2 |
| CMOs and Other Mortgage Related Securities | 5.2 |
| Bank Loan Obligations | 1.6 |
| Preferred Securities | 0.3 |
| Foreign Government and Government Agency Obligations | 0.2 |
| U.S. Government Agency - Mortgage Securities | 0.1 |
| Common Stocks | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img87_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 66.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 14.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Asset-Backed Securities - 10.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 5.2 |
| Bank Loan Obligations - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.2 |
| U.S. Government Agency - Mortgage Securities - 0.1 |
| 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) - 1.3 |

---

---

| | |
|:---|:---|
| United States | 74.4 |
| United Kingdom | 5.1 |
| Grand Cayman (UK Overseas Ter) | 3.9 |
| Germany | 2.9 |
| Canada | 2.3 |
| Japan | 2.2 |
| France | 1.8 |
| Ireland | 1.7 |
| Netherlands | 1.5 |
| Others | 4.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img87_20250831_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 74.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 5.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 3.9&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 14.7<br>|
| JPMorgan Chase & Co | 2.4<br>|
| Bank of America Corp | 1.9<br>|
| Citigroup Inc | 1.4<br>|
| Wells Fargo & Co | 1.3<br>|
| HSBC Holdings PLC | 1.3<br>|
| Goldman Sachs Group Inc/The | 1.3<br>|
| Morgan Stanley | 1.3<br>|
| Deutsche Bank AG/New York NY | 1.2<br>|
| General Motors Financial Co Inc | 1.1<br>|
|  | 27.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img87_20250831_2.jpg)<br>| ![](img113862_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913604.101 261-TSRA-1025 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF AUGUST 31, 2025 |
| Fidelity® Limited Term Securitized Completion Fund<br> **Fidelity® Limited Term Securitized Completion Fund : FLTGX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

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

---

A Amount represents less than $.50

B Amount represents less than 0.005%

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

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

• Against this backdrop, an underweight to MBS made up of 15-year mortgages detracted from the fund's performance versus the Fidelity Limited Term Securitized Completion Fund Composite Blended Index for the fiscal year.

• An underweight in auto and consumer asset-backed securities also hurt relative performance.

• In contrast, an overweight in government agency commercial mortgage-backed securities contributed to performance versus the Composite index.

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

• Lastly, the use of interest-rate swaps contributed to relative performance.

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

**CUMULATIVE PERFORMANCE**

May 30, 2024 through August 31, 2025.

Initial investment of $10,000.

---

| | | |
|:---|:---|:---|
| Fidelity® Limited Term Securitized Completion Fund<br>| $10000 | $10317<br>|
| Fidelity Limited Term Securitized Completion Fund Composite Blended Index<br>| $10000 | $10316<br>|
| Bloomberg US Fixed Rate Asset-Backed Securities Index<br>| $10000 | $10317<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10516<br>|
|  | 2024 | 2025 |

---

![](img113864_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® Limited Term Securitized Completion Fund | 5.44% | 6.94% |
| Fidelity Limited Term Securitized Completion Fund Composite Blended Index | 5.36%<br>| 6.87% |
| Bloomberg US Fixed Rate Asset-Backed Securities Index | 5.01%<br>| 6.59% |
| Bloomberg U.S. Aggregate Bond Index | 3.14%<br>| 6.69% |

---

**A** From May 30, 2024

---

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

---

**Key Fund Statistics**

(as of August 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $90392050<br>|
| Number of Holdings | 329<br>|
| Total Advisory Fee | $0<br>|
| Portfolio Turnover | 323%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 28.2 |
| AAA | 44.1 |
| AA | 5.0 |
| A | 1.3 |
| Not Rated | 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.7 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img7612_20250831_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 28.2 |
| &nbsp;&nbsp;AAA - 44.1&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 - 5.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 17.7&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;Short-Term Investments and Net Other Assets (Liabilities) - 3.7 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Asset-Backed Securities | 37.7 |
| CMOs and Other Mortgage Related Securities | 30.1 |
| U.S. Government Agency - Mortgage Securities | 15.9 |
| U.S. Treasury Obligations | 12.3 |
| Options | 0.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img7612_20250831_AA.jpg) <br>|

---

---

| |
|:---|
| Asset-Backed Securities - 37.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 30.1 |
| U.S. Government Agency - Mortgage Securities - 15.9 |
| U.S. Treasury Obligations - 12.3&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) - 3.7 |

---

United States 99.1 <br> Canada 0.9

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img7612_20250831_GD.jpg) <br>|

---

United States - 99.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Canada - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 11.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.3<br>|
| Freddie Mac Gold Pool | 4.4<br>|
| Uniform Mortgage Backed Securities | 4.0<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 2.8<br>|
| BHG | 2.6<br>|
| Ginnie Mae II Pool | 2.5<br>|
| OCCU Auto Receivables Trust | 2.5<br>|
| Ford Cr Floorplan Mast Own Tr | 2.1<br>|
| Fordr | 1.9<br>|
|  | 39.5 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img7612_20250831_2.jpg)<br>| ![](img113864_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9917139.101 7612-TSRA-1025 <br>|

---

Item 2.

<u>Code of Ethics</u>

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

Item 3.

<u>Audit Committee Financial Expert</u>

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

Item 4.

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

<u>Fees and Services</u>

The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") in each of the last two fiscal years for services rendered to Fidelity Series Investment Grade Securitized Fund (the "Fund"):

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Audit Fees** | &nbsp;&nbsp; **Audit-Related Fees** | &nbsp;&nbsp; **Tax Fees** | &nbsp;&nbsp; **All Other Fees** |
| &nbsp;&nbsp; Fidelity Series Investment Grade Securitized Fund | &nbsp;&nbsp; $83600  | &nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $-  | &nbsp;&nbsp; $11100  | &nbsp;&nbsp; $1300  |

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Audit Fees** | &nbsp;&nbsp; **Audit-Related Fees** | &nbsp;&nbsp; **Tax Fees** | &nbsp;&nbsp; **All Other Fees** |
| &nbsp;&nbsp; <br>Fidelity Series Investment Grade Securitized Fund | &nbsp;&nbsp; $80000  | &nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $-  | &nbsp;&nbsp; $11300  | &nbsp;&nbsp; $1900  |

---

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

The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for services rendered to Fidelity Advisor Limited Term Bond Fund, Fidelity Advisor Mortgage Securities Fund, and Fidelity Limited Term Securitized Completion Fund (the "Funds"):

**<u>Services Billed by PwC</u>**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Audit Fees** | &nbsp;&nbsp; **Audit-Related Fees** | &nbsp;&nbsp; **Tax Fees** | &nbsp;&nbsp; **All Other Fees** |
| &nbsp;&nbsp; Fidelity Advisor Limited Term Bond Fund | &nbsp;&nbsp; $95800  | &nbsp;&nbsp; $6400  | &nbsp;&nbsp; $11700  | &nbsp;&nbsp; $2600  |
| &nbsp;&nbsp; Fidelity Advisor Mortgage Securities Fund | &nbsp;&nbsp; $97100  | &nbsp;&nbsp; $6600  | &nbsp;&nbsp; $14500  | &nbsp;&nbsp; $2700  |
| &nbsp;&nbsp; Fidelity Limited Term Securitized Completion Fund | &nbsp;&nbsp; $68300  | &nbsp;&nbsp; $4500  | &nbsp;&nbsp; $11700  | &nbsp;&nbsp; $1900  |

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Audit Fees** | &nbsp;&nbsp; **Audit-Related Fees** | &nbsp;&nbsp; **Tax Fees** | &nbsp;&nbsp; **All Other Fees** |
| &nbsp;&nbsp; Fidelity Advisor Limited Term Bond Fund | &nbsp;&nbsp; $92200  | &nbsp;&nbsp; $7600  | &nbsp;&nbsp; $11400  | &nbsp;&nbsp; $3200  |
| &nbsp;&nbsp; Fidelity Advisor Mortgage Securities Fund | &nbsp;&nbsp; $96000  | &nbsp;&nbsp; $7900  | &nbsp;&nbsp; $16700  | &nbsp;&nbsp; $3400  |
| &nbsp;&nbsp; Fidelity Limited Term Securitized Completion Fund | &nbsp;&nbsp; $58200  | &nbsp;&nbsp; $900  | &nbsp;&nbsp; $11400  | &nbsp;&nbsp; $400  |

---

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

<sup>B</sup> Fidelity Limited Term Securitized Completion Fund commenced operations on May 30, 2024.

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

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

---

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

---

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

**<u>Services Billed by PwC</u>**

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp; **<u>August 31, 2025</u><sup>A</sup>** | &nbsp;&nbsp; **<u>August 31, 2024</u><sup>A,B</sup>** |
| &nbsp;&nbsp; Audit-Related Fees | &nbsp;&nbsp; $9680100  | &nbsp;&nbsp; $9437800  |
| &nbsp;&nbsp; Tax Fees | &nbsp;&nbsp; $1000  | &nbsp;&nbsp; $61000  |
| &nbsp;&nbsp; All Other Fees | &nbsp;&nbsp; $-  | &nbsp;&nbsp; $35000  |

---

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

<sup>B</sup> May include amounts billed prior to Fidelity Limited Term Securitized Completion Fund's commencement of operations.

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

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

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

Assurance services must be performed by an independent public accountant.

\* \* \*

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

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **<u>Billed By</u>** | &nbsp;&nbsp; **<u>August 31, 2025</u><sup>A</sup>** | &nbsp;&nbsp; **<u>August 31, 2024</u><sup>A,B</sup>** |
| &nbsp;&nbsp; Deloitte Entities | &nbsp;&nbsp; $3444600  | &nbsp;&nbsp; $4961700  |
| &nbsp;&nbsp; PwC | &nbsp;&nbsp; $14700200  | &nbsp;&nbsp; $15071300  |

---

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

<sup>B</sup> May include amounts billed prior to Fidelity Limited Term Securitized Completion Fund's commencement of operations.

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

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

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

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

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

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

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

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

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

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

Item 5.

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

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable.

Item 7.

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

**Fidelity® Series Investment Grade Securitized Fund**

**Annual Report**

**August 31, 2025**

![](img113705_1.jpg)

![](img113705_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_IGS-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Series Investment Grade Securitized Fund](#Sub_Sec_Fund_3223_IGS-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements3223_IGS-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_IGS-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_IGS-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_IGS-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_IGS-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_IGS-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_IGS-ANN)** |

---

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

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

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

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

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

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

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

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

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

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

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

**Fidelity® Series Investment Grade Securitized Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 6.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) | 78909 | 79957 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (b) | 182809 | 185067 |
| TOTAL CANADA |  | 265024 |
| UNITED STATES - 6.7%  |  |  |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (b) | 49849 | 50222 |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (b) | 400000 | 402041 |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (b) | 520999 | 521648 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (b) | 1100000 | 1105952 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  | 245128 | 246597 |
| Amur Equip Fin Receivables Xv LLC Series 2025-1A Class A2, 4.7% 9/22/2031 (b) | 780000 | 787412 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (b) | 78894 | 79481 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (b) | 160000 | 160276 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) | 315000 | 315806 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (b) | 205000 | 207663 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-2A Class A, 5.12% 8/20/2031 (b) | 595000 | 609442 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (b) | 723945 | 730938 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (b) | 98000 | 98888 |
| BofA Auto Trust Series 2025-1A Class A2A, 4.52% 11/22/2027 (b) | 660000 | 660945 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (b) | 500000 | 503259 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 225707 | 228650 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  | 187000 | 189604 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 300000 | 302554 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 1010000 | 1013797 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 33000 | 33105 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 67000 | 67719 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (b) | 145000 | 145601 |
| CFMT LLC Series 2023-HB12 Class A, 4.25% 4/25/2033 (b) | 6323 | 6314 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/2029 (b) | 239000 | 241183 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (b) | 304000 | 306436 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (b) | 400000 | 403882 |
| DLLAA LLC Series 2025-1A Class A3, 4.95% 9/20/2029 (b) | 1450000 | 1478700 |
| DLLAA Series 2023-1A Class A2, 5.93% 7/20/2026 (b) | 27 | 27 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (b) | 102000 | 103182 |
| Dllad LLC Series 2025-1A Class A3, 4.42% 9/20/2030 (b) | 500000 | 504217 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (b) | 383580 | 384998 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (b) | 82000 | 83948 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (b) | 208907 | 212022 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (b) | 361000 | 364071 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) | 145004 | 145724 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (b) | 171000 | 174194 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 73141 | 73357 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 70000 | 70586 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 60000 | 60322 |
| Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/2033 (b) | 2750000 | 2738754 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (b) | 2589000 | 2600952 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (b) | 2500000 | 2545576 |
| GM Financial Leasing Trust Series 2023-3 Class A3, 5.38% 11/20/2026  | 33854 | 33895 |
| GM Financial Revolving Receivables Trust Series 2024-1 Class A, 4.98% 12/11/2036 (b) | 704000 | 723833 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/2028 (b) | 1126000 | 1135586 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (b) | 500000 | 501118 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A3, 4.49% 4/16/2029 (b) | 500000 | 502907 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (b) | 731252 | 733318 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (b) | 400000 | 402876 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (b) | 453000 | 456394 |
| Hyundai Auto Lease Securitization Trust Series 2024-C Class A3, 4.62% 4/17/2028 (b) | 1300000 | 1306980 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (b) | 1200000 | 1204256 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 268000 | 270529 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 900000 | 900611 |
| Marlette Funding Trust Series 2024-1A Class A, 5.95% 7/17/2034 (b) | 4746 | 4749 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  | 290000 | 293413 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  | 1000000 | 1001015 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (b) | 438869 | 441861 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) | 219513 | 221200 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (b) | 91538 | 91595 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (b) | 600000 | 603583 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (b) | 495000 | 495592 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (b) | 703560 | 715388 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (b) | 265000 | 266630 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (b) | 140000 | 140951 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.7953% 7/25/2054 (b)(c)(d) | 580505 | 579316 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (b) | 429068 | 422421 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (b) | 186707 | 186875 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (b)(c) | 352212 | 352999 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (b) | 548106 | 549609 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 700000 | 704540 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (b) | 258000 | 259936 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 232000 | 232488 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (b) | 1296557 | 1299732 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (b) | 147000 | 148619 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (b) | 570000 | 570360 |
| Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-AA Class A2, 4.63% 7/20/2027 (b) | 3650586 | 3662544 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (b) | 783333 | 730689 |
| Toyota Auto Loan Extended Note Trust 2025-1a Series 2025-1A Class A, 4.65% 5/25/2038 (b) | 600000 | 612310 |
| Toyota Auto Loan Extended Note Trust Series 2021-1A Class A, 1.07% 2/27/2034 (b) | 1800000 | 1772256 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A3, 4.34% 11/15/2029  | 2100000 | 2117999 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (b) | 1900000 | 1916473 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (b) | 230000 | 230920 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (b) | 500000 | 500608 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b) | 437585 | 444215 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-2A Class A, 6.46% 8/18/2038 (b) | 599455 | 607353 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (b) | 979194 | 990331 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (b) | 360247 | 363061 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (b) | 185584 | 192488 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  | 161914 | 162224 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 106688 | 107297 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 786189 | 786448 |
| TOTAL UNITED STATES |  | 53912436 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $53,605,030) |  | <br> **54177460** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 9.4%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 5.115% 1/25/2061 (b) | 99422 | 99507 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (b) | 1092304 | 965853 |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (b) | 256230 | 239299 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (b)(f) | 561746 | 564953 |
| Bravo Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (b) | 850885 | 783433 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (b)(c) | 131973 | 129816 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(c) | 70276 | 69901 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (b)(c) | 676367 | 681849 |
| Fannie Mae Guaranteed REMIC Series 2013-44 Class DJ, 1.85% 5/25/2033  | 64906 | 60274 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 3021450 | 2623231 |
| Fannie Mae Guaranteed REMIC Series 2020-51 Class BA, 2% 6/25/2046  | 539042 | 491343 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 265871 | 222611 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 282544 | 236571 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 243745 | 210012 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 105028 | 87506 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 232770 | 206515 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 693937 | 608654 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 457620 | 407459 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 1046352 | 920589 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 370709 | 323311 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 220446 | 203200 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 268487 | 249849 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 249187 | 234165 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 228248 | 210649 |
| Fannie Mae Guaranteed REMIC Series 2022-18 Class DL, 3.25% 7/25/2046  | 560845 | 536587 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 130831 | 120312 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 629979 | 562699 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 1749825 | 1546470 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 266774 | 234559 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 188795 | 185567 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 735852 | 657587 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 8/25/2052 (c)(d) | 878179 | 864267 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 9/25/2052 (c)(d) | 1839034 | 1809901 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 10/25/2052 (c)(d) | 603312 | 595409 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 10/25/2052 (c)(d) | 2161578 | 2127285 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 311846 | 287555 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 661862 | 598581 |
| Fannie Mae Guaranteed REMIC Series 2022-9 Class DJ, 3.25% 3/25/2049  | 317672 | 298003 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.8484% 11/25/2053 (c)(d) | 636079 | 641260 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 11/25/2053 (c)(d) | 1141386 | 1151152 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.8484% 11/25/2053 (c)(d) | 273791 | 276034 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.8784% 7/25/2054 (c)(d) | 339427 | 341641 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 12/25/2054 (c)(d) | 2061976 | 2064492 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.4484% 12/25/2054 (c)(d) | 314629 | 314825 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  | 446508 | 422992 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 6/25/2054 (c)(d) | 947150 | 948905 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.9484% 8/25/2054 (c)(d) | 1133493 | 1141649 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 9/25/2054 (c)(d) | 467292 | 467815 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.7484% 2/25/2055 (c)(d) | 726345 | 729275 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.7484% 9/25/2054 (c)(d) | 737403 | 740084 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 2/25/2055 (c)(d) | 1017303 | 1020235 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (c)(d) | 408397 | 408865 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 619349 | 616239 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 193222 | 178147 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 189608 | 168345 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 212432 | 187068 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 193498 | 171974 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 305556 | 262985 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 191573 | 180206 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 909373 | 767138 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 139925 | 126769 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5041 Class LA, 1.5% 11/25/2040  | 1252486 | 1050475 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5046 Class PT, 1.5% 11/25/2040  | 948091 | 801889 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5059 Class GA, 1% 1/25/2051  | 389834 | 301042 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 185900 | 157869 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 242258 | 208038 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 240064 | 203998 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 192210 | 168173 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 1350305 | 1184528 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 265388 | 239042 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 1787950 | 1590272 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 184904 | 162179 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 200104 | 175496 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 165390 | 148861 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 167811 | 147131 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 311804 | 269174 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 1259724 | 1125508 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 167812 | 147132 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 125465 | 113035 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 592535 | 537127 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5201 Class EB, 3% 2/25/2048  | 3383730 | 3135562 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 120886 | 110906 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 134669 | 121511 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 274575 | 247056 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EA, 3% 8/25/2050  | 455966 | 421935 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EJ, 3% 8/25/2050  | 455966 | 421935 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class AB, 3% 1/25/2042  | 354962 | 333773 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CB, 3.25% 4/25/2052  | 857436 | 813103 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 277977 | 280247 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 156718 | 156128 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 8/25/2053 (c)(d) | 2398636 | 2396273 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 10/25/2053 (c)(d) | 820451 | 828805 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 6/25/2054 (c)(d) | 1742043 | 1746562 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 5.3484% 10/25/2054 (c)(d) | 232521 | 232304 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (c)(d) | 2412193 | 2414904 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 2/25/2055 (c)(d) | 364022 | 363117 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.5984% 10/25/2054 (c)(d) | 721861 | 723527 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (c)(d) | 570446 | 571113 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5517 Class HF, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.6984% 3/25/2055 (c)(d) | 1570436 | 1572881 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 4/25/2055 (c)(d) | 2036216 | 2031699 |
| Ginnie Mae Mortgage pass-thru certificates Series 2018-H12 Class HA, 3.25% 8/20/2068 (e) | 32179 | 31330 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 17084 | 15812 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 105062 | 93754 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.9049% 2/20/2049 (c)(d) | 75708 | 74522 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (b) | 602579 | 588855 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (b)(f) | 180019 | 176357 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (b)(c) | 581758 | 586175 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (b) | 690587 | 652778 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (b)(c) | 265720 | 251360 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (b)(c) | 889667 | 895682 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (b) | 37392 | 35257 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (b) | 991388 | 927459 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (b) | 343146 | 323438 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (b)(f) | 395516 | 396324 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (b)(f) | 1083391 | 1090878 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (b) | 16275 | 16144 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (b) | 33542 | 33000 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (b)(c) | 400050 | 388768 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (b) | 228424 | 228629 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (b)(f) | 684806 | 665204 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (b) | 562366 | 537704 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (b)(c) | 472655 | 474268 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (b) | 618087 | 607958 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (b) | 220099 | 216399 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (b)(c) | 87105 | 85397 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (b)(c) | 337829 | 332177 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (b)(c) | 527080 | 512921 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (b) | 170413 | 160100 |
| Towd Point Mortgage Trust Series 2021-1 Class A1, 2.25% 11/25/2061 (b)(c) | 1453973 | 1373312 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (b) | 335657 | 318804 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (b)(c) | 681785 | 685325 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (b)(f) | 791869 | 797998 |
| TOTAL UNITED STATES |  | 75811826 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $75,418,584) |  | <br> **75811826** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 9.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 9.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 9.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 9.7%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.1066% 6/15/2040 (b)(c)(d) | 1741000 | 1748617 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) | 77082 | 73995 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 600000 | 590967 |
| BANK Series 2018-BN10 Class A4, 3.428% 2/15/2061  | 226622 | 222908 |
| BANK Series 2018-BN13 Class A5, 4.217% 8/15/2061  | 700000 | 697252 |
| BANK Series 2018-BN14 Class ASB, 4.185% 9/15/2060  | 177197 | 176827 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 86516 | 84082 |
| BANK Series 2020-BN25 Class XB, 0.5289% 1/15/2063 (c)(g) | 2000000 | 36279 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 827247 | 796435 |
| BANK Series 2021-BN33 Class XA, 1.155% 5/15/2064 (c)(g) | 2989632 | 120519 |
| BANK Series 2023-BNK45 Class A5, 5.203% 2/15/2056 (c) | 400000 | 409300 |
| BANK5 Series 2025-5YR16 Class XB, 0.5531% 8/15/2063 (c)(g) | 4000000 | 76878 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.5057% 9/15/2056 (c) | 246000 | 265258 |
| Benchmark Mortgage Trust Series 2018-B1 Class ASB, 3.602% 1/15/2051  | 191072 | 189518 |
| Benchmark Mortgage Trust Series 2018-B2 Class ASB, 3.7802% 2/15/2051  | 152614 | 151431 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 229000 | 222737 |
| Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.2011% 8/15/2052 (c)(g) | 868242 | 23401 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.8756% 12/15/2062 (c)(g) | 8873232 | 181274 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.4938% 3/15/2053 (c)(g) | 1833183 | 78028 |
| Benchmark Mortgage Trust Series 2020-B18 Class XA, 1.8531% 7/15/2053 (c)(g) | 1204323 | 64287 |
| Benchmark Mortgage Trust Series 2021-B31 Class A5, 2.669% 12/15/2054  | 200000 | 177768 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  | 900000 | 937198 |
| Benchmark Mortgage Trust Series 2025-V16 Class XB, 0.4883% 8/15/2058 (c)(g) | 9000000 | 145260 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 5.4785% 9/15/2026 (b)(c)(d) | 531000 | 525399 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.7053% 3/15/2041 (b)(c)(d) | 470618 | 471501 |
| BMO Mortgage Trust Series 2022-C3 Class ASB, 5.5027% 9/15/2054 (c) | 500000 | 518447 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (c) | 7400000 | 7767739 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.735% 6/15/2041 (b)(c)(d) | 313000 | 313587 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7548% 3/15/2041 (b)(c)(d) | 2947138 | 2950819 |
| BX Commercial Mortgage Trust 21-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.8541% 4/15/2037 (b)(c)(d) | 267352 | 267436 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 6.0044% 5/15/2041 (b)(c) | 554343 | 555729 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.4093% 4/15/2034 (b)(c)(d) | 56047 | 55696 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 5.1666% 10/15/2036 (b)(c)(d) | 475000 | 474704 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 5.376% 2/15/2039 (b)(c)(d) | 134093 | 134093 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 6.1245% 12/9/2040 (b)(c)(d) | 258479 | 258964 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.5539% 12/9/2040 (b)(c)(d) | 143202 | 143470 |
| BX Commercial Mortgage Trust Series 2024-5C6 Class A3, 5.3161% 9/15/2057  | 1200000 | 1236074 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6559% 12/15/2039 (b)(c)(d) | 2506964 | 2514010 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.8065% 4/15/2040 (b)(c)(d) | 295506 | 296152 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.7631% 6/15/2035 (b)(c)(d) | 201000 | 201251 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.805% 4/15/2041 (b)(c)(d) | 638388 | 639984 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(c)(d) | 2034067 | 2031525 |
| BX Trust Series 2021-ACNT Class B, CME Term SOFR 1 month Index + 1.3645%, 5.7275% 11/15/2038 (b)(c)(d) | 98589 | 98528 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2785% 2/15/2036 (b)(c)(d) | 282000 | 281912 |
| BX Trust Series 2021-MFM1 Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1775% 1/15/2034 (b)(c)(d) | 65937 | 65917 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 5.1485% 6/15/2038 (b)(c)(d)(h) | 591798 | 591613 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.8051% 2/15/2039 (b)(c)(d) | 533144 | 533977 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.0543% 3/15/2041 (b)(c)(d) | 164530 | 164787 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.5131% 2/15/2035 (b)(c)(d) | 437000 | 437068 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class ASB, 3.462% 11/15/2050  | 41434 | 41009 |
| CD Mortgage Trust Series 2017-CD6 Class ASB, 3.332% 11/13/2050  | 792259 | 784454 |
| Cent Trust Series 2025-CITY Class A, 5.0909% 7/10/2040 (b)(c) | 464000 | 469968 |
| Cent Trust Series 2025-CITY Class X, 0.2082% 7/10/2040 (b) | 16222000 | 120330 |
| CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2, 3.5853% 12/10/2054  | 439884 | 432974 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 694202 | 679932 |
| Citigroup Commercial Mortgage Trust Series 2017-P7 Class AAB, 3.509% 4/14/2050  | 107397 | 106773 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.1594% 8/10/2056 (c)(g) | 4202362 | 126406 |
| COMM Mortgage Trust Series 2016-COR1 Class ASB, 2.972% 10/10/2049  | 120773 | 119988 |
| DBJPM Mortgage Trust Series 2017-C6 Class ASB, 3.121% 6/10/2050  | 232819 | 230671 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 5.1795% 11/15/2038 (b)(c)(d) | 942150 | 941561 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class B, CME Term SOFR 1 month Index + 1.2347%, 5.5987% 11/15/2038 (b)(c)(d) | 656530 | 655914 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  | 3200000 | 3249372 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K054 Class A2, 2.745% 1/25/2026  | 1008320 | 1000799 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 400000 | 394656 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 684585 | 674227 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 900000 | 887709 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  | 500000 | 492834 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 500000 | 494360 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  | 700000 | 690763 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 2300000 | 2281222 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  | 500000 | 499178 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  | 1600000 | 1595201 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  | 300000 | 299670 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  | 400000 | 401140 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  | 900000 | 856611 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K746 Class A2, 2.031% 9/25/2028  | 900000 | 851274 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  | 4200000 | 3738156 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  | 700000 | 709129 |
| GS Mortgage Securities Trust Series 2011-GC5 Class AS, 5.209% 8/10/2044 (b)(c) | 349520 | 341882 |
| GS Mortgage Securities Trust Series 2013-GC13 Class AS, 4.0061% 7/10/2046 (b)(c) | 35893 | 35355 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 184774 | 182478 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A4, 3.89% 7/10/2051  | 3200000 | 3128003 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 200000 | 196507 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 113917 | 113142 |
| GS Mortgage Securities Trust Series 2019-GSA1 Class A4, 3.0479% 11/10/2052  | 400000 | 379238 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 263633 | 255708 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.4285% 10/15/2036 (b)(c)(d) | 1165000 | 1164275 |
| Hilton USA Trust Series 2016-HHV Class B, 4.3333% 11/5/2038 (b)(c) | 446000 | 442086 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 63365 | 62777 |
| JPMDB Commercial Mortgage Securities Trust Series 2017-C5 Class ASB, 3.4919% 3/15/2050  | 112112 | 111357 |
| JPMDB Commercial Mortgage Securities Trust Series 2018-C8 Class ASB, 4.145% 6/15/2051  | 539412 | 537469 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (b) | 59000 | 56050 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2020-NNN Class AFX, 2.8123% 1/16/2037 (b) | 670000 | 599657 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 6.157% 5/15/2039 (b)(c)(d) | 400000 | 373700 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class A, CME Term SOFR 1 month Index + 0.9154%, 5.2784% 4/15/2038 (b)(c)(d) | 118581 | 118581 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.85% 9/15/2040 (b)(c)(d) | 491000 | 491000 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C28 Class A3, 3.272% 1/15/2049  | 63048 | 62762 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class ASB, 2.729% 9/15/2049  | 44877 | 44739 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class A4, 3.259% 6/15/2050  | 700000 | 687563 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class A3, 3.33% 12/15/2050  | 297068 | 291236 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 600000 | 598453 |
| Morgan Stanley Capital I Trust Series 2019-L2 Class A3, 3.806% 3/15/2052  | 449297 | 437639 |
| Morgan Stanley Capital I Trust Series 2019-NUGS Class A, CME Term SOFR 1 month Index + 1.0645%, 5.4285% 12/15/2036 (b)(c)(d) | 1000000 | 757528 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.2876% 6/15/2054 (c)(g) | 919657 | 36980 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (b)(c) | 1436326 | 1416174 |
| Natixis Commercial Mortgage Securities Trust Series 2020-2PAC Class A, 2.966% 12/15/2038 (b) | 628554 | 603109 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.4522% 11/15/2040 (b)(c)(d) | 20414 | 20426 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 5.6% 8/15/2042 (b)(c)(d) | 600000 | 600751 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.2084% 11/15/2038 (b)(c)(d) | 1827836 | 1827264 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.5574% 11/15/2038 (b)(c)(d) | 189578 | 189519 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.606% 12/15/2039 (b)(c)(d) | 528000 | 528000 |
| UBS Commercial Mortgage Trust Series 2017-C3 Class ASB, 3.215% 8/15/2050  | 536112 | 530463 |
| UBS Commercial Mortgage Trust Series 2018-C12 Class ASB, 4.1945% 8/15/2051  | 1025391 | 1022274 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.5162% 10/10/2042 (b)(c) | 1600000 | 29623 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C32 Class A3FL, CME Term SOFR 1 month Index + 1.5345%, 5.8976% 1/15/2059 (c)(d) | 352163 | 352570 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 1.0657% 8/15/2051 (c)(g) | 850118 | 15129 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class XA, 0.9595% 12/15/2052 (c)(g) | 5380087 | 162345 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.6785% 5/15/2031 (b)(c)(d) | 845000 | 842822 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 6.1544% 10/15/2041 (b)(c)(d) | 638000 | 638988 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 6.6537% 10/15/2041 (b)(c)(d) | 1100000 | 1103917 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.3538% 8/15/2041 (b)(c)(d) | 400000 | 399286 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 6.0543% 8/15/2041 (b)(c)(d) | 900000 | 899378 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (b)(c) | 418000 | 419819 |
| TOTAL UNITED STATES |  | 77934904 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $77,732,263) |  | <br> **77934904** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 125.4%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 125.4%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 125.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 125.4%  |  |  |
| Fannie Mae 2% 3/1/2052  | 1844154 | 1476737 |
| Fannie Mae 2.5% 1/1/2052  | 746886 | 625151 |
| Fannie Mae 2.5% 4/1/2052  | 414596 | 349353 |
| Fannie Mae 2.5% 5/1/2052  | 971153 | 816203 |
| Fannie Mae 2.5% 6/1/2052  | 1472074 | 1247782 |
| Fannie Mae 3% 12/1/2051  | 7495605 | 6570988 |
| Fannie Mae 3.5% 12/1/2036  | 189918 | 185450 |
| Fannie Mae 3.5% 5/1/2036  | 147422 | 144103 |
| Fannie Mae 5.5% 2/1/2055  | 5335390 | 5420529 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 1012309 | 909639 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 999846 | 896253 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 113431 | 94930 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 1035235 | 785707 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 86231 | 65554 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 610820 | 548870 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 581766 | 522763 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 315247 | 283274 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 22525 | 20241 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 15623 | 14038 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 109678 | 91940 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 1866912 | 1548437 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 632504 | 568354 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 15819 | 14215 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 111495 | 93384 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 34750 | 31172 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 32547 | 29195 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 115686 | 96736 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 836593 | 634945 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 43588 | 39099 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 42664 | 38270 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 16189 | 14522 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 118189 | 98758 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 44706 | 40102 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 44276 | 39716 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 23541 | 21116 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 47685 | 42744 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 46430 | 41649 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 156543 | 120229 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2036  | 33319 | 29866 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2036  | 47946 | 42978 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 49629 | 44487 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 1636036 | 1514477 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 799286 | 640541 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 2412297 | 1948271 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 1743007 | 1396831 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 64569 | 51725 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 298362 | 275074 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040  | 39698 | 34573 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 827048 | 712101 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 173484 | 149579 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 17595 | 15171 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 621594 | 504745 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1875781 | 1516131 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1396519 | 1130505 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 580351 | 469804 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2052  | 3251143 | 2603407 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 2049884 | 1783025 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 795200 | 685302 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 420717 | 362775 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 337830 | 291255 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 172657 | 148801 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 364134 | 293179 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1847514 | 1495593 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1165050 | 941671 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 135777 | 108853 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 49386 | 39979 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 33927 | 27465 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 1974688 | 1818711 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 124081 | 108197 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 14821 | 12883 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  | 409270 | 352195 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 390024 | 312928 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 16672 | 13507 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 2365363 | 1911844 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 906538 | 721109 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 540473 | 435833 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 373129 | 302054 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 347213 | 280641 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 314266 | 254010 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 70258 | 68732 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15803 | 13716 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 16669 | 13379 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 862396 | 688220 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 718053 | 581052 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 659244 | 528107 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 53746 | 43458 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 23220 | 18776 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 146004 | 126646 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 17241 | 13839 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1156144 | 936640 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1002201 | 808479 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 665817 | 538990 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 597369 | 483207 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 461754 | 373653 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 266121 | 214931 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 262078 | 211174 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 209568 | 168208 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 197552 | 159921 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 52149 | 42167 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 35964 | 29079 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 46941 | 41071 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1630693 | 1305804 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 821466 | 664733 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 23479 | 19021 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 2066894 | 1655100 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 1158706 | 1072975 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 34279 | 29969 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 17337 | 15002 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 249856 | 231370 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 402515 | 349468 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 400255 | 345926 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 261288 | 225386 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 2846501 | 2285610 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 413725 | 334012 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 299263 | 240295 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 155880 | 125749 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 72561 | 58694 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 33258 | 26684 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 380573 | 352415 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 507142 | 437732 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 402857 | 347947 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 50137 | 43269 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 107125 | 86157 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041  | 262798 | 226539 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 144907 | 139898 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2040  | 26502 | 23943 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 1826024 | 1550085 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 218479 | 183347 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 152744 | 129280 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 123619 | 104629 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 85740 | 71979 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 84175 | 71245 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 142456 | 137584 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 8984 | 8684 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 55283 | 51021 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1893815 | 1582183 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 286905 | 241129 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 118828 | 99758 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 93355 | 90161 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2034  | 9042 | 8592 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 611385 | 544462 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 400659 | 357187 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 281901 | 252128 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 93853 | 83890 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 92116 | 82433 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 83769 | 74947 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2153229 | 1798911 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1811648 | 1528823 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 692959 | 582396 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 260144 | 251061 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 2131789 | 2058801 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1211917 | 1017795 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 556751 | 469834 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 111528 | 105769 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 79173 | 76492 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 212895 | 190593 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 88254 | 74697 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 17944 | 16207 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 121230 | 109299 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2047  | 42270 | 35882 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 1279409 | 1076876 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 683777 | 577029 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 143119 | 138220 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 440225 | 406591 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 89326 | 79636 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 1591798 | 1354239 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 723734 | 608261 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 203837 | 171951 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 8994 | 8709 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2035  | 3606667 | 3414793 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 71422 | 64385 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 139496 | 125393 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 109599 | 98513 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 49643 | 44275 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 19535 | 17440 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 3939040 | 3338870 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2879406 | 2440686 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1453382 | 1231938 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1418562 | 1190897 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 903313 | 763422 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 840188 | 705346 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 755257 | 631686 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 388912 | 326495 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 1813783 | 1532892 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2040  | 431554 | 388850 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 1708925 | 1448545 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 111418 | 99969 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 845175 | 714287 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 12422 | 12019 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1652675 | 1386921 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1329247 | 1115501 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1284918 | 1078300 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 82801 | 69176 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 522300 | 466141 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 36183 | 30229 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 121084 | 116898 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 15008 | 14517 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 478043 | 418775 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 244268 | 216198 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 2564407 | 2256090 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 1528904 | 1342218 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 241890 | 212051 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 11578 | 11276 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 58892 | 57653 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1699451 | 1499375 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 94907 | 83170 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 1202622 | 1055777 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 1166040 | 1032407 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 735705 | 646562 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 606874 | 531824 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 17675 | 15605 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 16869 | 14894 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 296378 | 289581 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 41622 | 40662 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 73234 | 70702 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 20938 | 20233 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 2091661 | 1853255 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 880005 | 771177 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 4246818 | 3709683 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1538647 | 1348367 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 322046 | 283025 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 264891 | 232216 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 247092 | 216921 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 101499 | 99573 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 136448 | 132927 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 40520 | 39688 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 719627 | 635806 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 199716 | 176079 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1371851 | 1201341 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 747822 | 654873 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 597348 | 523102 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 20459 | 19969 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 18997 | 18519 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  | 59817 | 56681 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 1003349 | 886479 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 519180 | 459517 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1987959 | 1724719 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1591305 | 1395010 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1192761 | 1051592 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 354907 | 310795 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  | 27649 | 26756 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 1033959 | 913524 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 42700 | 37673 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1024713 | 904714 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 34525 | 30438 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 836688 | 733740 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  | 707535 | 614287 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 117199 | 114880 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 19420 | 18609 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 79902 | 76238 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 996748 | 878467 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 331629 | 292275 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 684206 | 601944 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 123542 | 120407 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2038  | 11639 | 11134 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 1153910 | 1014455 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 440430 | 387478 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 810093 | 795123 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 9857 | 9606 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 8078 | 7871 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 251833 | 246057 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 246268 | 228460 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 62359 | 57402 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 1530806 | 1441657 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 296556 | 269853 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 74038 | 67533 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 2662090 | 2456284 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 228881 | 212331 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 37210 | 34252 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 80576 | 74750 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 120480 | 111693 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 690853 | 629293 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 65091 | 59291 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2035  | 279571 | 274574 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 9372 | 8850 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1521048 | 1431184 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 154908 | 141008 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  | 89307 | 82738 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 36730 | 34028 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052 (j) | 4556535 | 4167605 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 28612 | 26579 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 6237 | 5778 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 69712 | 64584 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 39651 | 36734 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 842235 | 762712 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2038  | 15512 | 14904 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 1401403 | 1295250 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 49258 | 48301 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 16195 | 15880 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 318071 | 299852 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 413471 | 378017 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 63094 | 61868 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  | 7557 | 7060 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2047  | 42402 | 39389 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 1989809 | 1831625 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 1371292 | 1258849 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 145784 | 135242 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2051  | 331523 | 313781 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 26868 | 25522 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 40784 | 39009 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 35522 | 33757 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 21014 | 19962 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 18952 | 17997 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 272238 | 264197 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2047  | 207561 | 198789 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2050  | 1638210 | 1550027 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 2397138 | 2307326 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 81299 | 76730 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 602867 | 569473 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 3324189 | 3139019 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2050  | 1080970 | 1020756 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 400642 | 376822 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 387066 | 364053 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 35660 | 34120 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 42698 | 40853 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 27546 | 26186 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 10380 | 9867 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 43227 | 41048 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 82452 | 80465 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 540850 | 540575 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 555041 | 545476 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 867228 | 837920 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 1536489 | 1484564 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 1151827 | 1112901 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 36464 | 35836 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 95919 | 93817 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 364884 | 365894 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 818150 | 817435 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049 (i) | 1011045 | 986672 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 304219 | 303553 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 567831 | 557514 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 1048596 | 1047494 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 828421 | 826774 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 273413 | 271332 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 72903 | 72266 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 668156 | 668916 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 651757 | 651072 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 410218 | 409146 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 419331 | 418759 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2054  | 238667 | 239013 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 302826 | 305820 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2053  | 85093 | 84286 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2053  | 294075 | 290391 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  | 65694 | 65030 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 34728 | 35093 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 21006 | 21227 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 15521 | 15684 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 685250 | 696292 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 1441568 | 1470202 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 1161490 | 1171131 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 285784 | 290121 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 3731351 | 3766990 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 636597 | 647849 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 322355 | 328053 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 132383 | 135054 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 1088794 | 1098512 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 649799 | 661081 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 652973 | 662883 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  | 1089406 | 1097768 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 453319 | 462466 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 464310 | 474549 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 283886 | 286420 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2052  | 513392 | 521664 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 671580 | 677155 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 1029134 | 1069093 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1441036 | 1481749 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 1254339 | 1300298 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 469819 | 488207 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 180004 | 187162 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1299085 | 1345566 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 563227 | 577176 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 2733046 | 2835960 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 1736100 | 1778009 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 846150 | 875831 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 619858 | 641214 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1795850 | 1839201 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 3356359 | 3458358 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1188164 | 1231698 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1034545 | 1059519 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 2295812 | 2356613 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 1908476 | 1953950 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 378611 | 390235 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 2169216 | 2220903 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 845244 | 878591 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 2721123 | 2850657 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 280261 | 295310 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 777608 | 814686 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 658964 | 684567 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 1151581 | 1213418 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 574646 | 596748 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 713007 | 740431 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 176717 | 186082 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 567701 | 595124 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 555077 | 498780 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 1026281 | 778911 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 420845 | 378162 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 55443 | 49820 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 76470 | 58659 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 610376 | 548471 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 68430 | 57314 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 52129 | 39987 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 7345 | 5641 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 41287 | 37035 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 116859 | 97708 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 1042587 | 791287 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 26455 | 23731 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 118428 | 99026 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 1088795 | 826357 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 948546 | 721395 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 16524 | 12691 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 44885 | 40263 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 598217 | 499949 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 119795 | 100005 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 6810334 | 5168802 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 5141239 | 3902018 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 45936 | 41205 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 46748 | 41934 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 40677 | 31241 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 209996 | 189485 |
| Freddie Mac Gold Pool 1.5% 7/1/2036  | 39558 | 35460 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 339645 | 306471 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 28722 | 25746 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 197024 | 159248 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 115939 | 93891 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 41386 | 33503 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 17946 | 15475 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1860491 | 1500285 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 275436 | 222626 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 258624 | 209360 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 97257 | 78609 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 314952 | 271281 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 233016 | 200830 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 1750180 | 1404220 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 16146 | 13080 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1700449 | 1371228 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1638923 | 1309834 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 922572 | 741071 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 351131 | 283807 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 245071 | 196474 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 139514 | 112764 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 83471 | 67467 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 966980 | 781578 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 233995 | 189130 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 190277 | 151773 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 111945 | 90412 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 109822 | 88491 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 108206 | 86851 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 51892 | 41602 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 20835 | 16867 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 18803 | 15221 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 188155 | 163200 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 1766345 | 1431542 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 2483362 | 2005667 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 2473361 | 1992951 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 518527 | 418784 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 290155 | 231893 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 201054 | 162756 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 111109 | 96885 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 462571 | 371424 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 660107 | 530242 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 145834 | 116324 |
| Freddie Mac Gold Pool 2% 4/1/2041  | 16716 | 14480 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 642249 | 518707 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 171491 | 148488 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 5941873 | 4813758 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 191056 | 153290 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 150926 | 122130 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 79642 | 63899 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 291525 | 252231 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 1345611 | 1089295 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1473767 | 1280800 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 17236 | 14901 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 89237 | 72183 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 151643 | 121668 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 3913448 | 3142319 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 177316 | 142266 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 482285 | 390418 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 603091 | 536640 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 603981 | 509691 |
| Freddie Mac Gold Pool 2.5% 10/1/2040  | 553183 | 497265 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 294809 | 262838 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 1172468 | 994558 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 1129463 | 953843 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 493752 | 414972 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 121666 | 117501 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1541616 | 1380033 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 127305 | 113788 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 92574 | 82939 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 2209497 | 1867324 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 205067 | 173887 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 282524 | 239477 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 115366 | 96383 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 184139 | 156141 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 926005 | 777680 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 155856 | 132061 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 293349 | 262441 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 1664424 | 1411345 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 643174 | 539951 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 748259 | 629808 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 600429 | 504066 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 80763 | 71966 |
| Freddie Mac Gold Pool 2.5% 4/1/2047  | 445441 | 377850 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 311649 | 263775 |
| Freddie Mac Gold Pool 2.5% 5/1/2035  | 431940 | 408961 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 625176 | 563114 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 209408 | 188178 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1455425 | 1233670 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 294464 | 249598 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 7932 | 7689 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 96410 | 86443 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 214138 | 202076 |
| Freddie Mac Gold Pool 2.5% 7/1/2043  | 51275 | 45325 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 455523 | 384978 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 214156 | 181794 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1063183 | 896540 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 445122 | 397066 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 76293 | 68444 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 5203406 | 4412217 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 168468 | 150977 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1393289 | 1220985 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 187131 | 163872 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 336295 | 295547 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 700324 | 615249 |
| Freddie Mac Gold Pool 3% 10/1/2053  | 41186 | 35700 |
| Freddie Mac Gold Pool 3% 11/1/2032  | 369160 | 359637 |
| Freddie Mac Gold Pool 3% 11/1/2047  | 70498 | 62705 |
| Freddie Mac Gold Pool 3% 11/1/2047  | 52010 | 46179 |
| Freddie Mac Gold Pool 3% 11/1/2048  | 23427 | 20801 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 990594 | 877996 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 63686 | 55810 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 216130 | 189470 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 90368 | 79192 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 30537 | 29894 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 28314 | 27665 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 520200 | 455869 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 28970 | 28375 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 15379 | 14969 |
| Freddie Mac Gold Pool 3% 2/1/2048  | 558842 | 496194 |
| Freddie Mac Gold Pool 3% 3/1/2048  | 29335 | 25991 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 609750 | 535487 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 462467 | 404986 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 407892 | 356174 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 95460 | 83595 |
| Freddie Mac Gold Pool 3% 4/1/2033  | 27134 | 26433 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 16051 | 15568 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 614148 | 539350 |
| Freddie Mac Gold Pool 3% 4/1/2051  | 1615777 | 1414948 |
| Freddie Mac Gold Pool 3% 5/1/2033  | 7271 | 7083 |
| Freddie Mac Gold Pool 3% 5/1/2035  | 688237 | 664225 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 209702 | 183703 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 883187 | 773966 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 358218 | 316493 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 311376 | 272674 |
| Freddie Mac Gold Pool 3% 7/1/2052  | 32486 | 28185 |
| Freddie Mac Gold Pool 3% 8/1/2049  | 49103 | 43169 |
| Freddie Mac Gold Pool 3% 8/1/2050  | 1794691 | 1589011 |
| Freddie Mac Gold Pool 3% 9/1/2047  | 27139 | 24156 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 194969 | 170797 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 96520 | 84614 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 11306 | 10673 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  | 559910 | 547819 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 7393 | 6858 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 9529 | 8623 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 17840 | 17519 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 50437 | 46790 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 11485 | 10655 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 55144 | 53915 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 165045 | 155687 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 132657 | 121002 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 767352 | 714455 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 8189 | 7569 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1754247 | 1585871 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1658763 | 1517177 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 21581 | 19617 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 1369946 | 1248731 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 732456 | 668563 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  | 14129 | 13076 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  | 5299 | 4910 |
| Freddie Mac Gold Pool 3.5% 6/1/2047  | 70233 | 64803 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 406447 | 383447 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 123532 | 114754 |
| Freddie Mac Gold Pool 3.5% 7/1/2048  | 1063223 | 978700 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 47794 | 43490 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 9411 | 8884 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 190177 | 176663 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 21900 | 20317 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 14998 | 13932 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 1153485 | 1050341 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 515493 | 485740 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 232734 | 219423 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 6405 | 5942 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 5983 | 5550 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 212194 | 201037 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 626600 | 592675 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 42336 | 40203 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 994298 | 945403 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 13744 | 13051 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 595403 | 564097 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 235580 | 229871 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 10312 | 10037 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 96852 | 92062 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 94317 | 89652 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 388247 | 368440 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 18096 | 17330 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 177873 | 168798 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 135235 | 131348 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 222565 | 211350 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 43766 | 41561 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 14712 | 13985 |
| Freddie Mac Gold Pool 4.5% 1/1/2053  | 186302 | 179947 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 21848 | 21863 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 261051 | 256961 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 638251 | 616681 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 32036 | 31374 |
| Freddie Mac Gold Pool 4.5% 12/1/2052  | 1058976 | 1023188 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 19158 | 18738 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 17852 | 17595 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 1458785 | 1456413 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 32633 | 32193 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 14400 | 14193 |
| Freddie Mac Gold Pool 4.5% 7/1/2049  | 1653360 | 1622286 |
| Freddie Mac Gold Pool 4.5% 8/1/2055  | 526563 | 507205 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 546810 | 545211 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 92347 | 91587 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 861613 | 860708 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 414997 | 415469 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 245920 | 245585 |
| Freddie Mac Gold Pool 5% 11/1/2053  | 2165125 | 2168264 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 955235 | 953934 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 499011 | 498331 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 457708 | 456513 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 161618 | 161196 |
| Freddie Mac Gold Pool 5% 4/1/2054  | 258753 | 259048 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 520567 | 521484 |
| Freddie Mac Gold Pool 5% 6/1/2053  | 226794 | 229037 |
| Freddie Mac Gold Pool 5% 8/1/2055  | 995290 | 986080 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 3776832 | 3841231 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 1620013 | 1655230 |
| Freddie Mac Gold Pool 5.5% 10/1/2053  | 45601 | 45994 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 1031078 | 1048659 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 959614 | 978975 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 277484 | 279700 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 116466 | 117578 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (l) | 2517811 | 2571758 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 866922 | 900582 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 249228 | 256880 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 489503 | 508509 |
| Freddie Mac Gold Pool 6% 3/1/2053  | 453212 | 470525 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 2656116 | 2754265 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 1202348 | 1248656 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 6739357 | 6958389 |
| Freddie Mac Gold Pool 6% 9/1/2039  | 11408661 | 11832926 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1175952 | 1233033 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 870247 | 911673 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 337993 | 354320 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 336620 | 352670 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 3711501 | 3888180 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 1481250 | 1559285 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 260911 | 275227 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 167297 | 176111 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 159560 | 167168 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 4598226 | 4854837 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 310040 | 327149 |
| Freddie Mac Manufactured Housing participation certificates 5.5% 4/1/2055  | 1179254 | 1188306 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 599578 | 621031 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 1041722 | 1097660 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 947822 | 999014 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 299559 | 317353 |
| Freddie Mac Non Gold Pool 3.5% 5/1/2049  | 167625 | 154132 |
| Freddie Mac Non Gold Pool 5% 8/1/2053  | 346578 | 344481 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2055  | 3947917 | 4018935 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1188780 | 1210908 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 464428 | 480574 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 455905 | 470900 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 387980 | 401226 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 5958104 | 6165237 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 409606 | 423846 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 360251 | 372550 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 523561 | 539635 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 2231558 | 2338659 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 555279 | 586657 |
| Freddie Mac Non Gold Pool 6.5% 11/1/2054  | 245749 | 259636 |
| Freddie Mac Non Gold Pool 6.5% 2/1/2055  | 636555 | 672775 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 566712 | 478632 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 884384 | 746931 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 599380 | 506223 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 467883 | 395164 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 3215975 | 2716141 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 837607 | 707424 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 506809 | 428039 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1445493 | 1220831 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 825377 | 697095 |
| Ginnie Mae I Pool 3% 2/20/2050  | 199384 | 176596 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 863603 | 788201 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 7717 | 7078 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 3367 | 3081 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 2542 | 2332 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 969 | 887 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 4672395 | 4264448 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 2717532 | 2480264 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 3126295 | 2853338 |
| Ginnie Mae I Pool 4% 10/20/2052  | 3719974 | 3499687 |
| Ginnie Mae I Pool 4% 3/20/2047  | 9930 | 9477 |
| Ginnie Mae I Pool 4% 4/20/2048  | 11073 | 10451 |
| Ginnie Mae I Pool 4% 4/20/2048  | 10521 | 9931 |
| Ginnie Mae I Pool 4% 5/20/2049  | 91849 | 86231 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 1223857 | 1186773 |
| Ginnie Mae I Pool 5% 4/20/2048  | 166936 | 169386 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 1255516 | 1275126 |
| Ginnie Mae II Pool 2% 1/20/2051  | 10779995 | 8830220 |
| Ginnie Mae II Pool 2% 10/1/2055 (k) | 10200000 | 8347940 |
| Ginnie Mae II Pool 2% 10/20/2050  | 4760301 | 3898563 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2159199 | 1768666 |
| Ginnie Mae II Pool 2% 12/20/2050  | 4475454 | 3664931 |
| Ginnie Mae II Pool 2% 12/20/2051  | 1749956 | 1433169 |
| Ginnie Mae II Pool 2% 2/20/2051  | 456133 | 373633 |
| Ginnie Mae II Pool 2% 2/20/2052  | 16659511 | 13643708 |
| Ginnie Mae II Pool 2% 3/20/2052  | 2168395 | 1776537 |
| Ginnie Mae II Pool 2% 4/20/2051  | 152606 | 125004 |
| Ginnie Mae II Pool 2% 9/1/2055 (k) | 27725000 | 22696262 |
| Ginnie Mae II Pool 2% 9/20/2050  | 1744082 | 1429175 |
| Ginnie Mae II Pool 2.5% 1/20/2052  | 4343393 | 3700908 |
| Ginnie Mae II Pool 2.5% 11/20/2051  | 244268 | 208135 |
| Ginnie Mae II Pool 2.5% 12/20/2053  | 569392 | 485967 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 2828029 | 2410142 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 498913 | 425191 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 1721527 | 1466874 |
| Ginnie Mae II Pool 2.5% 7/20/2054  | 531252 | 452585 |
| Ginnie Mae II Pool 2.5% 8/20/2047  | 13091 | 11338 |
| Ginnie Mae II Pool 2.5% 9/1/2055 (k) | 14900000 | 12691802 |
| Ginnie Mae II Pool 3% 1/20/2032  | 192848 | 188174 |
| Ginnie Mae II Pool 3% 10/1/2055 (k) | 9600000 | 8500441 |
| Ginnie Mae II Pool 3% 10/20/2031  | 63458 | 61950 |
| Ginnie Mae II Pool 3% 11/20/2031  | 67680 | 66040 |
| Ginnie Mae II Pool 3% 12/20/2031  | 102790 | 100324 |
| Ginnie Mae II Pool 3% 12/20/2046  | 784245 | 704412 |
| Ginnie Mae II Pool 3% 2/20/2031  | 8191 | 8014 |
| Ginnie Mae II Pool 3% 3/20/2031  | 16596 | 16230 |
| Ginnie Mae II Pool 3% 3/20/2050  | 518152 | 460387 |
| Ginnie Mae II Pool 3% 3/20/2052  | 9055307 | 8025277 |
| Ginnie Mae II Pool 3% 4/20/2031  | 62085 | 60715 |
| Ginnie Mae II Pool 3% 4/20/2052  | 3191953 | 2828872 |
| Ginnie Mae II Pool 3% 5/20/2031  | 132741 | 129779 |
| Ginnie Mae II Pool 3% 7/20/2031  | 2382 | 2327 |
| Ginnie Mae II Pool 3% 8/20/2031  | 20229 | 19763 |
| Ginnie Mae II Pool 3% 9/1/2055 (k) | 19200000 | 17007633 |
| Ginnie Mae II Pool 3% 9/20/2031  | 8088 | 7900 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 4125 | 3839 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 2564 | 2391 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 1649 | 1551 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 1932 | 1813 |
| Ginnie Mae II Pool 3.5% 12/20/2043  | 2040 | 1899 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 2519 | 2355 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 2001 | 1861 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 219600 | 204264 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 30395 | 28385 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 2456 | 2293 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 3740 | 3518 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 2603 | 2428 |
| Ginnie Mae II Pool 4% 1/20/2041  | 38561 | 37375 |
| Ginnie Mae II Pool 4% 1/20/2046  | 8447 | 8079 |
| Ginnie Mae II Pool 4% 10/1/2055 (k) | 4100000 | 3822488 |
| Ginnie Mae II Pool 4% 10/20/2040  | 12731 | 12343 |
| Ginnie Mae II Pool 4% 10/20/2045  | 1989 | 1905 |
| Ginnie Mae II Pool 4% 11/20/2042  | 61825 | 59698 |
| Ginnie Mae II Pool 4% 12/20/2045  | 11070 | 10587 |
| Ginnie Mae II Pool 4% 4/20/2047  | 526854 | 502859 |
| Ginnie Mae II Pool 4% 5/20/2046  | 19377 | 18519 |
| Ginnie Mae II Pool 4% 6/20/2045  | 530003 | 508307 |
| Ginnie Mae II Pool 4% 7/20/2044  | 29032 | 27899 |
| Ginnie Mae II Pool 4% 8/20/2043  | 4444 | 4285 |
| Ginnie Mae II Pool 4% 8/20/2044  | 83320 | 80055 |
| Ginnie Mae II Pool 4% 8/20/2045  | 373500 | 357930 |
| Ginnie Mae II Pool 4% 8/20/2048  | 308063 | 292588 |
| Ginnie Mae II Pool 4% 9/1/2055 (k) | 8200000 | 7646897 |
| Ginnie Mae II Pool 4% 9/20/2045  | 1879 | 1800 |
| Ginnie Mae II Pool 4.5% 10/1/2055 (k) | 4500000 | 4330579 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 3503106 | 3375611 |
| Ginnie Mae II Pool 4.5% 3/20/2055  | 992271 | 955460 |
| Ginnie Mae II Pool 4.5% 4/20/2055  | 4670180 | 4496926 |
| Ginnie Mae II Pool 5% 11/20/2054  | 8432100 | 8347031 |
| Ginnie Mae II Pool 5% 12/20/2054  | 683212 | 676106 |
| Ginnie Mae II Pool 5% 5/20/2055  | 8760394 | 8669275 |
| Ginnie Mae II Pool 5% 6/20/2048  | 211890 | 213676 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 1037102 | 1052005 |
| Ginnie Mae II Pool 5.5% 10/1/2055 (k) | 18700000 | 18821155 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 1254856 | 1277200 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 391201 | 394286 |
| Ginnie Mae II Pool 5.5% 9/1/2055 (k) | 37900000 | 38179600 |
| Ginnie Mae II Pool 6% 10/1/2055 (k) | 22975000 | 23411877 |
| Ginnie Mae II Pool 6% 12/20/2054  | 2593172 | 2644176 |
| Ginnie Mae II Pool 6% 9/1/2055 (k) | 51100000 | 52119593 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 3079302 | 3171722 |
| Uniform Mortgage Backed Securities 2% 10/1/2055 (k) | 73400000 | 58289928 |
| Uniform Mortgage Backed Securities 2% 9/1/2055 (k) | 114100000 | 90593621 |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 (k) | 11975000 | 9942992 |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 (k) | 18625000 | 15462387 |
| Uniform Mortgage Backed Securities 3% 9/1/2055 (k) | 1300000 | 1126328 |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 (k) | 1950000 | 1761170 |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 (k) | 3050000 | 2755842 |
| Uniform Mortgage Backed Securities 4% 10/1/2055 (k) | 5200000 | 4851437 |
| Uniform Mortgage Backed Securities 4% 9/1/2055 (k) | 10400000 | 9706531 |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 (k) | 7475000 | 7184468 |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 (k) | 16175000 | 15558328 |
| Uniform Mortgage Backed Securities 5% 9/1/2055 (k) | 875000 | 862935 |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 (k) | 13825000 | 13906006 |
| Uniform Mortgage Backed Securities 6% 10/1/2055 (k) | 4550000 | 4644910 |
| Uniform Mortgage Backed Securities 6% 9/1/2055 (k) | 14600000 | 14917094 |
| TOTAL UNITED STATES |  | 1007093534 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $1,022,382,432) |  | <br> **1007093534** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 2.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.4%** |
|  | Yield (%) (m) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.52 to 5.12 | 10900000 | 10573852 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.58 to 2.66 | 2381773 | 2254278 |
| US Treasury Notes 3.75% 4/15/2028  | 3.69 | 40000 | 40153 |
| US Treasury Notes 4.75% 2/15/2045  | 4.81 to 4.97 | 6660000 | 6561141 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $19,491,121) |  |  | **19429424** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 4.1%** | &nbsp;&nbsp;**Money Market Funds - 4.1%** | &nbsp;&nbsp;**Money Market Funds - 4.1%** | &nbsp;&nbsp;**Money Market Funds - 4.1%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (n)<br>(Cost $33,039,259)<br>| 4.36 | 33032652 | **33039259** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.4%** | &nbsp;&nbsp;**Purchased Swaptions - 0.4%** | &nbsp;&nbsp;**Purchased Swaptions - 0.4%** | &nbsp;&nbsp;**Purchased Swaptions - 0.4%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.1% |  |  |  |
| 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 | 11/7/2029 | 3100000 | 107812 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.07% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/19/2029 | 6940000 | 222775 |
| 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 | 12/20/2029 | 2000000 | 66381 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9025% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/2026 | 3680000 | 57203 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.025% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/2030 | 2610000 | 92009 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 3400000 | 116905 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.08% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 3150000 | 107977 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 400000 | 14057 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.95% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/2030 | 2150000 | 78829 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 3470000 | 120584 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 2810000 | 100612 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 1100000 | 22337 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.146% and receive annually a floating rate based on US SOFR Index, expiring August 2035 | 7/30/2030 | 1020000 | 35278 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 6580000 | 167477 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.804% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 1970000 | 51323 |
| TOTAL PUT SWAPTIONS |  |  | 1361559 |
| Call Swaptions - 0.3% |  |  |  |
| 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 | 11/7/2029 | 3100000 | 96354 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.07% and pay annually a floating rate based on US SOFR Index, expiring December 2034 | 12/19/2029 | 6940000 | 245709 |
| 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 | 12/20/2029 | 2000000 | 68100 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9025% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/2026 | 3680000 | 114409 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.025% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/2030 | 2610000 | 89261 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 3400000 | 119858 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.08% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 3150000 | 111324 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 400000 | 13677 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.95% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/2030 | 2150000 | 70050 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 3470000 | 121517 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 2810000 | 95235 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 1100000 | 36909 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.146% and pay anually a floating rate based on US SOFR Index, expiring August 2035 | 7/30/2030 | 1020000 | 37003 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 6580000 | 194708 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.804% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 1970000 | 59213 |
| TOTAL CALL SWAPTIONS |  |  | 1473327 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $3,303,269) |  |  | <br> **2834886** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 158.1%**<br> (Cost $1,284,971,958)<br>| <br>**1270321293** |
| **NET OTHER ASSETS (LIABILITIES) - (58.1)%**  | **(467138496)** |
| **NET ASSETS - 100.0%** | **803182797** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 9/1/2055 | (20400000) | (16699864) |
| Ginnie Mae II Pool 3% 9/1/2055 | (19200000) | (17007633) |
| Ginnie Mae II Pool 4% 9/1/2055 | (8200000) | (7646897) |
| Ginnie Mae II Pool 4.5% 9/1/2055 | (4500000) | (4332688) |
| Ginnie Mae II Pool 5.5% 9/1/2055 | (35600000) | (35862632) |
| Ginnie Mae II Pool 6% 9/1/2055 | (41925000) | (42761525) |
| Uniform Mortgage Backed Securities 2% 9/1/2055 | (110900000) | (88052870) |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 | (18625000) | (15462387) |
| Uniform Mortgage Backed Securities 3% 9/1/2055 | (1600000) | (1386250) |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 | (2300000) | (2078176) |
| Uniform Mortgage Backed Securities 4% 9/1/2055 | (10400000) | (9706531) |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 | (1500000) | (1441699) |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 | (16175000) | (15558328) |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 | (7100000) | (7141602) |
| Uniform Mortgage Backed Securities 6% 9/1/2055 | (11800000) | (12056282) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (277195364) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $275,615,706) |  | <br> **(277195364)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 423 | 12/31/2025 | 88231852 | 148154 | 148154 |
| CBOT US Treasury Long Bond Contracts (United States) | 43 | 12/19/2025 | 4915438 | 20575 | 20575 |
| TOTAL PURCHASED |  |  |  |  | 168729 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 77 | 12/19/2025 | 8663703 | (49472) | (49472) |
| CBOT 5Y US Treasury Notes Contracts (United States) | 159 | 12/31/2025 | 17410500 | (85984) | (85984) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 14 | 12/19/2025 | 1630125 | 6097 | 6097 |
| TOTAL SOLD |  |  |  |  | (129359) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **39370** |
| The notional amount of futures purchased as a percentage of Net Assets is 11.6% | The notional amount of futures purchased as a percentage of Net Assets is 11.6% | The notional amount of futures purchased as a percentage of Net Assets is 11.6% | The notional amount of futures purchased as a percentage of Net Assets is 11.6% | The notional amount of futures purchased as a percentage of Net Assets is 11.6% | The notional amount of futures purchased as a percentage of Net Assets is 11.6% |
| The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 |  | 12/16/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 20000 | (71) | (58) | (129) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 350000 | (1246) | (3057) | (4303) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1300000 | (4629) | (8444) | (13073) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1410000 | (5021) | (9531) | (14552) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 1020000 | (3632) | (10671) | (14303) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 10000 | 1599 | (2453) | (854) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 60000 | 9595 | (15300) | (5705) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 80000 | 12793 | (20410) | (7617) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | JPMorgan Securities LLC | (3%) | Monthly | 60000 | 9595 | (16635) | (7040) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | JPMorgan Securities LLC | (3%) | Monthly | 140000 | 22387 | (38350) | (15963) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | JPMorgan Securities LLC | (3%) | Monthly | 10000 | 1599 | (2562) | (963) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 20000 | 3198 | (4819) | (1621) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 80000 | 12793 | (18099) | (5306) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 60000 | 9595 | (13432) | (3837) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 30000 | 4797 | (6493) | (1696) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 10000 | 1599 | (2666) | (1067) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 80000 | 12793 | (18349) | (5556) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 110000 | 17590 | (24552) | (6962) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 15991 | (16340) | (349) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 170000 | 27185 | (27167) | 18 |
| CMBX BBB Series 15 Index |  | 11/18/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 200000 | 28243 | (29803) | (1560) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 6647 | (3802) | 2845 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 6647 | (3911) | 2736 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 13293 | (7705) | 5588 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 6647 | (3853) | 2794 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 300000 | 19940 | (10859) | 9081 |
| CMBX BB Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 11793 | (6625) | 5168 |
| CMBX BB Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 11793 | (7093) | 4700 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (3%) | Monthly | 100000 | 6647 | (4932) | 1715 |
| CMBX BBB Series 15 Index |  | 11/18/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 300000 | 42365 | (47824) | (5459) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 13293 | (21250) | (7957) |
| CMBX BB Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 200000 | 23586 | (29668) | (6082) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 300000 | 19940 | (29339) | (9399) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 359344 | (466052) | (106708) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | 12/16/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2040000 | 7264 | 45039 | 52303 |
| CMBX AAA Series 13 Index | NR | 12/16/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2060000 | 7335 | 46772 | 54107 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 300000 | (4027) | 6563 | 2536 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 500000 | (6711) | 12181 | 5470 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 10000 | (134) | 243 | 109 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 300000 | (4027) | 4692 | 665 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (2684) | 3127 | 443 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 90000 | (1208) | 1349 | 141 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 900000 | (12080) | 14008 | 1928 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 700000 | (9395) | 12639 | 3244 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 2800000 | (37582) | 68741 | 31159 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 2400000 | (32213) | 41077 | 8864 |
| CMBX BBB- Series 17 Index | NR | 12/15/2056 | JPMorgan Securities LLC | 3% | Monthly | 100000 | (826) | 12875 | 12049 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (96288) | 269306 | 173018 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **263056** | **(196746)** | **66310** |

