# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0000751199-26-000054
**Filing Date:** 2026-4
**Character Count:** 1936565
**Document Hash:** 8f853aa102e9519b4f90104bed717bf2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000751199-26-000054.hdr.sgml**: 20260422

**ACCESSION NUMBER**: 0000751199-26-000054

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 70

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260422

**DATE AS OF CHANGE**: 20260422

**EFFECTIVENESS DATE**: 20260422

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY INCOME FUND /MA/
- **CENTRAL INDEX KEY:** 0000751199

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04085
- **FILM NUMBER:** 26881787

**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 MORTGAGE SECURITIES FUND
- **DATE OF NAME CHANGE:** 19851103

## Series and Classes Contracts Data

### Fidelity Total Bond Fund (Series ID: S000007066)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000019272 | Fidelity Total Bond Fund                  | FTBFX           |
| C000019273 | Fidelity Advisor Total Bond Fund: Class A | FEPAX           |
| C000019275 | Fidelity Advisor Total Bond Fund: Class C | FCEPX           |
| C000019276 | Fidelity Advisor Total Bond Fund: Class M | FEPTX           |
| C000019277 | Fidelity Advisor Total Bond Fund: Class I | FEPIX           |
| C000150510 | Fidelity Advisor Total Bond Fund: Class Z | FBKWX           |

### Fidelity Government Income Fund (Series ID: S000007069)

| Class ID   | Class Name                                       | Ticker Symbol   |
|:---|:---|:---|
| C000019283 | Fidelity Government Income Fund                  | FGOVX           |
| C000038098 | Fidelity Advisor Government Income Fund: Class A | FVIAX           |
| C000038100 | Fidelity Advisor Government Income Fund: Class C | FVICX           |
| C000038101 | Fidelity Advisor Government Income Fund: Class M | FVITX           |
| C000038102 | Fidelity Advisor Government Income Fund: Class I | FVIIX           |
| C000205069 | Fidelity Advisor Government Income Fund: Class Z | FIKPX           |

### Fidelity Intermediate Government Income Fund (Series ID: S000007070)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000019284 | Fidelity Intermediate Government Income Fund | FSTGX           |

### Fidelity Total Bond K6 Fund (Series ID: S000057288)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000182864 | Fidelity Total Bond K6 Fund | FTKFX           |

### Fidelity Series Government Bond Index Fund (Series ID: S000062811)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000203458 | Fidelity Series Government Bond Index Fund | FHNFX           |

### Fidelity Environmental Bond Fund (Series ID: S000072130)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000227901 | Fidelity Advisor Environmental Bond Fund: Class M | FEBEX           |
| C000227902 | Fidelity Advisor Environmental Bond Fund: Class A | FEBBX           |
| C000227903 | Fidelity Environmental Bond Fund                  | FFEBX           |
| C000227904 | Fidelity Advisor Environmental Bond Fund: Class I | FEBFX           |
| C000227905 | Fidelity Advisor Environmental Bond Fund: Class C | FEBDX           |
| C000227906 | Fidelity Advisor Environmental Bond Fund: Class Z | FEBGX           |

?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>811-04085</u>

<u>Fidelity Income Fund</u>

(Exact name of registrant as specified in charter)

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

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

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

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

---

| | |
|:---|:---|
| &nbsp;&nbsp;Date of fiscal year end: | &nbsp;&nbsp;August 31 |
| &nbsp;&nbsp;Date of reporting period: | &nbsp;&nbsp;February 28, 2026 |

---

Item 1.

<u>Reports to Stockholders</u>

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Intermediate Government Income Fund<br> **Fidelity® Intermediate Government Income Fund : FSTGX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Intermediate Government Income Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

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

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $505942565<br>|
| Number of Holdings | 207<br>|
| Portfolio Turnover | 150%<br>|

---

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

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| 1 - 1.99% | 13.6 |
| 2 - 2.99% | 7.7 |
| 3 - 3.99% | 26.5 |
| 4 - 4.99% | 44.7 |
| 5 - 5.99% | 1.2 |
| 6 - 6.99% | 0.8 |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 80.7 |
| CMOs and Other Mortgage Related Securities | 13.3 |
| U.S. Government Agency Obligations | 3.0 |
| Options | 0.2 |
| U.S. Government Agency - Mortgage Securities | (2.5) |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img452_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 80.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| CMOs and Other Mortgage Related Securities - 13.3 |
| U.S. Government Agency Obligations - 3.0 |
| 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;  |
| U.S. Government Agency - Mortgage Securities - 0 |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.3 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 79.0<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 12.0<br>|
| Federal Farm Credit Banks Funding Corp | 3.0<br>|
| US Treasury Bonds | 1.7<br>|
| Fannie Mae Mortgage pass-thru certificates | 1.3<br>|
| Ginnie Mae II Pool | 0.9<br>|
| Fannie Mae Guaranteed REMIC | 0.9<br>|
| Freddie Mac Gold Pool | 0.6<br>|
| Ginnie Mae I Pool | 0.2<br>|
| Freddie Mac Non Gold Pool | 0.1<br>|
|  | 99.7 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img452_20260228_1.jpg)<br>| ![](img126240_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915426.101 452-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Government Income Fund<br> **Fidelity® Government Income Fund : FGOVX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Government Income Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

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

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $1544152608<br>|
| Number of Holdings | 1815<br>|
| Portfolio Turnover | 197%<br>|

---

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

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| Zero coupon bonds | 0.0 |
| 1 - 1.99% | 6.7 |
| 2 - 2.99% | 18.9 |
| 3 - 3.99% | 34.9 |
| 4 - 4.99% | 20.4 |
| 5 - 5.99% | 6.0 |
| 6 - 6.99% | 5.3 |
| 7 - 7.99% | 0.0 |
| 8 - 8.99% | 0.0 |
| 16 - 16.99% | 0.0 |
| 17 - 17.99% | 0.0 |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 51.1 |
| CMOs and Other Mortgage Related Securities | 19.9 |
| U.S. Government Agency - Mortgage Securities | 18.3 |
| U.S. Government Agency Obligations | 2.9 |
| Options | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 7.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img54_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 51.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| CMOs and Other Mortgage Related Securities - 19.9 |
| U.S. Government Agency - Mortgage Securities - 18.3 |
| U.S. Government Agency Obligations - 2.9 |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 7.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 32.7<br>|
| US Treasury Bonds | 18.4<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 14.8<br>|
| Fannie Mae Mortgage pass-thru certificates | 11.5<br>|
| Freddie Mac Gold Pool | 8.0<br>|
| Ginnie Mae II Pool | 5.7<br>|
| Federal Farm Credit Banks Funding Corp | 2.6<br>|
| Fannie Mae Guaranteed REMIC | 2.3<br>|
| Ginnie Mae I Pool | 1.9<br>|
| Freddie Mac Non Gold Pool | 1.0<br>|
|  | 98.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img54_20260228_1.jpg)<br>| ![](img126244_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915404.101 54-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Government Income Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