---

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

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(2) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2032 | 6192000 | (108037) | 57052 | (50985) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2028 | 50421000 | (681972) | 232967 | (449005) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2027 | 38773000 | (293136) | 117872 | (175264) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2029 | 36236000 | (636316) | 201466 | (434850) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2045 | 9316000 | 423822 | (491903) | (68081) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(1295639)** | **117454** | **(1178185)** |

---

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

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

(3)Represents floating rate.

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $94,324,177 or 11.7% of net assets.

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

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

(e) 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.

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

(g) 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.

(h) Level 3 security

(i) 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 $540,305.

(j) 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 $3,502,010.

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

(l) 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 $272,102.

(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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 14224682 | 467875343 | 449060766 | 2103814 | - | - | 33039259 | 33032652 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | - | 3911245 | 3911245 | 50 | - | - | - | - | 0.0% |
| Total | 14224682 | 471786588 | 452972011 | 2103864 | - | - | 33039259 |  |  |

---

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

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

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

**Investment Valuation**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 54177460 | - | 54177460 | - |
|  **Collateralized Mortgage Obligations** | 75811826 | - | 75811826 | - |
|  **Commercial Mortgage Securities** | 77934904 | - | 77343291 | 591613 |
|  **U.S. Government Agency - Mortgage Securities** | 1007093534 | - | 1007093534 | - |
|  **U.S. Treasury Obligations** | 19429424 | - | 19429424 | - |
|  **Money Market Funds** | 33039259 | 33039259 | - | - |
|  **Purchased Swaptions** | 2834886 | - | 2834886 | - |
| **Total Investments in Securities:** | 1270321293 | 33039259 | 1236690421 | 591613 |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 174826 | 174826 | - | - |
| Swaps | 812364 | - | 812364 | - |
| Total Assets | 987190 | 174826 | 812364 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (135456) | (135456) | - | - |
| Swaps | (1844947) | - | (1844947) | - |
| Total Liabilities | (1980403) | (135456) | (1844947) | - |
| **Total Derivative Instruments:** | (993213) | 39370 | (1032583) | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (277195364) | - | (277195364) | - |
| **Total Other Financial Instruments:** | (277195364) | - | (277195364) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)  | 388542 | (125486) |
| **Total Credit Risk**  | 388542 | (125486) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 174826 | (135456) |
| Purchased Swaptions (c)  | 2834886 | - |
| Swaps (d)  | 423822 | (1719461) |
| **Total Interest Rate Risk**  | 3433534 | (1854917) |
| **Total Value of Derivatives** | 3822076 | (1980403) |

---

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

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

(c)Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.

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

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,251,932,699) | $1237282034 |  |
| Fidelity Central Funds (cost $33,039,259) | 33039259 |  |
| Total Investment in Securities (cost $1,284,971,958) |  | $1270321293 |
| Cash |  | 2369 |
| Receivable for investments sold |  | 36433 |
| Receivable for TBA sale commitments |  | 275615706 |
| Receivable for swaps |  | 12875 |
| Receivable for fund shares sold |  | 2516628 |
| Interest receivable |  | 2424388 |
| Distributions receivable from Fidelity Central Funds |  | 86651 |
| Receivable for daily variation margin on futures contracts |  | 35990 |
| Receivable for daily variation margin on centrally cleared swaps |  | 16195 |
| Bi-lateral OTC swaps, at value |  | 388542 |
| Receivable from investment adviser for expense reductions |  | 7738 |
| **Total assets** |  | 1551464808 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $3303269 |  |
| Delayed delivery | 465888714 |  |
| TBA sale commitments, at value | 277195364 |  |
| Payable for fund shares redeemed | 1751640 |  |
| Bi-lateral OTC swaps, at value | 125486 |  |
| Other payables and accrued expenses | 17538 |  |
| **Total liabilities** |  | 748282011 |
| **Net Assets**  |  | $803182797 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $861418716 |
| Total accumulated earnings (loss) |  | (58235919) |
| **Net Assets** |  | $803182797 |
| **Net Asset Value**, offering price and redemption price per share ($803,182,797 ÷ 89,105,222 shares) |  | $9.01 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $29005450 |
| Income from Fidelity Central Funds (including $50 from security lending)  |  | 2103864 |
| **Total income** |  | 31109314 |
| **Expenses** |  |  |
| Custodian fees and expenses | $47628 |  |
| Independent trustees' fees and expenses | 1667 |  |
| Total expenses before reductions | 49295 |  |
| Expense reductions | (35092) |  |
| Total expenses after reductions |  | 14203 |
| **Net Investment income (loss)** |  | 31095111 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (3535962) |  |
| Futures contracts | (1122385) |  |
| Swaps | 1542743 |  |
| Written options | 61342 |  |
| Total net realized gain (loss) |  | (3054262) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 660789 |  |
| Futures contracts | (79874) |  |
| Swaps | 55814 |  |
| TBA sale commitments | (1081721) |  |
| Total change in net unrealized appreciation (depreciation) |  | (444992) |
| **Net gain (loss)** |  | (3499254) |
| **Net increase (decrease) in net assets resulting from operations** |  | $27595857 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $31095111 | $23174699 |
| &nbsp;&nbsp;Net realized gain (loss) | (3054262)<br>| (4813973)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (444992) | 26430581<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 27595857<br>| 44791307<br>|
| Distributions to shareholders | (32040267)<br>| (23122344)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 303940696 | 141726319 |
| Reinvestment of distributions | 32031832<br>| 23117926<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (114743572) | (120090145) |
| **Net increase (decrease) in net assets resulting from share transactions** | 221228956<br>| 44754100<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 216784546<br>| 66423063<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 586398251 | 519975188<br>|
| &nbsp;&nbsp;End of period | $803182797 | $586398251 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 33941986 | 15910604 |
| Issued in reinvestment of distributions | 3582493<br>| 2635085<br>|
| &nbsp;&nbsp;Redeemed | (12862361) | (13394226) |
| &nbsp;&nbsp;Net increase (decrease) | 24662118 | 5151463 |

---

**Financial Highlights** 

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.10 | $8.77 | $9.24 | $10.41 | $10.68 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .402  | .373  | .317  | .142  | .056  |
| Net realized and unrealized gain (loss)  | (.076)  | .329  | (.477)  | (1.165)  | (.023)  |
| Total from investment operations  | .326  | .702  | (.160)  | (1.023)  | .033  |
| Distributions from net investment income  | (.416)  | (.372)  | (.310)  | (.147)  | (.083) C |
| Distributions from net realized gain  | -  | -  | -  | -  | (.220) C |
| Total distributions  | (.416)  | (.372)  | (.310)  | (.147)  | (.303)  |
| Net asset value, end of period  | $9.01 | $9.10 | $8.77 | $9.24 | $10.41 |
| **Total Return** D | 3.72% <br>| 8.25%  | (1.73)%  | (9.89)%  | .32%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |
| Expenses before reductions  | .01%  | .01%  | .01%  | .01%  | .01%  |
| Expenses net of fee waivers, if any G | -% <br>| -%  | -%  | -%  | -%  |
| Expenses net of all reductions, if any G | -%  | -%  | -%  | -%  | -%  |
| Net investment income (loss)  | 4.52%  | 4.25%  | 3.56%  | 1.45%  | .54%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $803183 | $586398 | $519975 | $425309 | $426659 |
| Portfolio turnover rate H | 720% <br>| 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 would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

G*Amount represents less than .005%.*

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**

For the period ended August 31, 2025

**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 interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

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

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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

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

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

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

Book-tax differences are primarily due to futures contracts, swaps, capital loss carryforwards and losses deferred due to wash sales and futures transactions.

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**  | $9388825 |
| **Gross unrealized depreciation**  | <u>(27456171)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$(18067346)</u> |
| **Tax Cost**  | <u>$1285777508</u> |

---

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

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(39448896)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(18068780)</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(28198557) |
| Long-term | <u>(11250339)</u> |
| **Total capital loss carryforward** | <u>$(39448896)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | $32040267 | $23122344 |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

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

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

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

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

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

---

| | |
|:---|:---|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Series Investment Grade Securitized Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(211243)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>236162</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(211243)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>236162</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | (1122385) | (79874) |
| Purchased Options | (575975) | (353428) |
| Written Options | 61342 | - |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>1753986</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(180348)</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>116968</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(613650)</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(94275)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(377488)</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** | 82272961 |

---

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 | 80936667 |

---

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** | 132315417 |

---

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**Interest Rate Swaps.** Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Series Investment Grade Securitized Fund** | 3439859479 | 3388877214 |

---

**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 2026 unless extended or renewed.

**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 as a component of interest. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Series Investment Grade Securitized Fund** | 5 | - | - |

---

**9. 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 $26,984.

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 $8,108.

**10. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

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.

**11. Risk and Uncertainties.**

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

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Advisor Series II and the Shareholders of Fidelity Series Investment Grade Securitized Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Series Investment Grade Securitized Fund (the "Fund"), a fund of Fidelity Advisor Series II, including the schedule of investments, as of August 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 16, 2025

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

A total of 3.07% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $32,040,267 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

![](img113705_4.jpg)<br>

1.9891237.107 IGS-ANN-1025

**Fidelity Advisor® Mortgage Securities Fund**

**Annual Report**

**August 31, 2025**

Includes Fidelity and Fidelity Advisor share classes

![](img113730_1.jpg)

![](img113730_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_AMOR-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity Advisor® Mortgage Securities Fund](#Sub_Sec_Fund_40_AMOR-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements40_AMOR-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_AMOR-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_AMOR-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_AMOR-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_AMOR-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_AMOR-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_AMOR-ANN)** |

---

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

You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.

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

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

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

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

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

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

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

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

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

**Fidelity Advisor® Mortgage Securities Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 5.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) | 74348 | 75335 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (b) | 155296 | 157214 |
| TOTAL CANADA |  | 232549 |
| UNITED STATES - 5.6%  |  |  |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (b) | 400000 | 402041 |
| Amur Equip Fin Receivables Xv LLC Series 2025-1A Class A2, 4.7% 9/22/2031 (b) | 1315000 | 1327495 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (b) | 81568 | 82176 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (b) | 130000 | 130224 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (b) | 345000 | 349481 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-2A Class A, 5.12% 8/20/2031 (b) | 1010000 | 1034515 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (b) | 563069 | 568507 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (b) | 500000 | 504002 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (b) | 400000 | 402607 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  | 158000 | 160200 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 200000 | 201702 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 830000 | 833120 |
| CarMax Select Receivables Trust Series 2025-A Class A3, 4.77% 9/17/2029  | 325000 | 327553 |
| Carvana Auto Receivables Trust Series 2025-P1 Class A2, 4.5% 6/12/2028  | 373019 | 373205 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (b) | 120000 | 120497 |
| CFMT LLC Series 2023-HB12 Class A, 4.25% 4/25/2033 (b) | 7270 | 7260 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (b) | 400000 | 403882 |
| DLLAA Series 2023-1A Class A2, 5.93% 7/20/2026 (b) | 28 | 28 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (b) | 106000 | 107229 |
| Dllad LLC Series 2025-1A Class A3, 4.42% 9/20/2030 (b) | 400000 | 403374 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (b) | 383580 | 384998 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A3, 4.29% 7/20/2029 (b) | 315000 | 315019 |
| Enterprise Fleet Financing LLC Series 2023-1 Class A2, 5.51% 1/22/2029 (b) | 754204 | 756205 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (b) | 355000 | 358020 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) | 152544 | 153301 |
| Exeter Automobile Receivables Trust Series 2025-2A Class A3, 4.74% 1/16/2029  | 1080000 | 1085063 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 59427 | 59603 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 55000 | 55460 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 50000 | 50269 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (b) | 5100000 | 5123544 |
| GM Financial Leasing Trust Series 2023-3 Class A3, 5.38% 11/20/2026  | 32896 | 32937 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class A1, 4.59% 3/15/2029 (b) | 235000 | 236456 |
| GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/2034 (b)(c) | 10808 | 8563 |
| Hyundai Auto Lease Securitization Trust Series 2024-C Class A3, 4.62% 4/17/2028 (b) | 1000000 | 1005369 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 234000 | 236208 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 700000 | 700476 |
| Marlette Funding Trust Series 2024-1A Class A, 5.95% 7/17/2034 (b) | 4841 | 4844 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  | 302000 | 305554 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) | 227111 | 228857 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class A, 4.82% 7/14/2038 (b) | 2000000 | 2028940 |
| OneMain Financial Issuance Trust Series 2020-2A Class A, 1.75% 9/14/2035 (b) | 885000 | 868700 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (b) | 91538 | 91595 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (b) | 410000 | 410490 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (b) | 245000 | 246507 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.7953% 7/25/2054 (b)(d)(e) | 580505 | 579316 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (b)(d) | 264159 | 264749 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (b) | 448017 | 449245 |
| Santander Drive Auto Receivables Trust Series 2024-5 Class A3, 4.62% 11/15/2028  | 1800000 | 1804314 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 600000 | 603892 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 241000 | 241507 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (b) | 153000 | 154685 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (b) | 991712 | 925063 |
| Towd PT Mtg Trust Series 2018-5 Class A1A, 3.25% 7/25/2058 (b) | 1032912 | 1020957 |
| Toyota Auto Loan Extended Note Trust 2025-1a Series 2025-1A Class A, 4.65% 5/25/2038 (b) | 500000 | 510258 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A3, 4.34% 11/15/2029  | 1700000 | 1714571 |
| Toyota Lease Owner Trust Series 2024-B Class A3, 4.21% 9/20/2027 (b) | 1300000 | 1301015 |
| Upgrade Receivables Trust Series 2024-1A Class A, 5.37% 2/18/2031 (b) | 97097 | 97159 |
| UPX HIL Issuer Trust Series 2025-1 Class B, 6.07% 1/25/2047 (b) | 200000 | 201160 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (b) | 190000 | 190760 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (b) | 400000 | 400486 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b) | 353051 | 358401 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-1A Class A, 5.8% 4/18/2038 (b) | 344339 | 346783 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (b) | 371897 | 374802 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-1A Class A1, 4.57% 1/18/2040 (b) | 2400000 | 2418297 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 104226 | 104821 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 687915 | 688142 |
| TOTAL UNITED STATES |  | 37236459 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $37,312,823) |  | <br> **37469008** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.8%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.8%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 10.8%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 5.115% 1/25/2061 (b) | 145378 | 145501 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (b) | 1567256 | 1385821 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (b)(c) | 468122 | 470794 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (b)(d) | 137347 | 135102 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(d) | 72720 | 72333 |
| CFMT Series 2025-HB16 Class A, 3% 3/25/2035 (b)(d) | 87801 | 86288 |
| CIM Trust Series 2025-NR1 Class A1, 5% 6/25/2064 (b) | 1048555 | 1023302 |
| CIM Trust Series 2025-R1 Class A1, 5% 2/25/2099 (b) | 1457139 | 1443664 |
| CSMC Trust Series 2014-3R Class 2A1, CME Term SOFR 1 month Index + 0.8145%, 0% 5/27/2037 (b)(d)(e)(h) | 72121 | 7 |
| CSMC Trust Series 2015-1R Class 6A1, CME Term SOFR 1 month Index + 0.3945%, 4.3477% 5/27/2037 (b)(d)(e) | 52762 | 52431 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 13261 | 13465 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 20347 | 20735 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 14448 | 14708 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 19427 | 19791 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 6514 | 6611 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 3084 | 3200 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 5429 | 5633 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.0871% 11/25/2032 (d)(f) | 1115 | 31 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6371% 12/25/2033 (d)(f) | 21609 | 2741 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6371% 3/25/2033 (d)(f) | 4362 | 484 |
| Fannie Mae Guaranteed REMIC Series 2005-39 Class TE, 5% 5/25/2035  | 49265 | 50167 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.2571% 6/25/2035 (d)(f) | 37023 | 2642 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index x 17.2524%, 5.9465% 8/25/2035 (d)(e) | 1071 | 1132 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 48054 | 48728 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.1771% 12/25/2036 (d)(f) | 12647 | 1274 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 1.9771% 5/25/2037 (d)(f) | 7503 | 709 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index x 39.9331%, 13.8428% 6/25/2037 (d)(e) | 24036 | 32877 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index x 38.9131%, 12.8228% 7/25/2037 (d)(e) | 3408 | 3915 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 24244 | 23338 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 215127 | 213058 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 88113 | 87764 |
| Fannie Mae Guaranteed REMIC Series 2011-67 Class AI, 4% 7/25/2026 (f) | 48 | 0 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (f) | 31935 | 633 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 19312 | 18046 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 25243 | 23618 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (f) | 182 | 1 |
| Fannie Mae Guaranteed REMIC Series 2013-133 Class IB, 3% 4/25/2032 (f) | 454 | 1 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 1.5871% 1/25/2044 (d)(f) | 26825 | 3113 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (f) | 142106 | 20382 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 191473 | 183086 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 2416945 | 2098397 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (f) | 87687 | 12457 |
| Fannie Mae Guaranteed REMIC Series 2017-32 Class PA, 2.7% 5/25/2047  | 3218337 | 2946738 |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  | 665605 | 615066 |
| Fannie Mae Guaranteed REMIC Series 2020-51 Class BA, 2% 6/25/2046  | 404282 | 368507 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 181467 | 151941 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 192848 | 161469 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 221586 | 190920 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 95480 | 79550 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 158875 | 140955 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 1307940 | 1150737 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 253024 | 220673 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 253716 | 233868 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 228248 | 210649 |
| Fannie Mae Guaranteed REMIC Series 2022-18 Class DL, 3.25% 7/25/2046  | 467371 | 447156 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 2041932 | 1804630 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 182084 | 160096 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 217588 | 213868 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 214937 | 186072 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 8/25/2052 (d)(e) | 731816 | 720223 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 9/25/2052 (d)(e) | 1544789 | 1520317 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 10/25/2052 (d)(e) | 527898 | 520983 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 10/25/2052 (d)(e) | 1801315 | 1772737 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 358911 | 330954 |
| Fannie Mae Guaranteed REMIC Series 2022-9 Class DJ, 3.25% 3/25/2049  | 264726 | 248335 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.8484% 11/25/2053 (d)(e) | 1272159 | 1282519 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FP, U.S. 30-Day Avg. SOFR Index + 1.55%, 5.8984% 11/25/2053 (d)(e) | 2201822 | 2220941 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 11/25/2053 (d)(e) | 1404782 | 1416802 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.8484% 11/25/2053 (d)(e) | 228160 | 230029 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.8784% 7/25/2054 (d)(e) | 593082 | 596950 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 12/25/2054 (d)(e) | 1703372 | 1705450 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.4484% 12/25/2054 (d)(e) | 943886 | 944475 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (f) | 20967 | 754 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 6/25/2054 (d)(e) | 1548384 | 1551253 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.9484% 8/25/2054 (d)(e) | 1322409 | 1331923 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 9/25/2054 (d)(e) | 431347 | 431829 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.7484% 2/25/2055 (d)(e) | 683366 | 686122 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.7484% 9/25/2054 (d)(e) | 693770 | 696292 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 2/25/2055 (d)(e) | 924822 | 927488 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (d)(e) | 384375 | 384815 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 447998 | 441876 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 706556 | 703008 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (d)(f) | 11154 | 1969 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (d)(f) | 6769 | 1019 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (f) | 10573 | 1761 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (d)(f) | 6132 | 1068 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (f) | 20442 | 3277 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class CJ, 6.5% 4/15/2028  | 6605 | 6681 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 285681 | 281518 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 144993 | 127681 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 277778 | 239078 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 7366 | 7522 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 7657 | 7835 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 15748 | 16093 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 3346 | 3418 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 5523 | 5603 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 16525 | 17016 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2380 Class SY, 8.0855% - U.S. 30-Day Avg. SOFR Index 3.7428% 11/15/2031 (d)(f) | 8074 | 394 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 16217 | 16730 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 22380 | 23142 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2587 Class IM, 6.5% 3/15/2033 (f) | 8167 | 1187 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 324425 | 331668 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 26921 | 27611 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 109687 | 111859 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 56756 | 58712 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 69118 | 70103 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 28206 | 28986 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.1428% 2/15/2036 (d)(f) | 9613 | 894 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 30014 | 31388 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 88817 | 91267 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.2028% 11/15/2036 (d)(f) | 34387 | 3194 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.1228% 6/15/2037 (d)(f) | 29662 | 2979 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 11127 | 11294 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 141165 | 143654 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 20206 | 20140 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 19654 | 18473 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (f) | 12766 | 826 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4281 Class AI, 4% 12/15/2028 (f) | 2 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (f) | 16 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (f) | 49331 | 1581 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 62108 | 61721 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4646 Class LA, 4% 9/15/2045  | 44063 | 43878 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4661 Class AC, 4% 4/15/2043  | 1378 | 1375 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 166437 | 160529 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4692 Class KB, 4% 10/15/2046  | 179403 | 176129 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4746 Class PA, 4% 2/15/2047  | 86126 | 85291 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 143845 | 135309 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 66357 | 55978 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 116607 | 105643 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5041 Class LA, 1.5% 11/25/2040  | 770760 | 646446 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5046 Class PT, 1.5% 11/25/2040  | 583441 | 493470 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5058 Class BE, 3% 11/25/2050  | 503172 | 430917 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5059 Class GA, 1% 1/25/2051  | 389834 | 301042 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 169000 | 143516 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 220235 | 189125 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 218240 | 185453 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 921637 | 808488 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 181138 | 163155 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 1220347 | 1085424 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 206000 | 180683 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 200104 | 175496 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 190352 | 171328 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 167811 | 147131 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 212818 | 183722 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 1145203 | 1023189 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 167812 | 147132 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 144400 | 130094 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 675224 | 612084 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 120886 | 110906 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 154994 | 139850 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EA, 3% 8/25/2050  | 379972 | 351613 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EJ, 3% 8/25/2050  | 379972 | 351613 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5248 Class A, 4% 4/15/2048  | 595596 | 591119 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 8/25/2053 (d)(e) | 817717 | 816911 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 10/25/2053 (d)(e) | 683709 | 690671 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5357 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 11/25/2053 (d)(e) | 2456571 | 2474701 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 6/25/2054 (d)(e) | 593878 | 595418 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 5.3484% 10/25/2054 (d)(e) | 688619 | 687978 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (d)(e) | 1206097 | 1207452 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 2/25/2055 (d)(e) | 364022 | 363117 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.5984% 10/25/2054 (d)(e) | 666333 | 667871 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (d)(e) | 570446 | 571113 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 4/25/2055 (d)(e) | 694360 | 692820 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 17699 | 18047 |
| Freddie Mac Non Gold Pool Series 1998-2104 Class PG, 6% 12/15/2028  | 5971 | 6092 |
| Freddie Mac Non Gold Pool Series 1999-2114 Class ZM, 6% 1/15/2029  | 2502 | 2556 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 1725 | 1754 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.7417% 8/20/2060 (d)(e)(g) | 13451 | 13412 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9417% 4/20/2061 (d)(e)(g) | 5602 | 5604 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 5.0917% 5/20/2061 (d)(e)(g) | 99 | 98 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (g) | 1125 | 1058 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 31790 | 29108 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 4.33% 8/20/2066 (d)(e)(g) | 69566 | 69275 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 45857 | 45879 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.0256% 5/16/2034 (d)(f) | 27545 | 1611 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 2.7256% 8/17/2034 (d)(f) | 9370 | 909 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.2156% 6/16/2037 (d)(f) | 16479 | 1452 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 295920 | 290425 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 65379 | 64104 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (f) | 3789 | 135 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-52 Class HI, 7% 4/16/2041 (f) | 85896 | 10096 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 106039 | 104458 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 89022 | 82398 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 364935 | 325656 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-11 Class F, CME Term SOFR 1 month Index + 0.5145%, 4.8549% 1/20/2049 (d)(e) | 63535 | 63149 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.9549% 10/20/2049 (d)(e) | 112753 | 110606 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.9049% 2/20/2049 (d)(e) | 217254 | 213850 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (b) | 258248 | 252366 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (b)(d) | 484798 | 488479 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (b) | 794812 | 751298 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (b)(d) | 265720 | 251360 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (b)(d) | 762241 | 767395 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-Nqm4 Series 2025-NQM4 Class A1, 5.588% 6/25/2070 (b) | 1366343 | 1377241 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (b) | 726312 | 679476 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (b) | 343146 | 323438 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (b) | 1088662 | 1044073 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (b)(c) | 886411 | 892536 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (b) | 17755 | 17612 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (b) | 228424 | 228629 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (b)(c) | 586977 | 570175 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (b) | 482028 | 460890 |
| PRET Trust Series 2025-RPL2 Class A1, 4% 8/25/2064 (b) | 1491546 | 1445806 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (b) | 643568 | 633021 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (b)(d) | 87105 | 85397 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (b)(d) | 253372 | 249133 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (b)(d) | 548029 | 533308 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (b) | 241635 | 227012 |
| Santander Mtg Asset Receivables Tr 2025-Nqm3 Series 2025-NQM3 Class A1, 5.599% 5/25/2065 (b) | 1354794 | 1364089 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 5.077% 9/25/2043 (d)(e) | 194439 | 188249 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (b)(d) | 584387 | 587422 |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.399% 9/25/2033 (d) | 20036 | 19861 |
| TOTAL UNITED STATES |  | 72651470 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $72,569,900) |  | <br> **72651470** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 4.8%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.1066% 6/15/2040 (b)(d)(e) | 1310000 | 1315731 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) | 205037 | 196828 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 1519217 | 1496344 |
| BANK Series 2020-BN25 Class XB, 0.5289% 1/15/2063 (d)(f) | 7140322 | 129520 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 643414 | 619449 |
| BANK Series 2021-BN33 Class XA, 1.155% 5/15/2064 (d)(f) | 4920893 | 198372 |
| BANK5 Series 2025-5YR14 Class A3, 5.646% 4/15/2058  | 700000 | 734086 |
| BANK5 Series 2025-5YR14 Class XA, 1.2015% 4/15/2058 (d)(f) | 5297049 | 210611 |
| BANK5 Series 2025-5YR14 Class XB, 0.4892% 4/15/2058 (d)(f) | 13100000 | 183281 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.8756% 12/15/2062 (d)(f) | 12099176 | 247178 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 5.4785% 9/15/2026 (b)(d)(e) | 772269 | 764123 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.7053% 3/15/2041 (b)(d)(e) | 189765 | 190121 |
| BMO Mortgage Trust Series 2025-5C11 Class XB, 0.8063% 7/15/2058 (d)(f) | 6600000 | 180963 |
| BMO Mortgage Trust Series 2025-5C9 Class XA, 0.9234% 4/15/2058 (d)(f) | 2999436 | 86623 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7548% 3/15/2041 (b)(d)(e) | 843123 | 844176 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 6.0044% 5/15/2041 (b)(d) | 648634 | 650256 |
| BX Commercial Mortgage Trust Series 2024-5C6 Class A3, 5.3161% 9/15/2057  | 1200000 | 1236074 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6559% 12/15/2039 (b)(d)(e) | 1925612 | 1931024 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.7631% 6/15/2035 (b)(d)(e) | 168000 | 168210 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.805% 4/15/2041 (b)(d)(e) | 831791 | 833871 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(d)(e) | 1290965 | 1289352 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 5.1134% 10/15/2026 (b)(d)(e) | 242408 | 242256 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2785% 2/15/2036 (b)(d)(e) | 400000 | 399875 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.6885%, 5.166% 10/15/2038 (b)(d)(e) | 59498 | 59479 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.8051% 2/15/2039 (b)(d)(e) | 1198863 | 1200737 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.0543% 3/15/2041 (b)(d)(e) | 144059 | 144283 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.5131% 2/15/2035 (b)(d)(e) | 100000 | 100016 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class ASB, 3.462% 11/15/2050  | 496379 | 491291 |
| Cent Trust Series 2025-CITY Class A, 5.0909% 7/10/2040 (b)(d) | 377000 | 381849 |
| Citigroup Commercial Mortgage Trust Series 2015-GC33 Class XA, 0.8379% 9/10/2058 (d)(f) | 1267978 | 40 |
| Citigroup Commercial Mortgage Trust Series 2016-P4 Class A4, 2.902% 7/10/2049  | 3644000 | 3581570 |
| Citigroup Commercial Mortgage Trust Series 2016-P6 Class XA, 0.6857% 12/10/2049 (d)(f) | 6109384 | 28062 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.1594% 8/10/2056 (d)(f) | 4783600 | 143890 |
| DBJPM Mortgage Trust Series 2020-C9 Class A5, 1.926% 8/15/2053  | 400000 | 356327 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 195596 | 192636 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 1000000 | 991836 |
| GS Mortgage Securities Trust Series 2015-GC34 Class XA, 1.2179% 10/10/2048 (d)(f) | 1567542 | 96 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A4, 3.89% 7/10/2051  | 2200000 | 2150502 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 200000 | 196507 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 263633 | 255708 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.4285% 10/15/2036 (b)(d)(e) | 525649 | 525322 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 63365 | 62777 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (b) | 455259 | 432496 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX, 1.2948% 7/5/2033 (b)(d)(f) | 3909453 | 84944 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class A, CME Term SOFR 1 month Index + 0.9154%, 5.2784% 4/15/2038 (b)(d)(e) | 18262 | 18262 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1785% 7/15/2038 (b)(d)(e) | 340811 | 340811 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.85% 9/15/2040 (b)(d)(e) | 411000 | 411000 |
| Morgan Stanley Capital I Trust Series 2018-BOP Class A, CME Term SOFR 1 month Index + 0.897%, 5.261% 8/15/2033 (b)(d)(e) | 723006 | 590696 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.2876% 6/15/2054 (d)(f) | 1028309 | 41349 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 5.6% 8/15/2042 (b)(d)(e) | 500000 | 500626 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.2084% 11/15/2038 (b)(d)(e) | 567300 | 567123 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.5574% 11/15/2038 (b)(d)(e) | 276966 | 276879 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.606% 12/15/2039 (b)(d)(e) | 508000 | 508000 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.1229% 12/15/2050 (d)(f) | 5043921 | 94394 |
| Wells Fargo Commercial Mortgage Trust Series 2015-C31 Class XA, 1.0312% 11/15/2048 (d)(f) | 1915414 | 105 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.9783% 12/15/2050 (d)(f) | 6856467 | 106563 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 1.0657% 8/15/2051 (d)(f) | 3640588 | 64792 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.6785% 5/15/2031 (b)(d)(e) | 468000 | 466794 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 6.1544% 10/15/2041 (b)(d)(e) | 637000 | 637987 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.3538% 8/15/2041 (b)(d)(e) | 400000 | 399286 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 6.0543% 8/15/2041 (b)(d)(e) | 1000000 | 999309 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (b)(d) | 340000 | 341480 |
| TOTAL UNITED STATES |  | 31894148 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $31,855,884) |  | <br> **31894148** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 133.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 133.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 133.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 133.0%  |  |  |
| Fannie Mae 2% 3/1/2052  | 1536956 | 1230743 |
| Fannie Mae 2.5% 1/1/2052  | 276624 | 231537 |
| Fannie Mae 3% 12/1/2051  | 156159 | 136896 |
| Fannie Mae 3.5% 12/1/2036  | 100374 | 98012 |
| Fannie Mae 3.5% 5/1/2036  | 77968 | 76213 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (d)(e) | 6605 | 6794 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 6.71% 1/1/2035 (d)(e) | 1489 | 1530 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (d)(e) | 607 | 623 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.596%, 6.596% 3/1/2036 (d)(e) | 5574 | 5749 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.609%, 6.359% 8/1/2035 (d)(e) | 14903 | 15314 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.667%, 6.464% 11/1/2036 (d)(e) | 1050 | 1080 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.683%, 6.511% 5/1/2036 (d)(e) | 992 | 1023 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.73%, 6.753% 3/1/2040 (d)(e) | 5312 | 5507 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.694% 7/1/2035 (d)(e) | 1130 | 1162 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.211% 8/1/2041 (d)(e) | 7523 | 7838 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.636% 1/1/2042 (d)(e) | 11804 | 12293 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.807%, 6.818% 12/1/2040 (d)(e) | 107472 | 111944 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.713% 2/1/2042 (d)(e) | 5099 | 5319 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (d)(e) | 1294 | 1325 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.913% 6/1/2036 (d)(e) | 10498 | 10722 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.277%, 7.235% 10/1/2033 (d)(e) | 1799 | 1833 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 1025013 | 921054 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 958406 | 859106 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 127980 | 107105 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 2364944 | 1794909 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 548799 | 493138 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 522695 | 469682 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 283237 | 254511 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 124563 | 104418 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 2647163 | 2195585 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 546775 | 491320 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 126993 | 106366 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 130363 | 109009 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 1911159 | 1450502 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 14503 | 13009 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 133181 | 111286 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 14799 | 13275 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 59945 | 53940 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2051  | 89293 | 67770 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 604556 | 458837 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 132124 | 101475 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 1504327 | 1350345 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 2154095 | 1994044 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 799286 | 640541 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 64177 | 51411 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 453276 | 417898 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040  | 39698 | 34573 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 954785 | 823275 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 909363 | 738418 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1977288 | 1600648 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 14452 | 12570 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 712313 | 614211 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 570264 | 491644 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 571146 | 459853 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 2338979 | 1893442 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 203665 | 163279 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 50905 | 41208 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 35448 | 28696 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 1036138 | 954295 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 140444 | 122465 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 14821 | 12883 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 975062 | 782320 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 526383 | 425458 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 491283 | 397702 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 88947 | 87016 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15803 | 13716 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  | 597082 | 513429 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 1044198 | 836485 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 993913 | 804278 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 55261 | 44683 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 24733 | 19999 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 16219 | 14068 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2042  | 1733966 | 1490365 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 17241 | 13839 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 5062299 | 4037900 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 801760 | 646783 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 546993 | 442800 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 490649 | 396882 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 358549 | 290139 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 217698 | 175822 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 214390 | 172749 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 197552 | 159921 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 169803 | 136291 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 53678 | 43403 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 37477 | 30303 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 46941 | 41071 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 983261 | 795659 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 25002 | 20255 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 2247475 | 1799703 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 34279 | 29969 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 17337 | 15002 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 8107585 | 7507719 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 249856 | 231370 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 674994 | 583374 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 456894 | 396681 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 1019642 | 818726 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 611079 | 493342 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 360330 | 291693 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 1825781 | 1466018 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 236817 | 191041 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 110235 | 89168 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 32867 | 26370 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 18261 | 14651 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 380573 | 352415 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 88058 | 70822 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 144907 | 139898 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2037  | 1326430 | 1252548 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 1917326 | 1627590 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 231247 | 194062 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 295043 | 246216 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 156309 | 132298 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 142456 | 137584 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 31929 | 30860 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 120072 | 110817 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 454527 | 385415 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 2043798 | 1707486 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 416824 | 353184 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 191270 | 160752 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 93355 | 90161 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 199218 | 187125 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 423132 | 376816 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 277292 | 247205 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 104562 | 93462 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2390510 | 1997146 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2274462 | 1919385 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1013633 | 851272 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 772021 | 648843 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 260144 | 251061 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 1951508 | 1884693 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1534304 | 1288544 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 695456 | 586885 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 325261 | 308262 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 240034 | 227639 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 105005 | 99616 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 79173 | 76492 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 322512 | 291293 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 103912 | 93685 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 479778 | 403828 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 1895471 | 1606668 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 143119 | 138220 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 2127431 | 1964888 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 1254464 | 1115257 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 3837070 | 3240445 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1761085 | 1485053 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1450837 | 1230234 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1311649 | 1115489 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 32022 | 31008 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 119567 | 107479 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 93942 | 84439 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 92793 | 82759 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 36689 | 32755 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1513081 | 1278758 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1141943 | 967951 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 828678 | 693094 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 536836 | 450679 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 1630011 | 1373505 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 100771 | 84913 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 3080857 | 2611443 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 184283 | 165861 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 95501 | 85688 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 44227 | 42793 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 164894 | 137760 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 361477 | 322610 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 4787101 | 4059212 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 36647 | 30617 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 444554 | 429183 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 532630 | 466595 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 1054433 | 933261 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 842219 | 740959 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 111856 | 98058 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 17606 | 17147 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 51499 | 50416 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1480252 | 1305983 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 105664 | 92597 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 954033 | 844697 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 729895 | 639631 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 17675 | 15605 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 985347 | 962636 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 559149 | 546325 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 231750 | 223737 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 66020 | 63799 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 4192782 | 3714891 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 980163 | 858949 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 519454 | 455214 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 375348 | 329516 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 122269 | 107187 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 88818 | 87134 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 578894 | 563957 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 35424 | 34696 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 43914 | 40258 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 1437067 | 1269678 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 525915 | 463671 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1068835 | 935988 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 662727 | 580356 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 633204 | 554502 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 368972 | 322651 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 88863 | 86737 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 28872 | 28146 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  | 17032 | 16139 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 855961 | 767493 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 2003647 | 1770263 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 1040708 | 921113 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1014839 | 894728 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 612041 | 536543 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 163634 | 143295 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  | 10271 | 9939 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 2064773 | 1824269 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1393811 | 1208376 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 871991 | 769877 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 139868 | 123314 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051 (k) | 2705381 | 2386878 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 371175 | 361833 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 102562 | 100532 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 5584 | 5351 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 22723 | 21681 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 590309 | 539400 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 50824 | 46605 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 712613 | 638961 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 2601449 | 2292743 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 887676 | 782338 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 570059 | 501521 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 1111949 | 977565 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 220376 | 215321 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 863333 | 763312 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 17556 | 16573 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 276943 | 256052 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 54744 | 50665 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 246272 | 228464 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 216923 | 197391 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 74986 | 68398 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 52759 | 49723 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 16357 | 15426 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 5717 | 5379 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 75247 | 69806 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 2471513 | 2280441 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 228882 | 212331 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 15091 | 14199 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 13893 | 13048 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 9269 | 8685 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 5809 | 5472 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 3392 | 3145 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 349817 | 318646 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 9448 | 8892 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1330917 | 1252286 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 481475 | 445155 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 89647 | 82885 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 51994 | 48121 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 11288 | 10635 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 136798 | 126906 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 70757 | 65641 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 196116 | 178518 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 77657 | 72904 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2047  | 46609 | 43137 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 104161 | 97908 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 73938 | 69428 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 17743 | 16680 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 11269 | 10603 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 28972 | 26497 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2050  | 209844 | 191063 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 14123 | 13334 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 154657 | 151651 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 50847 | 49858 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 477107 | 449778 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 198099 | 194248 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 227734 | 214915 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 12156 | 11438 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 95517 | 88401 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 74967 | 69453 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 75587 | 71298 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 33575 | 31666 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 15609 | 14760 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 51066 | 47310 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 145783 | 135241 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 692281 | 629675 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 323395 | 314834 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 11889 | 11582 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 4599 | 4486 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 215019 | 206617 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 26858 | 25513 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 6870 | 6695 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 14045 | 13710 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 11769 | 11414 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 33537 | 31951 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 119779 | 116626 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 11193 | 10940 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 93195 | 90592 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 50724 | 48120 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 35558 | 33791 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 6789 | 6601 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 145612 | 140231 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 21001 | 19949 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 267745 | 260644 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 30394 | 29578 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 14692 | 14234 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 7684 | 7517 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 6564 | 6389 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 18897 | 17945 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 41210 | 40206 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 17034 | 16625 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 125102 | 121315 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 21592 | 20937 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 21278 | 20682 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 14137 | 13678 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 181993 | 176618 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 105403 | 100026 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 130159 | 126448 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 91518 | 88918 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 45048 | 43763 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 25077 | 24324 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 18751 | 18177 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 75390 | 72323 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 51406 | 49323 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 2308761 | 2172939 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 954048 | 901202 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 42505 | 39858 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 21358 | 20842 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 10997 | 10723 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 1682 | 1644 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 306605 | 288376 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 296214 | 278603 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 763671 | 720654 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 6480 | 6200 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 27514 | 26155 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 10380 | 9867 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 43301 | 41119 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 5129 | 5022 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 43601 | 43629 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 9531 | 9522 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 33418 | 33104 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  | 82244 | 82341 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 772959 | 759639 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 366904 | 354504 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 90483 | 90423 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 27825 | 27794 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 7032 | 6992 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 1435795 | 1387273 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 993824 | 960238 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 66260 | 66187 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 135859 | 135709 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 178614 | 178367 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 62763 | 62616 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 434502 | 434170 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 119657 | 119540 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 35201 | 35108 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 364884 | 365894 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 45079 | 44851 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 6918 | 6782 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 8193 | 8174 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 7732 | 7720 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 455110 | 444139 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 25933 | 25903 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 922938 | 921103 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 694404 | 693675 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 2243556 | 2237694 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 976063 | 977173 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 504788 | 504258 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 43485 | 44058 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 205030 | 207122 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 24575 | 24860 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2054  | 97082 | 97223 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 10885 | 11047 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 530686 | 537621 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 7074 | 7184 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 19066 | 19300 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 1233 | 1253 |
| Fannie Mae Mortgage pass-thru certificates 5.311% 8/1/2041 (d) | 70393 | 71284 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 975828 | 995211 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 1161490 | 1171131 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 1322001 | 1332975 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 330793 | 335814 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 910043 | 924423 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 397148 | 405161 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 757422 | 764183 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 652973 | 662883 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  | 891332 | 898174 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1359958 | 1387397 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 742897 | 759279 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 283886 | 286420 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 1343160 | 1354309 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 748461 | 777522 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 8706023 | 9003245 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1017202 | 1045940 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 812998 | 842786 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 305382 | 317334 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 112502 | 116976 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2054  | 269683 | 276025 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1154741 | 1196058 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 375485 | 384784 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 1326221 | 1359065 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 1829943 | 1874118 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 873469 | 904722 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 926736 | 959243 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 702506 | 726709 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1937627 | 1984401 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1034545 | 1059519 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 1896540 | 1946767 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 252408 | 260157 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 1603334 | 1641537 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 657411 | 683347 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 720298 | 754586 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 280261 | 295310 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 6629 | 7050 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 583206 | 611014 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 1967 | 2094 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2035  | 659 | 697 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 395378 | 410740 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 479786 | 505549 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2035  | 425 | 449 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2038  | 831 | 888 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 696429 | 732682 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2036  | 9208 | 9770 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 620012 | 643860 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 670 | 712 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 3887767 | 4093795 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 713007 | 740431 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 3184 | 3386 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 1818 | 1934 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 567701 | 595124 |
| Fannie Mae Mortgage pass-thru certificates 6.773% 2/1/2039 (d) | 19015 | 19755 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 568 | 572 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 441 | 444 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 308 | 310 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2028  | 485 | 495 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 19422 | 20421 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2026  | 7 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 719 | 723 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 838 | 843 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 105 | 105 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 31 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2032  | 1225 | 1301 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 7150 | 7655 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 1304 | 1394 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 3734 | 3972 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 3160 | 3379 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 1495 | 1600 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 800 | 854 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 438 | 466 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 321 | 342 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 274 | 293 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 177 | 187 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 1270 | 1327 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2032  | 19616 | 20975 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2030  | 87 | 90 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2032  | 4953 | 5313 |
| Fannie Mae Mortgage pass-thru certificates 8% 12/1/2029  | 16 | 15 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 4676 | 5047 |
| Fannie Mae Mortgage pass-thru certificates 9% 10/1/2030  | 13109 | 13971 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 557875 | 501294 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 2344493 | 1779387 |
| Freddie Mac Gold Pool 1.5% 10/1/2036  | 176889 | 158230 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 518599 | 466002 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 15786 | 14185 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 58086 | 44557 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 547445 | 491922 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 76585 | 64143 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 39598 | 30375 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 24939 | 19154 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 131684 | 110103 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 2381742 | 1807658 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 133450 | 111587 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 975796 | 740594 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 27540 | 21151 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 598217 | 499949 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 135838 | 113398 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 1849817 | 1403946 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 1263852 | 1133695 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 34331 | 26367 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 212686 | 191913 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 438575 | 395739 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 8887860 | 7122657 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 168878 | 136498 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 117459 | 95122 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 42909 | 34736 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 17946 | 15475 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 534935 | 461046 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 4431167 | 3555254 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 16146 | 13080 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 367607 | 294712 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 372007 | 300681 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 141725 | 114463 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 136990 | 109954 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 51505 | 41292 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 22350 | 18092 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 18803 | 15221 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 411151 | 353673 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 444453 | 358958 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 165345 | 133850 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 111109 | 96885 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 1139667 | 915100 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 558223 | 448402 |
| Freddie Mac Gold Pool 2% 4/1/2041  | 1230413 | 1065879 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 1473299 | 1183452 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 3793733 | 3061605 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 248397 | 201004 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 190657 | 152970 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 79257 | 63590 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 21929 | 17766 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 6820112 | 5478368 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 1904496 | 1541721 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1671775 | 1452882 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 17236 | 14901 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 135571 | 109662 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 201362 | 161559 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 1401832 | 1125607 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 443290 | 355665 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  | 314388 | 281972 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 417392 | 371402 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 204034 | 181907 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 1136097 | 958380 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 296251 | 248984 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 121666 | 117501 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 2885320 | 2582896 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 141830 | 126770 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 80534 | 72152 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 3780712 | 3195213 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 1241820 | 1052998 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 115366 | 96383 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1162957 | 976678 |
| Freddie Mac Gold Pool 2.5% 2/1/2035  | 269224 | 255322 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 548556 | 490759 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 7009558 | 5943740 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 411659 | 345592 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 280597 | 236178 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 383458 | 321917 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 89978 | 80177 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 1072122 | 907428 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 422574 | 357132 |
| Freddie Mac Gold Pool 2.5% 5/1/2035  | 519501 | 491863 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 1168924 | 1052884 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1156841 | 967565 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1087906 | 922148 |
| Freddie Mac Gold Pool 2.5% 5/1/2052  | 1200799 | 1014087 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 28257 | 27391 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 107410 | 96305 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 379542 | 358164 |
| Freddie Mac Gold Pool 2.5% 7/1/2041  | 1485891 | 1338026 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 2076039 | 1762319 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1633152 | 1377172 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 534147 | 476480 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 65394 | 58666 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 143184 | 128319 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 45466 | 41783 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 535880 | 469609 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 86479 | 75730 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 324066 | 284800 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 1134873 | 997010 |
| Freddie Mac Gold Pool 3% 11/1/2032  | 638728 | 622252 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 71166 | 62365 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 18305 | 16041 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 26727 | 26165 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 192695 | 188276 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 75231 | 73367 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 235934 | 217051 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 579601 | 507924 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 1085619 | 951364 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 25263 | 24744 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 25754 | 23771 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 13239 | 12179 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 21504 | 19771 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 587576 | 516014 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 809041 | 708484 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 93890 | 81986 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 43843 | 38394 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 6201 | 6066 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 4285 | 4193 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 90618 | 87892 |
| Freddie Mac Gold Pool 3% 4/1/2037  | 250373 | 239760 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 32666 | 29338 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 29313 | 26327 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 591816 | 519738 |
| Freddie Mac Gold Pool 3% 4/1/2051  | 57706 | 50534 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 492493 | 442312 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 78328 | 70347 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 705267 | 618049 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 487106 | 437474 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 952370 | 841438 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 143726 | 125862 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 11972 | 11690 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 13618 | 13300 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 9424 | 9200 |
| Freddie Mac Gold Pool 3% 9/1/2048  | 640736 | 567705 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 9803 | 8692 |
| Freddie Mac Gold Pool 3% 9/1/2050  | 17087 | 14974 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 19552 | 17140 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 47318 | 43923 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 7389 | 6855 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 271259 | 266380 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 50437 | 46790 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 96269 | 94569 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 88574 | 81998 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 11485 | 10654 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 231541 | 226381 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 247567 | 233530 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 24149 | 22935 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 167946 | 153191 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 121385 | 119601 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 656909 | 611626 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 582901 | 552389 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 276498 | 260510 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 29778 | 28108 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 8368 | 7879 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 447058 | 414704 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 86941 | 80758 |
| Freddie Mac Gold Pool 3.5% 4/1/2052 (i)(j) | 10282824 | 9405116 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1098828 | 993360 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 112414 | 110099 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 870769 | 812653 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 10623 | 9875 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 970931 | 903394 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 511433 | 475059 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 124275 | 115281 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 137126 | 123965 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 399038 | 393017 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  | 31435 | 29723 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 1040452 | 972139 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 169188 | 158523 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 391608 | 385602 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 86957 | 85646 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 355641 | 335516 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 123533 | 114755 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 188901 | 184939 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 190177 | 176663 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 21900 | 20317 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 14997 | 13931 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 451056 | 425022 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 349101 | 329134 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 117716 | 109087 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 28288 | 26240 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 6405 | 5942 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 5983 | 5550 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 205684 | 203399 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 99414 | 96646 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 23670 | 22864 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 11677 | 11258 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 13444 | 13085 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 7591 | 7369 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 29839 | 28832 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 15618 | 15058 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 10354 | 10039 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 195723 | 185433 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 989273 | 935712 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 471753 | 459596 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 148784 | 144623 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 65403 | 63670 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 25858 | 25104 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 22194 | 21509 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 10212 | 9887 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 995 | 980 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 161895 | 156939 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 39050 | 37082 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 506321 | 481422 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 195278 | 190423 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 28316 | 27583 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 17194 | 16622 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 7411 | 7159 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 15770 | 15233 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 8605 | 8339 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 156225 | 150753 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 1316 | 1267 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 231983 | 221010 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 13744 | 13051 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 33100 | 32200 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 30277 | 29401 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 549189 | 520313 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 510483 | 495793 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 26482 | 25761 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 10274 | 9997 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 11958 | 11602 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 22697 | 21602 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 20500 | 19511 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 11068 | 10534 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 5147 | 4898 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 4435 | 4221 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 33812 | 32931 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 13580 | 13121 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 5659 | 5462 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 1861 | 1799 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 58231 | 56676 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 347412 | 330231 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 15818 | 15399 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 34783 | 33488 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 147763 | 141236 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 88702 | 84315 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 358682 | 340383 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 287618 | 278931 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 28539 | 27572 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 27844 | 27003 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 10256 | 9899 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 10000 | 9650 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 8896 | 8584 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 98640 | 94926 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 117884 | 112898 |
| Freddie Mac Gold Pool 4% 8/1/2041  | 2995 | 2914 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 4172 | 4050 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 4136 | 3989 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 164066 | 155696 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 27747 | 27012 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 1402713 | 1362393 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 16348 | 15940 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 20247 | 19616 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 15960 | 15398 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 7484 | 7215 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 3248 | 3156 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 2794 | 2704 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 205290 | 194945 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 40369 | 38335 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 14712 | 13985 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 128680 | 128711 |
| Freddie Mac Gold Pool 4.5% 1/1/2053  | 151370 | 146207 |
| Freddie Mac Gold Pool 4.5% 10/1/2035  | 5682 | 5695 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 550212 | 550576 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 138492 | 138543 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 9646 | 9648 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 13885 | 13877 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 67629 | 67613 |
| Freddie Mac Gold Pool 4.5% 10/1/2047  | 9268 | 9091 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 518579 | 501054 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 6630 | 6635 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 68904 | 68913 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 20064 | 19611 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 5676 | 5677 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 11649 | 11642 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 598351 | 585984 |
| Freddie Mac Gold Pool 4.5% 12/1/2052  | 448027 | 432886 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 21525 | 21534 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 19047 | 19049 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 18404 | 18388 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 14959 | 14942 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 9289 | 9282 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 13808 | 13562 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 44906 | 44911 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 17673 | 17672 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 9836 | 9837 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 1849 | 1843 |
| Freddie Mac Gold Pool 4.5% 3/1/2047  | 10865 | 10671 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 16715 | 16695 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 15082 | 15082 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 80705 | 80774 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 35908 | 35945 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 6867 | 6871 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 21500 | 21473 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 19810 | 19796 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 32370 | 32388 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 13919 | 13928 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 3217 | 3222 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 9761 | 9581 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 74321 | 74338 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 3012 | 3013 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2494 | 2495 |
| Freddie Mac Gold Pool 4.5% 8/1/2055  | 421251 | 405764 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 25724 | 25743 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 1826 | 1828 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 5043 | 5044 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 12029 | 12202 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 738421 | 736261 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 594990 | 594365 |
| Freddie Mac Gold Pool 5% 11/1/2033  | 112659 | 114213 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 1369890 | 1368023 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 588438 | 589107 |
| Freddie Mac Gold Pool 5% 11/1/2053  | 882982 | 884262 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 45796 | 46479 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1390743 | 1388848 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 218251 | 217681 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 160467 | 160048 |
| Freddie Mac Gold Pool 5% 4/1/2054  | 104676 | 104795 |
| Freddie Mac Gold Pool 5% 7/1/2033  | 5825 | 5829 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 8262 | 8401 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 67096 | 68177 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 1465726 | 1497589 |
| Freddie Mac Gold Pool 5.5% 10/1/2053  | 182411 | 183982 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 77644 | 78386 |
| Freddie Mac Gold Pool 5.5% 3/1/2053  | 3020850 | 3085575 |
| Freddie Mac Gold Pool 5.5% 3/1/2055  | 2632745 | 2648841 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 840347 | 853362 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 2241197 | 2254899 |
| Freddie Mac Gold Pool 6% 10/1/2034  | 11640 | 12038 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 794679 | 825534 |
| Freddie Mac Gold Pool 6% 11/1/2028  | 648 | 663 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 166152 | 171253 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 564 | 577 |
| Freddie Mac Gold Pool 6% 4/1/2032  | 15283 | 15866 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 2091170 | 2168443 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 11295 | 11683 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 1132534 | 1176154 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 978 | 999 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 219 | 223 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 2552 | 2615 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 91 | 92 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 32 | 32 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 2745664 | 2834899 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 1800000 | 1869467 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 20925 | 21801 |
| Freddie Mac Gold Pool 6% 9/1/2036  | 50934 | 53772 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 725863 | 754500 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 182880 | 189009 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 12283 | 12821 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1287965 | 1349276 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 940761 | 986426 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 12966 | 13594 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 304194 | 318888 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 302958 | 317403 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 1674 | 1774 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 5493020 | 5754506 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 2099 | 2196 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 1156 | 1212 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 1265 | 1354 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 1034 | 1083 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 903 | 944 |
| Freddie Mac Gold Pool 6.5% 5/1/2031  | 2376 | 2481 |
| Freddie Mac Gold Pool 6.5% 5/1/2033  | 27270 | 28265 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 1388358 | 1461499 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 260911 | 275227 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 20623 | 22077 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 82201 | 86120 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 81169 | 85446 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 3742742 | 3951611 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 310040 | 327149 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 3390 | 3584 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 294 | 297 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 6296 | 6697 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 5566 | 5884 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 836 | 843 |
| Freddie Mac Gold Pool 7% 3/1/2026  | 212 | 212 |
| Freddie Mac Gold Pool 7% 7/1/2026  | 107 | 106 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 8989 | 9451 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 1040 | 1045 |
| Freddie Mac Gold Pool 7% 8/1/2034  | 4731 | 5083 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 1347 | 1357 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 14315 | 15179 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 16 | 16 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 901 | 940 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 181 | 186 |
| Freddie Mac Gold Pool 7.5% 2/1/2032  | 73524 | 78308 |
| Freddie Mac Gold Pool 7.5% 6/1/2027  | 247 | 252 |
| Freddie Mac Gold Pool 7.5% 7/1/2034  | 29553 | 30849 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 197 | 206 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 1616 | 1712 |
| Freddie Mac Manufactured Housing participation certificates 5.5% 4/1/2055  | 687899 | 693180 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 868159 | 914777 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 789909 | 832571 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 249523 | 264344 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 6.5% 3/1/2036 (d)(e) | 18517 | 18991 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.608% 12/1/2040 (d)(e) | 55799 | 57838 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.315% 9/1/2041 (d)(e) | 10883 | 11281 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.932%, 7.003% 10/1/2042 (d)(e) | 6636 | 6896 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.961%, 6.711% 6/1/2033 (d)(e) | 13549 | 13929 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (d)(e) | 6620 | 6854 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.2%, 6.825% 12/1/2036 (d)(e) | 14643 | 15267 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.231%, 6.231% 5/1/2034 (d)(e) | 309 | 315 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 1515866 | 1545029 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 1062422 | 1080869 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1188780 | 1210908 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.635% 6/1/2037 (d)(e) | 49672 | 51070 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.645%, 8.27% 10/1/2035 (d)(e) | 80 | 84 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 667127 | 690736 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 551508 | 570681 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 512894 | 529763 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 460727 | 476456 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 460808 | 476828 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 405283 | 419119 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 436301 | 449696 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 498540 | 522466 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 451971 | 477512 |
| Freddie Mac Non Gold Pool 6.5% 11/1/2054  | 200029 | 211332 |
| Freddie Mac Non Gold Pool 6.5% 2/1/2055  | 518125 | 547607 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 489480 | 413404 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 763702 | 645006 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 499483 | 421852 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 404118 | 341309 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 4306136 | 3636867 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 1121541 | 947229 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 422341 | 356699 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1709580 | 1443873 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1105167 | 933399 |
| Ginnie Mae I Pool 3% 12/20/2042  | 161527 | 148422 |
| Ginnie Mae I Pool 3% 3/20/2043  | 105280 | 96785 |
| Ginnie Mae I Pool 3% 3/20/2043  | 43455 | 39980 |
| Ginnie Mae I Pool 3% 4/15/2045  | 22938 | 20582 |
| Ginnie Mae I Pool 3% 5/15/2043  | 25677 | 23330 |
| Ginnie Mae I Pool 3% 6/15/2042  | 40576 | 37019 |
| Ginnie Mae I Pool 3% 6/15/2043  | 63498 | 58301 |
| Ginnie Mae I Pool 3% 6/15/2043  | 33515 | 30602 |
| Ginnie Mae I Pool 3% 6/20/2042  | 193298 | 177327 |
| Ginnie Mae I Pool 3% 7/15/2043  | 9760 | 8871 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 575735 | 525468 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 211633 | 198229 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 9969 | 9353 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 144255 | 135453 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 23667 | 21841 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 13373 | 12341 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 12644 | 11668 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 11857 | 10942 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 11565 | 10673 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 6314 | 5819 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 46364 | 42801 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 18580 | 17152 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 15724 | 14510 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 14938 | 13785 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 11456 | 10576 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 8029 | 7410 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 5417 | 5001 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 16906 | 15870 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 41309 | 38628 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 789580 | 728661 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 3163601 | 2887386 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 1811688 | 1653509 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 2539814 | 2318063 |
| Ginnie Mae I Pool 4% 1/15/2042  | 4828 | 4673 |
| Ginnie Mae I Pool 4% 1/15/2043  | 17620 | 17026 |
| Ginnie Mae I Pool 4% 10/15/2040  | 82176 | 79771 |
| Ginnie Mae I Pool 4% 10/15/2040  | 31908 | 30992 |
| Ginnie Mae I Pool 4% 10/15/2040  | 7431 | 7215 |
| Ginnie Mae I Pool 4% 10/15/2040  | 3336 | 3242 |
| Ginnie Mae I Pool 4% 10/15/2041  | 140066 | 135606 |
| Ginnie Mae I Pool 4% 10/15/2041  | 37546 | 36415 |
| Ginnie Mae I Pool 4% 10/15/2041  | 20724 | 20060 |
| Ginnie Mae I Pool 4% 10/15/2041  | 14023 | 13560 |
| Ginnie Mae I Pool 4% 10/15/2041  | 2261 | 2192 |
| Ginnie Mae I Pool 4% 11/15/2041  | 97558 | 94552 |
| Ginnie Mae I Pool 4% 11/15/2042  | 5828 | 5633 |
| Ginnie Mae I Pool 4% 12/15/2040  | 9096 | 8837 |
| Ginnie Mae I Pool 4% 12/15/2040  | 3611 | 3505 |
| Ginnie Mae I Pool 4% 12/15/2041  | 45460 | 44091 |
| Ginnie Mae I Pool 4% 12/15/2041  | 31078 | 30083 |
| Ginnie Mae I Pool 4% 12/15/2041  | 1620 | 1569 |
| Ginnie Mae I Pool 4% 12/15/2042  | 6622 | 6409 |
| Ginnie Mae I Pool 4% 2/15/2041  | 13197 | 12810 |
| Ginnie Mae I Pool 4% 2/15/2042  | 74394 | 72051 |
| Ginnie Mae I Pool 4% 2/15/2042  | 15614 | 15117 |
| Ginnie Mae I Pool 4% 3/15/2040  | 13569 | 13164 |
| Ginnie Mae I Pool 4% 3/15/2041  | 57246 | 55888 |
| Ginnie Mae I Pool 4% 3/15/2041  | 14251 | 13792 |
| Ginnie Mae I Pool 4% 3/15/2041  | 5822 | 5652 |
| Ginnie Mae I Pool 4% 3/15/2042  | 49799 | 48188 |
| Ginnie Mae I Pool 4% 3/15/2042  | 14282 | 13830 |
| Ginnie Mae I Pool 4% 3/15/2042  | 7617 | 7362 |
| Ginnie Mae I Pool 4% 4/15/2042  | 10899 | 10543 |
| Ginnie Mae I Pool 4% 4/15/2043  | 3740 | 3623 |
| Ginnie Mae I Pool 4% 5/15/2041  | 65940 | 64417 |
| Ginnie Mae I Pool 4% 5/15/2042  | 2824 | 2776 |
| Ginnie Mae I Pool 4% 5/20/2049  | 172914 | 162337 |
| Ginnie Mae I Pool 4% 6/15/2041  | 89272 | 86537 |
| Ginnie Mae I Pool 4% 6/15/2041  | 9455 | 9165 |
| Ginnie Mae I Pool 4% 6/15/2041  | 6621 | 6449 |
| Ginnie Mae I Pool 4% 6/15/2041  | 6527 | 6316 |
| Ginnie Mae I Pool 4% 6/15/2042  | 2353 | 2274 |
| Ginnie Mae I Pool 4% 7/15/2041  | 6319 | 6139 |
| Ginnie Mae I Pool 4% 7/15/2041  | 3631 | 3512 |
| Ginnie Mae I Pool 4% 8/15/2041  | 8439 | 8194 |
| Ginnie Mae I Pool 4% 8/15/2043  | 5220 | 5027 |
| Ginnie Mae I Pool 4% 8/15/2043  | 3702 | 3578 |
| Ginnie Mae I Pool 4% 9/15/2040  | 3395 | 3298 |
| Ginnie Mae I Pool 4% 9/15/2041  | 45615 | 44186 |
| Ginnie Mae I Pool 4% 9/15/2041  | 4534 | 4383 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 20484 | 20419 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1325 | 1320 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 179254 | 178652 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 31476 | 31369 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 17533 | 17466 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 51575 | 51346 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 1923203 | 1864929 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 2013 | 2007 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 62220 | 62003 |
| Ginnie Mae I Pool 4.5% 5/20/2041  | 1853 | 1844 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 106805 | 106428 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 83715 | 83320 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 82961 | 82675 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 82681 | 82400 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 55736 | 55533 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 27179 | 27088 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 17574 | 17511 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 278867 | 277735 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 85155 | 84858 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 85016 | 84727 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 56518 | 56323 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 42316 | 42176 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 32923 | 32808 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 23549 | 23464 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4422 | 4404 |
| Ginnie Mae I Pool 4.5% 8/15/2033  | 267 | 267 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 121601 | 121189 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 75270 | 75039 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 33505 | 33386 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 7944 | 7926 |
| Ginnie Mae I Pool 5% 11/15/2039  | 32773 | 33278 |
| Ginnie Mae I Pool 5% 11/15/2039  | 22270 | 22623 |
| Ginnie Mae I Pool 5% 4/15/2040  | 71944 | 73076 |
| Ginnie Mae I Pool 5% 4/15/2040  | 27497 | 27932 |
| Ginnie Mae I Pool 5% 4/20/2048  | 108855 | 110453 |
| Ginnie Mae I Pool 5% 5/15/2039  | 20284 | 20600 |
| Ginnie Mae I Pool 5% 6/15/2040  | 221961 | 225468 |
| Ginnie Mae I Pool 5% 6/15/2040  | 10457 | 10622 |
| Ginnie Mae I Pool 5% 6/15/2041  | 9085 | 9225 |
| Ginnie Mae I Pool 5% 7/15/2039  | 27674 | 28106 |
| Ginnie Mae I Pool 5% 7/15/2040  | 16602 | 16865 |
| Ginnie Mae I Pool 5% 7/15/2040  | 2236 | 2271 |
| Ginnie Mae I Pool 5% 8/15/2039  | 1617 | 1642 |
| Ginnie Mae I Pool 5% 9/15/2039  | 17888 | 18168 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 1048 | 1078 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 1017986 | 1033886 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 50599 | 52121 |
| Ginnie Mae I Pool 5.5% 9/20/2054  | 719840 | 725685 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 19112 | 19872 |
| Ginnie Mae I Pool 6.5% 7/15/2036  | 330 | 345 |
| Ginnie Mae I Pool 7% 1/15/2026  | 9 | 9 |
| Ginnie Mae I Pool 7% 1/15/2028  | 322 | 326 |
| Ginnie Mae I Pool 7% 1/15/2028  | 20 | 20 |
| Ginnie Mae I Pool 7% 1/15/2029  | 42 | 43 |
| Ginnie Mae I Pool 7% 10/15/2028  | 217 | 221 |
| Ginnie Mae I Pool 7% 12/15/2027  | 101 | 102 |
| Ginnie Mae I Pool 7% 12/15/2031  | 1064 | 1100 |
| Ginnie Mae I Pool 7% 2/15/2028  | 99 | 100 |
| Ginnie Mae I Pool 7% 3/15/2028  | 54 | 54 |
| Ginnie Mae I Pool 7% 4/20/2032  | 21443 | 22314 |
| Ginnie Mae I Pool 7% 5/15/2028  | 64 | 65 |
| Ginnie Mae I Pool 7% 5/15/2029  | 1124 | 1147 |
| Ginnie Mae I Pool 7% 7/15/2028  | 526 | 533 |
| Ginnie Mae I Pool 7% 7/15/2028  | 228 | 232 |
| Ginnie Mae I Pool 7% 7/15/2029  | 88 | 90 |
| Ginnie Mae I Pool 7% 7/15/2029  | 15 | 15 |
| Ginnie Mae I Pool 7% 8/15/2028  | 174 | 176 |
| Ginnie Mae I Pool 7% 8/15/2029  | 115 | 118 |
| Ginnie Mae I Pool 7% 9/15/2028  | 4784 | 4864 |
| Ginnie Mae I Pool 7% 9/15/2028  | 964 | 972 |
| Ginnie Mae I Pool 7% 9/15/2028  | 58 | 59 |
| Ginnie Mae I Pool 7% 9/15/2028  | 8 | 8 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 500 | 513 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 61 | 62 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 685 | 710 |
| Ginnie Mae I Pool 7.5% 12/15/2026  | 10 | 10 |
| Ginnie Mae I Pool 7.5% 12/15/2028  | 453 | 460 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 356 | 370 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 269 | 272 |
| Ginnie Mae I Pool 7.5% 4/15/2028  | 262 | 268 |
| Ginnie Mae I Pool 7.5% 4/15/2028  | 41 | 41 |
| Ginnie Mae I Pool 7.5% 5/15/2029  | 949 | 972 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 4566 | 4726 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 22 | 22 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 296 | 303 |
| Ginnie Mae I Pool 8% 10/15/2025  | 4 | 4 |
| Ginnie Mae I Pool 8.5% 10/15/2028  | 726 | 738 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 391 | 397 |
| Ginnie Mae II Pool 2% 1/20/2051  | 9423222 | 7718847 |
| Ginnie Mae II Pool 2% 10/1/2055 (k) | 7250000 | 5933585 |
| Ginnie Mae II Pool 2% 10/20/2050  | 4951215 | 4054917 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2858592 | 2341559 |
| Ginnie Mae II Pool 2% 12/20/2050  | 4105209 | 3361739 |
| Ginnie Mae II Pool 2% 2/20/2051  | 538945 | 441466 |
| Ginnie Mae II Pool 2% 2/20/2052  | 16296177 | 13346147 |
| Ginnie Mae II Pool 2% 3/20/2052  | 1596511 | 1308000 |
| Ginnie Mae II Pool 2% 4/20/2051  | 220428 | 180560 |
| Ginnie Mae II Pool 2% 8/20/2051  | 316535 | 259184 |
| Ginnie Mae II Pool 2% 9/1/2055 (k) | 19700000 | 16126830 |
| Ginnie Mae II Pool 2% 9/20/2050  | 1501848 | 1230678 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 567254 | 483345 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 3149999 | 2684536 |
| Ginnie Mae II Pool 2.5% 6/20/2054  | 432443 | 368644 |
| Ginnie Mae II Pool 2.5% 9/1/2055 (k) | 18225000 | 15524033 |
| Ginnie Mae II Pool 3% 10/1/2055 (k) | 9050000 | 8013437 |
| Ginnie Mae II Pool 3% 12/20/2046  | 575113 | 516569 |
| Ginnie Mae II Pool 3% 3/20/2050  | 518152 | 460387 |
| Ginnie Mae II Pool 3% 4/20/2052  | 2897311 | 2567745 |
| Ginnie Mae II Pool 3% 5/20/2052  | 8334957 | 7386866 |
| Ginnie Mae II Pool 3% 9/1/2055 (k) | 18100000 | 16033237 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 11314 | 10532 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 4762 | 4469 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 3909 | 3646 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 181218 | 170078 |
| Ginnie Mae II Pool 3.5% 11/20/2043  | 4293 | 4003 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 2209 | 2080 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 149442 | 139711 |
| Ginnie Mae II Pool 3.5% 2/20/2044  | 2310 | 2150 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 113803 | 106365 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 2346 | 2183 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 182096 | 170151 |
| Ginnie Mae II Pool 3.5% 4/20/2044  | 2152 | 2001 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 12371 | 11417 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 30281 | 28166 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 23310 | 21512 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 5913 | 5457 |
| Ginnie Mae II Pool 3.5% 7/20/2043  | 5258 | 4912 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 10586 | 9880 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 5078 | 4776 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 29127 | 27168 |
| Ginnie Mae II Pool 4% 1/20/2041  | 750246 | 727178 |
| Ginnie Mae II Pool 4% 1/20/2046  | 19379 | 18532 |
| Ginnie Mae II Pool 4% 10/1/2055 (k) | 1075000 | 1002238 |
| Ginnie Mae II Pool 4% 10/20/2040  | 304030 | 294748 |
| Ginnie Mae II Pool 4% 10/20/2041  | 355093 | 343664 |
| Ginnie Mae II Pool 4% 10/20/2045  | 3892 | 3728 |
| Ginnie Mae II Pool 4% 11/20/2040  | 171053 | 165811 |
| Ginnie Mae II Pool 4% 11/20/2044  | 413933 | 397451 |
| Ginnie Mae II Pool 4% 12/20/2040  | 2333 | 2262 |
| Ginnie Mae II Pool 4% 12/20/2044  | 11241 | 10793 |
| Ginnie Mae II Pool 4% 12/20/2045  | 24973 | 23882 |
| Ginnie Mae II Pool 4% 2/20/2041  | 50861 | 49290 |
| Ginnie Mae II Pool 4% 3/20/2041  | 40278 | 39033 |
| Ginnie Mae II Pool 4% 6/20/2045  | 1093184 | 1048433 |
| Ginnie Mae II Pool 4% 7/20/2033  | 5818 | 5719 |
| Ginnie Mae II Pool 4% 7/20/2044  | 60715 | 58345 |
| Ginnie Mae II Pool 4% 8/20/2041  | 7509 | 7268 |
| Ginnie Mae II Pool 4% 8/20/2043  | 22354 | 21551 |
| Ginnie Mae II Pool 4% 8/20/2044  | 26927 | 25872 |
| Ginnie Mae II Pool 4% 8/20/2045  | 267198 | 256059 |
| Ginnie Mae II Pool 4% 8/20/2048  | 1123235 | 1066812 |
| Ginnie Mae II Pool 4% 9/1/2055 (k) | 2150000 | 2004979 |
| Ginnie Mae II Pool 4% 9/20/2040  | 236992 | 229747 |
| Ginnie Mae II Pool 4% 9/20/2045  | 2995 | 2869 |
| Ginnie Mae II Pool 4.5% 1/20/2045  | 2447 | 2420 |
| Ginnie Mae II Pool 4.5% 10/1/2055 (k) | 100000 | 96235 |
| Ginnie Mae II Pool 4.5% 10/20/2044  | 2011 | 1989 |
| Ginnie Mae II Pool 4.5% 11/20/2039  | 1566 | 1558 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 121686 | 121058 |
| Ginnie Mae II Pool 4.5% 11/20/2041  | 1182 | 1175 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 9450661 | 9106707 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 96999 | 96490 |
| Ginnie Mae II Pool 4.5% 2/20/2042  | 1460 | 1452 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 9598 | 9548 |
| Ginnie Mae II Pool 4.5% 3/20/2046  | 3546 | 3518 |
| Ginnie Mae II Pool 4.5% 4/20/2035  | 6333 | 6318 |
| Ginnie Mae II Pool 4.5% 4/20/2055  | 104513 | 100636 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 10422 | 10371 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 129148 | 128459 |
| Ginnie Mae II Pool 4.5% 5/20/2042  | 9030 | 8981 |
| Ginnie Mae II Pool 4.5% 5/20/2046  | 3551 | 3522 |
| Ginnie Mae II Pool 4.5% 6/20/2035  | 1136 | 1132 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 5426 | 5397 |
| Ginnie Mae II Pool 4.5% 6/20/2043  | 1823 | 1813 |
| Ginnie Mae II Pool 4.5% 6/20/2044  | 2291 | 2276 |
| Ginnie Mae II Pool 4.5% 9/20/2039  | 2942 | 2928 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 52762 | 52494 |
| Ginnie Mae II Pool 4.5% 9/20/2046  | 2535 | 2519 |
| Ginnie Mae II Pool 5% 1/20/2055  | 10478401 | 10369413 |
| Ginnie Mae II Pool 5% 12/20/2054  | 854015 | 845132 |
| Ginnie Mae II Pool 5% 12/20/2054  | 821846 | 814389 |
| Ginnie Mae II Pool 5% 6/20/2055  | 497943 | 492764 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 840893 | 852976 |
| Ginnie Mae II Pool 5.5% 10/1/2055 (k) | 10450000 | 10517705 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 1017451 | 1035569 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 293416 | 295730 |
| Ginnie Mae II Pool 5.5% 9/1/2055 (k) | 17600000 | 17729840 |
| Ginnie Mae II Pool 6% 10/1/2055 (k) | 26050000 | 26545349 |
| Ginnie Mae II Pool 6% 12/20/2054  | 2208999 | 2252446 |
| Ginnie Mae II Pool 6% 9/1/2055 (k) | 46500000 | 47427810 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 4091340 | 4214134 |
| Ginnie Mae II Pool 7% 2/20/2032  | 6587 | 6864 |
| Ginnie Mae II Pool 7% 3/20/2032  | 3216 | 3353 |
| Uniform Mortgage Backed Securities 2% 10/1/2055 (k) | 71400000 | 56701646 |
| Uniform Mortgage Backed Securities 2% 9/1/2055 (k) | 118325000 | 93948204 |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 (k) | 5525000 | 4587477 |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 (k) | 14350000 | 11913303 |
| Uniform Mortgage Backed Securities 3% 9/1/2055 (k) | 6500000 | 5631640 |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 (k) | 7700000 | 6954364 |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 (k) | 14950000 | 13508143 |
| Uniform Mortgage Backed Securities 4% 10/1/2055 (k) | 7400000 | 6903968 |
| Uniform Mortgage Backed Securities 4% 9/1/2055 (k) | 12700000 | 11853168 |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 (k) | 650000 | 624736 |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 (k) | 5850000 | 5626969 |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 (k) | 21325000 | 21449952 |
| Uniform Mortgage Backed Securities 6% 10/1/2055 (k) | 275000 | 280735 |
| Uniform Mortgage Backed Securities 6% 9/1/2055 (k) | 875000 | 894004 |
| TOTAL UNITED STATES |  | 891989228 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $904,736,743) |  | <br> **891989228** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 4.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.4%** |
|  | Yield (%) (l) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.61 to 4.88 | 9300000 | 9021727 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.58 to 2.66 | 1993329 | 1886627 |
| US Treasury Notes 3.75% 4/15/2028  | 3.69 | 4450000 | 4467035 |
| US Treasury Notes 3.875% 8/15/2034  | 3.66 to 3.85 | 6750000 | 6618165 |
| US Treasury Notes 4.125% 3/31/2031  | 4.65 | 890000 | 905714 |
| US Treasury Notes 4.5% 5/31/2029  | 4.28 | 210000 | 216349 |
| US Treasury Notes 4.75% 2/15/2045  | 4.42 to 4.99 | 6430000 | 6334555 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $29,800,220) |  |  | **29450172** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.2%** | &nbsp;&nbsp;**Money Market Funds - 2.2%** | &nbsp;&nbsp;**Money Market Funds - 2.2%** | &nbsp;&nbsp;**Money Market Funds - 2.2%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (m)<br>(Cost $14,670,588)<br>| 4.36 | 14667739 | **14670673** |