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

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $1544152608<br>|
| Number of Holdings | 1815<br>|
| Portfolio Turnover | 197%<br>|

---

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

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| Zero coupon bonds | 0.0 |
| 1 - 1.99% | 6.7 |
| 2 - 2.99% | 18.9 |
| 3 - 3.99% | 34.9 |
| 4 - 4.99% | 20.4 |
| 5 - 5.99% | 6.0 |
| 6 - 6.99% | 5.3 |
| 7 - 7.99% | 0.0 |
| 8 - 8.99% | 0.0 |
| 16 - 16.99% | 0.0 |
| 17 - 17.99% | 0.0 |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 51.1 |
| CMOs and Other Mortgage Related Securities | 19.9 |
| U.S. Government Agency - Mortgage Securities | 18.3 |
| U.S. Government Agency Obligations | 2.9 |
| Options | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 7.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img54_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 51.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| CMOs and Other Mortgage Related Securities - 19.9 |
| U.S. Government Agency - Mortgage Securities - 18.3 |
| U.S. Government Agency Obligations - 2.9 |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 7.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 32.7<br>|
| US Treasury Bonds | 18.4<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 14.8<br>|
| Fannie Mae Mortgage pass-thru certificates | 11.5<br>|
| Freddie Mac Gold Pool | 8.0<br>|
| Ginnie Mae II Pool | 5.7<br>|
| Federal Farm Credit Banks Funding Corp | 2.6<br>|
| Fannie Mae Guaranteed REMIC | 2.3<br>|
| Ginnie Mae I Pool | 1.9<br>|
| Freddie Mac Non Gold Pool | 1.0<br>|
|  | 98.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img54_20260228_1.jpg)<br>| ![](img126245_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915403.101 3305-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Government Income Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $39  | 0.77% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $1544152608<br>|
| Number of Holdings | 1815<br>|
| Portfolio Turnover | 197%<br>|

---

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

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| Zero coupon bonds | 0.0 |
| 1 - 1.99% | 6.7 |
| 2 - 2.99% | 18.9 |
| 3 - 3.99% | 34.9 |
| 4 - 4.99% | 20.4 |
| 5 - 5.99% | 6.0 |
| 6 - 6.99% | 5.3 |
| 7 - 7.99% | 0.0 |
| 8 - 8.99% | 0.0 |
| 16 - 16.99% | 0.0 |
| 17 - 17.99% | 0.0 |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 51.1 |
| CMOs and Other Mortgage Related Securities | 19.9 |
| U.S. Government Agency - Mortgage Securities | 18.3 |
| U.S. Government Agency Obligations | 2.9 |
| Options | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 7.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img54_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 51.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| CMOs and Other Mortgage Related Securities - 19.9 |
| U.S. Government Agency - Mortgage Securities - 18.3 |
| U.S. Government Agency Obligations - 2.9 |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 7.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 32.7<br>|
| US Treasury Bonds | 18.4<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 14.8<br>|
| Fannie Mae Mortgage pass-thru certificates | 11.5<br>|
| Freddie Mac Gold Pool | 8.0<br>|
| Ginnie Mae II Pool | 5.7<br>|
| Federal Farm Credit Banks Funding Corp | 2.6<br>|
| Fannie Mae Guaranteed REMIC | 2.3<br>|
| Ginnie Mae I Pool | 1.9<br>|
| Freddie Mac Non Gold Pool | 1.0<br>|
|  | 98.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img54_20260228_1.jpg)<br>| ![](img126246_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915401.101 1758-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Government Income Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $25  | 0.50% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $1544152608<br>|
| Number of Holdings | 1815<br>|
| Portfolio Turnover | 197%<br>|

---

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

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| Zero coupon bonds | 0.0 |
| 1 - 1.99% | 6.7 |
| 2 - 2.99% | 18.9 |
| 3 - 3.99% | 34.9 |
| 4 - 4.99% | 20.4 |
| 5 - 5.99% | 6.0 |
| 6 - 6.99% | 5.3 |
| 7 - 7.99% | 0.0 |
| 8 - 8.99% | 0.0 |
| 16 - 16.99% | 0.0 |
| 17 - 17.99% | 0.0 |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 51.1 |
| CMOs and Other Mortgage Related Securities | 19.9 |
| U.S. Government Agency - Mortgage Securities | 18.3 |
| U.S. Government Agency Obligations | 2.9 |
| Options | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 7.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img54_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 51.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| CMOs and Other Mortgage Related Securities - 19.9 |
| U.S. Government Agency - Mortgage Securities - 18.3 |
| U.S. Government Agency Obligations - 2.9 |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 7.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 32.7<br>|
| US Treasury Bonds | 18.4<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 14.8<br>|
| Fannie Mae Mortgage pass-thru certificates | 11.5<br>|
| Freddie Mac Gold Pool | 8.0<br>|
| Ginnie Mae II Pool | 5.7<br>|
| Federal Farm Credit Banks Funding Corp | 2.6<br>|
| Fannie Mae Guaranteed REMIC | 2.3<br>|
| Ginnie Mae I Pool | 1.9<br>|
| Freddie Mac Non Gold Pool | 1.0<br>|
|  | 98.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img54_20260228_1.jpg)<br>| ![](img126247_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915402.101 1759-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Government Income Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $79  | 1.56% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $1544152608<br>|
| Number of Holdings | 1815<br>|
| Portfolio Turnover | 197%<br>|