---

---

| | | | |
|:---|:---|:---|:---|
| &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 - 0.2% |  |  |  |
| 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 | 11/5/2029 | 3900000 | 140713 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.07% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/19/2029 | 2660000 | 85386 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 790000 | 27453 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 1900000 | 68029 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 2750000 | 69994 |
| 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 | 10/31/2029 | 4600000 | 170130 |
| 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 | 12/20/2029 | 2000000 | 66381 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.146% and receive annually a floating rate based on US SOFR Index, expiring August 2035 | 7/30/2030 | 850000 | 29398 |
| 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 | 7/22/2026 | 2850000 | 65998 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9025% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/2026 | 2040000 | 31711 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 1800000 | 36552 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.804% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 880000 | 22925 |
| TOTAL PUT SWAPTIONS |  |  | 814670 |
| Call Swaptions - 0.0% |  |  |  |
| 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 | 11/5/2029 | 3900000 | 116436 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.07% and pay annually a floating rate based on US SOFR Index, expiring December 2034 | 12/19/2029 | 2660000 | 94177 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 790000 | 27665 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 1900000 | 64394 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 2750000 | 81375 |
| 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 | 10/31/2029 | 4600000 | 132505 |
| 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 | 12/20/2029 | 2000000 | 68100 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.146% and pay anually a floating rate based on US SOFR Index, expiring August 2035 | 7/30/2030 | 850000 | 30836 |
| 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 | 7/22/2026 | 2850000 | 87972 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9025% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/2026 | 2040000 | 63422 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 1800000 | 60397 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.804% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 880000 | 26450 |
| TOTAL CALL SWAPTIONS |  |  | 853729 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $1,980,844) |  |  | <br> **1668399** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 161.0%**<br> (Cost $1,092,927,002)<br>| <br>**1079793098** |
| **NET OTHER ASSETS (LIABILITIES) - (61.0)%**  | **(408854566)** |
| **NET ASSETS - 100.0%** | **670938532** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 9/1/2055 | (14500000) | (11870002) |
| Ginnie Mae II Pool 3% 9/1/2055 | (18100000) | (16033237) |
| Ginnie Mae II Pool 4% 9/1/2055 | (2150000) | (2004979) |
| Ginnie Mae II Pool 4.5% 9/1/2055 | (100000) | (96282) |
| Ginnie Mae II Pool 5.5% 9/1/2055 | (17600000) | (17729840) |
| Ginnie Mae II Pool 6% 9/1/2055 | (35175000) | (35876843) |
| Uniform Mortgage Backed Securities 2% 9/1/2055 | (115950000) | (92062491) |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 | (14350000) | (11913303) |
| Uniform Mortgage Backed Securities 3% 9/1/2055 | (4400000) | (3812187) |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 | (13200000) | (11926922) |
| Uniform Mortgage Backed Securities 4% 9/1/2055 | (12700000) | (11853168) |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 | (600000) | (576679) |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 | (5850000) | (5626969) |
| Uniform Mortgage Backed Securities 5% 9/1/2055 | (1150000) | (1134143) |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 | (8200000) | (8248047) |
| Uniform Mortgage Backed Securities 6% 9/1/2055 | (1150000) | (1174977) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (231940069) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $230,523,934) |  | <br> **(231940069)** |

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---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 259 | 12/31/2025 | 54023758 | 99697 | 99697 |
| CBOT US Treasury Long Bond Contracts (United States) | 40 | 12/19/2025 | 4572500 | 17921 | 17921 |
| TOTAL PURCHASED |  |  |  |  | 117618 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 304 | 12/19/2025 | 34204750 | (195318) | (195318) |
| CBOT 5Y US Treasury Notes Contracts (United States) | 81 | 12/31/2025 | 8869500 | (43803) | (43803) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 5 | 12/19/2025 | 582188 | 2177 | 2177 |
| TOTAL SOLD |  |  |  |  | (236944) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(119326)** |
| The notional amount of futures purchased as a percentage of Net Assets is 8.7% | The notional amount of futures purchased as a percentage of Net Assets is 8.7% | The notional amount of futures purchased as a percentage of Net Assets is 8.7% | The notional amount of futures purchased as a percentage of Net Assets is 8.7% | The notional amount of futures purchased as a percentage of Net Assets is 8.7% | The notional amount of futures purchased as a percentage of Net Assets is 8.7% |
| The notional amount of futures sold as a percentage of Net Assets is 6.5% | The notional amount of futures sold as a percentage of Net Assets is 6.5% | The notional amount of futures sold as a percentage of Net Assets is 6.5% | The notional amount of futures sold as a percentage of Net Assets is 6.5% | The notional amount of futures sold as a percentage of Net Assets is 6.5% | The notional amount of futures sold as a percentage of Net Assets is 6.5% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 80000 | 12793 | (20399) | (7606) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 350000 | 55968 | (98025) | (42057) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 140000 | 22387 | (34762) | (12375) |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 12610 | (11935) | 675 |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Goldman Sachs & Co LLC | (3%) | Monthly | 150000 | 18915 | (18782) | 133 |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 12610 | (11320) | 1290 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 500000 | 33233 | (19007) | 14226 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 13293 | (7705) | 5588 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 400000 | 26587 | (42502) | (15915) |
| CMBX BB Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 100000 | 11793 | (14834) | (3041) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 13293 | (14381) | (1088) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Merrill Lynch Capital Services Inc | (0.5%) | Monthly | 720000 | (2564) | (11681) | (14245) |
| CMBX BB Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (5%) | Monthly | 200000 | 23586 | (13250) | 10336 |
| CMBX BB Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 11793 | (7093) | 4700 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (3%) | Monthly | 100000 | 6647 | (4932) | 1715 |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 760000 | (2706) | (11842) | (14548) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 270000 | 43175 | (66227) | (23052) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 90000 | 14392 | (20088) | (5696) |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 12610 | (13832) | (1222) |
| CMBX BB Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 50000 | 5896 | (7323) | (1427) |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 400000 | 50440 | (57875) | (7435) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 1620000 | (5769) | (16948) | (22717) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 350000 | 55968 | (82973) | (27005) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 360000 | 57567 | (85025) | (27458) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 150000 | 23986 | (38268) | (14282) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 130000 | 20788 | (36025) | (15237) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 70000 | 11194 | (15152) | (3958) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 30000 | 4797 | (7998) | (3201) |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 12610 | (15672) | (3062) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 6647 | (3911) | 2736 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 600000 | 39880 | (21718) | 18162 |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 12610 | (12485) | 125 |
| CMBX BBB Series 15 Index |  | 11/18/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 14122 | (15942) | (1820) |
| CMBX AAA Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 600000 | (401) | (1113) | (1514) |
| CMBX AAA Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 899941 | 7435 | (7581) | (146) |
| CMBX AAA Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 899941 | 7435 | (7715) | (280) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 665620 | (876321) | (210701) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 15 Index | NR | 11/18/2064 | Goldman Sachs & Co LLC | 0.5% | Monthly | 499967 | (1669) | 3757 | 2088 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 400000 | (5369) | 12205 | 6836 |
| CMBX AAA Series 13 Index | NR | 12/16/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 3100000 | 11038 | 70386 | 81424 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 700000 | (9395) | 17041 | 7646 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 2400000 | (32213) | 47758 | 15545 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 300000 | (4027) | 4692 | 665 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 800000 | (10738) | 10676 | (62) |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (2684) | 2564 | (120) |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (55057) | 169079 | 114022 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **610563** | **(707242)** | **(96679)** |

---

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

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(2) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2032 | 11020000 | (192275) | 105642 | (86633) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2028 | 43399000 | (586995) | 205431 | (381564) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2027 | 34107000 | (257859) | 96288 | (161571) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2029 | 17114000 | (300527) | 102903 | (197624) |
| U.S. SOFR Index(3) | Annual | 3.75% | Annual | LCH | 9/17/2045 | 8258000 | 375690 | (430542) | (54852) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(961966)** | **79722** | **(882244)** |

---

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

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

(3)Represents floating rate.

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $63,990,519 or 9.5% of net assets.

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

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

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

(f) 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.

(g) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(h) Level 3 security

(i) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $2,900,747.

(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $815,835.

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

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

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 84084107 | 270063047 | 339476481 | 2104700 | - | - | 14670673 | 14667739 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | - | 43960465 | 43960465 | 1199 | - | - | - | - | 0.0% |
| Total | 84084107 | 314023512 | 383436946 | 2105899 | - | - | 14670673 |  |  |

---

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

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

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

**Investment Valuation**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 37469008 | - | 37469008 | - |
|  **Collateralized Mortgage Obligations** | 72651470 | - | 72651463 | 7 |
|  **Commercial Mortgage Securities** | 31894148 | - | 31894148 | - |
|  **U.S. Government Agency - Mortgage Securities** | 891989228 | - | 891989228 | - |
|  **U.S. Treasury Obligations** | 29450172 | - | 29450172 | - |
|  **Money Market Funds** | 14670673 | 14670673 | - | - |
|  **Purchased Swaptions** | 1668399 | - | 1668399 | - |
| **Total Investments in Securities:** | 1079793098 | 14670673 | 1065122418 | 7 |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 119795 | 119795 | - | - |
| Swaps | 1063788 | - | 1063788 | - |
| Total Assets | 1183583 | 119795 | 1063788 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (239121) | (239121) | - | - |
| Swaps | (1415191) | - | (1415191) | - |
| Total Liabilities | (1654312) | (239121) | (1415191) | - |
| **Total Derivative Instruments:** | (470729) | (119326) | (351403) | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (231940069) | - | (231940069) | - |
| **Total Other Financial Instruments:** | (231940069) | - | (231940069) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)  | 688098 | (77535) |
| **Total Credit Risk**  | 688098 | (77535) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 119795 | (239121) |
| Purchased Swaptions (c)  | 1668399 | - |
| Swaps (d)  | 375690 | (1337656) |
| **Total Interest Rate Risk**  | 2163884 | (1576777) |
| **Total Value of Derivatives** | 2851982 | (1654312) |

---

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

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

(c)Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.

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

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,078,256,414) | $1065122425 |  |
| Fidelity Central Funds (cost $14,670,588) | 14670673 |  |
| Total Investment in Securities (cost $1,092,927,002) |  | $1079793098 |
| Receivable for investments sold |  | 8542 |
| Receivable for TBA sale commitments |  | 230523934 |
| Receivable for fund shares sold |  | 624810 |
| Interest receivable |  | 2133137 |
| Distributions receivable from Fidelity Central Funds |  | 64804 |
| Receivable for daily variation margin on futures contracts |  | 35177 |
| Receivable for daily variation margin on centrally cleared swaps |  | 21078 |
| Bi-lateral OTC swaps, at value |  | 688098 |
| Receivable from investment adviser for expense reductions |  | 3725 |
| Other receivables |  | 3 |
| **Total assets** |  | 1313896406 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $1980844 |  |
| Delayed delivery | 407378223 |  |
| TBA sale commitments, at value | 231940069 |  |
| Payable for fund shares redeemed | 623162 |  |
| Distributions payable | 688238 |  |
| Bi-lateral OTC swaps, at value | 77535 |  |
| Accrued management fee | 156508 |  |
| Distribution and service plan fees payable | 5567 |  |
| Other affiliated payables | 107728 |  |
| **Total liabilities** |  | 642957874 |
| **Net Assets**  |  | $670938532 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $772859721 |
| Total accumulated earnings (loss) |  | (101921189) |
| **Net Assets** |  | $670938532 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($16,352,993 ÷ 1,661,357 shares)(a) |  | $9.84 |
| Maximum offering price per share (100/96.00 of $9.84) |  | $10.25 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($6,558,793 ÷ 664,974 shares)(a) |  | $9.86 |
| Maximum offering price per share (100/96.00 of $9.86) |  | $10.27 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($942,188 ÷ 96,596 shares)(a) |  | $9.75 |
| **Fidelity Mortgage Securities Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($357,883,456 ÷ 36,204,379 shares) |  | $9.89 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($153,197,845 ÷ 15,556,476 shares) |  | $9.85 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($136,003,257 ÷ 13,793,766 shares) |  | $9.86 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $25898861 |
| Income from Fidelity Central Funds (including $1,199 from security lending)  |  | 2105899 |
| **Total income** |  | 28004760 |
| **Expenses** |  |  |
| Management fee | $1732583 |  |
| Transfer agent fees | 813593 |  |
| Distribution and service plan fees | 70691 |  |
| Fund wide operations fee | 416264 |  |
| Independent trustees' fees and expenses | 1522 |  |
| Total expenses before reductions | 3034653 |  |
| Expense reductions | (50345) |  |
| Total expenses after reductions |  | 2984308 |
| **Net Investment income (loss)** |  | 25020452 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (1851493) |  |
| Futures contracts | (94940) |  |
| Swaps | 1041308 |  |
| Written options | 140208 |  |
| Total net realized gain (loss) |  | (764917) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (4344387) |  |
| Futures contracts | (368060) |  |
| Swaps | 470729 |  |
| Written options | (53039) |  |
| TBA sale commitments | (216471) |  |
| Total change in net unrealized appreciation (depreciation) |  | (4511228) |
| **Net gain (loss)** |  | (5276145) |
| **Net increase (decrease) in net assets resulting from operations** |  | $19744307 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $25020452 | $19041077 |
| &nbsp;&nbsp;Net realized gain (loss) | (764917)<br>| (18759125)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (4511228) | 39404694<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 19744307<br>| 39686646<br>|
| Distributions to shareholders | (26297581)<br>| (19405465)<br>|
| Share transactions - net increase (decrease) | 68852913<br>| 94167557<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 62299639<br>| 114448738<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 608638893 | 494190155<br>|
| &nbsp;&nbsp;End of period | $670938532 | $608638893 |

---

**Financial Highlights** 

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

---

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

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

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

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

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

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

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

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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 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*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.*

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

**Notes to Financial Statements**

For the period ended August 31, 2025

**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.

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| | | | | |
|:---|:---|:---|:---|:---|
| **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% |

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*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 August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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:

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| | |
|:---|:---|
| **Gross unrealized appreciation**  | $7186390 |
| **Gross unrealized depreciation**  | <u>(25862028)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$(18675638)</u> |
| **Tax Cost**  | <u>$1096700679</u> |

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

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| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(82429042)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(18736314)</u> |

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Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

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| | |
|:---|:---|
| Short-term | $(50304434) |
| Long-term | <u>(32124608)</u> |
| **Total capital loss carryforward** | <u>$(82429042)</u> |

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The tax character of distributions paid was as follows:

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| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | $26297581 | $19405566 |

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**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

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

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

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

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

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

---

| | |
|:---|:---|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Advisor Mortgage Securities Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(288227)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>221024</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(288227)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>221024</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | (94940) | (368060) |
| Purchased Options | (475074) | (239514) |
| Written Options | 140208 | (53039) |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>1329535</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>249705</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>899729</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(410908)</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>611502</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(189884)</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 Advisor Mortgage Securities Fund** | 89532663 |

---

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 Advisor Mortgage Securities Fund** | 118328984 |

---

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**Interest Rate Swaps.** Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Advisor Mortgage Securities Fund** | 2670820999 | 2688201436 |

---

**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% | 42856 | 551 |
| **Class M** | -% | .25% | 16716 | - |
| **Class C** | .75% | .25% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>11119</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>566</u> |
|  |  |  | <u>70691</u> | <u>1117</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** | 572 |
| **Class M** | 238 |
| **Class CA** | &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>7</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>817</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 Mortgage Securities Fund and Class Z. FIIOC receives an asset-based fee of Fidelity 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 Assets** |
| **Class A** | 35873 | .21 |
| **Class M** | 14066 | .21 |
| **Class C** | 2782 | .25 |
| **Fidelity Mortgage Securities Fund** | 336452 | .10 |
| **Class I** | 372516 | .25 |
| **Class Z** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>51904</u> | .05 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>813593</u> |  |

---

**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 annual 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 2026 unless extended or renewed.

**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 as a component of interest. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Advisor Mortgage Securities Fund** | 129 | - | - |

---

**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 Z** | .36% | 41248 |

---

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 $9,097.

**10. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Fidelity Advisor Mortgage Securities Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $680216 | $656286 |
| Class M | 265016 | 258588 |
| Class C | 35540 | 42469 |
| Fidelity Mortgage Securities Fund | 14528228 | 12450249 |
| Class I | 6227089 | 2485030 |
| Class Z | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4561492</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>3512843</u> |
| Total  | <u>$26297581</u> | <u>$19405465</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** |
|  | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** |
| **Fidelity Advisor Mortgage Securities Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 186228 | 176194 | $1830904 | $1717989 |
| Reinvestment of distributions | 64379 | 63014 | 628092 | 605940 |
| Shares redeemed | <u>(478228)</u> | <u>(478976)</u> | <u>(4675285)</u> | <u>(4577001)</u> |
| Net increase (decrease) | <u>(227621)</u> | <u>(239768)</u> | <u>$(2216289)</u> | <u>$(2253072)</u> |
| **Class M** |  |  |  |  |
| Shares sold | 26134 | 31224 | $255891 | $300245 |
| Reinvestment of distributions | 26622 | 26231 | 260268 | 252776 |
| Shares redeemed | <u>(120356)</u> | <u>(134866)</u> | <u>(1172281)</u> | <u>(1293922)</u> |
| Net increase (decrease) | <u>(67600)</u> | <u>(77411)</u> | <u>$(656122)</u> | <u>$(740901)</u> |
| **Class C** |  |  |  |  |
| Shares sold | 16179 | 10685 | $156321 | $100241 |
| Reinvestment of distributions | 3651 | 4427 | 35283 | 42189 |
| Shares redeemed | <u>(50025)</u> | <u>(80361)</u> | <u>(481721)</u> | <u>(762838)</u> |
| Net increase (decrease) | <u>(30195)</u> | <u>(65249)</u> | <u>$(290117)</u> | <u>$(620408)</u> |
| **Fidelity Mortgage Securities Fund** |  |  |  |  |
| Shares sold | 13864266 | 15597788 | $135667890 | $148548010 |
| Reinvestment of distributions | 848356 | 831272 | 8311788 | 8026674 |
| Shares redeemed | <u>(11684875)</u> | <u>(20307734)</u> | <u>(114036327)</u> | <u>(190956845)</u> |
| Net increase (decrease) | <u>3027747</u> | <u>(3878674)</u> | <u>$29943351</u> | <u>$(34382161)</u> |
| **Class I** |  |  |  |  |
| Shares sold | 3543915 | 15992577 | $34491721 | $150727367 |
| Reinvestment of distributions | 518122 | 215350 | 5057616 | 2084907 |
| Shares redeemed | <u>(3655668)</u> | <u>(3138893)</u> | <u>(35603224)</u> | <u>(30070441)</u> |
| Net increase (decrease) | <u>406369</u> | <u>13069034</u> | <u>$3946113</u> | <u>$122741833</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 6258397 | 3735303 | $60649909 | $36249739 |
| Reinvestment of distributions | 432403 | 338186 | 4227093 | 3259733 |
| Shares redeemed | <u>(2744117)</u> | <u>(3155611)</u> | <u>(26751025)</u> | <u>(30087206)</u> |
| Net increase (decrease) | <u>3946683</u> | <u>917878</u> | <u>$38125977</u> | <u>$9422266</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 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.

**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.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Mortgage Securities Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Advisor Mortgage Securities Fund (one of the funds constituting Fidelity Advisor Series II, referred to hereafter as the "Fund") as of August 31, 2025, the related statement of operations for the year ended August 31, 2025, the statement of changes in net assets for each of the two years in the period ended August 31, 2025, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2025 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2025 and the financial highlights for each of the five years in the period ended August 31, 2025 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2025 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

October 16, 2025

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com.*

A total of 5.49% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $21,702,237 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $26,297,581of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

![](img113730_4.jpg)<br>

1.704047.128 AMOR-ANN-1025

**Fidelity Advisor® Limited Term Bond Fund**

**Annual Report**

**August 31, 2025**

Includes Fidelity and Fidelity Advisor share classes

![](img113731_1.jpg)

![](img113731_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_LTB-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity Advisor® Limited Term Bond Fund](#Sub_Sec_Fund_87_LTB-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements87_LTB-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_LTB-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_LTB-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_LTB-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_LTB-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_LTB-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_LTB-ANN)** |

---

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

You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.