---

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

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| Zero coupon bonds | 0.0 |
| 1 - 1.99% | 6.7 |
| 2 - 2.99% | 18.9 |
| 3 - 3.99% | 34.9 |
| 4 - 4.99% | 20.4 |
| 5 - 5.99% | 6.0 |
| 6 - 6.99% | 5.3 |
| 7 - 7.99% | 0.0 |
| 8 - 8.99% | 0.0 |
| 16 - 16.99% | 0.0 |
| 17 - 17.99% | 0.0 |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 51.1 |
| CMOs and Other Mortgage Related Securities | 19.9 |
| U.S. Government Agency - Mortgage Securities | 18.3 |
| U.S. Government Agency Obligations | 2.9 |
| Options | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 7.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img54_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 51.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| CMOs and Other Mortgage Related Securities - 19.9 |
| U.S. Government Agency - Mortgage Securities - 18.3 |
| U.S. Government Agency Obligations - 2.9 |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 7.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 32.7<br>|
| US Treasury Bonds | 18.4<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 14.8<br>|
| Fannie Mae Mortgage pass-thru certificates | 11.5<br>|
| Freddie Mac Gold Pool | 8.0<br>|
| Ginnie Mae II Pool | 5.7<br>|
| Federal Farm Credit Banks Funding Corp | 2.6<br>|
| Fannie Mae Guaranteed REMIC | 2.3<br>|
| Ginnie Mae I Pool | 1.9<br>|
| Freddie Mac Non Gold Pool | 1.0<br>|
|  | 98.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img54_20260228_1.jpg)<br>| ![](img126248_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915400.101 1757-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Government Income Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $40  | 0.80% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $1544152608<br>|
| Number of Holdings | 1815<br>|
| Portfolio Turnover | 197%<br>|

---

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

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| Zero coupon bonds | 0.0 |
| 1 - 1.99% | 6.7 |
| 2 - 2.99% | 18.9 |
| 3 - 3.99% | 34.9 |
| 4 - 4.99% | 20.4 |
| 5 - 5.99% | 6.0 |
| 6 - 6.99% | 5.3 |
| 7 - 7.99% | 0.0 |
| 8 - 8.99% | 0.0 |
| 16 - 16.99% | 0.0 |
| 17 - 17.99% | 0.0 |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 51.1 |
| CMOs and Other Mortgage Related Securities | 19.9 |
| U.S. Government Agency - Mortgage Securities | 18.3 |
| U.S. Government Agency Obligations | 2.9 |
| Options | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 7.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img54_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 51.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| CMOs and Other Mortgage Related Securities - 19.9 |
| U.S. Government Agency - Mortgage Securities - 18.3 |
| U.S. Government Agency Obligations - 2.9 |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 7.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 32.7<br>|
| US Treasury Bonds | 18.4<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 14.8<br>|
| Fannie Mae Mortgage pass-thru certificates | 11.5<br>|
| Freddie Mac Gold Pool | 8.0<br>|
| Ginnie Mae II Pool | 5.7<br>|
| Federal Farm Credit Banks Funding Corp | 2.6<br>|
| Fannie Mae Guaranteed REMIC | 2.3<br>|
| Ginnie Mae I Pool | 1.9<br>|
| Freddie Mac Non Gold Pool | 1.0<br>|
|  | 98.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img54_20260228_1.jpg)<br>| ![](img126249_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915399.101 1755-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Environmental Bond Fund<br> **Fidelity® Environmental Bond Fund : FFEBX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Environmental Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

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

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $49551678<br>|
| Number of Holdings | 223<br>|
| Portfolio Turnover | 47%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.8 |
| AAA | 0.6 |
| AA | 1.9 |
| A | 13.5 |
| BBB | 19.3 |
| BB | 2.4 |
| Not Rated | 2.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.8 |
| &nbsp;&nbsp;AAA - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 13.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.3&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 - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 41.5 |
| Corporate Bonds | 36.4 |
| U.S. Government Agency - Mortgage Securities | 14.9 |
| CMOs and Other Mortgage Related Securities | 1.9 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Asset-Backed Securities | 0.5 |
| Preferred Securities | 0.5 |
| U.S. Government Agency Obligations | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6379_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 41.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 36.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.9 |
| CMOs and Other Mortgage Related Securities - 1.9 |
| Foreign Government and Government Agency Obligations - 0.8 |
| Asset-Backed Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency Obligations - 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |

---

---

| | |
|:---|:---|
| United States | 87.6 |
| United Kingdom | 2.5 |
| Germany | 2.0 |
| Ireland | 1.7 |
| Netherlands | 1.1 |
| Italy | 1.0 |
| Canada | 0.8 |
| Luxembourg | 0.7 |
| Japan | 0.6 |
| Others | 2.0 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.0&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;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 - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Luxembourg - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.0&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 29.1<br>|
| US Treasury Bonds | 11.4<br>|
| Freddie Mac Gold Pool | 9.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.2<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.7<br>|
| Verizon Communications Inc | 1.2<br>|
| Morgan Stanley | 1.1<br>|
| Bank of America Corp | 1.1<br>|
| US Treasury Bill | 1.0<br>|
| PNC Financial Services Group Inc/The | 0.9<br>|
|  | 62.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6379_20260228_1.jpg)<br>| ![](img126252_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915471.101 6379-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Environmental Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

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

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $49551678<br>|
| Number of Holdings | 223<br>|
| Portfolio Turnover | 47%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.8 |
| AAA | 0.6 |
| AA | 1.9 |
| A | 13.5 |
| BBB | 19.3 |
| BB | 2.4 |
| Not Rated | 2.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.8 |
| &nbsp;&nbsp;AAA - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 13.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.3&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 - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 41.5 |
| Corporate Bonds | 36.4 |
| U.S. Government Agency - Mortgage Securities | 14.9 |
| CMOs and Other Mortgage Related Securities | 1.9 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Asset-Backed Securities | 0.5 |
| Preferred Securities | 0.5 |
| U.S. Government Agency Obligations | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6379_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 41.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 36.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.9 |
| CMOs and Other Mortgage Related Securities - 1.9 |
| Foreign Government and Government Agency Obligations - 0.8 |
| Asset-Backed Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency Obligations - 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |