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

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

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

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

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

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

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

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

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

**Fidelity Advisor® Limited Term Bond Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 10.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 10.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 10.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.4%  |  |  |
| Hartwick Park Clo Ltd Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.16%, 5.4855% 1/20/2037 (b)(c)(d) | 3718000 | 3718030 |
| Neuberger Berman Ln Advisers Nbla Clo 50 Ltd / Neuberger Berman Ln Series 2024-50A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.569% 7/23/2036 (b)(c)(d) | 4986000 | 4993394 |
| Valley Stream Pk Clo Ltd / Vy Stream Pk Clo LLC Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.19%, 5.5155% 1/20/2037 (b)(c)(d) | 2784000 | 2781074 |
| TOTAL BAILIWICK OF JERSEY |  | 11492498 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) | 360335 | 365123 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (b) | 629744 | 637522 |
| TOTAL CANADA |  | 1002645 |
| GRAND CAYMAN (UK OVERSEAS TER) - 3.9%  |  |  |
| Ammc Clo 24 Ltd Series 2024-24A Class ER, CME Term SOFR 3 month Index + 6.5%, 10.8255% 1/20/2035 (b)(c)(d) | 150000 | 149987 |
| Ares Lii Clo Ltd Series 2025-52A Class A1RR, CME Term SOFR 3 month Index + 0.88%, 5.212% 4/22/2031 (b)(c)(d) | 2216844 | 2214073 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 5.6215% 7/15/2038 (b)(c)(d) | 2953000 | 2966711 |
| Bain Capital Credit Clo Ltd Series 2025-5A Class ARR, CME Term SOFR 3 month Index + 1.15%, 5.3352% 4/20/2034 (b)(c)(d) | 7540000 | 7539925 |
| Barings CLO Ltd Series 2024-3A Class A1RR, CME Term SOFR 3 month Index + 1.14%, 5.4655% 1/20/2036 (b)(c)(d) | 2400000 | 2401452 |
| Bbam US Clo I Ltd Series 2025-1A Class D1R, CME Term SOFR 3 month Index + 3%, 7.3176% 3/30/2038 (b)(c)(d) | 125000 | 124117 |
| Benefit Street Partners Clo Xxii Ltd Series 2025-22A Class ARR, CME Term SOFR 3 month Index + 1.15%, 5.4755% 4/20/2035 (b)(c)(d) | 7900000 | 7912601 |
| Buckhorn Park Clo Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.07%, 5.399% 7/18/2034 (b)(c)(d) | 4766000 | 4765967 |
| Carlyle US Clo Ltd Series 2024-6A Class E, CME Term SOFR 3 month Index + 5.75%, 10.0685% 10/25/2037 (b)(c)(d) | 150000 | 151568 |
| CIFC Funding Ltd Series 2025-4A Class D2R, CME Term SOFR 3 month Index + 3.75%, 8.0724% 1/17/2038 (b)(c)(d) | 100000 | 100689 |
| Dryden 104 Clo Ltd / Dryden 104 Clo LLC Series 2024-104A Class A1R, CME Term SOFR 3 month Index + 1.29%, 5.4935% 8/20/2034 (b)(c)(d) | 2769000 | 2773918 |
| Dryden 68 Clo Ltd Series 2024-68A Class ARR, CME Term SOFR 3 month Index + 1.1%, 5.4176% 7/15/2035 (b)(c)(d) | 4228000 | 4231099 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.38%, 5.5835% 5/20/2036 (b)(c)(d) | 2644000 | 2648495 |
| Flatiron Clo 28 Ltd / Flatiron Clo LLC Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.32%, 5.6376% 7/15/2036 (b)(c)(d) | 5254000 | 5254000 |
| Flatiron Clo 28 Ltd / Flatiron Clo LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.08%, 5.3326% 7/15/2036 (b)(c)(d) | 10354000 | 10354000 |
| Flatiron Clo Ltd Series 2025-1A Class AR2, CME Term SOFR 3 month Index + 1.18%, 5.3652% 11/16/2034 (b)(c)(d) | 3565463 | 3567699 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (b) | 375607 | 365263 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 5.3976% 7/15/2034 (b)(c)(d) | 4205000 | 4208936 |
| Magnetite Xxii Ltd / Magnetite Xxii LLC Series 2024-22A Class ARR, CME Term SOFR 3 month Index + 1.25%, 5.5676% 7/15/2036 (b)(c)(d) | 4257000 | 4262628 |
| Oha Credit Funding 22 Ltd Series 2025-22A Class A1, CME Term SOFR 3 month Index + 1.33%, 5.614% 7/20/2038 (b)(c)(d) | 4678000 | 4691033 |
| Oha Credit Partners VII Ltd Series 2025-7A Class D1R4, CME Term SOFR 3 month Index + 2.5%, 6.7035% 2/20/2038 (b)(c)(d) | 150000 | 148933 |
| Palmer Square Clo Ltd Series 2025-2A Class DR2, CME Term SOFR 3 month Index + 4.14%, 8.4576% 2/15/2038 (b)(c)(d) | 100000 | 100958 |
| Palmer Square CLO Series 2025-1A Class A1A5, CME Term SOFR 3 month Index + 1.05%, 5.265% 5/21/2034 (b)(c)(d) | 4676000 | 4680003 |
| 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%, 5.2277% 7/15/2033 (b)(c)(d) | 10060000 | 10062274 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 5.3176% 1/15/2033 (b)(c)(d) | 687449 | 688274 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class D, CME Term SOFR 3 month Index + 4.7%, 9.0176% 1/15/2033 (b)(c)(d) | 250000 | 247693 |
| Palmer Square Loan Funding Ltd Series 2024-3A Class A1, CME Term SOFR 3 month Index + 1.08%, 5.3143% 8/8/2032 (b)(c)(d) | 2073772 | 2075021 |
| Rr 16 Ltd Series 2021-16A Class A1, CME Term SOFR 3 month Index + 1.3716%, 5.6892% 7/15/2036 (b)(c)(d) | 2529000 | 2534670 |
| Trapeza Cdo Xii Ltd Series 2007-12A Class B, CME Term SOFR 3 month Index + 0.8216%, 5.1074% 4/6/2042 (b)(c)(d) | 304000 | 239030 |
| Voya Clo 2022-1 Ltd / Voya Clo 2022-1 LLC Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.25%, 5.5755% 4/20/2035 (b)(c)(d) | 3393000 | 3397221 |
| Voya CLO Ltd Series 2024-2A Class AR, CME Term SOFR 3 month Index + 1.2%, 5.5255% 7/20/2032 (b)(c)(d) | 4499864 | 4504022 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 99362260 |
| UNITED STATES - 5.9%  |  |  |
| AASET Trust Series 2019-2 Class A, 3.376% 10/16/2039 (b) | 306267 | 303204 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (b) | 1542548 | 1475639 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (b) | 3926765 | 3697469 |
| Affirm Asset Securitization Trust Series 2024-X2 Class A, 5.22% 12/17/2029 (b) | 1536010 | 1537247 |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (b) | 1584704 | 1586680 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (b) | 265576 | 261311 |
| ARI Fleet Lease Trust Series 2023-B Class A2, 6.05% 7/15/2032 (b) | 1869450 | 1884981 |
| ARI Fleet Lease Trust Series 2024-B Class A3, 5.26% 4/15/2033 (b) | 408000 | 416252 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (b) | 945000 | 957275 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (b) | 3173237 | 2990875 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 1036901 | 1050420 |
| Carvana Auto Receivables Trust 2025-P2 Series 2025-P2 Class A3, 4.55% 8/12/2030  | 3315000 | 3346141 |
| Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/2046 (b) | 401365 | 398979 |
| CFMT LLC Series 2023-HB12 Class A, 4.25% 4/25/2033 (b) | 33248 | 33208 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (b) | 1059000 | 1067486 |
| Daimler Trucks Retail Trust Series 2024-1 Class A3, 5.49% 12/15/2027  | 3072000 | 3098394 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (b) | 123950 | 122148 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (b) | 11550000 | 11190998 |
| Dell Equipment Finance Trust Series 2023-3 Class A3, 5.93% 4/23/2029 (b) | 2044600 | 2055991 |
| Dell Equipment Finance Trust Series 2024-2 Class A3, 4.59% 8/22/2030 (b) | 893000 | 898177 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (b) | 279000 | 285627 |
| DLLMT LLC Series 2024-1A Class A3, 4.84% 8/21/2028 (b) | 1625000 | 1640852 |
| Domino's Pizza Master Issuer LLC Series 2015-1A Class A2II, 4.474% 10/25/2045 (b) | 1855000 | 1853616 |
| Domino's Pizza Master Issuer LLC Series 2017-1A Class A23, 4.118% 7/25/2047 (b) | 3745900 | 3714604 |
| Domino's Pizza Master Issuer LLC Series 2018-1A Class A2II, 4.328% 7/25/2048 (b) | 451010 | 449117 |
| Domino's Pizza Master Issuer LLC Series 2025-1A Class A2I, 4.93% 7/25/2055 (b) | 7700000 | 7731282 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A2, 4.38% 7/20/2029 (b) | 156760 | 156710 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (b) | 971895 | 986389 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A3, 4.98% 8/21/2028 (b) | 2821000 | 2860834 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (b) | 1071000 | 1080110 |
| Enterprise Fleet Financing LLC Series 2025-1 Class A3, 4.82% 2/20/2029 (b) | 2825000 | 2871591 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (b) | 588000 | 598984 |
| Flatiron Clo 23 LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.24%, 5.5624% 4/17/2036 (b)(c)(d) | 5801000 | 5806737 |
| Flatiron Rr Clo 22 LLC Series 2025-2A Class AR, CME Term SOFR 3 month Index + 0.91%, 5.2276% 10/15/2034 (b)(c)(d) | 6400000 | 6392442 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class B, 5.48% 4/15/2029 (b) | 2797000 | 2837590 |
| Fordf Series 2025-1 Class A1, 4.63% 4/15/2030  | 3575000 | 3627372 |
| Fordf Series 2025-1 Class B, 4.84% 4/15/2030  | 1805000 | 1820359 |
| GMF Floorplan Owner Revolving Trust Series 2024-1A Class A1, 5.13% 3/15/2029 (b) | 5280000 | 5353733 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (b) | 1075000 | 1089525 |
| Juniper Valley Park CLO LLC Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5755% 7/20/2036 (b)(c)(d) | 5000000 | 5005185 |
| Kubota Credit Owner Trust Series 2024-2A Class A3, 5.26% 11/15/2028 (b) | 719000 | 731277 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (b) | 502804 | 503313 |
| Marlette Funding Trust Series 2024-1A Class A, 5.95% 7/17/2034 (b) | 14998 | 15006 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  | 4503000 | 4507572 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) | 698219 | 703586 |
| MetLife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/2058 (b) | 165491 | 163136 |
| Nissan Master Owner Tr Receivable Series 2024-B Class A, 5.05% 2/15/2029 (b) | 1648000 | 1666662 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (b) | 272920 | 273088 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (b) | 3050000 | 3068213 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (b) | 1425000 | 1426703 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (b) | 236504 | 242242 |
| Porsche Finl Auto Securitization Tr 2023-2 Series 2023-2A Class A3, 5.79% 1/22/2029 (b) | 1503878 | 1517549 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class A, 3.228% 3/15/2040 (b) | 3693290 | 3527794 |
| SBA Tower Trust Series 2020, 1.884% 7/15/2050 (b) | 1204000 | 1190281 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (b) | 1088372 | 1118084 |
| SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/2046 (b) | 10250760 | 9655029 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 5.297% 9/25/2034 (c)(d) | 1607 | 1674 |
| Tesla Electric Vehicle Trust Series 2023-1 Class A3, 5.38% 6/20/2028 (b) | 2614000 | 2634616 |
| Upstart Securitization Trust Series 2023-3 Class A, 6.9% 10/20/2033 (b) | 720235 | 724360 |
| USB Auto Owner Trust 2025-1 Series 2025-1A Class A3, 4.49% 6/17/2030 (b) | 1615000 | 1634091 |
| Verizon Master Trust Series 2024-8 Class A1A, 4.62% 11/20/2030  | 5345000 | 5422088 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-2A Class A, 6.46% 8/18/2038 (b) | 2802786 | 2839711 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (b) | 1117482 | 1126211 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-3A Class A1, 4.8% 9/19/2039 (b) | 3445000 | 3473389 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-2A Class A1, 4.41% 5/18/2040 (b) | 6300000 | 6325850 |
| World Omni Auto Trust Series 2024-C Class A3, 4.43% 12/17/2029  | 2687000 | 2698182 |
| TOTAL UNITED STATES |  | 151725241 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $263,759,982) |  | <br> **263582644** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 1.6%** | &nbsp;&nbsp;**Bank Loan Obligations - 1.6%** | &nbsp;&nbsp;**Bank Loan Obligations - 1.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| 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%, 0% 5/23/2030 (c)(d)(e)(f) | 505000 | 502475 |
| NETHERLANDS - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Building Products - 0.0% |  |  |
| Hunter Douglas Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.5456% 1/17/2032 (c)(d)(f) | 384452 | 384290 |
| SWITZERLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.816% 11/15/2030 (c)(d)(f) | 664218 | 628058 |
| UNITED STATES - 1.6%  |  |  |
| Communication Services - 0.2% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| Level 3 Financing Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.566% 3/29/2032 (c)(d)(f) | 80000 | 80316 |
| Lumen Technologies Inc Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2.35%, 6.7805% 4/16/2029 (c)(d)(f) | 408958 | 406234 |
| Lumen Technologies Inc Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 2.35%, 6.7805% 4/15/2030 (c)(d)(f) | 817915 | 812125 |
|  |  | 1298675 |
| Media - 0.1% |  |  |
| CMG Media Corp Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.8956% 6/18/2029 (c)(d)(f) | 675408 | 648054 |
| CSC Holdings LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.8631% 1/18/2028 (c)(d)(f) | 573529 | 571287 |
| Univision Communications Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.6805% 1/31/2029 (c)(d)(f) | 1299708 | 1291585 |
| Virgin Media Bristol LLC Tranche Q 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.7276% 1/31/2029 (c)(d)(f) | 650000 | 648154 |
|  |  | 3159080 |
| TOTAL COMMUNICATION SERVICES |  | 4457755 |
| Consumer Discretionary - 0.5% |  |  |
| Automobile Components - 0.0% |  |  |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 7.066% 1/28/2032 (c)(d)(f) | 80000 | 80000 |
| Automobiles - 0.0% |  |  |
| CWGS Group LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.9305% 6/3/2028 (c)(d)(f) | 452199 | 443109 |
| Broadline Retail - 0.1% |  |  |
| Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.566% 1/23/2032 (c)(d)(f) | 1360880 | 1363602 |
| Distributors - 0.0% |  |  |
| Solenis Holdings Ltd Tranche B6 1LN, term loan CME Term SOFR 3 month Index + 3%, 7.2956% 6/20/2031 (c)(d)(f) | 795706 | 792061 |
| Diversified Consumer Services - 0.1% |  |  |
| Spin Holdco Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5774% 3/4/2028 (c)(d)(f) | 1205318 | 1017746 |
| TKC Holdings Inc 1LN, term loan 13.5% 2/15/2027 (c)(f) | 330414 | 330414 |
|  |  | 1348160 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |
| Fertitta Entertainment LLC/NV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.566% 1/29/2029 (c)(d)(f) | 802925 | 802027 |
| Flynn Restaurant Group LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.066% 1/28/2032 (c)(d)(f) | 643425 | 644332 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5572% 6/1/2028 (c)(d)(f) | 641921 | 621463 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5695% 12/30/2026 (c)(d)(f) | 450248 | 432612 |
|  |  | 2500434 |
| Household Durables - 0.0% |  |  |
| TGP Holdings III LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.666% 6/29/2028 (c)(d)(f) | 484826 | 437555 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.6805% 10/30/2027 (c)(d)(f) | 158474 | 157937 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.666% 10/30/2027 (c)(d)(f) | 64500 | 64238 |
|  |  | 659730 |
| Leisure Products - 0.0% |  |  |
| Hayward Industries Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.9305% 5/30/2028 (c)(d)(f) | 403692 | 403914 |
| Specialty Retail - 0.1% |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.2099% 6/6/2031 (c)(d)(f) | 702950 | 681735 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 9.3599% 6/6/2031 (c)(d)(f) | 593583 | 586609 |
| Tory Burch LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.6805% 4/16/2028 (c)(d)(f) | 630154 | 624193 |
| Wand NewCo 3 Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.816% 1/30/2031 (c)(d)(f) | 174547 | 174133 |
|  |  | 2066670 |
| TOTAL CONSUMER DISCRETIONARY |  | 9657680 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 0% 8/6/2030 (c)(d)(e)(f) | 465000 | 453668 |
| Food Products - 0.0% |  |  |
| Del Monte Foods Corp II Inc 1LN, term loan CME Term SOFR 3 month Index + 8.15%, 0% 8/2/2028 (c)(d)(f)(g) | 64646 | 30707 |
| Del Monte Foods Corp II Inc Tranche FLFO B 1LN, term loan CME Term SOFR 3 month Index + 8%, 0% 8/2/2028 (c)(d)(f)(g) | 18811 | 8935 |
| Del Monte Foods Corp II Inc Tranche TLA DIP, term loan CME Term SOFR 3 month Index + 0.1%, 13.9612% 3/30/2026 (c)(d)(f) | 156838 | 149519 |
| Del Monte Foods Corp II Inc Tranche TLB DIP ROLLUP, term loan CME Term SOFR 3 month Index + 0.1%, 13.964% 3/30/2026 (c)(d)(f) | 203467 | 158704 |
| Nourish Buyer I Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.8294% 7/12/2032 (c)(d)(f) | 340000 | 337450 |
|  |  | 685315 |
| TOTAL CONSUMER STAPLES |  | 1138983 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| CVR CHC LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.2956% 12/30/2027 (c)(d)(f) | 561423 | 561423 |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 9.8075% 10/30/2028 (c)(d)(f) | 923088 | 439620 |
|  |  | 1001043 |
| Financials - 0.2% |  |  |
| Capital Markets - 0.0% |  |  |
| Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 7.0712% 2/3/2032 (c)(d)(f) | 1051172 | 1049206 |
| Financial Services - 0.1% |  |  |
| CFC USA 2025 LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.0406% 7/1/2032 (c)(d)(f) | 230000 | 227845 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.816% 7/31/2031 (c)(d)(f) | 433477 | 432484 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.316% 7/31/2031 (c)(d)(f) | 135000 | 134663 |
| Nexus Buyer LLC Tranche B 2LN, term loan CME Term SOFR 1 month Index + 5.75%, 10.066% 2/16/2032 (c)(d)(f) | 330000 | 327938 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.9535% 2/20/2032 (c)(d)(f) | 855000 | 856872 |
|  |  | 1979802 |
| Insurance - 0.1% |  |  |
| Acrisure LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.316% 11/6/2030 (c)(d)(f) | 4975 | 4967 |
| Alliant Hldgs Intermediate LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.823% 9/19/2031 (c)(d)(f) | 404885 | 403897 |
| Asurion LLC Tranche B10 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.416% 8/19/2028 (c)(d)(f) | 633182 | 630511 |
| USI Inc/NY Tranche D 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 6.5456% 11/21/2029 (c)(d)(f) | 498637 | 497859 |
|  |  | 1537234 |
| TOTAL FINANCIALS |  | 4566242 |
| Health Care - 0.2% |  |  |
| Health Care Equipment & Supplies - 0.2% |  |  |
| Bausch + Lomb Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.566% 1/15/2031 (c)(d)(f) | 1005000 | 1005181 |
| Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 6.316% 10/23/2028 (c)(d)(f) | 1480405 | 1480257 |
| QuidelOrtho Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 8/16/2032 (c)(d)(e)(f) | 645000 | 636938 |
|  |  | 3122376 |
| Health Care Technology - 0.0% |  |  |
| AthenaHealth Group Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.066% 2/15/2029 (c)(d)(f) | 344644 | 344285 |
| Pharmaceuticals - 0.0% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 10.566% 10/8/2030 (c)(d)(f) | 730000 | 719254 |
| TOTAL HEALTH CARE |  | 4185915 |
| Industrials - 0.1% |  |  |
| Building Products - 0.0% |  |  |
| Oscar Acquisitionco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.5456% 4/29/2029 (c)(d)(f) | 64 | 58 |
| Commercial Services & Supplies - 0.1% |  |  |
| ABG Intermediate Holdings 2 LLC Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 6.566% 12/21/2028 (c)(d)(f) | 581206 | 579847 |
| Allied Universal Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.5904% 8/6/2032 (c)(d)(f) | 275000 | 275781 |
| Brand Industrial Services Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.7962% 8/1/2030 (c)(d)(f) | 14775 | 12943 |
| Neptune Bidco US Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 9.4294% 4/11/2029 (c)(d)(f) | 457972 | 444233 |
|  |  | 1312804 |
| Ground Transportation - 0.0% |  |  |
| Genesee & Wyoming Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 6.0456% 4/10/2031 (c)(d)(f) | 426775 | 424688 |
| Machinery - 0.0% |  |  |
| Beach Acquisition Bidco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 6/28/2032 (c)(d)(e)(f) | 35000 | 35204 |
| Passenger Airlines - 0.0% |  |  |
| Vista Management Holding Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 8.0406% 4/1/2031 (c)(d)(f) | 15000 | 15070 |
| TOTAL INDUSTRIALS |  | 1787824 |
| Information Technology - 0.2% |  |  |
| Communications Equipment - 0.0% |  |  |
| CommScope LLC 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.066% 12/17/2029 (c)(d)(f) | 890000 | 904738 |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| DG Investment Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.1017% 7/12/2032 (c)(d)(f) | 10000 | 10025 |
| IT Services - 0.1% |  |  |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5792% 2/10/2028 (c)(d)(f) | 337785 | 322224 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (f) | 475000 | 466602 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.9579% 10/26/2029 (c)(d)(f) | 1262890 | 1233578 |
|  |  | 2022404 |
| Software - 0.1% |  |  |
| Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.316% 12/11/2028 (c)(d)(f) | 1022896 | 1021935 |
| Cloud Software Group Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.4829% 8/13/2032 (c)(d)(f) | 95000 | 95135 |
| Cloud Software Group Inc Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.4829% 3/21/2031 (c)(d)(f) | 75000 | 75172 |
| Ellucian Holdings Inc 2LN, term loan CME Term SOFR 1 month Index + 4.75%, 9.066% 11/22/2032 (c)(d)(f) | 105000 | 107888 |
| Ellucian Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 7.066% 10/9/2029 (c)(d)(f) | 5000 | 5003 |
| Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.3195% 6/2/2028 (c)(d)(f) | 787992 | 747158 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 0% 8/31/2028 (c)(d)(e)(f) | 295000 | 296330 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.316% 8/31/2028 (c)(d)(f) | 713194 | 716411 |
|  |  | 3065032 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Sandisk Corp/DE Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 7.3407% 2/20/2032 (c)(d)(f) | 359526 | 358178 |
| TOTAL INFORMATION TECHNOLOGY |  | 6360377 |
| Materials - 0.2% |  |  |
| Chemicals - 0.2% |  |  |
| Advancion Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.416% 11/24/2027 (c)(d)(f) | 543346 | 525415 |
| Arc Falcon I Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.916% 9/30/2028 (c)(d)(f) | 403733 | 403834 |
| Discovery Purchaser Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.375%, 8.082% 10/4/2029 (c)(d)(f) | 524601 | 522854 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.3206% 7/3/2028 (c)(d)(f) | 492692 | 433263 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.3599% 3/15/2029 (c)(d)(f) | 752448 | 750725 |
| INEOS US Petrochem LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.666% 4/2/2029 (c)(d)(f) | 588902 | 528539 |
| Iris Holding Inc 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 9.1579% 6/28/2028 (c)(d)(f) | 515000 | 497887 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 9.0579% 8/25/2031 (c)(d)(f) | 716807 | 705381 |
| Olympus Water US Holding Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 7/26/2032 (c)(d)(e)(f) | 30000 | 29900 |
| Scih Salt Hldgs Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 7.1971% 1/31/2029 (c)(d)(f) | 500955 | 501721 |
|  |  | 4899519 |
| Containers & Packaging - 0.0% |  |  |
| Clydesdale Acquisition Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 3.175%, 7.491% 4/13/2029 (c)(d)(f) | 1144237 | 1142658 |
| Metals & Mining - 0.0% |  |  |
| Vibrantz Technologies Inc 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.7285% 4/23/2029 (c)(d)(f) | 489256 | 386615 |
| TOTAL MATERIALS |  | 6428792 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| NRG Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 6.0643% 4/16/2031 (c)(d)(f) | 35000 | 35028 |
| WEC US Holdings Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.6036% 1/27/2031 (c)(d)(f) | 503600 | 503515 |
|  |  | 538543 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.816% 3/29/2030 (c)(d)(f) | 253406 | 255096 |
| TOTAL UTILITIES |  | 793639 |
| TOTAL UNITED STATES |  | 40378250 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $42,237,479) |  | <br> **41893073** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.4%  |  |  |
| Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/2066 (b) | 4125132 | 3668433 |
| Bravo Residential Funding Trust Series 2020-RPL2 Class A1, 2% 5/25/2059 (b) | 2398993 | 2239598 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (b)(c) | 425179 | 418230 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(c) | 217549 | 216391 |
| CSMC Trust Series 2020-RPL4 Class A1, 2% 1/25/2060 (b) | 742503 | 666633 |
| CSMC Trust Series 2021-RPL9 Class A1, 3.858% 2/25/2061 (b)(c) | 6351805 | 6682814 |
| Fannie Mae Guaranteed REMIC Series 2018-3 Class LP, 3% 2/25/2047  | 3011596 | 2861323 |
| Fannie Mae Guaranteed REMIC Series 2019-33 Class N, 3% 3/25/2048  | 3968647 | 3798104 |
| Fannie Mae Guaranteed REMIC Series 2019-59 Class AB, 2.5% 10/25/2039  | 1418380 | 1301111 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 28501 | 28407 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-4873 Class CA, 4% 7/15/2047  | 1037696 | 1029685 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-4903 Class DA, 3% 10/25/2048  | 2028948 | 1914675 |
| Gcat 2021-Nqm7 Tr Series 2021-NQM7 Class A1, 1.915% 8/25/2066 (b) | 2053237 | 1900366 |
| Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 5.25% 7/25/2067 (b)(c) | 5110708 | 5109557 |
| New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/2059 (b) | 805088 | 753604 |
| Oceanview Mortgage Loan Trust Series 2020-1 Class A1A, 1.7329% 5/28/2050 (b) | 1214052 | 1142867 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (b) | 81005 | 80354 |
| PRET LLC Series 2022-RN1 Class A1, 6.721% 7/25/2051 (b)(h) | 3261870 | 3270122 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 5.5468% 7/20/2034 (c)(d) | 358 | 332 |
| TOTAL UNITED STATES |  | 37082606 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $38,503,848) |  | <br> **37082606** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 3.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 3.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 3.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 3.8%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.1066% 6/15/2040 (b)(c)(d) | 4840000 | 4861175 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) | 1362034 | 1307500 |
| BANK Series 2021-BN33 Class XA, 1.155% 5/15/2064 (c)(i) | 20395256 | 822178 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.8756% 12/15/2062 (c)(i) | 22547524 | 460630 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.4938% 3/15/2053 (c)(i) | 43236062 | 1840308 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 5.4785% 9/15/2026 (b)(c)(d) | 5047000 | 4993766 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.735% 6/15/2041 (b)(c)(d) | 1009000 | 1010892 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 6.0044% 5/15/2041 (b)(c) | 1901798 | 1906553 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.4093% 4/15/2034 (b)(c)(d) | 289181 | 287374 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 5.1666% 10/15/2036 (b)(c)(d) | 4501000 | 4498199 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 5.376% 2/15/2039 (b)(c)(d) | 2833938 | 2833938 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 6.1245% 12/9/2040 (b)(c)(d) | 1088333 | 1090374 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6559% 12/15/2039 (b)(c)(d) | 463064 | 464365 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.8065% 4/15/2040 (b)(c)(d) | 3044910 | 3051571 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.805% 4/15/2041 (b)(c)(d) | 2272096 | 2277776 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(c)(d) | 3913736 | 3908845 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.7566% 3/15/2030 (b)(c)(d) | 572766 | 570299 |
| BX Trust Series 2021-ACNT Class A, CME Term SOFR 1 month Index + 0.9645%, 5.3275% 11/15/2038 (b)(c)(d) | 3737821 | 3736653 |
| BX Trust Series 2021-MFM1 Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1775% 1/15/2034 (b)(c)(d) | 224786 | 224715 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.5131% 2/15/2035 (b)(c)(d) | 1310000 | 1310204 |
| Cent Trust Series 2025-CITY Class A, 5.0909% 7/10/2040 (b)(c) | 1322000 | 1339005 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A1, 1.69% 7/15/2060 (b) | 6609116 | 5721316 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (b) | 5317193 | 4442768 |
| Citigroup Commercial Mortgage Trust Series 2016-GC36 Class AAB, 3.368% 2/10/2049  | 47376 | 47311 |
| COMM Mortgage Trust Series 2020-SBX Class A, 1.67% 1/10/2038 (b) | 8241000 | 8227238 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 5.1795% 11/15/2038 (b)(c)(d) | 6022816 | 6019052 |
| EQT Trust Series 2024-EXTR Class A, 5.3308% 7/5/2041 (b)(c) | 5418000 | 5546543 |
| Extended Stay America Trust Series 2021-ESH Class A, CME Term SOFR 1 month Index + 1.1945%, 5.5575% 7/15/2038 (b)(c)(d) | 1780925 | 1780369 |
| GS Mortgage Securities Trust Series 2011-GC5 Class AS, 5.209% 8/10/2044 (b)(c) | 1667640 | 1631197 |
| GS Mortgage Securities Trust Series 2013-GC13 Class AS, 4.0061% 7/10/2046 (b)(c) | 2496870 | 2459467 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.4285% 10/15/2036 (b)(c)(d) | 2682000 | 2680331 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class A2, 2.9838% 12/15/2049  | 240098 | 238404 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (b) | 2708000 | 2572600 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD Class A, CME Term SOFR 1 month Index + 1.6145%, 5.9785% 9/15/2029 (b)(c)(d) | 957087 | 937993 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1785% 7/15/2038 (b)(c)(d) | 2266000 | 2266000 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C28 Class A3, 3.272% 1/15/2049  | 1222117 | 1216567 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.2876% 6/15/2054 (c)(i) | 6587503 | 264890 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.4522% 11/15/2040 (b)(c)(d) | 94138 | 94197 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.2084% 11/15/2038 (b)(c)(d) | 3402341 | 3401278 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.606% 12/15/2039 (b)(c)(d) | 1578000 | 1578000 |
| Wells Fargo Commercial Mortgage Trust Series 2017-RC1 Class ASB, 3.453% 1/15/2060  | 402769 | 401272 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 6.1544% 10/15/2041 (b)(c)(d) | 1920000 | 1922975 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (b)(c) | 1076000 | 1080683 |
| TOTAL UNITED STATES |  | 97326771 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $100,015,100) |  | <br> **97326771** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| New Fortress Energy Inc <br>(Cost $54,464)<br>| 5740 | **14120** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 0.1%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.1%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| EchoStar Corp 3.875% 11/30/2030 pay-in-kind  | 342297 | 696643 |
| Financials - 0.1% |  |  |
| Financial Services - 0.1% |  |  |
| Redfin Corp 0.5% 4/1/2027  | 970000 | 892383 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Riot Platforms Inc 0.75% 1/15/2030 (b) | 445000 | 533555 |
| TOTAL UNITED STATES |  | 2122581 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $1,704,415) |  | <br> **2122581** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.2%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.2%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| MEXICO - 0.2%  |  |  |
| United Mexican States 3.25% 4/16/2030  | 3525000 | 3295578 |
| United Mexican States 6% 5/13/2030  | 2190000 | 2289645 |
| TOTAL MEXICO |  | 5585223 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $5,695,007) |  | <br> **5585223** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 66.3%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 66.3%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 66.3%** |
|  | 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 (b) | 250000 | 253228 |
| AUSTRALIA - 0.6%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Westpac Banking Corp 4.11% 7/24/2034 (c) | 1710000 | 1673683 |
| Materials - 0.5% |  |  |
| Metals & Mining - 0.5% |  |  |
| Glencore Funding LLC 4.907% 4/1/2028 (b) | 7311000 | 7432434 |
| Glencore Funding LLC 5.338% 4/4/2027 (b) | 5275000 | 5355511 |
| Mineral Resources Ltd 9.25% 10/1/2028 (b) | 980000 | 1024509 |
|  |  | 13812454 |
| TOTAL AUSTRALIA |  | 15486137 |
| BAILIWICK OF JERSEY - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobiles - 0.0% |  |  |
| Aston Martin Capital Holdings Ltd 10% 3/31/2029 (b) | 215000 | 209151 |
| BRAZIL - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| ERO Copper Corp 6.5% 2/15/2030 (b) | 845000 | 823875 |
| Samarco Mineracao SA 9% 6/30/2031 pay-in-kind (b)(c) | 410000 | 407110 |
| TOTAL BRAZIL |  | 1230985 |
| CAMEROON - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Golar LNG Ltd 7.75% 9/19/2029 (b)(j) | 200000 | 201410 |
| CANADA - 2.3%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| TELUS Corp 6.625% 10/15/2055 (c) | 500000 | 508668 |
| Consumer Discretionary - 0.1% |  |  |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| 1011778 BC ULC / New Red Finance Inc 3.875% 1/15/2028 (b) | 700000 | 681358 |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (b) | 570000 | 532961 |
| 1011778 BC ULC / New Red Finance Inc 5.625% 9/15/2029 (b) | 545000 | 551486 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (b) | 305000 | 312399 |
| Ontario Gaming GTA LP/OTG Co-Issuer Inc 8% 8/1/2030 (b) | 500000 | 503625 |
|  |  | 2581829 |
| Consumer Staples - 0.0% |  |  |
| Household Products - 0.0% |  |  |
| Kronos Acquisition Holdings Inc 8.25% 6/30/2031 (b) | 335000 | 248738 |
| Energy - 1.1% |  |  |
| Oil, Gas & Consumable Fuels - 1.1% |  |  |
| Baytex Energy Corp 7.375% 3/15/2032 (b) | 260000 | 254046 |
| Canadian Natural Resources Ltd 5% 12/15/2029 (b) | 1469000 | 1497408 |
| Enbridge Inc 1.6% 10/4/2026  | 10000000 | 9719461 |
| Enbridge Inc 4.6% 6/20/2028  | 822000 | 830780 |
| Enbridge Inc 5.3% 4/5/2029  | 3720000 | 3839693 |
| Enbridge Inc 5.9% 11/15/2026  | 2300000 | 2340237 |
| Parkland Corp 6.625% 8/15/2032 (b) | 540000 | 556161 |
| South Bow USA Infrastructure Holdings LLC 4.911% 9/1/2027  | 5989000 | 6040345 |
|  |  | 25078131 |
| Financials - 0.6% |  |  |
| Banks - 0.4% |  |  |
| Bank of Nova Scotia/The 5.13% 2/14/2031 (c) | 4990000 | 5133264 |
| Toronto Dominion Bank 4.783% 12/17/2029  | 4185000 | 4276390 |
|  |  | 9409654 |
| Insurance - 0.2% |  |  |
| Empower Finance 2020 LP 1.357% 9/17/2027 (b) | 5321000 | 5017821 |
| TOTAL FINANCIALS |  | 14427475 |
| Industrials - 0.1% |  |  |
| Commercial Services & Supplies - 0.0% |  |  |
| Wrangler Holdco Corp 6.625% 4/1/2032 (b) | 205000 | 213703 |
| Ground Transportation - 0.1% |  |  |
| Canadian Pacific Railway Co 1.75% 12/2/2026  | 2099000 | 2039166 |
| Machinery - 0.0% |  |  |
| New Flyer Holdings Inc 9.25% 7/1/2030 (b) | 120000 | 128723 |
| TOTAL INDUSTRIALS |  | 2381592 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Open Text Corp 3.875% 2/15/2028 (b) | 1300000 | 1263600 |
| Materials - 0.4% |  |  |
| Chemicals - 0.3% |  |  |
| Methanex Corp 5.125% 10/15/2027  | 705000 | 701866 |
| Nutrien Ltd 4.9% 3/27/2028  | 8000000 | 8136739 |
|  |  | 8838605 |
| Containers & Packaging - 0.0% |  |  |
| Toucan FinCo Ltd/Toucan FinCo Can Inc/Toucan FinCo US LLC 9.5% 5/15/2030 (b) | 495000 | 494653 |
| Metals & Mining - 0.1% |  |  |
| Capstone Copper Corp 6.75% 3/31/2033 (b) | 245000 | 251595 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (b) | 900000 | 893825 |
| New Gold Inc 6.875% 4/1/2032 (b) | 215000 | 224109 |
|  |  | 1369529 |
| TOTAL MATERIALS |  | 10702787 |
| TOTAL CANADA |  | 57192820 |
| COLOMBIA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Canacol Energy Ltd 5.75% 11/24/2028 (b) | 405000 | 150356 |
| Gran Tierra Energy Inc 9.5% 10/15/2029 (b)(k) | 190000 | 154620 |
|  |  | 304976 |
| 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 (b) | 575000 | 527563 |
| TOTAL COLOMBIA |  | 832539 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Ivanhoe Mines Ltd 7.875% 1/23/2030 (b) | 365000 | 369629 |
| DENMARK - 0.5%  |  |  |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Danske Bank A/S 4.298% 4/1/2028 (b)(c) | 7500000 | 7501766 |
| Danske Bank A/S 6.259% 9/22/2026 (b)(c) | 5262000 | 5266864 |
| TOTAL DENMARK |  | 12768630 |
| FRANCE - 1.8%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Altice France SA 5.125% 7/15/2029 (b) | 210000 | 179550 |
| Altice France SA 5.5% 1/15/2028 (b) | 200000 | 176000 |
| Altice France SA 5.5% 10/15/2029 (b) | 80000 | 68600 |
|  |  | 424150 |
| Energy - 0.0% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Viridien 10% 10/15/2030 (b) | 250000 | 249832 |
| Financials - 1.8% |  |  |
| Banks - 1.8% |  |  |
| BNP Paribas SA 1.323% 1/13/2027 (b)(c) | 7417000 | 7330383 |
| BNP Paribas SA 4.792% 5/9/2029 (b)(c) | 7300000 | 7368412 |
| BPCE SA 1.652% 10/6/2026 (b)(c) | 5000000 | 4985991 |
| BPCE SA 2.045% 10/19/2027 (b)(c) | 6865000 | 6678125 |
| Societe Generale SA 1.488% 12/14/2026 (b)(c) | 4870000 | 4825580 |
| Societe Generale SA 1.792% 6/9/2027 (b)(c) | 6750000 | 6607066 |
| Societe Generale SA 5.249% 5/22/2029 (b)(c) | 7350000 | 7461513 |
| Societe Generale SA 5.5% 4/13/2029 (b)(c) | 1296000 | 1324694 |
|  |  | 46581764 |
| TOTAL FRANCE |  | 47255746 |
| GERMANY - 2.9%  |  |  |
| Consumer Discretionary - 0.8% |  |  |
| Automobile Components - 0.0% |  |  |
| ZF North America Capital Inc 6.75% 4/23/2030 (b) | 415000 | 404491 |
| Automobiles - 0.8% |  |  |
| Mercedes-Benz Finance North America LLC 4.8% 8/1/2029 (b) | 5000000 | 5095638 |
| Volkswagen Group of America Finance LLC 1.25% 11/24/2025 (b) | 15040000 | 14927508 |
|  |  | 20023146 |
| TOTAL CONSUMER DISCRETIONARY |  | 20427637 |
| Financials - 1.2% |  |  |
| Capital Markets - 1.2% |  |  |
| Deutsche Bank AG/New York NY 2.129% 11/24/2026 (c) | 14479000 | 14396750 |
| Deutsche Bank AG/New York NY 2.311% 11/16/2027 (c) | 7028000 | 6855412 |
| Deutsche Bank AG/New York NY 4.95% 8/4/2031 (c) | 6430000 | 6482869 |
|  |  | 27735031 |
| Health Care - 0.5% |  |  |
| Pharmaceuticals - 0.5% |  |  |
| Bayer US Finance II LLC 4.25% 12/15/2025 (b) | 10500000 | 10483500 |
| Bayer US Finance LLC 6.125% 11/21/2026 (b) | 3000000 | 3052713 |
|  |  | 13536213 |
| Industrials - 0.4% |  |  |
| Machinery - 0.4% |  |  |
| Daimler Truck Finance North America LLC 2% 12/14/2026 (b) | 5000000 | 4863212 |
| Daimler Truck Finance North America LLC 4.95% 1/13/2028 (b) | 1704000 | 1727989 |
| Daimler Truck Finance North America LLC 5.125% 9/25/2027 (b) | 1437000 | 1460410 |
| TK Elevator US Newco Inc 5.25% 7/15/2027 (b) | 1375000 | 1371098 |
|  |  | 9422709 |
| TOTAL GERMANY |  | 71121590 |
| GHANA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Kosmos Energy Ltd 7.125% 4/4/2026 (b) | 600000 | 594600 |
| Kosmos Energy Ltd 7.75% 5/1/2027 (b) | 415000 | 392833 |
| Tullow Oil PLC 10.25% 5/15/2026 (b) | 21000 | 17686 |
| TOTAL GHANA |  | 1005119 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (b) | 855000 | 879706 |
| IRELAND - 1.7%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Flutter Treasury DAC 5.875% 6/4/2031 (b) | 885000 | 901116 |
| Financials - 1.0% |  |  |
| Banks - 0.1% |  |  |
| Bank of Ireland Group PLC 5.601% 3/20/2030 (b)(c) | 3531000 | 3667316 |
| Consumer Finance - 0.8% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.75% 1/30/2026  | 7095000 | 7013770 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 2102000 | 2058951 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.1% 1/15/2027  | 5500000 | 5620281 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 3836000 | 3959862 |
|  |  | 18652864 |
| Financial Services - 0.1% |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (b) | 545000 | 550430 |
| GGAM Finance Ltd 7.75% 5/15/2026 (b) | 1190000 | 1194084 |
|  |  | 1744514 |
| TOTAL FINANCIALS |  | 24064694 |
| Industrials - 0.7% |  |  |
| Transportation Infrastructure - 0.7% |  |  |
| Avolon Holdings Funding Ltd 2.528% 11/18/2027 (b) | 4000000 | 3838978 |
| Avolon Holdings Funding Ltd 4.95% 1/15/2028 (b) | 3331000 | 3364231 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (b) | 2953000 | 3029985 |
| Avolon Holdings Funding Ltd 5.5% 1/15/2026 (b) | 3189000 | 3194163 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (b) | 4950000 | 5122555 |
|  |  | 18549912 |
| TOTAL IRELAND |  | 43515722 |
| ISRAEL - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Energean Israel Finance Ltd 5.375% 3/30/2028 (b)(j) | 130000 | 126100 |
| Energean PLC 6.5% 4/30/2027 (b) | 1160000 | 1147153 |
|  |  | 1273253 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  | 635000 | 649044 |
| TOTAL ISRAEL |  | 1922297 |
| ITALY - 0.4%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Intesa Sanpaolo SpA 5.71% 1/15/2026 (b) | 5031000 | 5042248 |
| Utilities - 0.2% |  |  |
| Electric Utilities - 0.2% |  |  |
| Enel Finance International NV 5.125% 6/26/2029 (b) | 5000000 | 5124865 |
| TOTAL ITALY |  | 10167113 |
| JAPAN - 2.2%  |  |  |
| Communication Services - 0.4% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| NTT Finance Corp 1.591% 4/3/2028 (b) | 10000000 | 9374509 |
| NTT Finance Corp 4.567% 7/16/2027 (b) | 311000 | 312973 |
| NTT Finance Corp 4.62% 7/16/2028 (b) | 314000 | 317350 |
|  |  | 10004832 |
| Consumer Staples - 0.2% |  |  |
| Tobacco - 0.2% |  |  |
| Japan Tobacco Inc 4.85% 5/15/2028 (b) | 2993000 | 3045105 |
| Japan Tobacco Inc 5.21% 6/15/2030 (b) | 2486000 | 2581728 |
|  |  | 5626833 |
| Financials - 1.6% |  |  |
| Banks - 1.1% |  |  |
| Mitsubishi UFJ Financial Group Inc 1.538% 7/20/2027 (c) | 10000000 | 9756145 |
| Mitsubishi UFJ Financial Group Inc 1.64% 10/13/2027 (c) | 5000000 | 4856742 |
| Mizuho Financial Group Inc 1.234% 5/22/2027 (c) | 10000000 | 9779396 |
| Mizuho Financial Group Inc 4.711% 7/8/2031 (c) | 4464000 | 4515363 |
|  |  | 28907646 |
| Capital Markets - 0.5% |  |  |
| Nomura Holdings Inc 1.653% 7/14/2026  | 12500000 | 12222045 |
| TOTAL FINANCIALS |  | 41129691 |
| TOTAL JAPAN |  | 56761356 |
| LUXEMBOURG - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice Financing SA 5% 1/15/2028 (b) | 165000 | 134731 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| ION Trading Technologies Sarl 5.75% 5/15/2028 (b) | 595000 | 576891 |
| TOTAL LUXEMBOURG |  | 711622 |
| MAURITIUS - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Axian Telecom Holding & Management PLC 7.25% 7/11/2030 (b) | 255000 | 255000 |
| MEXICO - 0.7%  |  |  |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Petroleos Mexicanos 6.49% 1/23/2027  | 6035000 | 6043147 |
| Petroleos Mexicanos 6.5% 3/13/2027  | 12000000 | 12054000 |
| TOTAL MEXICO |  | 18097147 |
| NETHERLANDS - 1.5%  |  |  |
| Consumer Staples - 0.4% |  |  |
| Food Products - 0.4% |  |  |
| JDE Peet's NV 1.375% 1/15/2027 (b) | 10440000 | 10007483 |
| Financials - 1.0% |  |  |
| Banks - 1.0% |  |  |
| ABN AMRO Bank NV 1.542% 6/16/2027 (b)(c) | 8114000 | 7933750 |
| Cooperatieve Rabobank UA 1.98% 12/15/2027 (b)(c) | 7500000 | 7282289 |
| ING Groep NV 1.726% 4/1/2027 (c) | 4192000 | 4129608 |
| ING Groep NV 5.335% 3/19/2030 (c) | 6564000 | 6775134 |
|  |  | 26120781 |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.3% 8/19/2028  | 1545000 | 1548260 |
| TOTAL NETHERLANDS |  | 37676524 |
| NIGERIA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| IHS Holding Ltd 7.875% 5/29/2030 (b) | 295000 | 300882 |
| IHS Holding Ltd 8.25% 11/29/2031 (b) | 205000 | 210855 |
| TOTAL NIGERIA |  | 511737 |
| NORWAY - 0.6%  |  |  |
| Energy - 0.0% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Seadrill Finance Ltd 8.375% 8/1/2030 (b) | 370000 | 384252 |
| TGS ASA 8.5% 1/15/2030 (b) | 435000 | 443891 |
|  |  | 828143 |
| Financials - 0.6% |  |  |
| Banks - 0.6% |  |  |
| DNB Bank ASA 1.535% 5/25/2027 (b)(c) | 4643000 | 4550857 |
| DNB Bank ASA 1.605% 3/30/2028 (b)(c) | 9570000 | 9188404 |
|  |  | 13739261 |
| TOTAL NORWAY |  | 14567404 |
| PANAMA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (b) | 500000 | 508125 |
| Wireless Telecommunication Services - 0.0% |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (b) | 545000 | 572178 |
| TOTAL PANAMA |  | 1080303 |
| SOUTH AFRICA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Liquid Telecommunications Financing Plc 5.5% 9/4/2026 (b) | 395000 | 341924 |
| SPAIN - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Banco Santander SA 1.722% 9/14/2027 (c) | 5000000 | 4864028 |
| Banco Santander SA 5.365% 7/15/2028 (c) | 4000000 | 4080939 |
| TOTAL SPAIN |  | 8944967 |
| SWITZERLAND - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Capital Markets - 0.4% |  |  |
| UBS Group AG 1.305% 2/2/2027 (b)(c) | 10000000 | 9870947 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 7.875% 5/1/2027 (b) | 490000 | 495254 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 9.5% 6/1/2028 (b) | 125000 | 129997 |
|  |  | 625251 |
| TOTAL SWITZERLAND |  | 10496198 |
| TANZANIA - 0.0%  |  |  |
| Information Technology - 0.0% |  |  |
| Communications Equipment - 0.0% |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (b) | 675000 | 698625 |
| UNITED KINGDOM - 5.1%  |  |  |
| Consumer Discretionary - 0.1% |  |  |
| Automobile Components - 0.1% |  |  |
| Macquarie Airfinance Holdings Ltd 8.125% 3/30/2029 (b) | 1125000 | 1172770 |
| Specialty Retail - 0.0% |  |  |
| Belron UK Finance PLC 5.75% 10/15/2029 (b) | 620000 | 627801 |
| TOTAL CONSUMER DISCRETIONARY |  | 1800571 |
| Consumer Staples - 1.1% |  |  |
| Tobacco - 1.1% |  |  |
| BAT International Finance PLC 1.668% 3/25/2026  | 15000000 | 14768960 |
| BAT International Finance PLC 5.931% 2/2/2029  | 5000000 | 5254458 |
| Imperial Brands Finance PLC 4.5% 6/30/2028 (b) | 2134000 | 2147584 |
| Imperial Brands Finance PLC 5.5% 2/1/2030 (b) | 5000000 | 5179336 |
|  |  | 27350338 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| EG Global Finance PLC 12% 11/30/2028 (b) | 1700000 | 1876975 |
| Financials - 3.5% |  |  |
| Banks - 3.3% |  |  |
| Barclays PLC 2.279% 11/24/2027 (c) | 5000000 | 4877516 |
| Barclays PLC 4.476% 11/11/2029 (c) | 7700000 | 7713787 |
| Barclays PLC 5.367% 2/25/2031 (c) | 5200000 | 5363341 |
| Barclays PLC 5.69% 3/12/2030 (c) | 1821000 | 1894802 |
| HSBC Holdings PLC 4.899% 3/3/2029 (c) | 9152000 | 9283189 |
| HSBC Holdings PLC 5.21% 8/11/2028 (c) | 4327000 | 4395897 |
| HSBC Holdings PLC 5.24% 5/13/2031 (c) | 7250000 | 7452759 |
| HSBC Holdings PLC 5.597% 5/17/2028 (c) | 6300000 | 6432160 |
| HSBC Holdings PLC 7.39% 11/3/2028 (c) | 4000000 | 4251409 |
| Lloyds Banking Group PLC 3.574% 11/7/2028 (c) | 4000000 | 3940292 |
| Lloyds Banking Group PLC 4.818% 6/13/2029 (c) | 3954000 | 4009918 |
| Lloyds Banking Group PLC 5.087% 11/26/2028 (c) | 1122000 | 1140760 |
| Lloyds Banking Group PLC 5.721% 6/5/2030 (c) | 3667000 | 3835995 |
| NatWest Group PLC 4.964% 8/15/2030 (c) | 13500000 | 13781954 |
| NatWest Markets PLC 4.789% 3/21/2028 (b) | 6000000 | 6110043 |
|  |  | 84483822 |
| Financial Services - 0.2% |  |  |
| Nationwide Building Society 6.557% 10/18/2027 (b)(c) | 5800000 | 5935322 |
| TOTAL FINANCIALS |  | 90419144 |