---

---

| | |
|:---|:---|
| United States | 87.6 |
| United Kingdom | 2.5 |
| Germany | 2.0 |
| Ireland | 1.7 |
| Netherlands | 1.1 |
| Italy | 1.0 |
| Canada | 0.8 |
| Luxembourg | 0.7 |
| Japan | 0.6 |
| Others | 2.0 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.0&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;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 - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Luxembourg - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.0&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 29.1<br>|
| US Treasury Bonds | 11.4<br>|
| Freddie Mac Gold Pool | 9.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.2<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.7<br>|
| Verizon Communications Inc | 1.2<br>|
| Morgan Stanley | 1.1<br>|
| Bank of America Corp | 1.1<br>|
| US Treasury Bill | 1.0<br>|
| PNC Financial Services Group Inc/The | 0.9<br>|
|  | 62.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6379_20260228_1.jpg)<br>| ![](img126253_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915476.101 6384-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Environmental Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $34  | 0.67% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $49551678<br>|
| Number of Holdings | 223<br>|
| Portfolio Turnover | 47%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.8 |
| AAA | 0.6 |
| AA | 1.9 |
| A | 13.5 |
| BBB | 19.3 |
| BB | 2.4 |
| Not Rated | 2.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.8 |
| &nbsp;&nbsp;AAA - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 13.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.3&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 - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 41.5 |
| Corporate Bonds | 36.4 |
| U.S. Government Agency - Mortgage Securities | 14.9 |
| CMOs and Other Mortgage Related Securities | 1.9 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Asset-Backed Securities | 0.5 |
| Preferred Securities | 0.5 |
| U.S. Government Agency Obligations | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6379_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 41.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 36.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.9 |
| CMOs and Other Mortgage Related Securities - 1.9 |
| Foreign Government and Government Agency Obligations - 0.8 |
| Asset-Backed Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency Obligations - 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |

---

---

| | |
|:---|:---|
| United States | 87.6 |
| United Kingdom | 2.5 |
| Germany | 2.0 |
| Ireland | 1.7 |
| Netherlands | 1.1 |
| Italy | 1.0 |
| Canada | 0.8 |
| Luxembourg | 0.7 |
| Japan | 0.6 |
| Others | 2.0 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.0&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;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 - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Luxembourg - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.0&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 29.1<br>|
| US Treasury Bonds | 11.4<br>|
| Freddie Mac Gold Pool | 9.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.2<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.7<br>|
| Verizon Communications Inc | 1.2<br>|
| Morgan Stanley | 1.1<br>|
| Bank of America Corp | 1.1<br>|
| US Treasury Bill | 1.0<br>|
| PNC Financial Services Group Inc/The | 0.9<br>|
|  | 62.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6379_20260228_1.jpg)<br>| ![](img126254_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915474.101 6382-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Environmental Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $23  | 0.45% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $49551678<br>|
| Number of Holdings | 223<br>|
| Portfolio Turnover | 47%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.8 |
| AAA | 0.6 |
| AA | 1.9 |
| A | 13.5 |
| BBB | 19.3 |
| BB | 2.4 |
| Not Rated | 2.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.8 |
| &nbsp;&nbsp;AAA - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 13.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.3&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 - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 41.5 |
| Corporate Bonds | 36.4 |
| U.S. Government Agency - Mortgage Securities | 14.9 |
| CMOs and Other Mortgage Related Securities | 1.9 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Asset-Backed Securities | 0.5 |
| Preferred Securities | 0.5 |
| U.S. Government Agency Obligations | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6379_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 41.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 36.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.9 |
| CMOs and Other Mortgage Related Securities - 1.9 |
| Foreign Government and Government Agency Obligations - 0.8 |
| Asset-Backed Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency Obligations - 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |

---

---

| | |
|:---|:---|
| United States | 87.6 |
| United Kingdom | 2.5 |
| Germany | 2.0 |
| Ireland | 1.7 |
| Netherlands | 1.1 |
| Italy | 1.0 |
| Canada | 0.8 |
| Luxembourg | 0.7 |
| Japan | 0.6 |
| Others | 2.0 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.0&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;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 - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Luxembourg - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.0&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 29.1<br>|
| US Treasury Bonds | 11.4<br>|
| Freddie Mac Gold Pool | 9.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.2<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.7<br>|
| Verizon Communications Inc | 1.2<br>|
| Morgan Stanley | 1.1<br>|
| Bank of America Corp | 1.1<br>|
| US Treasury Bill | 1.0<br>|
| PNC Financial Services Group Inc/The | 0.9<br>|
|  | 62.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6379_20260228_1.jpg)<br>| ![](img126255_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915475.101 6383-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Environmental Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $73  | 1.44% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $49551678<br>|
| Number of Holdings | 223<br>|
| Portfolio Turnover | 47%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.8 |
| AAA | 0.6 |
| AA | 1.9 |
| A | 13.5 |
| BBB | 19.3 |
| BB | 2.4 |
| Not Rated | 2.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.8 |
| &nbsp;&nbsp;AAA - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 13.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.3&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 - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 41.5 |
| Corporate Bonds | 36.4 |
| U.S. Government Agency - Mortgage Securities | 14.9 |
| CMOs and Other Mortgage Related Securities | 1.9 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Asset-Backed Securities | 0.5 |
| Preferred Securities | 0.5 |
| U.S. Government Agency Obligations | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6379_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 41.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 36.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.9 |
| CMOs and Other Mortgage Related Securities - 1.9 |
| Foreign Government and Government Agency Obligations - 0.8 |
| Asset-Backed Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency Obligations - 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |

---

---

| | |
|:---|:---|
| United States | 87.6 |
| United Kingdom | 2.5 |
| Germany | 2.0 |
| Ireland | 1.7 |
| Netherlands | 1.1 |
| Italy | 1.0 |
| Canada | 0.8 |
| Luxembourg | 0.7 |
| Japan | 0.6 |
| Others | 2.0 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.0&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;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 - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Luxembourg - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.0&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 29.1<br>|
| US Treasury Bonds | 11.4<br>|
| Freddie Mac Gold Pool | 9.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.2<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.7<br>|
| Verizon Communications Inc | 1.2<br>|
| Morgan Stanley | 1.1<br>|
| Bank of America Corp | 1.1<br>|
| US Treasury Bill | 1.0<br>|
| PNC Financial Services Group Inc/The | 0.9<br>|
|  | 62.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6379_20260228_1.jpg)<br>| ![](img126256_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915473.101 6381-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Environmental Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $35  | 0.70% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $49551678<br>|
| Number of Holdings | 223<br>|
| Portfolio Turnover | 47%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.8 |
| AAA | 0.6 |
| AA | 1.9 |
| A | 13.5 |
| BBB | 19.3 |
| BB | 2.4 |
| Not Rated | 2.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.8 |
| &nbsp;&nbsp;AAA - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 13.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;BBB - 19.3&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 - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 41.5 |
| Corporate Bonds | 36.4 |
| U.S. Government Agency - Mortgage Securities | 14.9 |
| CMOs and Other Mortgage Related Securities | 1.9 |
| Foreign Government and Government Agency Obligations | 0.8 |
| Asset-Backed Securities | 0.5 |
| Preferred Securities | 0.5 |
| U.S. Government Agency Obligations | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6379_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 41.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 36.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.9 |
| CMOs and Other Mortgage Related Securities - 1.9 |
| Foreign Government and Government Agency Obligations - 0.8 |
| Asset-Backed Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency Obligations - 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.1 |

---

---

| | |
|:---|:---|
| United States | 87.6 |
| United Kingdom | 2.5 |
| Germany | 2.0 |
| Ireland | 1.7 |
| Netherlands | 1.1 |
| Italy | 1.0 |
| Canada | 0.8 |
| Luxembourg | 0.7 |
| Japan | 0.6 |
| Others | 2.0 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6379_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 2.0&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;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 - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Luxembourg - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 2.0&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 29.1<br>|
| US Treasury Bonds | 11.4<br>|
| Freddie Mac Gold Pool | 9.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.2<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.7<br>|
| Verizon Communications Inc | 1.2<br>|
| Morgan Stanley | 1.1<br>|
| Bank of America Corp | 1.1<br>|
| US Treasury Bill | 1.0<br>|
| PNC Financial Services Group Inc/The | 0.9<br>|
|  | 62.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6379_20260228_1.jpg)<br>| ![](img126257_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915472.101 6380-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Total Bond K6 Fund<br> **Fidelity® Total Bond K6 Fund : FTKFX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Total Bond K6 Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-835-5092 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Total Bond K6 Fund  | $15  | 0.30% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $7851805368<br>|
| Number of Holdings | 4584<br>|
| Portfolio Turnover | 183%<br>|

---

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

The information in the following tables is based on the combined Investments of the Fund and it's pro-rata share of investments in Fidelity's Central Funds, other than the Commodity Strategy and Money Market Central Funds as applicable.

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 57.6 |
| AAA | 6.3 |
| AA | 0.6 |
| A | 7.4 |
| BBB | 13.0 |
| BB | 4.0 |
| B | 4.5 |
| CCC,CC,C | 0.9 |
| D | 0.0 |
| Not Rated | 7.3 |
| Equities | 0.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2944_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 57.6 |
| &nbsp;&nbsp;AAA - 6.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 7.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 13.0&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;BB - 4.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 4.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 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;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 7.3&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;Equities - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (1.7)%  |
| 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. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 43.4 |
| Corporate Bonds | 22.3 |
| U.S. Government Agency - Mortgage Securities | 14.2 |
| Asset-Backed Securities | 8.5 |
| CMOs and Other Mortgage Related Securities | 7.2 |
| Bank Loan Obligations | 4.7 |
| Foreign Government and Government Agency Obligations | 1.1 |
| Preferred Securities | 0.2 |
| Common Stocks | 0.1 |
| Alternative Funds | 0.0 |
| Preferred Stocks | 0.0 |
| Options | 0.0 |
| Other Investments | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img2944_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 43.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 22.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.2 |
| Asset-Backed Securities - 8.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 7.2 |
| Bank Loan Obligations - 4.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 1.1 |
| Preferred Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Alternative Funds - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Other Investments - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (1.7)% |

---

---

| | |
|:---|:---|
| United States | 88.1 |
| Grand Cayman (UK Overseas Ter) | 4.2 |
| United Kingdom | 1.3 |
| Mexico | 1.2 |
| Bailiwick Of Jersey | 1.0 |
| Ireland | 0.7 |
| Germany | 0.5 |
| Switzerland | 0.5 |
| France | 0.3 |
| Others | 2.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2944_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 88.1&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) - 4.2&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Germany - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Switzerland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 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;Others - 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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 31.6<br>|
| US Treasury Bonds | 11.8<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.2<br>|
| Ginnie Mae II Pool | 3.9<br>|
| Freddie Mac Gold Pool | 3.1<br>|
| Uniform Mortgage Backed Securities | 1.3<br>|
| JPMorgan Chase & Co | 1.3<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.2<br>|
| Bank of America Corp | 0.9<br>|
| Wells Fargo & Co | 0.9<br>|
|  | 61.2 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img2944_20260228_1.jpg)<br>| ![](img126173_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915453.101 2944-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Total Bond Fund<br> **Fidelity® Total Bond Fund : FTBFX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Total Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

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

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $43562842006<br>|
| Number of Holdings | 6663<br>|
| Portfolio Turnover | 172%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.6 |
| AAA | 6.5 |
| AA | 0.9 |
| A | 7.4 |
| BBB | 12.3 |
| BB | 4.1 |
| B | 3.9 |
| CCC,CC,C | 0.9 |
| D | 0.0 |
| Not Rated | 7.4 |
| Equities | 0.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.6 |
| &nbsp;&nbsp;AAA - 6.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 7.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 12.3&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 - 4.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 3.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 7.4&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 - 0.1&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) - (0.1)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 42.5 |
| Corporate Bonds | 21.7 |
| U.S. Government Agency - Mortgage Securities | 14.1 |
| Asset-Backed Securities | 8.1 |
| CMOs and Other Mortgage Related Securities | 7.3 |
| Bank Loan Obligations | 4.7 |
| Foreign Government and Government Agency Obligations | 1.3 |
| Preferred Securities | 0.2 |
| Common Stocks | 0.1 |
| Other Investments | 0.1 |
| Preferred Stocks | 0.0 |
| Options | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1158_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 42.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 21.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.1 |
| Asset-Backed Securities - 8.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 7.3 |
| Bank Loan Obligations - 4.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 1.3 |
| Preferred Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (0.1)% |