| Industrials - 0.3% |  |  |
| Aerospace & Defense - 0.3% |  |  |
| BAE Systems Finance Inc 7.5% 7/1/2027 (b) | 4000000 | 4235479 |
| BAE Systems PLC 5% 3/26/2027 (b) | 1667000 | 1686076 |
| BAE Systems PLC 5.125% 3/26/2029 (b) | 1551000 | 1599642 |
|  |  | 7521197 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| INEOS Quattro Finance 2 Plc 9.625% 3/15/2029 (b) | 125000 | 125290 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (b) | 505000 | 512220 |
| TOTAL UNITED KINGDOM |  | 129605735 |
| UNITED STATES - 45.2%  |  |  |
| Communication Services - 1.6% |  |  |
| Diversified Telecommunication Services - 0.7% |  |  |
| AT&T Inc 1.65% 2/1/2028  | 12588000 | 11878178 |
| AT&T Inc 4.7% 8/15/2030  | 2877000 | 2920894 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (b) | 1005000 | 991505 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (b) | 405000 | 401346 |
| Frontier Communications Holdings LLC 5% 5/1/2028 (b) | 960000 | 957506 |
| Level 3 Financing Inc 3.875% 10/15/2030 (b) | 150000 | 127499 |
| Level 3 Financing Inc 4% 4/15/2031 (b) | 225000 | 188438 |
| Level 3 Financing Inc 4.875% 6/15/2029 (b) | 355000 | 331038 |
|  |  | 17796404 |
| Entertainment - 0.1% |  |  |
| Live Nation Entertainment Inc 4.75% 10/15/2027 (b) | 1550000 | 1537095 |
| ROBLOX Corp 3.875% 5/1/2030 (b) | 395000 | 375549 |
|  |  | 1912644 |
| Media - 0.8% |  |  |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 3/1/2030 (b) | 255000 | 245072 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.125% 5/1/2027 (b) | 1635000 | 1626761 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.375% 6/1/2029 (b)(k) | 630000 | 625107 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.75% 2/15/2028  | 4000000 | 3941143 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.15% 11/10/2026  | 4070000 | 4131020 |
| Clear Channel Outdoor Holdings Inc 7.125% 2/15/2031 (b) | 505000 | 512968 |
| Clear Channel Outdoor Holdings Inc 7.5% 3/15/2033 (b) | 150000 | 152678 |
| Clear Channel Outdoor Holdings Inc 7.5% 6/1/2029 (b) | 80000 | 74375 |
| CSC Holdings LLC 5.5% 4/15/2027 (b) | 160000 | 153873 |
| DISH DBS Corp 5.125% 6/1/2029  | 445000 | 367348 |
| DISH Network Corp 11.75% 11/15/2027 (b) | 580000 | 613216 |
| EchoStar Corp 10.75% 11/30/2029  | 760000 | 817950 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (c) | 1545000 | 1524251 |
| EW Scripps Co/The 9.875% 8/15/2030 (b) | 225000 | 211508 |
| Sirius XM Radio LLC 3.125% 9/1/2026 (b)(k) | 1660000 | 1649741 |
| TEGNA Inc 5% 9/15/2029  | 310000 | 310322 |
| Univision Communications Inc 7.375% 6/30/2030 (b) | 780000 | 784259 |
| Univision Communications Inc 8% 8/15/2028 (b) | 375000 | 389223 |
| Univision Communications Inc 9.375% 8/1/2032 (b) | 125000 | 131636 |
| Warnermedia Holdings Inc 3.755% 3/15/2027  | 2385000 | 2349225 |
|  |  | 20611676 |
| TOTAL COMMUNICATION SERVICES |  | 40320724 |
| Consumer Discretionary - 3.4% |  |  |
| Automobile Components - 0.1% |  |  |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (b) | 190000 | 196882 |
| Clarios Global LP / Clarios US Finance Co 6.75% 5/15/2028 (b) | 1200000 | 1226784 |
| Patrick Industries Inc 6.375% 11/1/2032 (b) | 380000 | 385473 |
|  |  | 1809139 |
| Automobiles - 1.5% |  |  |
| General Motors Financial Co Inc 1.25% 1/8/2026  | 8359000 | 8262669 |
| General Motors Financial Co Inc 2.35% 2/26/2027  | 7500000 | 7284025 |
| General Motors Financial Co Inc 5.8% 6/23/2028  | 7500000 | 7763238 |
| General Motors Financial Co Inc 6% 1/9/2028  | 5000000 | 5179136 |
| Hyundai Capital America 4.875% 6/23/2027 (b) | 6250000 | 6303351 |
| Hyundai Capital America 5.45% 6/24/2026 (b) | 3147000 | 3171051 |
| Nissan Motor Acceptance Co LLC 2.45% 9/15/2028 (b) | 45000 | 40884 |
| Nissan Motor Acceptance Co LLC 5.55% 9/13/2029 (b)(k) | 70000 | 69071 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (b) | 360000 | 340160 |
|  |  | 38413585 |
| Broadline Retail - 0.1% |  |  |
| Saks Global Enterprises LLC 11% 12/15/2029 (b) | 420180 | 165929 |
| Wayfair LLC 7.25% 10/31/2029 (b)(k) | 455000 | 463931 |
| Wayfair LLC 7.75% 9/15/2030 (b) | 690000 | 712876 |
|  |  | 1342736 |
| Distributors - 0.2% |  |  |
| Genuine Parts Co 4.95% 8/15/2029  | 6200000 | 6329028 |
| Diversified Consumer Services - 0.2% |  |  |
| Service Corp International/US 5.75% 10/15/2032 (k) | 500000 | 504969 |
| Sotheby's 7.375% 10/15/2027 (b) | 1325000 | 1310415 |
| StoneMor Inc 8.5% 5/15/2029 (b) | 770000 | 742842 |
| TKC Holdings Inc 10.5% 5/15/2029 (b) | 710000 | 724899 |
| WASH Multifamily Acquisition Inc 5.75% 4/15/2026 (b)(k) | 1325000 | 1324258 |
|  |  | 4607383 |
| Hotels, Restaurants & Leisure - 0.4% |  |  |
| Boyd Gaming Corp 4.75% 12/1/2027  | 475000 | 470684 |
| Caesars Entertainment Inc 6% 10/15/2032 (b)(k) | 390000 | 382377 |
| Carnival Corp 5.75% 3/15/2030 (b) | 420000 | 430564 |
| Carnival Corp 5.75% 8/1/2032 (b) | 125000 | 127187 |
| Carnival Corp 5.875% 6/15/2031 (b) | 970000 | 994391 |
| Carnival Corp 6.125% 2/15/2033 (b) | 455000 | 467235 |
| Churchill Downs Inc 4.75% 1/15/2028 (b) | 325000 | 321490 |
| Churchill Downs Inc 6.75% 5/1/2031 (b)(k) | 525000 | 539582 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (b) | 955000 | 898130 |
| Hilton Domestic Operating Co Inc 3.75% 5/1/2029 (b) | 395000 | 378821 |
| Hilton Domestic Operating Co Inc 5.875% 4/1/2029 (b) | 245000 | 249485 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 5% 6/1/2029 (b) | 420000 | 406216 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (b) | 265000 | 270405 |
| Life Time Inc 6% 11/15/2031 (b) | 450000 | 454786 |
| Light & Wonder International Inc 7% 5/15/2028 (b) | 750000 | 751780 |
| Lindblad Expeditions LLC 7% 9/15/2030 (b) | 145000 | 148495 |
| MajorDrive Holdings IV LLC 6.375% 6/1/2029 (b) | 95000 | 76398 |
| NCL Corp Ltd 5.875% 2/15/2027 (b) | 300000 | 300630 |
| NCL Corp Ltd 5.875% 3/15/2026 (b) | 142000 | 142337 |
| NCL Corp Ltd 6.25% 3/1/2030 (b) | 125000 | 126850 |
| Neogen Food Safety Corp 8.625% 7/20/2030 (b) | 120000 | 125693 |
| Royal Caribbean Cruises Ltd 5.5% 4/1/2028 (b) | 990000 | 1007673 |
| Royal Caribbean Cruises Ltd 5.625% 9/30/2031 (b) | 210000 | 213355 |
| Six Flags Entertainment Corp 5.5% 4/15/2027 (b)(k) | 575000 | 573470 |
| Viking Cruises Ltd 9.125% 7/15/2031 (b) | 465000 | 500994 |
| Viking Ocean Cruises Ship VII Ltd 5.625% 2/15/2029 (b) | 125000 | 124916 |
| VOC Escrow Ltd 5% 2/15/2028 (b) | 200000 | 198844 |
| Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp 5.25% 5/15/2027 (b) | 325000 | 325217 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 6.25% 3/15/2033 (b) | 175000 | 177153 |
|  |  | 11185158 |
| Household Durables - 0.1% |  |  |
| LGI Homes Inc 7% 11/15/2032 (b)(k) | 400000 | 390102 |
| LGI Homes Inc 8.75% 12/15/2028 (b) | 370000 | 387567 |
| New Home Co Inc/The 8.5% 11/1/2030 (b) | 135000 | 140017 |
| Newell Brands Inc 6.375% 5/15/2030 (k) | 235000 | 231910 |
| Newell Brands Inc 8.5% 6/1/2028 (b) | 295000 | 311439 |
| Somnigroup International Inc 4% 4/15/2029 (b) | 900000 | 865100 |
| Whirlpool Corp 6.125% 6/15/2030  | 325000 | 328613 |
|  |  | 2654748 |
| Leisure Products - 0.2% |  |  |
| Brunswick Corp/DE 5.85% 3/18/2029  | 4539000 | 4703444 |
| Specialty Retail - 0.6% |  |  |
| Advance Auto Parts Inc 5.95% 3/9/2028  | 6525000 | 6644323 |
| Advance Auto Parts Inc 7% 8/1/2030 (b) | 275000 | 282185 |
| AutoZone Inc 5.165% 6/15/2030  | 1075000 | 1109519 |
| AutoZone Inc 6.25% 11/1/2028  | 3398000 | 3608849 |
| Group 1 Automotive Inc 6.375% 1/15/2030 (b) | 585000 | 599401 |
| LBM Acquisition LLC 6.25% 1/15/2029 (b) | 120000 | 110086 |
| LBM Acquisition LLC 9.5% 6/15/2031 (b) | 380000 | 398248 |
| O'Reilly Automotive Inc 5.75% 11/20/2026  | 1697000 | 1725292 |
| SGUS LLC 11% 12/15/2029 (b) | 178002 | 156460 |
| Staples Inc 10.75% 9/1/2029 (b) | 1200000 | 1149000 |
| Wand NewCo 3 Inc 7.625% 1/30/2032 (b)(k) | 215000 | 227473 |
|  |  | 16010836 |
| TOTAL CONSUMER DISCRETIONARY |  | 87056057 |
| Consumer Staples - 2.0% |  |  |
| Beverages - 0.4% |  |  |
| Molson Coors Beverage Co 3% 7/15/2026  | 10575000 | 10452721 |
| Consumer Staples Distribution & Retail - 0.9% |  |  |
| 7-Eleven Inc 0.95% 2/10/2026 (b) | 7891000 | 7765428 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 3.25% 3/15/2026 (b)(k) | 1140000 | 1131613 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 3.5% 3/15/2029 (b) | 265000 | 251952 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.5% 2/15/2028 (b) | 935000 | 952816 |
| C&S Group Enterprises LLC 5% 12/15/2028 (b) | 285000 | 259135 |
| Dollar General Corp 4.625% 11/1/2027  | 4000000 | 4028225 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (b) | 765000 | 805330 |
| Mars Inc 4.6% 3/1/2028 (b) | 4141000 | 4192579 |
| Mars Inc 4.8% 3/1/2030 (b) | 1360000 | 1385988 |
| Performance Food Group Inc 5.5% 10/15/2027 (b) | 425000 | 424423 |
| Performance Food Group Inc 6.125% 9/15/2032 (b) | 340000 | 347995 |
| US Foods Inc 4.75% 2/15/2029 (b) | 455000 | 448171 |
| US Foods Inc 5.75% 4/15/2033 (b) | 185000 | 185604 |
|  |  | 22179259 |
| Food Products - 0.2% |  |  |
| Bunge Ltd Finance Corp 4.1% 1/7/2028  | 2685000 | 2683515 |
| Fiesta Purchaser Inc 7.875% 3/1/2031 (b) | 110000 | 116738 |
| Fiesta Purchaser Inc 9.625% 9/15/2032 (b) | 590000 | 633902 |
| Post Holdings Inc 4.625% 4/15/2030 (b) | 290000 | 279672 |
| Post Holdings Inc 6.375% 3/1/2033 (b) | 230000 | 232335 |
| The Campbell's Company 5.3% 3/20/2026  | 1106000 | 1110834 |
| TreeHouse Foods Inc 4% 9/1/2028  | 305000 | 283311 |
|  |  | 5340307 |
| Personal Care Products - 0.0% |  |  |
| Coty Inc 5% 4/15/2026 (b)(k) | 432000 | 429283 |
| Tobacco - 0.5% |  |  |
| Philip Morris International Inc 4.125% 4/28/2028  | 7300000 | 7316302 |
| Philip Morris International Inc 4.875% 2/13/2029  | 6400000 | 6535952 |
|  |  | 13852254 |
| TOTAL CONSUMER STAPLES |  | 52253824 |
| Energy - 3.8% |  |  |
| Energy Equipment & Services - 0.2% |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp 6.25% 4/1/2028 (b) | 370000 | 371239 |
| Archrock Partners LP / Archrock Partners Finance Corp 6.625% 9/1/2032 (b) | 125000 | 128136 |
| Kodiak Gas Services LLC 7.25% 2/15/2029 (b) | 485000 | 501665 |
| Nabors Industries Inc 7.375% 5/15/2027 (b) | 375000 | 381250 |
| Nabors Industries Ltd 7.5% 1/15/2028 (b) | 650000 | 652460 |
| Transocean Inc 8.25% 5/15/2029 (b) | 375000 | 362728 |
| Transocean International Ltd 8% 2/1/2027 (b) | 1275000 | 1272750 |
| USA Compression Partners LP / USA Compression Finance Corp 6.875% 9/1/2027  | 905000 | 905193 |
| USA Compression Partners LP / USA Compression Finance Corp 7.125% 3/15/2029 (b) | 240000 | 246018 |
| Valaris Ltd 8.375% 4/30/2030 (b) | 300000 | 312325 |
|  |  | 5133764 |
| Oil, Gas & Consumable Fuels - 3.6% |  |  |
| Aethon United BR LP / Aethon United Finance Corp 7.5% 10/1/2029 (b) | 260000 | 271191 |
| Buckeye Partners LP 4.125% 12/1/2027  | 255000 | 250840 |
| California Resources Corp 7.125% 2/1/2026 (b) | 49000 | 48838 |
| California Resources Corp 8.25% 6/15/2029 (b) | 780000 | 805878 |
| Cheniere Energy Inc 4.625% 10/15/2028  | 650000 | 649490 |
| CITGO Petroleum Corp 6.375% 6/15/2026 (b) | 525000 | 524666 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (b) | 450000 | 426862 |
| CNX Resources Corp 7.25% 3/1/2032 (b) | 445000 | 461752 |
| Comstock Resources Inc 5.875% 1/15/2030 (b) | 375000 | 351945 |
| Comstock Resources Inc 6.75% 3/1/2029 (b) | 750000 | 739384 |
| CVR Energy Inc 8.5% 1/15/2029 (b)(k) | 855000 | 864211 |
| DCP Midstream Operating LP 5.125% 5/15/2029  | 4900000 | 5006960 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (b) | 870000 | 909417 |
| Diamondback Energy Inc 5.2% 4/18/2027  | 5172000 | 5249667 |
| Energy Transfer LP 5.25% 7/1/2029  | 515000 | 531153 |
| Energy Transfer LP 6.5% 2/15/2056 (c) | 255000 | 253337 |
| EQT Corp 5.7% 4/1/2028  | 4000000 | 4134116 |
| EQT Corp 7.5% 6/1/2027 (b) | 1000000 | 1018296 |
| Global Partners LP / GLP Finance Corp 6.875% 1/15/2029  | 215000 | 217883 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (b) | 85000 | 86997 |
| Harvest Midstream I LP 7.5% 5/15/2032 (b) | 405000 | 416993 |
| Hess Corp 4.3% 4/1/2027  | 4500000 | 4510444 |
| Hess Midstream Operations LP 4.25% 2/15/2030 (b) | 230000 | 223338 |
| Hess Midstream Operations LP 5.875% 3/1/2028 (b) | 565000 | 574471 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (b) | 560000 | 579018 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (b) | 240000 | 250277 |
| Kinetik Holdings LP 6.625% 12/15/2028 (b) | 980000 | 1008241 |
| Matador Resources Co 6.5% 4/15/2032 (b) | 300000 | 304374 |
| Moss Creek Resources Holdings Inc 8.25% 9/1/2031 (b) | 180000 | 178014 |
| MPLX LP 1.75% 3/1/2026  | 15044000 | 14841536 |
| Northern Oil & Gas Inc 8.125% 3/1/2028 (b) | 675000 | 680091 |
| Northern Oil & Gas Inc 8.75% 6/15/2031 (b) | 370000 | 380113 |
| Occidental Petroleum Corp 5% 8/1/2027  | 3189000 | 3220501 |
| Occidental Petroleum Corp 5.2% 8/1/2029  | 1325000 | 1342077 |
| Occidental Petroleum Corp 6.625% 9/1/2030  | 1610000 | 1711016 |
| ONEOK Inc 4.25% 9/24/2027  | 458000 | 458413 |
| ONEOK Inc 4.4% 10/15/2029  | 479000 | 478321 |
| ONEOK Inc 4.85% 7/15/2026  | 525000 | 526328 |
| ONEOK Inc 6.5% 9/1/2030 (b) | 5247000 | 5646658 |
| PBF Holding Co LLC / PBF Finance Corp 6% 2/15/2028  | 165000 | 162071 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (b)(k) | 630000 | 610022 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (b) | 595000 | 614302 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 5242000 | 5050373 |
| Plains All American Pipeline LP / PAA Finance Corp 3.8% 9/15/2030  | 2074000 | 2001060 |
| Prairie Acquiror LP 9% 8/1/2029 (b)(k) | 335000 | 349276 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (b) | 185000 | 193246 |
| SM Energy Co 6.625% 1/15/2027  | 400000 | 400293 |
| Summit Midstream Holdings LLC 8.625% 10/31/2029 (b) | 125000 | 124648 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  | 245000 | 245858 |
| Sunoco LP / Sunoco Finance Corp 6% 4/15/2027  | 1050000 | 1050846 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 3/1/2027 (b) | 1000000 | 998743 |
| Talos Production Inc 9% 2/1/2029 (b) | 240000 | 247056 |
| Targa Resources Corp 4.9% 9/15/2030  | 825000 | 837624 |
| Targa Resources Corp 6.15% 3/1/2029  | 7061000 | 7449589 |
| Venture Global LNG Inc 7% 1/15/2030 (b) | 295000 | 303982 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (b) | 225000 | 246796 |
| Western Gas Partners LP 6.35% 1/15/2029  | 5546000 | 5833177 |
| Williams Cos Inc/The 4.625% 6/30/2030  | 1288000 | 1294777 |
| Williams Cos Inc/The 4.8% 11/15/2029  | 2339000 | 2380482 |
| Williams Cos Inc/The 5.4% 3/2/2026  | 1334000 | 1340232 |
|  |  | 91867560 |
| TOTAL ENERGY |  | 97001324 |
| Financials - 19.9% |  |  |
| Banks - 8.8% |  |  |
| Bank of America Corp 1.197% 10/24/2026 (c) | 13673000 | 13609023 |
| Bank of America Corp 1.734% 7/22/2027 (c) | 7174000 | 7010356 |
| Bank of America Corp 4.623% 5/9/2029 (c) | 7300000 | 7382344 |
| Bank of America Corp 5.202% 4/25/2029 (c) | 10500000 | 10766345 |
| Bank of America Corp 5.819% 9/15/2029 (c) | 9400000 | 9825873 |
| Citigroup Inc 4.075% 4/23/2029 (c) | 7879000 | 7850980 |
| Citigroup Inc 4.786% 3/4/2029 (c) | 5300000 | 5369326 |
| Citigroup Inc 5.174% 2/13/2030 (c) | 12400000 | 12724565 |
| Citigroup Inc 5.61% 9/29/2026 (c) | 4000000 | 4002855 |
| HAT Holdings I LLC / HAT Holdings II LLC 8% 6/15/2027 (b) | 81000 | 84017 |
| Huntington Bancshares Inc/OH 4.443% 8/4/2028 (c) | 6370000 | 6388160 |
| Huntington Bancshares Inc/OH 6.208% 8/21/2029 (c) | 5000000 | 5269216 |
| JPMorgan Chase & Co 1.47% 9/22/2027 (c) | 10000000 | 9709980 |
| JPMorgan Chase & Co 2.522% 4/22/2031 (c) | 3000000 | 2772039 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (c) | 12053000 | 11252069 |
| JPMorgan Chase & Co 4.603% 10/22/2030 (c) | 5000000 | 5054556 |
| JPMorgan Chase & Co 4.915% 1/24/2029 (c) | 5300000 | 5394427 |
| JPMorgan Chase & Co 4.995% 7/22/2030 (c) | 21400000 | 21948199 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (c) | 1642000 | 1694038 |
| JPMorgan Chase & Co 5.571% 4/22/2028 (c) | 3266000 | 3335837 |
| Morgan Stanley Bank NA 5.016% 1/12/2029 (c) | 2928000 | 2978165 |
| Morgan Stanley Private Bank NA 4.466% 7/6/2028 (c) | 7560000 | 7594393 |
| PNC Financial Services Group Inc/The 5.492% 5/14/2030 (c) | 4591000 | 4779149 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (c) | 2768000 | 2696818 |
| Santander Holdings USA Inc 3.244% 10/5/2026  | 4000000 | 3949759 |
| Santander Holdings USA Inc 5.807% 9/9/2026 (c) | 3000000 | 3000578 |
| Santander Holdings USA Inc 6.174% 1/9/2030 (c) | 3664000 | 3845676 |
| Truist Financial Corp 4.873% 1/26/2029 (c) | 4000000 | 4061720 |
| Truist Financial Corp 5.071% 5/20/2031 (c) | 5288000 | 5417799 |
| US Bancorp 4.653% 2/1/2029 (c) | 2000000 | 2022782 |
| Wells Fargo & Co 4.3% 7/22/2027  | 7000000 | 7026002 |
| Wells Fargo & Co 4.97% 4/23/2029 (c) | 5300000 | 5400561 |
| Wells Fargo & Co 5.244% 1/24/2031 (c) | 7692000 | 7945793 |
| Wells Fargo & Co 5.707% 4/22/2028 (c) | 6200000 | 6341221 |
| Wells Fargo & Co 6.303% 10/23/2029 (c) | 5800000 | 6147906 |
| Western Alliance Bancorp 3% 6/15/2031 (c) | 525000 | 498561 |
|  |  | 225151088 |
| Capital Markets - 5.0% |  |  |
| Ares Strategic Income Fund 5.45% 9/9/2028 (b) | 7076000 | 7118888 |
| Athene Global Funding 1.73% 10/2/2026 (b) | 5000000 | 4864311 |
| Athene Global Funding 4.721% 10/8/2029 (b) | 5300000 | 5324028 |
| Athene Global Funding 5.516% 3/25/2027 (b) | 7000000 | 7119936 |
| Bank of New York Mellon 4.729% 4/20/2029 (c) | 2106000 | 2140737 |
| BroadStreet Partners Inc 5.875% 4/15/2029 (b) | 510000 | 507194 |
| Equitable America Global Funding 4.65% 6/9/2028 (b) | 2575000 | 2600183 |
| Equitable America Global Funding 4.95% 6/9/2030 (b) | 3483000 | 3552916 |
| Focus Financial Partners LLC 6.75% 9/15/2031 (b) | 490000 | 506354 |
| GA Global Funding Trust 5.4% 1/13/2030 (b) | 3308000 | 3431435 |
| Goldman Sachs Group Inc/The 2.64% 2/24/2028 (c) | 10000000 | 9764695 |
| Goldman Sachs Group Inc/The 4.223% 5/1/2029 (c) | 6000000 | 6004229 |
| Goldman Sachs Group Inc/The 4.937% 4/23/2028 (c) | 7200000 | 7275471 |
| Goldman Sachs Group Inc/The 6.484% 10/24/2029 (c) | 7439000 | 7916212 |
| HPS Corporate Lending Fund 6.25% 9/30/2029  | 5000000 | 5168200 |
| Intercontinental Exchange Inc 3.625% 9/1/2028  | 5500000 | 5425944 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (b) | 430000 | 431987 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (b) | 320000 | 330674 |
| LPL Holdings Inc 4.9% 4/3/2028  | 8265000 | 8370183 |
| Morgan Stanley 4.994% 4/12/2029 (c) | 3914000 | 3986703 |
| Morgan Stanley 5.042% 7/19/2030 (c) | 11500000 | 11780656 |
| Morgan Stanley 5.164% 4/20/2029 (c) | 9860000 | 10080504 |
| Morgan Stanley 6.407% 11/1/2029 (c) | 3900000 | 4145634 |
| Nuveen LLC 5.55% 1/15/2030 (b) | 984000 | 1030541 |
| Sammons Financial Group Global Funding 5.05% 1/10/2028 (b) | 4131000 | 4201862 |
| Sammons Financial Group Global Funding 5.1% 12/10/2029 (b) | 3365000 | 3452836 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (b) | 480000 | 503841 |
|  |  | 127036154 |
| Consumer Finance - 2.3% |  |  |
| Ally Financial Inc 5.737% 5/15/2029 (c) | 2418000 | 2483084 |
| American Express Co 4.731% 4/25/2029 (c) | 6000000 | 6098575 |
| American Express Co 5.085% 1/30/2031 (c) | 1297000 | 1336767 |
| Capital One Financial Corp 1.878% 11/2/2027 (c) | 7000000 | 6801334 |
| Capital One Financial Corp 5.468% 2/1/2029 (c) | 9443000 | 9693275 |
| Capital One Financial Corp 7.149% 10/29/2027 (c) | 5000000 | 5152049 |
| Ford Motor Credit Co LLC 3.375% 11/13/2025  | 8000000 | 7973667 |
| Ford Motor Credit Co LLC 5.85% 5/17/2027  | 4000000 | 4039957 |
| Ford Motor Credit Co LLC 5.875% 11/7/2029  | 5200000 | 5255900 |
| Ford Motor Credit Co LLC 6.95% 6/10/2026  | 6500000 | 6584843 |
| Navient Corp 6.75% 6/15/2026  | 765000 | 773354 |
| OneMain Finance Corp 3.5% 1/15/2027  | 655000 | 641012 |
| OneMain Finance Corp 6.125% 5/15/2030  | 355000 | 360073 |
| OneMain Finance Corp 6.75% 3/15/2032  | 215000 | 220101 |
| OneMain Finance Corp 7.5% 5/15/2031  | 675000 | 707599 |
| PRA Group Inc 5% 10/1/2029 (b) | 135000 | 126847 |
| PRA Group Inc 8.875% 1/31/2030 (b) | 365000 | 383381 |
|  |  | 58631818 |
| Financial Services - 0.9% |  |  |
| Aircastle Ltd / Aircastle Ireland DAC 5% 9/15/2030 (b) | 6290000 | 6341008 |
| Aircastle Ltd / Aircastle Ireland DAC 5.25% 3/15/2030 (b) | 3585000 | 3658165 |
| Block Inc 5.625% 8/15/2030 (b) | 240000 | 245328 |
| Block Inc 6% 8/15/2033 (b) | 150000 | 153998 |
| Block Inc 6.5% 5/15/2032  | 430000 | 445535 |
| Corebridge Financial Inc 3.65% 4/5/2027  | 3345000 | 3314239 |
| Corebridge Global Funding 4.65% 8/20/2027 (b) | 1596000 | 1611346 |
| Corebridge Global Funding 4.9% 1/7/2028 (b) | 2298000 | 2339092 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (b) | 885000 | 876047 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.25% 5/15/2027 (k) | 1180000 | 1151108 |
| Jackson Financial Inc 5.17% 6/8/2027  | 1397000 | 1414991 |
| Nationstar Mortgage Holdings Inc 6.5% 8/1/2029 (b) | 310000 | 317380 |
| NFE Financing LLC 12% 11/15/2029 (b) | 270536 | 99422 |
| Rocket Cos Inc 6.125% 8/1/2030 (b) | 460000 | 473317 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 6.75% 8/15/2032 (b) | 265000 | 274769 |
| UWM Holdings LLC 6.625% 2/1/2030 (b) | 490000 | 497775 |
| Windstream Services LLC / Windstream Escrow Finance Corp 8.25% 10/1/2031 (b) | 440000 | 457678 |
|  |  | 23671198 |
| Insurance - 2.9% |  |  |
| Acrisure LLC / Acrisure Finance Inc 8.25% 2/1/2029 (b) | 730000 | 758263 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.75% 4/15/2028 (b) | 465000 | 474343 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7% 1/15/2031 (b) | 460000 | 475752 |
| American International Group Inc 4.85% 5/7/2030  | 7000000 | 7161953 |
| AmWINS Group Inc 4.875% 6/30/2029 (b) | 330000 | 321939 |
| AmWINS Group Inc 6.375% 2/15/2029 (b) | 290000 | 297217 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (b)(k) | 620000 | 643425 |
| Arthur J Gallagher & Co 4.6% 12/15/2027  | 3119000 | 3146817 |
| Brown & Brown Inc 4.7% 6/23/2028  | 1180000 | 1191303 |
| Brown & Brown Inc 4.9% 6/23/2030  | 2414000 | 2444043 |
| Equitable Financial Life Global Funding 1.4% 8/27/2027 (b) | 15000000 | 14191763 |
| Equitable Financial Life Global Funding 1.7% 11/12/2026 (b) | 5000000 | 4854073 |
| Fortitude Group Holdings LLC 6.25% 4/1/2030 (b) | 3422000 | 3555592 |
| Guardian Life Global Funding 1.4% 7/6/2027 (b) | 8010000 | 7640402 |
| Jackson National Life Global Funding 4.6% 10/1/2029 (b) | 4963000 | 4999036 |
| Jackson National Life Global Funding 5.35% 1/13/2030 (b) | 7744000 | 8031546 |
| Jackson National Life Global Funding 5.55% 7/2/2027 (b) | 1453000 | 1484115 |
| Panther Escrow Issuer LLC 7.125% 6/1/2031 (b) | 355000 | 368379 |
| RGA Global Funding 2% 11/30/2026 (b) | 3680000 | 3578989 |
| RGA Global Funding 5.448% 5/24/2029 (b) | 2658000 | 2757771 |
| Ryan Specialty LLC 5.875% 8/1/2032 (b) | 425000 | 427906 |
| Western-Southern Global Funding 4.9% 5/1/2030 (b) | 653000 | 665691 |
| Willis North America Inc 4.5% 9/15/2028  | 5000000 | 5043628 |
|  |  | 74513946 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |
| Rithm Capital Corp 8% 4/1/2029 (b) | 120000 | 122842 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (b) | 490000 | 508563 |
|  |  | 631405 |
| TOTAL FINANCIALS |  | 509635609 |
| Health Care - 2.4% |  |  |
| Biotechnology - 0.3% |  |  |
| Amgen Inc 5.15% 3/2/2028  | 6578000 | 6731675 |
| Health Care Equipment & Supplies - 0.2% |  |  |
| Alcon Finance Corp 2.75% 9/23/2026 (b) | 4038000 | 3964662 |
| Avantor Funding Inc 3.875% 11/1/2029 (b) | 160000 | 152024 |
| Avantor Funding Inc 4.625% 7/15/2028 (b) | 625000 | 615117 |
| Medline Borrower LP 3.875% 4/1/2029 (b) | 285000 | 273670 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (b) | 440000 | 452010 |
|  |  | 5457483 |
| Health Care Providers & Services - 1.7% |  |  |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (b) | 245000 | 255139 |
| Centene Corp 2.45% 7/15/2028  | 4360000 | 4027927 |
| CHS/Community Health Systems Inc 5.25% 5/15/2030 (b) | 450000 | 403346 |
| CHS/Community Health Systems Inc 9.75% 1/15/2034 (b) | 255000 | 258261 |
| CVS Health Corp 4.3% 3/25/2028  | 6400000 | 6396970 |
| CVS Health Corp 5% 2/20/2026  | 8000000 | 8018670 |
| CVS Health Corp 7% 3/10/2055 (c) | 360000 | 374799 |
| HCA Inc 3.125% 3/15/2027  | 7100000 | 6985131 |
| HCA Inc 5% 3/1/2028  | 2439000 | 2483138 |
| HCA Inc 5.875% 2/15/2026  | 650000 | 650536 |
| Humana Inc 5.75% 12/1/2028  | 6000000 | 6253632 |
| Icon Investments Six DAC 5.809% 5/8/2027  | 4656000 | 4752715 |
| LifePoint Health Inc 11% 10/15/2030 (b) | 325000 | 358272 |
| Molina Healthcare Inc 6.25% 1/15/2033 (b) | 375000 | 377667 |
| Owens & Minor Inc 6.625% 4/1/2030 (b) | 270000 | 234207 |
| Surgery Center Holdings Inc 7.25% 4/15/2032 (b) | 135000 | 140007 |
| Tenet Healthcare Corp 5.125% 11/1/2027  | 2310000 | 2303290 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (b) | 695000 | 713226 |
|  |  | 44986933 |
| Health Care Technology - 0.1% |  |  |
| IQVIA Inc 5% 5/15/2027 (b) | 1510000 | 1503908 |
| IQVIA Inc 6.25% 6/1/2032 (b) | 275000 | 283475 |
| IQVIA Inc 6.5% 5/15/2030 (b) | 290000 | 300716 |
|  |  | 2088099 |
| Pharmaceuticals - 0.1% |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (b) | 700000 | 726846 |
| Bausch Health Cos Inc 11% 9/30/2028 (b) | 255000 | 267430 |
| Jazz Securities DAC 4.375% 1/15/2029 (b) | 490000 | 479684 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (b)(k) | 470000 | 450094 |
|  |  | 1924054 |
| TOTAL HEALTH CARE |  | 61188244 |
| Industrials - 2.4% |  |  |
| Aerospace & Defense - 0.8% |  |  |
| Boeing Co 3.2% 3/1/2029  | 7200000 | 6924577 |
| Boeing Co 5.04% 5/1/2027  | 2300000 | 2321428 |
| Boeing Co 6.259% 5/1/2027  | 418000 | 430129 |
| BWX Technologies Inc 4.125% 4/15/2029 (b) | 525000 | 505258 |
| L3Harris Technologies Inc 5.4% 1/15/2027  | 6000000 | 6094697 |
| RTX Corp 5.75% 1/15/2029  | 1205000 | 1264907 |
| TransDigm Inc 6.25% 1/31/2034 (b)(k) | 85000 | 87214 |
| TransDigm Inc 6.375% 3/1/2029 (b) | 3200000 | 3276266 |
| TransDigm Inc 6.75% 1/31/2034 (b) | 380000 | 392259 |
|  |  | 21296735 |
| Air Freight & Logistics - 0.0% |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (b)(k) | 755000 | 782445 |
| Building Products - 0.1% |  |  |
| Advanced Drainage Systems Inc 5% 9/30/2027 (b) | 250000 | 248223 |
| Camelot Return Merger Sub Inc 8.75% 8/1/2028 (b)(k) | 690000 | 663934 |
| JH North America Holdings Inc 5.875% 1/31/2031 (b) | 570000 | 576222 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (b) | 370000 | 381881 |
|  |  | 1870260 |
| Commercial Services & Supplies - 0.3% |  |  |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6.875% 6/15/2030 (b) | 330000 | 339859 |
| Artera Services LLC 8.5% 2/15/2031 (b) | 1445000 | 1262691 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (b) | 800000 | 785428 |
| CoreCivic Inc 8.25% 4/15/2029  | 355000 | 375721 |
| GEO Group Inc/The 10.25% 4/15/2031  | 480000 | 529139 |
| GEO Group Inc/The 8.625% 4/15/2029  | 235000 | 248671 |
| GFL Environmental Inc 4% 8/1/2028 (b) | 1420000 | 1384471 |
| Madison IAQ LLC 4.125% 6/30/2028 (b) | 750000 | 729129 |
| Neptune Bidco US Inc 9.29% 4/15/2029 (b) | 940000 | 932950 |
| OT Midco Inc 10% 2/15/2030 (b) | 200000 | 136645 |
| Prime Security Services Borrower LLC / Prime Finance Inc 5.75% 4/15/2026 (b) | 197000 | 197826 |
| Waste Pro USA Inc 7% 2/1/2033 (b) | 245000 | 256180 |
| Williams Scotsman Inc 6.625% 4/15/2030 (b) | 485000 | 502011 |
|  |  | 7680721 |
| Construction & Engineering - 0.0% |  |  |
| Pike Corp 5.5% 9/1/2028 (b) | 370000 | 370108 |
| Pike Corp 8.625% 1/31/2031 (b) | 250000 | 267529 |
| Railworks Holdings LP / Railworks Rally Inc 8.25% 11/15/2028 (b) | 485000 | 495859 |
|  |  | 1133496 |
| Electrical Equipment - 0.2% |  |  |
| Trans-Allegheny Interstate Line Co 5.2% 1/15/2031 (b) | 4996000 | 5118208 |
| WESCO Distribution Inc 6.375% 3/15/2033 (b) | 245000 | 254118 |
|  |  | 5372326 |
| Ground Transportation - 0.0% |  |  |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8.25% 1/15/2030 (b) | 120000 | 124215 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (b) | 350000 | 355880 |
| XPO Inc 6.25% 6/1/2028 (b) | 620000 | 630768 |
|  |  | 1110863 |
| Machinery - 0.4% |  |  |
| Beach Acquisition Bidco LLC 10% 7/15/2033 pay-in-kind (b)(c) | 270000 | 286593 |
| Esab Corp 6.25% 4/15/2029 (b) | 385000 | 395862 |
| Ingersoll Rand Inc 5.176% 6/15/2029  | 4200000 | 4338266 |
| Ingersoll Rand Inc 5.197% 6/15/2027  | 4200000 | 4271604 |
|  |  | 9292325 |
| Passenger Airlines - 0.3% |  |  |
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/2029  | 2652822 | 2579078 |
| American Airlines Inc 7.25% 2/15/2028 (b)(k) | 245000 | 251353 |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.5% 4/20/2026 (b) | 537500 | 537908 |
| JetBlue Airways Corp / JetBlue Loyalty LP 9.875% 9/20/2031 (b) | 130000 | 129180 |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/2029  | 1699821 | 1661230 |
| United Airlines Inc 4.375% 4/15/2026 (b)(k) | 1375000 | 1370495 |
|  |  | 6529244 |
| Professional Services - 0.1% |  |  |
| Amentum Holdings Inc 7.25% 8/1/2032 (b) | 490000 | 511047 |
| Paychex Inc 5.1% 4/15/2030  | 197000 | 202762 |
| TriNet Group Inc 7.125% 8/15/2031 (b)(k) | 655000 | 681119 |
| Verisk Analytics Inc 4.5% 8/15/2030  | 555000 | 557234 |
|  |  | 1952162 |
| Trading Companies & Distributors - 0.2% |  |  |
| Air Lease Corp 2.2% 1/15/2027  | 3565000 | 3469559 |
| FTAI Aviation Investors LLC 7% 6/15/2032 (b) | 205000 | 213949 |
| FTAI Aviation Investors LLC 7.875% 12/1/2030 (b) | 425000 | 451754 |
| Herc Holdings Inc 7% 6/15/2030 (b) | 450000 | 468339 |
| QXO Building Products Inc 6.75% 4/30/2032 (b) | 335000 | 345990 |
| United Rentals North America Inc 3.875% 11/15/2027 (k) | 575000 | 565228 |
|  |  | 5514819 |
| Transportation Infrastructure - 0.0% |  |  |
| Beacon Mobility Corp 7.25% 8/1/2030 (b) | 250000 | 259072 |
| TOTAL INDUSTRIALS |  | 62794468 |
| Information Technology - 2.2% |  |  |
| Electronic Equipment, Instruments & Components - 0.5% |  |  |
| Amphenol Corp 5.05% 4/5/2029  | 1216000 | 1253871 |
| Coherent Corp 5% 12/15/2029 (b)(k) | 765000 | 751807 |
| Dell International LLC / EMC Corp 5% 4/1/2030  | 2305000 | 2362370 |
| Dell International LLC / EMC Corp 5.25% 2/1/2028  | 8564000 | 8785752 |
| Lightning Power LLC 7.25% 8/15/2032 (b) | 240000 | 254604 |
|  |  | 13408404 |
| IT Services - 0.2% |  |  |
| Acuris Finance US Inc / Acuris Finance SARL 5% 5/1/2028 (b) | 605000 | 588721 |
| Acuris Finance US Inc / Acuris Finance SARL 9% 8/1/2029 (b) | 220000 | 226600 |
| CDW LLC / CDW Finance Corp 5.1% 3/1/2030  | 1789000 | 1818914 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (b) | 905000 | 901667 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (b) | 585000 | 582371 |
| CoreWeave Inc 9% 2/1/2031 (b) | 515000 | 509848 |
| CoreWeave Inc 9.25% 6/1/2030 (b) | 935000 | 938352 |
| Sabre GLBL Inc 11.125% 7/15/2030 (b)(k) | 290000 | 284228 |
|  |  | 5850701 |
| Semiconductors & Semiconductor Equipment - 1.0% |  |  |
| Broadcom Inc 4.15% 11/15/2030  | 15000000 | 14853469 |
| Entegris Inc 4.75% 4/15/2029 (b)(k) | 1280000 | 1261603 |
| Micron Technology Inc 5.327% 2/6/2029  | 3100000 | 3187249 |
| Micron Technology Inc 6.75% 11/1/2029  | 5540000 | 6014540 |
| Wolfspeed Inc 7.9583% 6/23/2030 (b)(g)(h)(l) | 125010 | 124697 |
|  |  | 25441558 |
| Software - 0.4% |  |  |
| Cloud Software Group Inc 6.625% 8/15/2033 (b) | 255000 | 258524 |
| Elastic NV 4.125% 7/15/2029 (b) | 570000 | 547749 |
| Ellucian Holdings Inc 6.5% 12/1/2029 (b) | 145000 | 147506 |
| Gen Digital Inc 6.25% 4/1/2033 (b) | 270000 | 277642 |
| Roper Technologies Inc 4.45% 9/15/2030  | 1033000 | 1035134 |
| Roper Technologies Inc 4.5% 10/15/2029  | 1568000 | 1580424 |
| SS&C Technologies Inc 5.5% 9/30/2027 (b) | 1625000 | 1625520 |
| UKG Inc 6.875% 2/1/2031 (b) | 630000 | 651458 |
| VMware LLC 1.4% 8/15/2026  | 2882000 | 2802165 |
| X.AI LLC / X.AI Co Issuer Corp 12.5% 6/30/2030  | 845000 | 840657 |
|  |  | 9766779 |
| Technology Hardware, Storage & Peripherals - 0.1% |  |  |
| Hewlett Packard Enterprise Co 4.4% 9/25/2027  | 2177000 | 2187320 |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (b) | 620000 | 627395 |
| Western Digital Corp 4.75% 2/15/2026  | 163000 | 162618 |
|  |  | 2977333 |
| TOTAL INFORMATION TECHNOLOGY |  | 57444775 |
| Materials - 1.4% |  |  |
| Chemicals - 1.0% |  |  |
| Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/2031 (b) | 650000 | 684064 |
| Celanese US Holdings LLC 6.5% 4/15/2030 (k) | 175000 | 176595 |
| Celanese US Holdings LLC 6.665% 7/15/2027 (c) | 2545000 | 2618774 |
| Celanese US Holdings LLC 6.75% 4/15/2033 (k) | 330000 | 332381 |
| Chemours Co/The 4.625% 11/15/2029 (b) | 145000 | 129477 |
| Chemours Co/The 5.75% 11/15/2028 (b) | 1025000 | 986986 |
| Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP 4.75% 5/15/2030 (b) | 787000 | 802957 |
| International Flavors & Fragrances Inc 1.23% 10/1/2025 (b) | 2877000 | 2868476 |
| LSB Industries Inc 6.25% 10/15/2028 (b) | 380000 | 377013 |
| LYB International Finance III LLC 1.25% 10/1/2025  | 6185000 | 6167409 |
| Mativ Holdings Inc 8% 10/1/2029 (b) | 220000 | 217752 |
| Methanex US Operations Inc 6.25% 3/15/2032 (b) | 240000 | 242177 |
| Mosaic Co/The 5.375% 11/15/2028  | 5750000 | 5927808 |
| Olin Corp 6.625% 4/1/2033 (b) | 215000 | 214720 |
| Olympus Water US Holding Corp 7.25% 6/15/2031 (b)(k) | 430000 | 439069 |
| Scih Salt Hldgs Inc 6.625% 5/1/2029 (b) | 925000 | 928719 |
| Tronox Inc 4.625% 3/15/2029 (b)(k) | 440000 | 324822 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (b) | 260000 | 243264 |
| WR Grace Holdings LLC 6.625% 8/15/2032 (b) | 530000 | 528516 |
| WR Grace Holdings LLC 7.375% 3/1/2031 (b) | 125000 | 127232 |
|  |  | 24338211 |
| Construction Materials - 0.2% |  |  |
| Amrize Finance US LLC 4.6% 4/7/2027 (b) | 1936000 | 1945865 |
| Amrize Finance US LLC 4.7% 4/7/2028 (b) | 1401000 | 1418348 |
| Quikrete Holdings Inc 6.375% 3/1/2032 (b) | 695000 | 716788 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (b) | 775000 | 826741 |
| VM Consolidated Inc 5.5% 4/15/2029 (b) | 900000 | 890724 |
|  |  | 5798466 |
| Containers & Packaging - 0.1% |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 3.25% 9/1/2028 (b) | 265000 | 250441 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (b) | 900000 | 825871 |
| Berry Global Inc 4.875% 7/15/2026 (b) | 187000 | 186762 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (b) | 350000 | 359613 |
| Clydesdale Acquisition Holdings Inc 8.75% 4/15/2030 (b)(k) | 240000 | 247326 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (b) | 430000 | 436900 |
| Sealed Air Corp 5% 4/15/2029 (b) | 740000 | 733969 |
|  |  | 3040882 |
| Metals & Mining - 0.1% |  |  |
| Alcoa Nederland Holding BV 7.125% 3/15/2031 (b) | 80000 | 84377 |
| Alumina Pty Ltd 6.375% 9/15/2032 (b) | 750000 | 764895 |
| Cleveland-Cliffs Inc 7% 3/15/2032 (b) | 535000 | 531869 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (b) | 350000 | 354808 |
|  |  | 1735949 |
| TOTAL MATERIALS |  | 34913508 |
| Real Estate - 1.8% |  |  |
| Diversified REITs - 0.3% |  |  |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 6.5% 2/15/2029 (b) | 600000 | 571440 |
| Vici Properties LP / Vici Note Co Inc 3.875% 2/15/2029 (b) | 6000000 | 5856980 |
| VICI Properties LP 4.75% 4/1/2028  | 352000 | 355827 |
| Vornado Realty LP 2.15% 6/1/2026  | 1017000 | 994868 |
|  |  | 7779115 |
| Health Care REITs - 0.2% |  |  |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  | 621000 | 615501 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027  | 270000 | 255929 |
| Ventas Realty LP 3% 1/15/2030  | 4013000 | 3794777 |
|  |  | 4666207 |
| Hotel & Resort REITs - 0.0% |  |  |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 4.875% 5/15/2029 (b)(k) | 390000 | 379611 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 7% 2/1/2030 (b)(k) | 245000 | 252982 |
| RHP Hotel Properties LP / RHP Finance Corp 7.25% 7/15/2028 (b) | 350000 | 360235 |
|  |  | 992828 |
| Real Estate Management & Development - 0.0% |  |  |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 9.75% 4/15/2030 (b) | 240000 | 254943 |
| Retail REITs - 0.7% |  |  |
| Brixmor Operating Partnership LP 2.25% 4/1/2028  | 4348000 | 4140817 |
| Brookfield Property REIT Inc / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL 5.75% 5/15/2026 (b) | 720000 | 719471 |
| Realty Income Corp 2.1% 3/15/2028  | 5695000 | 5426644 |
| Realty Income Corp 2.2% 6/15/2028  | 456000 | 434322 |
| Simon Property Group LP 4.375% 10/1/2030  | 7660000 | 7679565 |
|  |  | 18400819 |
| Specialized REITs - 0.6% |  |  |
| American Tower Corp 3.6% 1/15/2028  | 4000000 | 3946196 |
| American Tower Corp 4.9% 3/15/2030  | 7910000 | 8062058 |
| Iron Mountain Inc 4.875% 9/15/2027 (b)(k) | 475000 | 471966 |
| Millrose Properties Inc 6.375% 8/1/2030 (b) | 630000 | 635670 |
| SBA Communications Corp 3.875% 2/15/2027  | 1525000 | 1499073 |
|  |  | 14614963 |
| TOTAL REAL ESTATE |  | 46708875 |
| Utilities - 4.3% |  |  |
| Electric Utilities - 2.4% |  |  |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 2893000 | 2872829 |
| Duke Energy Corp 4.3% 3/15/2028  | 9784000 | 9833712 |
| Edison International 7.875% 6/15/2054 (c)(k) | 250000 | 247141 |
| Eversource Energy 5.45% 3/1/2028  | 9000000 | 9256350 |
| Exelon Corp 2.75% 3/15/2027  | 681000 | 667104 |
| FirstEnergy Corp 1.6% 1/15/2026  | 606000 | 598822 |
| FirstEnergy Pennsylvania Electric Co 5.15% 3/30/2026 (b) | 2524000 | 2533167 |
| Georgia Power Co 4.65% 5/16/2028  | 3465000 | 3516259 |
| NextEra Energy Capital Holdings Inc 4.685% 9/1/2027  | 3111000 | 3140401 |
| NRG Energy Inc 5.75% 7/15/2029 (b) | 1105000 | 1104571 |
| Pacific Gas and Electric Co 2.1% 8/1/2027  | 4000000 | 3833461 |
| PG&E Corp 5% 7/1/2028  | 260000 | 257039 |
| PG&E Corp 7.375% 3/15/2055 (c) | 1300000 | 1290100 |
| Pinnacle West Capital Corp 4.9% 5/15/2028  | 1038000 | 1053506 |
| Pinnacle West Capital Corp 5.15% 5/15/2030  | 3598000 | 3701447 |
| Southern Co/The 5.5% 3/15/2029  | 3052000 | 3181521 |
| Vistra Operations Co LLC 5% 7/31/2027 (b) | 11550000 | 11518814 |
| Vistra Operations Co LLC 5.05% 12/30/2026 (b) | 1288000 | 1297485 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (b) | 475000 | 504678 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (b)(k) | 320000 | 326827 |
|  |  | 60735234 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Alpha Generation LLC 6.75% 10/15/2032 (b) | 250000 | 257744 |
| Calpine Corp 5.125% 3/15/2028 (b) | 800000 | 799413 |
| Sunnova Energy Corp 5.875% (b)(g) | 525000 | 1575 |
|  |  | 1058732 |
| Multi-Utilities - 1.9% |  |  |
| Dominion Energy Inc 1.45% 4/15/2026  | 8000000 | 7858965 |
| Dominion Energy Inc 3.375% 4/1/2030  | 2670000 | 2562001 |
| Dominion Energy Inc 5% 6/15/2030  | 6400000 | 6574764 |
| DTE Energy Co 4.95% 7/1/2027  | 1444000 | 1463244 |
| DTE Energy Co 5.2% 4/1/2030  | 8060000 | 8307914 |
| NiSource Inc 2.95% 9/1/2029  | 5690000 | 5428861 |
| NiSource Inc 5.25% 3/30/2028  | 6140000 | 6308939 |
| Public Service Enterprise Group Inc 4.9% 3/15/2030  | 6966000 | 7122276 |
| Sempra 3.4% 2/1/2028  | 2613000 | 2558855 |
| Sempra 6.375% 4/1/2056 (c) | 765000 | 771163 |
|  |  | 48956982 |
| TOTAL UTILITIES |  | 110750948 |
| TOTAL UNITED STATES |  | 1160068356 |
| ZAMBIA - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| First Quantum Minerals Ltd 8% 3/1/2033 (b) | 200000 | 207706 |
| First Quantum Minerals Ltd 8.625% 6/1/2031 (b) | 415000 | 432638 |
| First Quantum Minerals Ltd 9.375% 3/1/2029 (b) | 140000 | 148386 |
| TOTAL ZAMBIA |  | 788730 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $1,696,477,498) |  | <br> **1705017450** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.3%** | &nbsp;&nbsp;**Preferred Securities - 0.3%** | &nbsp;&nbsp;**Preferred Securities - 0.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| SWITZERLAND - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| UBS Group AG 7% (b)(c)(m) | 200000 | 203719 |
| UNITED KINGDOM - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Barclays PLC 7.625% (c)(m) | 200000 | 209821 |
| UNITED STATES - 0.3%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Energy Transfer LP Series G, 7.125% (c)(m) | 690000 | 722631 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.583% (c)(d)(m) | 550000 | 552429 |
|  |  | 1275060 |
| Financials - 0.3% |  |  |
| Banks - 0.2% |  |  |
| Bank of America Corp 6.25% (c)(m) | 885000 | 891655 |
| BW Real Estate Inc 9.5% (b)(c)(m) | 130000 | 133940 |
| Citigroup Inc 6.75% (c)(m) | 215000 | 217413 |
| Citigroup Inc 6.875% (c)(m) | 705000 | 722704 |
| Citigroup Inc 6.95% (c)(m) | 325000 | 331046 |
| Citigroup Inc 7.125% (c)(m) | 300000 | 308132 |
| JPMorgan Chase & Co 6.5% (c)(m) | 455000 | 472301 |
| Wells Fargo & Co 7.625% (c)(k)(m) | 325000 | 352358 |
|  |  | 3429549 |
| Capital Markets - 0.0% |  |  |
| Goldman Sachs Group Inc/The 6.125% (c)(m) | 105000 | 107170 |
| Goldman Sachs Group Inc/The 6.85% (c)(m) | 489000 | 505610 |
|  |  | 612780 |
| Consumer Finance - 0.1% |  |  |
| Ally Financial Inc 4.7% (c)(m) | 800000 | 731289 |
| Ally Financial Inc 4.7% (c)(m) | 630000 | 614397 |
|  |  | 1345686 |
| TOTAL FINANCIALS |  | 5388015 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| Edison International 5% (c)(m) | 75000 | 68765 |
| TOTAL UNITED STATES |  | 6731840 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $6,944,007) |  | <br> **7145380** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2035  | 3506 | 3510 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2035  | 2052 | 2054 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 287010 | 287806 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 153116 | 153444 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 403458 | 404324 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 2638842 | 2590896 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 1889 | 1972 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 17877 | 18723 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 5477 | 5719 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 1841 | 1921 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 2407 | 2526 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 16188 | 16954 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 12766 | 13363 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 3025 | 3170 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2033  | 146 | 154 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2031  | 2016 | 2125 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 378 | 401 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2032  | 2203 | 2347 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2033  | 854 | 911 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2033  | 11577 | 12278 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 732 | 771 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 96 | 101 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2031  | 2984 | 3138 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 1797 | 1904 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 163 | 173 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2033  | 3719 | 3951 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2028  | 2005 | 2108 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 8480 | 8916 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 7185 | 7643 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 912 | 959 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 168 | 178 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 87 | 92 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 390 | 397 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 2135 | 2175 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 483 | 489 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 299 | 304 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 68 | 70 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 47 | 48 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 16 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 53 | 54 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 28 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 410 | 416 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 83 | 84 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 318 | 323 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 724 | 739 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 433 | 438 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 31 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 4 | 5 |
| Freddie Mac Gold Pool 8.5% 2/1/2027  | 2131 | 2152 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 120 | 121 |
| Ginnie Mae I Pool 7% 11/15/2028  | 6518 | 6612 |
| Ginnie Mae I Pool 7% 7/15/2028  | 312 | 316 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 1031 | 1054 |
| TOTAL UNITED STATES |  | 3570412 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $3,836,119) |  | <br> **3570412** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 14.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.7%** |
|  | Yield (%) (n) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Notes 1.5% 2/15/2030  | 3.89 | 1184000 | 1080215 |
| US Treasury Notes 3.875% 6/30/2030  | 3.80 to 3.96 | 32829700 | 33099006 |
| US Treasury Notes 4% 3/31/2030  | 3.95 | 35310600 | 35794742 |
| US Treasury Notes 4.125% 7/31/2028  | 3.60 to 4.31 | 135863900 | 137859401 |
| US Treasury Notes 4.25% 2/15/2028  | 4.02 | 80935000 | 82166361 |
| US Treasury Notes 4.625% 9/30/2028 (o) | 4.01 to 4.82 | 85687200 | 88247774 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $373,694,394) |  |  | **378247499** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.5%** | &nbsp;&nbsp;**Money Market Funds - 1.5%** | &nbsp;&nbsp;**Money Market Funds - 1.5%** | &nbsp;&nbsp;**Money Market Funds - 1.5%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (p) | 4.36 | 28581088 | 28586805 |
| Fidelity Securities Lending Cash Central Fund (p)(q) | 4.36 | 9770213 | 9771190 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $38,357,995) |  |  | **38357995** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.2%**<br> (Cost $2,571,280,308)<br>| <br>**2579945754** |
| **NET OTHER ASSETS (LIABILITIES) - (0.2)%**  | **(5806894)** |
| **NET ASSETS - 100.0%** | **2574138860** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 535 | 12/31/2025 | 111593477 | 160645 | 160645 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 2605 | 12/31/2025 | 285247500 | 1323950 | 1323950 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **1484595** |
| The notional amount of futures purchased as a percentage of Net Assets is 15.4% | The notional amount of futures purchased as a percentage of Net Assets is 15.4% | The notional amount of futures purchased as a percentage of Net Assets is 15.4% | The notional amount of futures purchased as a percentage of Net Assets is 15.4% | The notional amount of futures purchased as a percentage of Net Assets is 15.4% | The notional amount of futures purchased as a percentage of Net Assets is 15.4% |