---

---

| | |
|:---|:---|
| United States | 87.8 |
| Grand Cayman (UK Overseas Ter) | 4.4 |
| United Kingdom | 1.2 |
| Mexico | 1.1 |
| Bailiwick Of Jersey | 0.7 |
| Ireland | 0.6 |
| Switzerland | 0.5 |
| Germany | 0.5 |
| France | 0.5 |
| Others | 2.7 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.8&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) - 4.4&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Switzerland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Germany - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 2.7&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 31.1<br>|
| US Treasury Bonds | 11.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 4.5<br>|
| Ginnie Mae II Pool | 3.8<br>|
| Freddie Mac Gold Pool | 3.4<br>|
| Uniform Mortgage Backed Securities | 1.7<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.3<br>|
| JPMorgan Chase & Co | 1.2<br>|
| Bank of America Corp | 0.9<br>|
| Morgan Stanley | 0.8<br>|
|  | 60.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1158_20260228_1.jpg)<br>| ![](img126174_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915433.101 820-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Total Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

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

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $43562842006<br>|
| Number of Holdings | 6663<br>|
| Portfolio Turnover | 172%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.6 |
| AAA | 6.5 |
| AA | 0.9 |
| A | 7.4 |
| BBB | 12.3 |
| BB | 4.1 |
| B | 3.9 |
| CCC,CC,C | 0.9 |
| D | 0.0 |
| Not Rated | 7.4 |
| Equities | 0.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.6 |
| &nbsp;&nbsp;AAA - 6.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 7.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 12.3&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 - 4.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 3.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 7.4&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 - 0.1&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) - (0.1)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 42.5 |
| Corporate Bonds | 21.7 |
| U.S. Government Agency - Mortgage Securities | 14.1 |
| Asset-Backed Securities | 8.1 |
| CMOs and Other Mortgage Related Securities | 7.3 |
| Bank Loan Obligations | 4.7 |
| Foreign Government and Government Agency Obligations | 1.3 |
| Preferred Securities | 0.2 |
| Common Stocks | 0.1 |
| Other Investments | 0.1 |
| Preferred Stocks | 0.0 |
| Options | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1158_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 42.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 21.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.1 |
| Asset-Backed Securities - 8.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 7.3 |
| Bank Loan Obligations - 4.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 1.3 |
| Preferred Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (0.1)% |

---

---

| | |
|:---|:---|
| United States | 87.8 |
| Grand Cayman (UK Overseas Ter) | 4.4 |
| United Kingdom | 1.2 |
| Mexico | 1.1 |
| Bailiwick Of Jersey | 0.7 |
| Ireland | 0.6 |
| Switzerland | 0.5 |
| Germany | 0.5 |
| France | 0.5 |
| Others | 2.7 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.8&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) - 4.4&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Switzerland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Germany - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 2.7&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 31.1<br>|
| US Treasury Bonds | 11.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 4.5<br>|
| Ginnie Mae II Pool | 3.8<br>|
| Freddie Mac Gold Pool | 3.4<br>|
| Uniform Mortgage Backed Securities | 1.7<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.3<br>|
| JPMorgan Chase & Co | 1.2<br>|
| Bank of America Corp | 0.9<br>|
| Morgan Stanley | 0.8<br>|
|  | 60.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1158_20260228_1.jpg)<br>| ![](img126175_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915432.101 2733-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Total Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $38  | 0.75% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $43562842006<br>|
| Number of Holdings | 6663<br>|
| Portfolio Turnover | 172%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.6 |
| AAA | 6.5 |
| AA | 0.9 |
| A | 7.4 |
| BBB | 12.3 |
| BB | 4.1 |
| B | 3.9 |
| CCC,CC,C | 0.9 |
| D | 0.0 |
| Not Rated | 7.4 |
| Equities | 0.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.6 |
| &nbsp;&nbsp;AAA - 6.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 7.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 12.3&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 - 4.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 3.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 7.4&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 - 0.1&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) - (0.1)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 42.5 |
| Corporate Bonds | 21.7 |
| U.S. Government Agency - Mortgage Securities | 14.1 |
| Asset-Backed Securities | 8.1 |
| CMOs and Other Mortgage Related Securities | 7.3 |
| Bank Loan Obligations | 4.7 |
| Foreign Government and Government Agency Obligations | 1.3 |
| Preferred Securities | 0.2 |
| Common Stocks | 0.1 |
| Other Investments | 0.1 |
| Preferred Stocks | 0.0 |
| Options | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1158_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 42.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 21.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.1 |
| Asset-Backed Securities - 8.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 7.3 |
| Bank Loan Obligations - 4.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 1.3 |
| Preferred Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (0.1)% |

---

---

| | |
|:---|:---|
| United States | 87.8 |
| Grand Cayman (UK Overseas Ter) | 4.4 |
| United Kingdom | 1.2 |
| Mexico | 1.1 |
| Bailiwick Of Jersey | 0.7 |
| Ireland | 0.6 |
| Switzerland | 0.5 |
| Germany | 0.5 |
| France | 0.5 |
| Others | 2.7 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.8&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) - 4.4&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Switzerland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Germany - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 2.7&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 31.1<br>|
| US Treasury Bonds | 11.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 4.5<br>|
| Ginnie Mae II Pool | 3.8<br>|
| Freddie Mac Gold Pool | 3.4<br>|
| Uniform Mortgage Backed Securities | 1.7<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.3<br>|
| JPMorgan Chase & Co | 1.2<br>|
| Bank of America Corp | 0.9<br>|
| Morgan Stanley | 0.8<br>|
|  | 60.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1158_20260228_1.jpg)<br>| ![](img126176_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915430.101 1344-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Total Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $25  | 0.50% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $43562842006<br>|
| Number of Holdings | 6663<br>|
| Portfolio Turnover | 172%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.6 |
| AAA | 6.5 |
| AA | 0.9 |
| A | 7.4 |
| BBB | 12.3 |
| BB | 4.1 |
| B | 3.9 |
| CCC,CC,C | 0.9 |
| D | 0.0 |
| Not Rated | 7.4 |
| Equities | 0.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.6 |
| &nbsp;&nbsp;AAA - 6.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 7.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 12.3&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 - 4.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 3.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 7.4&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 - 0.1&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) - (0.1)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 42.5 |
| Corporate Bonds | 21.7 |
| U.S. Government Agency - Mortgage Securities | 14.1 |
| Asset-Backed Securities | 8.1 |
| CMOs and Other Mortgage Related Securities | 7.3 |
| Bank Loan Obligations | 4.7 |
| Foreign Government and Government Agency Obligations | 1.3 |
| Preferred Securities | 0.2 |
| Common Stocks | 0.1 |
| Other Investments | 0.1 |
| Preferred Stocks | 0.0 |
| Options | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1158_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 42.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 21.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.1 |
| Asset-Backed Securities - 8.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 7.3 |
| Bank Loan Obligations - 4.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 1.3 |
| Preferred Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (0.1)% |

---

---

| | |
|:---|:---|
| United States | 87.8 |
| Grand Cayman (UK Overseas Ter) | 4.4 |
| United Kingdom | 1.2 |
| Mexico | 1.1 |
| Bailiwick Of Jersey | 0.7 |
| Ireland | 0.6 |
| Switzerland | 0.5 |
| Germany | 0.5 |
| France | 0.5 |
| Others | 2.7 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.8&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) - 4.4&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Switzerland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Germany - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 2.7&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 31.1<br>|
| US Treasury Bonds | 11.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 4.5<br>|
| Ginnie Mae II Pool | 3.8<br>|
| Freddie Mac Gold Pool | 3.4<br>|
| Uniform Mortgage Backed Securities | 1.7<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.3<br>|
| JPMorgan Chase & Co | 1.2<br>|
| Bank of America Corp | 0.9<br>|
| Morgan Stanley | 0.8<br>|
|  | 60.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1158_20260228_1.jpg)<br>| ![](img126177_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915431.101 1345-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Total Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $77  | 1.52% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $43562842006<br>|
| Number of Holdings | 6663<br>|
| Portfolio Turnover | 172%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.6 |
| AAA | 6.5 |
| AA | 0.9 |
| A | 7.4 |
| BBB | 12.3 |
| BB | 4.1 |
| B | 3.9 |
| CCC,CC,C | 0.9 |
| D | 0.0 |
| Not Rated | 7.4 |
| Equities | 0.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.6 |
| &nbsp;&nbsp;AAA - 6.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 7.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 12.3&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 - 4.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 3.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 7.4&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 - 0.1&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) - (0.1)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 42.5 |
| Corporate Bonds | 21.7 |
| U.S. Government Agency - Mortgage Securities | 14.1 |
| Asset-Backed Securities | 8.1 |
| CMOs and Other Mortgage Related Securities | 7.3 |
| Bank Loan Obligations | 4.7 |
| Foreign Government and Government Agency Obligations | 1.3 |
| Preferred Securities | 0.2 |
| Common Stocks | 0.1 |
| Other Investments | 0.1 |
| Preferred Stocks | 0.0 |
| Options | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1158_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 42.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 21.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.1 |
| Asset-Backed Securities - 8.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 7.3 |
| Bank Loan Obligations - 4.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 1.3 |
| Preferred Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (0.1)% |

---

---

| | |
|:---|:---|
| United States | 87.8 |
| Grand Cayman (UK Overseas Ter) | 4.4 |
| United Kingdom | 1.2 |
| Mexico | 1.1 |
| Bailiwick Of Jersey | 0.7 |
| Ireland | 0.6 |
| Switzerland | 0.5 |
| Germany | 0.5 |
| France | 0.5 |
| Others | 2.7 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.8&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) - 4.4&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Switzerland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Germany - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 2.7&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 31.1<br>|
| US Treasury Bonds | 11.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 4.5<br>|
| Ginnie Mae II Pool | 3.8<br>|
| Freddie Mac Gold Pool | 3.4<br>|
| Uniform Mortgage Backed Securities | 1.7<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.3<br>|
| JPMorgan Chase & Co | 1.2<br>|
| Bank of America Corp | 0.9<br>|
| Morgan Stanley | 0.8<br>|
|  | 60.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1158_20260228_1.jpg)<br>| ![](img126178_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915429.101 1343-TSRS-0426 <br>|

---

---

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

---

This semi-annual shareholder report contains information about Fidelity® Total Bond Fund for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

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

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $38  | 0.75% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $43562842006<br>|
| Number of Holdings | 6663<br>|
| Portfolio Turnover | 172%<br>|

---

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

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 56.6 |
| AAA | 6.5 |
| AA | 0.9 |
| A | 7.4 |
| BBB | 12.3 |
| BB | 4.1 |
| B | 3.9 |
| CCC,CC,C | 0.9 |
| D | 0.0 |
| Not Rated | 7.4 |
| Equities | 0.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 56.6 |
| &nbsp;&nbsp;AAA - 6.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 7.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 12.3&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 - 4.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 3.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;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;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 7.4&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 - 0.1&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) - (0.1)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 42.5 |
| Corporate Bonds | 21.7 |
| U.S. Government Agency - Mortgage Securities | 14.1 |
| Asset-Backed Securities | 8.1 |
| CMOs and Other Mortgage Related Securities | 7.3 |
| Bank Loan Obligations | 4.7 |
| Foreign Government and Government Agency Obligations | 1.3 |
| Preferred Securities | 0.2 |
| Common Stocks | 0.1 |
| Other Investments | 0.1 |
| Preferred Stocks | 0.0 |
| Options | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1158_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 42.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 21.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.1 |
| Asset-Backed Securities - 8.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 7.3 |
| Bank Loan Obligations - 4.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 1.3 |
| Preferred Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 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;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (0.1)% |

---

---

| | |
|:---|:---|
| United States | 87.8 |
| Grand Cayman (UK Overseas Ter) | 4.4 |
| United Kingdom | 1.2 |
| Mexico | 1.1 |
| Bailiwick Of Jersey | 0.7 |
| Ireland | 0.6 |
| Switzerland | 0.5 |
| Germany | 0.5 |
| France | 0.5 |
| Others | 2.7 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1158_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 87.8&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) - 4.4&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Switzerland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Germany - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 2.7&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; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 31.1<br>|
| US Treasury Bonds | 11.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 4.5<br>|
| Ginnie Mae II Pool | 3.8<br>|
| Freddie Mac Gold Pool | 3.4<br>|
| Uniform Mortgage Backed Securities | 1.7<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.3<br>|
| JPMorgan Chase & Co | 1.2<br>|
| Bank of America Corp | 0.9<br>|
| Morgan Stanley | 0.8<br>|
|  | 60.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1158_20260228_1.jpg)<br>| ![](img126179_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915428.101 1341-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Series Government Bond Index Fund<br> **Fidelity® Series Government Bond Index Fund : FHNFX** <br>|

---

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

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

(based on hypothetical $10,000 investment)

---

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

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $1535064581<br>|
| Number of Holdings | 276<br>|
| Portfolio Turnover | 28%<br>|