---

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $936,559,644 or 36.4% of net assets.

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

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

(e) A coupon rate of 0% signifies an unsettled loan. The coupon rate will be determined upon settlement of the loan after period end.

(f) 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.

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

(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) 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 $327,510 or 0.0% of net assets.

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

(l) Level 3 security

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

(n) 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.

(o) 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 $3,757,013.

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

(q) 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 | 21105903 | 848602839 | 841121937 | 1324793 | - | - | 28586805 | 28581088 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | 8421633 | 185739713 | 184390156 | 33275 | - | - | 9771190 | 9770213 | 0.0% |
| Total | 29527536 | 1034342552 | 1025512093 | 1358068 | - | - | 38357995 |  |  |

---

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

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

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

**Investment Valuation**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 263582644 | - | 263582644 | - |
|  **Bank Loan Obligations** |  |  |  |  |
| Communication Services | 4457755 | - | 4457755 | - |
| Consumer Discretionary | 9657680 | - | 9657680 | - |
| Consumer Staples | 1138983 | - | 1138983 | - |
| Energy | 1001043 | - | 1001043 | - |
| Financials | 4566242 | - | 4566242 | - |
| Health Care | 4185915 | - | 4185915 | - |
| Industrials | 2172114 | - | 2172114 | - |
| Information Technology | 6360377 | - | 6360377 | - |
| Materials | 7559325 | - | 7559325 | - |
| Utilities | 793639 | - | 793639 | - |
|  **Collateralized Mortgage Obligations** | 37082606 | - | 37082606 | - |
|  **Commercial Mortgage Securities** | 97326771 | - | 97326771 | - |
|  **Common Stocks** |  |  |  |  |
| Energy | 14120 | 14120 | - | - |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 696643 | - | 696643 | - |
| Financials | 892383 | - | 892383 | - |
| Information Technology | 533555 | - | 533555 | - |
|  **Foreign Government and Government Agency Obligations** | 5585223 | - | 5585223 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 53582069 | - | 53582069 | - |
| Consumer Discretionary | 112976361 | - | 112976361 | - |
| Consumer Staples | 95487216 | - | 95487216 | - |
| Energy | 146169538 | - | 146169538 | - |
| Financials | 833033631 | - | 833033631 | - |
| Health Care | 75373501 | - | 75373501 | - |
| Industrials | 101295129 | - | 101295129 | - |
| Information Technology | 61532151 | - | 61407454 | 124697 |
| Materials | 61943383 | - | 61943383 | - |
| Real Estate | 46708875 | - | 46708875 | - |
| Utilities | 116915596 | - | 116915596 | - |
|  **Preferred Securities** |  |  |  |  |
| Energy | 1275060 | - | 1275060 | - |
| Financials | 5801555 | - | 5801555 | - |
| Utilities | 68765 | - | 68765 | - |
|  **U.S. Government Agency - Mortgage Securities** | 3570412 | - | 3570412 | - |
|  **U.S. Treasury Obligations** | 378247499 | - | 378247499 | - |
|  **Money Market Funds** | 38357995 | 38357995 | - | - |
| **Total Investments in Securities:** | 2579945754 | 38372115 | 2541448942 | 124697 |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 1484595 | 1484595 | - | - |
| Total Assets | 1484595 | 1484595 | - | - |
| **Total Derivative Instruments:** | 1484595 | 1484595 | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 1484595 | - |
| **Total Interest Rate Risk**  | 1484595 | - |
| **Total Value of Derivatives** | 1484595 | - |

---

(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**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $9,401,507) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $2,532,922,313) | $2541587759 |  |
| Fidelity Central Funds (cost $38,357,995) | 38357995 |  |
| Total Investment in Securities (cost $2,571,280,308) |  | $2579945754 |
| Cash |  | 244378 |
| Receivable for investments sold |  | 1716995 |
| Receivable for fund shares sold |  | 3705366 |
| Interest receivable |  | 25617327 |
| Distributions receivable from Fidelity Central Funds |  | 102246 |
| Receivable for daily variation margin on futures contracts |  | 91171 |
| Receivable from investment adviser for expense reductions |  | 18540 |
| **Total assets** |  | 2611441777 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $22970777 |  |
| Payable for fund shares redeemed | 2736098 |  |
| Distributions payable | 1048904 |  |
| Accrued management fee | 426152 |  |
| Distribution and service plan fees payable | 105858 |  |
| Other affiliated payables | 242720 |  |
| Other payables and accrued expenses | 1218 |  |
| Collateral on securities loaned | 9771190 |  |
| **Total liabilities** |  | 37302917 |
| **Net Assets**  |  | $2574138860 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $2668289405 |
| Total accumulated earnings (loss) |  | (94150545) |
| **Net Assets** |  | $2574138860 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($345,397,114 ÷ 29,782,532 shares)(a) |  | $11.60 |
| Maximum offering price per share (100/97.25 of $11.60) |  | $11.93 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($95,222,649 ÷ 8,205,834 shares)(a) |  | $11.60 |
| Maximum offering price per share (100/97.25 of $11.60) |  | $11.93 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($15,536,177 ÷ 1,342,746 shares)(a) |  | $11.57 |
| **Fidelity Limited Term Bond Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,365,635,795 ÷ 117,451,751 shares) |  | $11.63 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($496,557,651 ÷ 42,698,467 shares) |  | $11.63 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($255,789,474 ÷ 21,999,795 shares) |  | $11.63 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Dividends  |  | $207394 |
| Interest  |  | 94464743 |
| Income from Fidelity Central Funds (including $33,275 from security lending)  |  | 1358068 |
| **Total income** |  | 96030205 |
| **Expenses** |  |  |
| Management fee | $4524071 |  |
| Transfer agent fees | 2625228 |  |
| Distribution and service plan fees | 1236110 |  |
| Independent trustees' fees and expenses | 5502 |  |
| Total expenses before reductions | 8390911 |  |
| Expense reductions | (245905) |  |
| Total expenses after reductions |  | 8145006 |
| **Net Investment income (loss)** |  | 87885199 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (7942) |  |
| Futures contracts | (4818371) |  |
| Total net realized gain (loss) |  | (4826313) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 39533034 |  |
| Futures contracts | 2661801 |  |
| Total change in net unrealized appreciation (depreciation) |  | 42194835 |
| **Net gain (loss)** |  | 37368522 |
| **Net increase (decrease) in net assets resulting from operations** |  | $125253721 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $87885199 | $65707496 |
| &nbsp;&nbsp;Net realized gain (loss) | (4826313)<br>| (19245340)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 42194835 | 111932852<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 125253721<br>| 158395008<br>|
| Distributions to shareholders | (84398184)<br>| (63442184)<br>|
| Share transactions - net increase (decrease) | 489628791<br>| (427330568)<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 530484328<br>| (332377744)<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 2043654532 | 2376032276<br>|
| &nbsp;&nbsp;End of period | $2574138860 | $2043654532 |

---

**Financial Highlights** 

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.41 | $10.91 | $10.90 | $11.83 | $11.97 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .416  | .314  | .217  | .116  | .132  |
| Net realized and unrealized gain (loss)  | .172  | .491  | .004  | (.910)  | (.085)  |
| Total from investment operations  | .588  | .805  | .221  | (.794)  | .047  |
| Distributions from net investment income  | (.398)  | (.305)  | (.211)  | (.112)  | (.129)  |
| Distributions from net realized gain  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.398)  | (.305)  | (.211)  | (.136)  | (.187)  |
| Net asset value, end of period  | $11.60 | $11.41 | $10.91 | $10.90 | $11.83 |
| **Total Return** C,D | 5.25% <br>| 7.48%  | 2.06%  | (6.75)%  | .40%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |
| Expenses before reductions  | .60%  | .60%  | .69%  | .75%  | .75%  |
| Expenses net of fee waivers, if any  | .60% <br>| .60%  | .69%  | .75%  | .75%  |
| Expenses net of all reductions, if any  | .60%  | .60%  | .69%  | .75%  | .75%  |
| Net investment income (loss)  | 3.64%  | 2.83%  | 2.00%  | 1.02%  | 1.11%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $345397 | $308260 | $313202 | $365178 | $445468 |
| Portfolio turnover rate G | 57% <br>| 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 would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

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

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

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.41 | $10.92 | $10.90 | $11.83 | $11.97 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .417  | .314  | .217  | .115  | .132  |
| Net realized and unrealized gain (loss)  | .171  | .481  | .015  | (.909)  | (.085)  |
| Total from investment operations  | .588  | .795  | .232  | (.794)  | .047  |
| Distributions from net investment income  | (.398)  | (.305)  | (.212)  | (.112)  | (.129)  |
| Distributions from net realized gain  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.398)  | (.305)  | (.212)  | (.136)  | (.187)  |
| Net asset value, end of period  | $11.60 | $11.41 | $10.92 | $10.90 | $11.83 |
| **Total Return** C,D | 5.25% <br>| 7.39%  | 2.15%  | (6.75)%  | .40%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |
| Expenses before reductions  | .60%  | .60%  | .69%  | .75%  | .75%  |
| Expenses net of fee waivers, if any  | .60% <br>| .60%  | .69%  | .75%  | .75%  |
| Expenses net of all reductions, if any  | .60%  | .60%  | .69%  | .75%  | .75%  |
| Net investment income (loss)  | 3.64%  | 2.83%  | 2.00%  | 1.01%  | 1.11%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $95223 | $99607 | $111487 | $118756 | $161105 |
| Portfolio turnover rate G | 57% <br>| 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 would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

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

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

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.38 | $10.88 | $10.87 | $11.80 | $11.94 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .328  | .228  | .132  | .027  | .039  |
| Net realized and unrealized gain (loss)  | .171  | .491  | .005  | (.908)  | (.084)  |
| Total from investment operations  | .499  | .719  | .137  | (.881)  | (.045)  |
| Distributions from net investment income  | (.309)  | (.219)  | (.127)  | (.025)  | (.037)  |
| Distributions from net realized gain  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.309)  | (.219)  | (.127)  | (.049)  | (.095)  |
| Net asset value, end of period  | $11.57 | $11.38 | $10.88 | $10.87 | $11.80 |
| **Total Return** C,D | 4.45% <br>| 6.67%  | 1.27%  | (7.49)%  | (.38)%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |
| Expenses before reductions  | 1.37%  | 1.37%  | 1.48%  | 1.53%  | 1.53%  |
| Expenses net of fee waivers, if any  | 1.37% <br>| 1.37%  | 1.48%  | 1.53%  | 1.53%  |
| Expenses net of all reductions, if any  | 1.37%  | 1.37%  | 1.48%  | 1.53%  | 1.53%  |
| Net investment income (loss)  | 2.87%  | 2.06%  | 1.22%  | .24%  | .33%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $15536 | $17816 | $22420 | $31080 | $45658 |
| Portfolio turnover rate G | 57% <br>| 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 would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

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

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

**Fidelity® Limited Term Bond Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.44 | $10.94 | $10.93 | $11.86 | $12.00 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .451  | .349  | .251  | .150  | .168  |
| Net realized and unrealized gain (loss)  | .172  | .491  | .004  | (.909)  | (.085)  |
| Total from investment operations  | .623  | .840  | .255  | (.759)  | .083  |
| Distributions from net investment income  | (.433)  | (.340)  | (.245)  | (.147)  | (.165)  |
| Distributions from net realized gain  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.433)  | (.340)  | (.245)  | (.171)  | (.223)  |
| Net asset value, end of period  | $11.63 | $11.44 | $10.94 | $10.93 | $11.86 |
| **Total Return** C | 5.56% <br>| 7.80%  | 2.37%  | (6.45)%  | .70%  |
| **Ratios to Average Net Assets** B,D,E |  |  |  |  |  |
| Expenses before reductions  | .30%  | .30%  | .39%  | .45%  | .45%  |
| Expenses net of fee waivers, if any  | .30% <br>| .30%  | .39%  | .45%  | .45%  |
| Expenses net of all reductions, if any  | .30%  | .30%  | .39%  | .45%  | .45%  |
| Net investment income (loss)  | 3.94%  | 3.13%  | 2.30%  | 1.32%  | 1.41%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $1365636 | $960952 | $1277525 | $1593604 | $2245757 |
| Portfolio turnover rate F | 57% <br>| 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 would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

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

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.44 | $10.94 | $10.93 | $11.86 | $12.00 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .452  | .349  | .247  | .145  | .162  |
| Net realized and unrealized gain (loss)  | .171  | .491  | .005  | (.910)  | (.084)  |
| Total from investment operations  | .623  | .840  | .252  | (.765)  | .078  |
| Distributions from net investment income  | (.433)  | (.340)  | (.242)  | (.141)  | (.160)  |
| Distributions from net realized gain  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.433)  | (.340)  | (.242)  | (.165)  | (.218)  |
| Net asset value, end of period  | $11.63 | $11.44 | $10.94 | $10.93 | $11.86 |
| **Total Return** C | 5.56% <br>| 7.80%  | 2.34%  | (6.49)%  | .66%  |
| **Ratios to Average Net Assets** B,D,E |  |  |  |  |  |
| Expenses before reductions  | .35%  | .35%  | .44%  | .50%  | .50%  |
| Expenses net of fee waivers, if any  | .30% <br>| .30%  | .42%  | .50%  | .50%  |
| Expenses net of all reductions, if any  | .30%  | .30%  | .42%  | .50%  | .50%  |
| Net investment income (loss)  | 3.94%  | 3.13%  | 2.27%  | 1.27%  | 1.36%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $496558 | $477123 | $494305 | $656342 | $871438 |
| Portfolio turnover rate F | 57% <br>| 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 would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

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

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended August 31,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.44 | $10.94 | $10.93 | $11.86 | $12.00 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | .457  | .354  | .259  | .160  | .179  |
| Net realized and unrealized gain (loss)  | .172  | .491  | .004  | (.909)  | (.085)  |
| Total from investment operations  | .629  | .845  | .263  | (.749)  | .094  |
| Distributions from net investment income  | (.439)  | (.345)  | (.253)  | (.157)  | (.176)  |
| Distributions from net realized gain  | -  | -  | -  | (.024)  | (.058)  |
| Total distributions  | (.439)  | (.345)  | (.253)  | (.181)  | (.234)  |
| Net asset value, end of period  | $11.63 | $11.44 | $10.94 | $10.93 | $11.86 |
| **Total Return** C | 5.62% <br>| 7.85%  | 2.45%  | (6.36)%  | .79%  |
| **Ratios to Average Net Assets** B,D,E |  |  |  |  |  |
| Expenses before reductions  | .25%  | .25%  | .34%  | .40%  | .40%  |
| Expenses net of fee waivers, if any  | .25% <br>| .25%  | .32%  | .36%  | .36%  |
| Expenses net of all reductions, if any  | .25%  | .25%  | .32%  | .36%  | .36%  |
| Net investment income (loss)  | 3.99%  | 3.18%  | 2.38%  | 1.41%  | 1.50%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $255789 | $179895 | $157093 | $215329 | $301008 |
| Portfolio turnover rate F | 57% <br>| 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 would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

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

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

Fidelity 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 and commercial mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. 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 August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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. As of August 31, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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**  | $33386860 |
| **Gross unrealized depreciation**  | <u>(20596225)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$12790635</u> |
| **Tax Cost**  | <u>$2567155119</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$1591787</u> |
| **Capital loss carryforward**  | <u>$(108532966)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$12790635</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

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

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024** |
| **Ordinary Income**  | <u>$84398184</u> | <u>$63442184</u> |

---

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

**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.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. 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):

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** | 361995198 |

---

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** | 978647082 | 690080708 |

---

**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% | 827751 | 134056 |
| **Class M** | - % | .25% | 240006 | 1806 |
| **Class C** | .75% | .25% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>168353</u> | <u>17500</u> |
|  |  |  | <u>1236110</u> | <u>153362</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** | 18379 |
| **Class M** | 4200 |
| **Class C** A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>383</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>22962</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 Assets** |
| **Class A** | 504013 | .15 |
| **Class M** | 144412 | .15 |
| **Class C** | 29090 | .17 |
| **Fidelity Limited Term Bond Fund** | 1119676 | .10 |
| **Class I** | 716246 | .15 |
| **Class Z** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>111791</u> | .05 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2625228</u> |  |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**8. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral less rebates paid to borrowers, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations as a component of interest. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Advisor Limited Term Bond Fund** | 3346 | - | - |

---

**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% | 241480 |

---

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 $4,425.

**10. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **August 31, 2025** | **Year ended**<br> **August 31, 2024** |
| **Fidelity Advisor Limited Term Bond Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $11528812 | $8288493 |
| Class M | 3338028 | 2867673 |
| Class C | 455441 | 379561 |
| Fidelity Limited Term Bond Fund | 42531465 | 32632639 |
| Class I | 17961889 | 14618772 |
| Class Z | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>8582549</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4655046</u> |
| Total  | <u>$84398184</u> | <u>$63442184</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** |
|  | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** | **Year ended** <br> **August 31, 2025**  | **Year ended**<br> **August 31, 2024** |
| **Fidelity Advisor Limited Term Bond Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 21798676 | 17119323 | $249237820 | $190478934 |
| Reinvestment of distributions | 969324 | 712616 | 11103533 | 7933646 |
| Shares redeemed | <u>(20006741)</u> | <u>(19521255)</u> | <u>(228750795)</u> | <u>(216856087)</u> |
| Net increase (decrease) | <u>2761259</u> | <u>(1689316)</u> | <u>$31590558</u> | <u>$(18443507)</u> |
| **Class M** |  |  |  |  |
| Shares sold | 2340118 | 2367357 | $26794377 | $26342533 |
| Reinvestment of distributions | 280898 | 248857 | 3218633 | 2771362 |
| Shares redeemed | <u>(3141224)</u> | <u>(4103885)</u> | <u>(35930148)</u> | <u>(45615595)</u> |
| Net increase (decrease) | <u>(520208)</u> | <u>(1487671)</u> | <u>$(5917138)</u> | <u>$(16501700)</u> |
| **Class C** |  |  |  |  |
| Shares sold | 411426 | 293162 | $4688425 | $3237711 |
| Reinvestment of distributions | 38021 | 32490 | 434464 | 360849 |
| Shares redeemed | <u>(672058)</u> | <u>(820240)</u> | <u>(7664212)</u> | <u>(9051235)</u> |
| Net increase (decrease) | <u>(222611)</u> | <u>(494588)</u> | <u>$(2541323)</u> | <u>$(5452675)</u> |
| **Fidelity Limited Term Bond Fund** |  |  |  |  |
| Shares sold | 52700766 | 12779286 | $604195683 | $142419042 |
| Reinvestment of distributions | 3311103 | 2547109 | 38050851 | 28410746 |
| Shares redeemed | <u>(22577772)</u> | <u>(48116171)</u> | <u>(258908615)</u> | <u>(535266879)</u> |
| Net increase (decrease) | <u>33434097</u> | <u>(32789776)</u> | <u>$383337919</u> | <u>$(364437091)</u> |
| **Class I** |  |  |  |  |
| Shares sold | 11136041 | 10804320 | $127601683 | $120467148 |
| Reinvestment of distributions | 1206214 | 989821 | 13857272 | 11049534 |
| Shares redeemed | <u>(11351639)</u> | <u>(15273195)</u> | <u>(130205847)</u> | <u>(169835204)</u> |
| Net increase (decrease) | <u>990616</u> | <u>(3479054)</u> | <u>$11253108</u> | <u>$(38318522)</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 9922191 | 7385172 | $113723926 | $82444988 |
| Reinvestment of distributions | 584759 | 325110 | 6716871 | 3632349 |
| Shares redeemed | <u>(4236203)</u> | <u>(6344971)</u> | <u>(48535130)</u> | <u>(70254410)</u> |
| Net increase (decrease) | <u>6270747</u> | <u>1365311</u> | <u>$71905667</u> | <u>$15822927</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 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.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Limited Term Bond Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Advisor Limited Term Bond Fund (one of the funds constituting Fidelity Advisor Series II, referred to hereafter as the "Fund") as of August 31, 2025, the related statement of operations for the year ended August 31, 2025, the statement of changes in net assets for each of the two years in the period ended August 31, 2025, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2025 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2025 and the financial highlights for each of the five years in the period ended August 31, 2025 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2025 by correspondence with the custodian, agent banks and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

October 15, 2025

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

A total of 13.75% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $51,791,422 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $84,398,184 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

![](img113731_4.jpg)<br>

1.539398.128 LTB-ANN-1025

**Fidelity® Limited Term Securitized Completion Fund**

**Annual Report**

**August 31, 2025**

![](img113745_1.jpg)

![](img113745_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_LTS-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Limited Term Securitized Completion Fund](#Sub_Sec_Fund_7612_LTS-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7612_LTS-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_LTS-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_LTS-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_LTS-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_LTS-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_LTS-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_LTS-ANN)** |

---

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

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

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

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

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

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

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

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

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

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

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

**Fidelity® Limited Term Securitized Completion Fund**

**Schedule of Investments August 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 37.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 37.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 37.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.9%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) | 91224 | 92436 |
| Evergreen Cr Card Tr Series 2025-CRT5 Class B, 5.24% 5/15/2029 (b) | 700000 | 708144 |
| Securitized Term Auto Receivables Trust Series 2025-A Class B, 5.038% 7/25/2031 (b) | 7398 | 7456 |
| TOTAL CANADA |  | 808036 |
| UNITED STATES - 36.8%  |  |  |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (b) | 200000 | 201021 |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (b) | 72361 | 72451 |
| Affirm Asset Securitization Trust Series 2025-X1 Class B, 5.19% 4/15/2030 (b) | 400000 | 400719 |
| American Express Credit Account Master Trust Series 2024-1 Class A, 5.23% 4/15/2029  | 625000 | 637602 |
| Amur Equip Fin Receivables Xv LLC Series 2025-1A Class A2, 4.7% 9/22/2031 (b) | 145000 | 146378 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (b) | 66859 | 67357 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (b) | 100000 | 100172 |
| ARI Fleet Lease Trust Series 2025-A Class B, 4.7% 1/17/2034 (b) | 250000 | 252252 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) | 100000 | 100256 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (b) | 100000 | 101299 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-2A Class A, 5.12% 8/20/2031 (b) | 110000 | 112670 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (b) | 160877 | 162431 |
| Barings Equipment Finance LLC Series 2025-A Class A2, 4.64% 10/13/2028 (b) | 384253 | 385689 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (b) | 2200000 | 2217609 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (b) | 200000 | 201304 |
| Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/2028  | 800000 | 785110 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 75000 | 75805 |
| Carvana Auto Receivables Trust Series 2025-P1 Class B, 4.98% 5/12/2031  | 200000 | 203631 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (b) | 100000 | 100414 |
| Ccg Receivables Trust. Series 2025-1 Class B, 4.69% 10/14/2032 (b) | 250000 | 251847 |
| Chase Issuance Trust Series 2023-A1 Class A, 5.16% 9/15/2028  | 374000 | 378221 |
| Chase Issuance Trust Series 2024-A1 Class A, 4.6% 1/15/2029 (c) | 100000 | 100783 |
| Citigroup Commercial Mortgage Trust Series 2017-C4 Class A4, 3.471% 10/12/2050  | 100000 | 98246 |
| Citizens Auto Receivables Trust Series 2024-1 Class A3, 5.11% 4/17/2028 (b) | 250000 | 251336 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (b) | 300000 | 302912 |
| Dell Equipment Finance Trust Series 2023-2 Class A3, 5.65% 1/22/2029 (b) | 96994 | 97413 |
| Dell Equipment Finance Trust Series 2024-1 Class A3, 5.39% 3/22/2030 (b) | 850000 | 857303 |
| Dext Abs LLC Series 2025-1 Class A3, 4.77% 8/15/2035 (b) | 460000 | 464239 |
| DLLAA LLC Series 2025-1A Class A3, 4.95% 9/20/2029 (b) | 85000 | 86682 |
| Dllad LLC Series 2025-1A Class A3, 4.42% 9/20/2030 (b) | 100000 | 100843 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (b) | 715760 | 718406 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (b) | 400000 | 409502 |
| DLLMT LLC Series 2024-1A Class A3, 4.84% 8/21/2028 (b) | 750000 | 757316 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A3, 4.98% 8/21/2028 (b) | 250000 | 253530 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (b) | 50000 | 50425 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) | 83522 | 83937 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A3, 4.39% 9/17/2029  | 170000 | 170449 |
| Exeter Automobile Receivables Trust Series 2025-4A Class B, 4.4% 5/15/2030  | 145000 | 145436 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 5000 | 5027 |
| Ford Cr Floorplan Mast Own Tr Series 2018-4 Class A, 4.06% 11/15/2030  | 1905000 | 1903826 |
| Ford Credit Auto Owner Trust Series 2021-1 Class A, 1.37% 10/17/2033 (b) | 1330000 | 1305619 |
| Ford Credit Auto Owner Trust Series 2024-1 Class A, 4.87% 8/15/2036 (b) | 400000 | 409638 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (b) | 400000 | 407292 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-3 Class A1, 4.3% 9/15/2029 (b) | 1000000 | 1004182 |
| FORDO Series 2024-B Class A3, 5.1% 4/15/2029  | 342000 | 346592 |
| Fordr Series 2025-2 Class B, 4.67% 2/15/2038 (b)(d) | 1700000 | 1705083 |
| GM Financial Revolving Receivables Trust Series 2021-1 Class A, 1.17% 6/12/2034 (b) | 1000000 | 969701 |
| GM Financial Revolving Receivables Trust Series 2023-1 Class A, 5.12% 4/11/2035 (b) | 300000 | 307730 |
| GM Financial Revolving Receivables Trust Series 2025-1 Class B, 4.8% 12/11/2037 (b) | 250000 | 253572 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A2, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4927% 6/15/2028 (b)(c)(e) | 400000 | 402234 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class B, 5.73% 6/15/2028 (b) | 115000 | 115969 |
| GMF Floorplan Owner Revolving Trust Series 2024-1A Class A1, 5.13% 3/15/2029 (b) | 1000000 | 1013965 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class B, 4.79% 3/15/2029 (b) | 100000 | 100536 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (b) | 150000 | 150335 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A3, 4.49% 4/16/2029 (b) | 150000 | 150872 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (b) | 69643 | 69840 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (b) | 100000 | 100719 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 250000 | 250170 |
| Kubota Credit Owner Trust Series 2024-2A Class A3, 5.26% 11/15/2028 (b) | 1600000 | 1627320 |
| Marlette Funding Trust Series 2024-1A Class A, 5.95% 7/17/2034 (b) | 9493 | 9498 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (b) | 70219 | 70698 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) | 84428 | 85077 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (b) | 2200000 | 2214477 |
| OneMain Financial Issuance Trust Series 2019-2A Class A, 3.14% 10/14/2036 (b) | 600000 | 586951 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (b) | 33903 | 33924 |
| Oportun Funding Trust Series 2025-1 Class A, 4.96% 8/16/2032 (b) | 83005 | 82981 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (b) | 100000 | 100597 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (b) | 100000 | 100120 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (b) | 175890 | 178847 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (b) | 50000 | 50308 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (b) | 100000 | 100679 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (b) | 91077 | 91158 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (b)(c) | 132079 | 132375 |
| Reach ABS Trust Series 2025-1A Class A, 4.96% 8/16/2032 (b) | 426908 | 427727 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (b) | 95322 | 95584 |
| Santander Drive Auto Receivables Trust Series 2025-1 Class A3, 4.74% 1/16/2029  | 20000 | 20074 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class B, 4.87% 5/15/2031  | 200000 | 202358 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 4000 | 4007 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (b) | 345749 | 346595 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (b) | 100000 | 100063 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A3, 4.34% 11/15/2029  | 200000 | 201714 |
| UPX HIL Issuer Trust Series 2025-1 Class B, 6.07% 1/25/2047 (b) | 200000 | 201160 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (b) | 180000 | 181561 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (b) | 100000 | 100400 |
| Verizon Master Trust Series 2024-8 Class A1A, 4.62% 11/20/2030  | 500000 | 507211 |
| Volkswagen Auto Loan Enhanced Trust 2023-2 Series 2023-2 Class A3, 5.48% 12/20/2028  | 1000000 | 1014158 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (b) | 150000 | 150182 |
| Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/2029  | 400000 | 405183 |
| Wells Fargo Card Issuance Trust Series 2024-A2 Class A, 4.29% 10/15/2029  | 110000 | 110946 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b) | 248628 | 252395 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-2A Class A, 6.46% 8/18/2038 (b) | 106570 | 107974 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 196547 | 196612 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class B, 4.68% 5/15/2030  | 250000 | 252043 |
| TOTAL UNITED STATES |  | 33218855 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $33,768,697) |  | <br> **34026891** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.5%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.5%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 9.5%  |  |  |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (b)(d) | 140437 | 141238 |
| Bravo Residential Funding Trust Series 2023-RPL1 Class A1, 5% 5/25/2063 (b) | 73268 | 73493 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(c) | 61109 | 60784 |
| CFMT LLC Series 2024-R1 Class A1, 4% 10/25/2054 (b) | 395706 | 387721 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (b)(c) | 96624 | 97407 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class EA, 2.25% 9/25/2046  | 91363 | 83432 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 11/25/2053 (c)(e) | 175598 | 177101 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.8784% 7/25/2054 (c)(e) | 85040 | 85595 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 6/25/2054 (c)(e) | 172958 | 173278 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-12 Class CF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.7484% 3/25/2055 (c)(e) | 184692 | 185345 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5148 Class D, 1.75% 10/25/2051  | 189306 | 148434 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5000 Class XA, 2% 4/25/2043  | 549606 | 526557 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 8/25/2053 (c)(e) | 218058 | 217843 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 10/25/2053 (c)(e) | 273483 | 276268 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 6/25/2054 (c)(e) | 158367 | 158778 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (c)(e) | 172300 | 172493 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 4/25/2055 (c)(e) | 185545 | 185134 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (b) | 516496 | 504733 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (b)(c) | 88573 | 83787 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (b) | 494846 | 474579 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (b)(d) | 494395 | 495405 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (b)(d) | 492450 | 495853 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (b)(c) | 75215 | 73094 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (b) | 228424 | 228629 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (b)(d) | 97829 | 95029 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (b)(c) | 189062 | 189707 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (b) | 110050 | 108199 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (b)(c) | 174210 | 170793 |
| PRPM LLC Series 2024-RPL4 Class A1, 4% 12/25/2054 (b)(d) | 461818 | 452600 |
| Towd Point Mortgage Trust 2023-1 Series 2023-1 Class A1, 3.75% 1/25/2063 (b) | 1365591 | 1320162 |
| TOWD Point Mortgage Trust Series 2018-1 Class A2, 3.25% 1/25/2058 (b) | 100000 | 97409 |
| Verus Securitization Trust Series 2025-4 Class A1, 5.448% 5/25/2070 (b) | 192473 | 193748 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (b)(c) | 486990 | 489518 |
| TOTAL UNITED STATES |  | 8624146 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $8,550,236) |  | <br> **8624146** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 20.6%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 20.6%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 20.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 20.6%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.1066% 6/15/2040 (b)(c)(e) | 141000 | 141617 |
| BANK Series 2017-BNK5 Class A4, 3.131% 6/15/2060  | 24324 | 23948 |
| BANK Series 2017-BNK8 Class A3, 3.229% 11/15/2050  | 147580 | 145247 |
| BANK Series 2019-BN21 Class A4, 2.6% 10/17/2052  | 1393195 | 1310672 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 735330 | 707942 |
| BANK Series 2023-BNK45 Class A5, 5.203% 2/15/2056 (c) | 100000 | 102325 |
| BANK5 Series 2025-5YR14 Class A3, 5.646% 4/15/2058  | 200000 | 209739 |
| BANK5 Series 2025-5YR16 Class XB, 0.5531% 8/15/2063 (c)(g) | 1000000 | 19219 |
| BBCMS Mortgage Trust Series 2022-C14 Class ASB, 2.901% 2/15/2055  | 190000 | 180809 |
| Benchmark Mortgage Trust Series 2018-B4 Class ASB, 4.059% 7/15/2051  | 14534 | 14465 |
| Benchmark Mortgage Trust Series 2018-B7 Class A4, 4.51% 5/15/2053  | 300000 | 300764 |
| Benchmark Mortgage Trust Series 2019-B12 Class A5, 3.1156% 8/15/2052  | 150000 | 141869 |
| Benchmark Mortgage Trust Series 2021-B31 Class A5, 2.669% 12/15/2054  | 50000 | 44442 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  | 100000 | 104133 |
| Benchmark Mortgage Trust Series 2025-V16 Class XB, 0.4883% 8/15/2058 (c)(g) | 1000000 | 16140 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.7053% 3/15/2041 (b)(c)(e) | 94883 | 95061 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (c) | 1400000 | 1469572 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7548% 3/15/2041 (b)(c)(e) | 151641 | 151830 |
| BX Commercial Mortgage Trust 21-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.8541% 4/15/2037 (b)(c)(e) | 572176 | 572354 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 6.0044% 5/15/2041 (b)(c) | 190104 | 190579 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 5.1666% 10/15/2036 (b)(c)(e) | 100000 | 99938 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.5539% 12/9/2040 (b)(c)(e) | 71601 | 71735 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6559% 12/15/2039 (b)(c)(e) | 99948 | 100229 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.8065% 4/15/2040 (b)(c)(e) | 99833 | 100052 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.805% 4/15/2041 (b)(c)(e) | 361648 | 362553 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(c)(e) | 60763 | 60687 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.7566% 3/15/2030 (b)(c)(e) | 11953 | 11902 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.9064% 3/15/2030 (b)(c)(e) | 498058 | 495723 |
| BX Trust Series 2021-ACNT Class B, CME Term SOFR 1 month Index + 1.3645%, 5.7275% 11/15/2038 (b)(c)(e) | 85730 | 85676 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2785% 2/15/2036 (b)(c)(e) | 250000 | 249922 |
| BX Trust Series 2021-MFM1 Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1775% 1/15/2034 (b)(c)(e) | 4496 | 4493 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 5.1485% 6/15/2038 (b)(c)(e)(f) | 527796 | 527631 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.8051% 2/15/2039 (b)(c)(e) | 426136 | 426803 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 6.1546% 2/15/2039 (b)(c)(e) | 220644 | 221264 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.5131% 2/15/2035 (b)(c)(e) | 100000 | 100016 |
| Cent Trust Series 2025-CITY Class A, 5.0909% 7/10/2040 (b)(c) | 100000 | 101286 |
| Cent Trust Series 2025-CITY Class X, 0.2082% 7/10/2040 (b) | 1571000 | 11653 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 423872 | 415158 |
| Citigroup Commercial Mortgage Trust Series 2017-P8 Class A3, 3.203% 9/15/2050  | 400000 | 391825 |
| COMM Mortgage Trust Series 2017-CD4 Class A4, 3.514% 5/10/2050  | 10000 | 9837 |
| CSAIL Commercial Mortgage Trust Series 2016-C6 Class A5, 3.0898% 1/15/2049  | 500000 | 494876 |
| CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A3, 3.9585% 8/15/2051  | 500000 | 495144 |
| DBJPM Mortgage Trust Series 2016-C1 Class A3A, 3.015% 5/10/2049  | 71372 | 70934 |
| DBJPM Mortgage Trust Series 2020-C9 Class A5, 1.926% 8/15/2053  | 300000 | 267245 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (b)(c) | 503000 | 517067 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 5.1795% 11/15/2038 (b)(c)(e) | 99174 | 99112 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 200000 | 197328 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 200000 | 197269 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K748 Class A2, 2.26% 1/25/2029  | 300000 | 284170 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class AS, U.S. 30-Day Avg. SOFR Index + 0.53%, 4.871% 6/25/2030 (c)(e) | 300000 | 299870 |
| GS Mortgage Securities Corp II Series 2019-GC40 Class A4, 3.16% 7/10/2052  | 150000 | 141757 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 448077 | 442511 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 150000 | 147381 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 162739 | 161631 |
| ILPT Trust Series 2019-SURF Class A, 4.145% 2/11/2041 (b) | 600000 | 589009 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class ASB, 3.4743% 12/15/2049 (e) | 100117 | 99495 |
| JPMDB Commercial Mortgage Securities Trust Series 2019-COR6 Class A4, 3.0565% 11/13/2052  | 1500000 | 1356165 |
| JPMDB Commercial Mortgage Securities Trust Series 2020-COR7 Class A5, 2.1798% 5/13/2053  | 200000 | 168802 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class A, CME Term SOFR 1 month Index + 0.9154%, 5.2784% 4/15/2038 (b)(c)(e) | 61697 | 61697 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.85% 9/15/2040 (b)(c)(e) | 125000 | 125000 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 285000 | 284265 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class A4, 2.444% 6/15/2054 (c) | 120000 | 106322 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (b)(c) | 57453 | 56647 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 5.6% 8/15/2042 (b)(c)(e) | 500000 | 500626 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.2084% 11/15/2038 (b)(c)(e) | 545247 | 545077 |
| UBS Commercial Mortgage Trust Series 2017-C1 Class A3, 3.196% 6/15/2050  | 8905 | 8701 |
| UBS Commercial Mortgage Trust Series 2017-C5 Class ASB, 3.345% 11/15/2050  | 85996 | 85007 |
| UBS Commercial Mortgage Trust Series 2019-C18 Class A4, 3.0352% 12/15/2052  | 200000 | 186405 |
| Wells Fargo Commercial Mortgage Trust Series 2016-LC24 Class A3, 2.684% 10/15/2049  | 170134 | 167965 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class A4, 4.152% 8/15/2051  | 50000 | 49487 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C51 Class ASB, 3.16% 6/15/2052  | 76198 | 74828 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C61 Class ASB, 2.525% 11/15/2054  | 25000 | 23609 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 6.1544% 10/15/2041 (b)(c)(e) | 100000 | 100155 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 6.6537% 10/15/2041 (b)(c)(e) | 100000 | 100356 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.3538% 8/15/2041 (b)(c)(e) | 100000 | 99821 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 6.0543% 8/15/2041 (b)(c)(e) | 100000 | 99931 |
| Wells Fargo Commercial Mortgage Trust Series 2025-5C4 Class XB, 0.7388% 5/15/2058 (c)(g) | 2000000 | 47492 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (b)(c) | 100000 | 100435 |
| TOTAL UNITED STATES |  | 18644702 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $18,441,647) |  | <br> **18644702** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 30.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 30.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 30.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 30.3%  |  |  |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 84602 | 70803 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 179278 | 161096 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 13399 | 12040 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 338386 | 283422 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 13585 | 12186 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 14925 | 13388 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 777186 | 697148 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 478390 | 426133 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 14799 | 13275 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 15571 | 13957 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 15319 | 13741 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2036  | 15606 | 13989 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2036  | 15829 | 14189 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 16526 | 14814 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 197842 | 182710 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 14779 | 13591 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 59171 | 54645 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  | 411375 | 353822 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  | 21075 | 19443 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2036  | 51137 | 47529 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2036  | 105430 | 99722 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2035  | 264332 | 250022 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030 (h)(i) | 156990 | 154089 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 66710 | 64456 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 50287 | 48587 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2040  | 914831 | 935727 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054 (h)(i) | 94049 | 96319 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 199636 | 204923 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055 (h)(i) | 140128 | 147653 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 13195 | 11856 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 17328 | 15570 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 13497 | 12107 |
| Freddie Mac Gold Pool 1.5% 2/1/2037  | 2867150 | 2570086 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 347861 | 290853 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 15310 | 13733 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 180329 | 150539 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 15414 | 13826 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 15800 | 14173 |
| Freddie Mac Gold Pool 1.5% 7/1/2036  | 15452 | 13851 |
| Freddie Mac Gold Pool 2% 10/1/2035  | 204798 | 189134 |
| Freddie Mac Gold Pool 2% 4/1/2036  | 13834 | 12728 |
| Freddie Mac Gold Pool 2% 8/1/2036  | 98315 | 91379 |
| Freddie Mac Gold Pool 4.5% 12/1/2052  | 81460 | 78707 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 174983 | 176778 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 124803 | 128859 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 200000 | 207719 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 70375 | 72806 |
| Ginnie Mae II Pool 5% 10/1/2055 (j) | 1500000 | 1482825 |
| Ginnie Mae II Pool 5% 9/1/2055 (j) | 3000000 | 2967994 |
| Ginnie Mae II Pool 5.5% 10/1/2055 (j) | 650000 | 654211 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 97805 | 98576 |
| Ginnie Mae II Pool 5.5% 9/1/2055 (j) | 1300000 | 1309590 |
| Ginnie Mae II Pool 6% 10/1/2055 (j) | 600000 | 611409 |
| Ginnie Mae II Pool 6% 9/1/2055 (j) | 5500000 | 5609741 |
| Uniform Mortgage Backed Securities 2% 10/1/2055 (j) | 275000 | 218389 |
| Uniform Mortgage Backed Securities 2% 9/1/2055 (j) | 425000 | 337443 |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 (j) | 250000 | 240283 |
| Uniform Mortgage Backed Securities 4.5% 9/1/2040 (j) | 950000 | 947959 |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 (j) | 650000 | 625219 |
| Uniform Mortgage Backed Securities 5% 9/1/2040 (j) | 425000 | 429399 |
| Uniform Mortgage Backed Securities 6% 10/1/2055 (j) | 750000 | 765645 |
| Uniform Mortgage Backed Securities 6% 9/1/2055 (j) | 2425000 | 2477668 |
| TOTAL UNITED STATES |  | 27274474 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $27,038,073) |  | <br> **27274474** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 12.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 12.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 12.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 12.3%** |
|  | Yield (%) (k) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.74 to 5.12 | 520000 | 504441 |
| US Treasury Bonds 5% 5/15/2045  | 4.87 | 170000 | 172842 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.59 to 2.63 | 122666 | 116100 |
| US Treasury Notes 3.625% 8/15/2028  | 3.58 to 3.59 | 1220000 | 1221620 |
| US Treasury Notes 3.75% 4/15/2028  | 3.79 | 500000 | 501914 |
| US Treasury Notes 3.75% 4/30/2027  | 3.98 to 3.99 | 3350000 | 3353533 |
| US Treasury Notes 3.75% 5/15/2028  | 3.84 to 3.94 | 670000 | 672782 |
| US Treasury Notes 3.875% 7/15/2028  | 3.68 to 3.87 | 2840000 | 2861966 |
| US Treasury Notes 3.875% 7/31/2027  | 3.70 | 950000 | 953934 |
| US Treasury Notes 4.75% 2/15/2045  | 4.78 to 5.01 | 790000 | 778273 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $11,091,293) |  |  | **11137405** |

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---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 11.2%** | &nbsp;&nbsp;**Money Market Funds - 11.2%** | &nbsp;&nbsp;**Money Market Funds - 11.2%** | &nbsp;&nbsp;**Money Market Funds - 11.2%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (l)<br>(Cost $10,129,623)<br>| 4.36 | 10127597 | **10129623** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.3%** | &nbsp;&nbsp;**Purchased Swaptions - 0.3%** | &nbsp;&nbsp;**Purchased Swaptions - 0.3%** | &nbsp;&nbsp;**Purchased Swaptions - 0.3%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.1% |  |  |  |
| Option on an interest rate swap with 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 | 8/29/2029 | 200000 | 8406 |
| 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 | 11/5/2029 | 300000 | 10824 |
| 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 | 11/7/2029 | 300000 | 10433 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.94% and receive annually a floating rate based on US SOFR Index, expiring March 2035 | 3/21/2030 | 400000 | 14397 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 200000 | 7028 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 1620000 | 56296 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 410000 | 14680 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 1000000 | 20307 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.146% and receive annually a floating rate based on US SOFR Index, expiring August 2035 | 7/30/2030 | 240000 | 8301 |
| TOTAL PUT SWAPTIONS |  |  | 150672 |
| Call Swaptions - 0.2% |  |  |  |
| 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 | 8/29/2029 | 200000 | 4655 |
| 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 | 11/5/2029 | 300000 | 8957 |
| 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 | 11/7/2029 | 300000 | 9325 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.94% and pay annually a floating rate based on US SOFR Index, expiring March 2035 | 3/21/2030 | 400000 | 12896 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 200000 | 6838 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 1620000 | 56731 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 410000 | 13895 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 1000000 | 33554 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.146% and pay anually a floating rate based on US SOFR Index, expiring August 2035 | 7/30/2030 | 240000 | 8707 |
| TOTAL CALL SWAPTIONS |  |  | 155558 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $353,623) |  |  | <br> **306230** |

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---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 121.9%**<br> (Cost $109,373,192)<br>| <br>**110143471** |
| **NET OTHER ASSETS (LIABILITIES) - (21.9)%**  | **(19751421)** |
| **NET ASSETS - 100.0%** | **90392050** |

---

---

| | | |
|:---|:---|:---|
| **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% 9/1/2055 | (3000000) | (2967994) |
| Ginnie Mae II Pool 5.5% 9/1/2055 | (1300000) | (1309590) |
| Ginnie Mae II Pool 6% 10/1/2055 | (600000) | (611409) |
| Ginnie Mae II Pool 6% 9/1/2055 | (5500000) | (5609742) |
| Uniform Mortgage Backed Securities 2% 9/1/2055 | (400000) | (317594) |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 | (650000) | (625219) |
| Uniform Mortgage Backed Securities 6% 9/1/2055 | (1500000) | (1532578) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (12974126) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $12,931,418) |  | <br> **(12974126)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 101 | 12/31/2025 | 21067180 | 38422 | 38422 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 12 | 12/19/2025 | 1350188 | (7710) | (7710) |
| CBOT 5Y US Treasury Notes Contracts (United States) | 12 | 12/31/2025 | 1314000 | (6489) | (6489) |
| TOTAL SOLD |  |  |  |  | (14199) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **24223** |
| The notional amount of futures purchased as a percentage of Net Assets is 23.3% | The notional amount of futures purchased as a percentage of Net Assets is 23.3% | The notional amount of futures purchased as a percentage of Net Assets is 23.3% | The notional amount of futures purchased as a percentage of Net Assets is 23.3% | The notional amount of futures purchased as a percentage of Net Assets is 23.3% | The notional amount of futures purchased as a percentage of Net Assets is 23.3% |
| The notional amount of futures sold as a percentage of Net Assets is 3.0% | The notional amount of futures sold as a percentage of Net Assets is 3.0% | The notional amount of futures sold as a percentage of Net Assets is 3.0% | The notional amount of futures sold as a percentage of Net Assets is 3.0% | The notional amount of futures sold as a percentage of Net Assets is 3.0% | The notional amount of futures sold as a percentage of Net Assets is 3.0% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 100000 | (1342) | 2436 | 1094 |
| CMBX AAA Series 15 Index | NR | 11/18/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly | 99993 | (334) | 1488 | 1154 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 100000 | (1342) | 2026 | 684 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 99993 | (826) | 1542 | 716 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (2684) | 4075 | 1391 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 100000 | (1342) | 1564 | 222 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 599960 | (4957) | 5345 | 388 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 500000 | (6711) | 6620 | (91) |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 300000 | (4027) | 4497 | 470 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (2684) | 3112 | 428 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 500000 | (6711) | 13544 | 6833 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 299980 | (2478) | 4773 | 2295 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1199921 | (9914) | 14607 | 4693 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 900000 | (12080) | 15415 | 3335 |
| CMBX BBB- Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 3% | Monthly | 150000 | (23986) | 24637 | 651 |
| CMBX BBB- Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 3% | Monthly | 100000 | (12610) | 12139 | (471) |
| CMBX BBB- Series 16 Index | NR | 4/17/2065 | JPMorgan Securities LLC | 3% | Monthly | 100000 | (15991) | 15514 | (477) |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **(110019)** | **133334** | **23315** |

---

(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 | 3.75% | Annual | LCH | 9/17/2028 | 5741000 | (48555) | 0 | (48555) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2027 | 1803000 | (7471) | 0 | (7471) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2029 | 1727000 | (14915) | 0 | (14915) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2045 | 511000 | (3734) | 0 | (3734) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(74675)** | **0** | **(74675)** |

---

(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 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 $39,427,519 or 43.6% of net assets.

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

(d) 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.

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

(f) Level 3 security

(g) 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.

(h) 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 $234,251.

(i) 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 $145,460.

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

(k) 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.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 138899 | 56236109 | 46245385 | 155469 | - | - | 10129623 | 10127597 | 0.0% |
| Total | 138899 | 56236109 | 46245385 | 155469 | - | - | 10129623 |  |  |

---

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

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

**Investment Valuation**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 34026891 | - | 34026891 | - |
|  **Collateralized Mortgage Obligations** | 8624146 | - | 8624146 | - |
|  **Commercial Mortgage Securities** | 18644702 | - | 18117071 | 527631 |
|  **U.S. Government Agency - Mortgage Securities** | 27274474 | - | 27274474 | - |
|  **U.S. Treasury Obligations** | 11137405 | - | 11137405 | - |
|  **Money Market Funds** | 10129623 | 10129623 | - | - |
|  **Purchased Swaptions** | 306230 | - | 306230 | - |
| **Total Investments in Securities:** | 110143471 | 10129623 | 99486217 | 527631 |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 38422 | 38422 | - | - |
| Total Assets | 38422 | 38422 | - | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (14199) | (14199) | - | - |
| Swaps | (184694) | - | (184694) | - |
| Total Liabilities | (198893) | (14199) | (184694) | - |
| **Total Derivative Instruments:** | (160471) | 24223 | (184694) | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (12974126) | - | (12974126) | - |
| **Total Other Financial Instruments:** | (12974126) | - | (12974126) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)  | - | (110019) |
| **Total Credit Risk**  | - | (110019) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 38422 | (14199) |
| Purchased Swaptions (c)  | 306230 | - |
| Swaps (d)  | - | (74675) |
| **Total Interest Rate Risk**  | 344652 | (88874) |
| **Total Value of Derivatives** | 344652 | (198893) |

---

(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**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of August 31, 2025** | **As of August 31, 2025** | **As of August 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $99,243,569) | $100013848 |  |
| Fidelity Central Funds (cost $10,129,623) | 10129623 |  |
| Total Investment in Securities (cost $109,373,192) |  | $110143471 |
| Cash |  | 500078 |
| Receivable for TBA sale commitments |  | 12931418 |
| Interest receivable |  | 248434 |
| Distributions receivable from Fidelity Central Funds |  | 35980 |
| Receivable for daily variation margin on futures contracts |  | 8546 |
| Receivable for daily variation margin on centrally cleared swaps |  | 131 |
| **Total assets** |  | 123868058 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $1717320 |  |
| Delayed delivery | 18583753 |  |
| TBA sale commitments, at value | 12974126 |  |
| Distributions payable | 90567 |  |
| Bi-lateral OTC swaps, at value | 110019 |  |
| Other payables and accrued expenses | 223 |  |
| **Total liabilities** |  | 33476008 |
| **Net Assets**  |  | $90392050 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $89423573 |
| Total accumulated earnings (loss) |  | 968477 |
| **Net Assets** |  | $90392050 |
| **Net Asset Value**, offering price and redemption price per share ($90,392,050 ÷ 8,790,647 shares) |  | $10.28 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** | <br> **Year ended August 31, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $1990726 |
| Income from Fidelity Central Funds  |  | 155469 |
| **Total income** |  | 2146195 |
| **Expenses** |  |  |
| Independent trustees' fees and expenses | $97 |  |
| **Total expenses** |  | 97 |
| **Net Investment income (loss)** |  | 2146098 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 131722 |  |
| Futures contracts | (39770) |  |
| Swaps | 80749 |  |
| Written options | 4889 |  |
| Total net realized gain (loss) |  | 177590 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 697175 |  |
| Futures contracts | 25566 |  |
| Swaps | (50391) |  |
| TBA sale commitments | (43747) |  |
| Total change in net unrealized appreciation (depreciation) |  | 628603 |
| **Net gain (loss)** |  | 806193 |
| **Net increase (decrease) in net assets resulting from operations** |  | $2952291 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **August 31, 2025** | **For the period May 30, 2024 (commencement of operations) through August 31, 2024**  |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $2146098 | $69089 |
| &nbsp;&nbsp;Net realized gain (loss) | 177590<br>| 18090<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 628603 | 71831<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 2952291<br>| 159010<br>|
| Distributions to shareholders | (2078751)<br>| (62413)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 85983208 | 10226830 |
| Reinvestment of distributions | 1483900<br>| 61256<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (8333168) | (113) |
| **Net increase (decrease) in net assets resulting from share transactions** | 79133940<br>| 10287973<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 80007480<br>| 10384570<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 10384570 | -<br>|
| &nbsp;&nbsp;End of period | $90392050 | $10384570 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 8445601 | 1012245 |
| Issued in reinvestment of distributions | 145380<br>| 6048<br>|
| &nbsp;&nbsp;Redeemed | (818616) | (11) |
| &nbsp;&nbsp;Net increase (decrease) | 7772365 | 1018282 |

---

**Financial Highlights** 

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

---

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

---

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*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*Amount represents less than .005%.*

I*Annualized.*

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

K*Amount not annualized.*

**Notes to Financial Statements**

For the period ended August 31, 2025

**1. Organization.**

Fidelity 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 August 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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

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

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to 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**  | $761275 |
| **Gross unrealized depreciation**  | <u>(18570)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$742705</u> |
| **Tax Cost**  | <u>$109172756</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$225771</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$742705</u> |

---

The tax character of distributions paid was as follows:

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| | | |
|:---|:---|:---|
|  | **August 31, 2025** | **August 31, 2024A** |
| **Ordinary Income**  | $2078751 | $62413 |

---

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

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

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

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

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

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

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

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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. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

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| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Limited Term Securitized Completion Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | <u>13049</u> | <u>21239</u> |
| **Total Credit Risk** | <u>13049</u> | <u>21239</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | (39770) | 25566 |
| Purchased Options | (4937) | (47339) |
| Written Options | 4889 | - |
| Swaps | <u>67700</u> | <u>(71630)</u> |
| **Total Interest Rate Risk** | <u>27882</u> | <u>(93403)</u> |
| Totals | <u>40931</u> | <u>(72164)</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 Limited Term Securitized Completion Fund** | 11175832 |

---

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 Limited Term Securitized Completion Fund** | Purchased Swaptions | 4886667 |

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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 Limited Term Securitized Completion Fund** | 8237234 |

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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 Limited Term Securitized Completion Fund** | 149677591 | 96959436 |

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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 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 2026 unless extended or renewed.

**8. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**9. Risk and Uncertainties.**

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

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Limited Term Securitized Completion Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Limited Term Securitized Completion Fund (one of the funds constituting Fidelity Advisor Series II, referred to hereafter as the "Fund") as of August 31, 2025, the related statement of operations for the year ended August 31, 2025, and the statement of changes in net assets and the financial highlights for the year ended August 31, 2025 and for the period May 30, 2024 (commencement of operations) through August 31, 2024, including the related notes. In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2025, the results of its operations for the year ended August 31, 2025, and the changes in its net assets and the financial highlights for the year ended August 31, 2025 and for the period May 30, 2024 (commencement of operations) through August 31, 2024 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2025 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

October 16, 2025

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

A total of 5.39% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $416,411 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates 90.40% of the short-term capital gain dividends distributed in October, during the fiscal year as qualifying to be taxed as short-term capital gain dividends for nonresident alien shareholders.

The fund designates $2,050,881 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

![](img113745_4.jpg)<br>

1.9911978.101 LTS-ANN-1025

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

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

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) [Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH](code.htm) .

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT](ex99cert.htm) .

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT](ex99906.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

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; October 23, 2025 |

---

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

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; October 23, 2025 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; October 23, 2025 |

---

## Ex-99.Code

**Fidelity Investments**

**FIDELITY FUNDS'**

**CODE OF ETHICS**

**FOR PRESIDENT, TREASURER**

**AND PRINCIPAL ACCOUNTING OFFICER**

2023

**FIDELITY FUNDS' CODE OF ETHICS FOR**

**PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER**

**I. Purposes of the Code/Covered Officers**

This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. The Code applies to the Fidelity Funds' President and Treasurer, and Chief Financial Officer (Covered Officers). Fidelity's Ethics Office, within Enterprise Compliance, administers the Code.

The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· full, fair, accurate, timely and understandable disclosure in reports and documents that the Fidelity Funds submit to the Securities and Exchange Commission (SEC), and in other public communications by a Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· compliance with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

**II.** **Covered Officers Should Handle Ethically** 

**Actual and Apparent Conflicts of Interest**

**Overview.** A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or their service to, the Fidelity Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of their family, receives improper personal benefits as a result of their position with the Fidelity Funds.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as "affiliated persons" of the Fund. Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.

\* \* \*

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not use their personal influence or personal relationships improperly to influence investment decisions or financial reporting by any Fidelity Fund whereby the Covered Officer would benefit personally to the detriment of any Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not cause a Fidelity Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer's responsibilities with the Fidelity Funds;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not have a consulting or employment relationship with any of the Fidelity Funds' service providers that are not affiliated with Fidelity; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.

With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution. Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.

**III. Disclosure and Compliance**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should familiarize themself with the disclosure requirements generally applicable to the Fidelity Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any Fidelity Fund to others, whether within or outside Fidelity, including to the Board and auditors, and to governmental regulators and self-regulatory organizations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should, to the extent appropriate within their area of responsibility, consult with other officers and employees of the Fidelity Funds, FMR and the Fidelity service providers, and with the Board's Compliance Committee, with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fidelity Funds file with, or submit to, the SEC and in other public communications made by the Fidelity Funds; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

**IV. Reporting and Accountability**

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· upon receipt of the Code, and annually thereafter, submit to the Fidelity Ethics Office an acknowledgement stating that they have received, read, and understand the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· notify the Fidelity Ethics Office promptly if they know of any violation of the Code. <u>Failure to do so is itself a violation of this Code</u>.

The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it. Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below. The Covered Officer will be informed of any action determined to be appropriate. The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response. Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities. Additionally, other legal remedies may be pursued.

The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds. The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion. The Fidelity Funds, the Fidelity companies and the Fidelity Head of Ethics retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.

**V. Oversight**

Material violations of this Code will be reported promptly by FMR (or another Fidelity company) to the Board's Compliance Committee. In addition, at least once each year, FMR (or another Fidelity company) will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.

**VI. Other Policies and Procedures** 

This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act. Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others) and are not part of this Code.

**VII. Amendments**

Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.

**VIII. Records and Confidentiality**

Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.

2023

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<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:

October 23, 2025

---

| |
|:---|
| &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:

October 23, 2025

---

| |
|:---|
| &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: October 23, 2025

---

| |
|:---|
| &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp; Laura M. Del Prato |
| &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |

---

Dated: October 23, 2025

---

| |
|:---|
| &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>