---

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

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| 0.01 - 0.99% | 6.3 |
| 1 - 1.99% | 12.4 |
| 2 - 2.99% | 11.0 |
| 3 - 3.99% | 34.1 |
| 4 - 4.99% | 32.8 |
| 5 - 5.99% | 1.8 |
| 6 - 6.99% | 0.6 |
| 7 - 7.99% | 0.1 |

---

U.S. Treasury Obligations 98.0 <br> U.S. Government Agency Obligations 1.1 <br> Short-Term Investments and Net Other Assets (Liabilities) 0.9

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img3221_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 98.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| U.S. Government Agency Obligations - 1.1 |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.9 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 75.4<br>|
| US Treasury Bonds | 22.6<br>|
| Federal Home Loan Bank | 0.4<br>|
| Fannie Mae | 0.3<br>|
| Federal Farm Credit Banks Funding Corp | 0.2<br>|
| Tennessee Valley Authority | 0.2<br>|
| Freddie Mac Non Gold Pool | 0.0<br>|
|  | 99.1 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img3221_20260228_1.jpg)<br>| ![](img126215_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915460.101 3221-TSRS-0426 <br>|

---

Item 2.

<u>Code of Ethics</u>

Not applicable.

Item 3.

<u>Audit Committee Financial Expert</u>

Not applicable.

Item 4.

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

Not applicable.

Item 5.

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

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable

Item 7.

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

**Fidelity® Total Bond K6 Fund**

**Semi-Annual Report**

**February 28, 2026**

![](img126657_1.jpg)

![](img126657_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_TBDK6-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Total Bond K6 Fund](#Sub_Sec_Fund_2944_TBDK6-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements2944_TBDK6-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_TBDK6-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_TBDK6-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_TBDK6-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_TBDK6-SANN)** |

---

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

You may also call 1-800-835-5092 to request a free copy of the proxy voting guidelines.

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Total Bond K6 Fund**

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

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 8.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 1.0%  |  |  |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0192% 7/20/2037 (b)(c)(o) | 3344966 | 3349525 |
| Aimco Clo 19 Ltd / Aimco Clo 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/20/2037 (b)(c)(o) | 1293000 | 1297076 |
| Aimco CLO 20 Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.21%, 4.8811% 10/16/2038 (b)(c)(o) | 7765000 | 7782401 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/19/2037 (b)(c)(o) | 4549000 | 4556651 |
| Ares Lxx Clo Ltd / Ares Lxx Clo LLC Series 2025-70A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.918% 1/25/2039 (b)(c)(o) | 4249000 | 4251350 |
| Bain Cap Cr Clo Ltd / Bain Cap Cr Clo LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/18/2038 (b)(c)(o) | 4622000 | 4639282 |
| Bain Capital Credit Clo Ltd Series 2025-4A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9597% 1/21/2039 (b)(c)(o) | 4944000 | 4963811 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/20/2037 (b)(c)(o) | 3992000 | 4001673 |
| Cedar Funding Series 2024-18A Class A, CME Term SOFR 3 month Index + 1.55%, 5.221% 4/23/2037 (b)(c)(o) | 7100000 | 7114086 |
| Dryden 108 Clo Ltd / Dryden 108 Clo LLC Series 2024-108A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0276% 7/18/2037 (b)(c)(o) | 5608000 | 5613608 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.0022% 1/15/2038 (b)(c)(o) | 4364000 | 4382246 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.0076% 10/20/2037 (b)(c)(o) | 4039000 | 4052809 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.1776% 7/20/2037 (b)(c)(o) | 2253000 | 2259299 |
| Ocp CLO Aegis Ltd Series 2026-39A Class AR, CME Term SOFR 3 month Index + 1.09%, 1.09% 4/16/2038 (b)(c)(o) | 3336000 | 3336000 |
| Peebles Park CLO Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.5%, 5.1697% 4/21/2037 (b)(c)(o) | 18000000 | 18041958 |
| TOTAL BAILIWICK OF JERSEY |  | 79641775 |
| BERMUDA - 0.1%  |  |  |
| RR Ltd Series 2026-25A Class A1A2, CME Term SOFR 3 month Index + 1.18%, 4.8491% 4/15/2041 (b)(c)(o) | 3155000 | 3154984 |
| RRAM Series 2024-24A Class A1A2, CME Term SOFR 3 month Index + 1.31%, 4.9822% 1/15/2037 (b)(c)(o) | 7000000 | 7020237 |
| TOTAL BERMUDA |  | 10175221 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (o) | 224079 | 226434 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (o) | 656892 | 665146 |
| Securitized Term Auto Receivables Trust Series 2025-A Class B, 5.038% 7/25/2031 (o) | 877979 | 887369 |
| TOTAL CANADA |  | 1778949 |
| GRAND CAYMAN (UK OVERSEAS TER) - 4.2%  |  |  |
| Aimco CDO Series 2024-10A Class ARR, CME Term SOFR 3 month Index + 1.41%, 5.0792% 7/22/2037 (b)(c)(o) | 1558000 | 1560057 |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/17/2037 (b)(c)(o) | 3208000 | 3218112 |
| Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2025-14A Class A1R, CME Term SOFR 3 month Index + 1.22%, 4.8876% 10/20/2038 (b)(c)(o) | 2222000 | 2224175 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.1711% 4/16/2037 (b)(c)(o) | 2803000 | 2806448 |
| Allegro Clo Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/20/2038 (b)(c)(o) | 2681000 | 2689708 |
| Allegro Clo Xii Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.44%, 5.1097% 7/21/2037 (b)(c)(o) | 4615000 | 4625499 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 4.9822% 7/15/2038 (b)(c)(o) | 3193000 | 3204779 |
| Ares Lix Clo Ltd Series 2021-59A Class A, CME Term SOFR 3 month Index + 1.2916%, 4.9596% 4/25/2034 (b)(c)(o) | 657000 | 657807 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.0422% 10/15/2037 (b)(c)(o) | 923000 | 924289 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.9122% 4/15/2038 (b)(c)(o) | 4203000 | 4199730 |
| Ares LXXVI CLO Ltd Series 2025-76A Class A1, CME Term SOFR 3 month Index + 1.4%, 5.0722% 5/27/2038 (b)(c)(o) | 8962000 | 8999569 |
| Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.0038% 4/15/2034 (b)(c)(o) | 3233000 | 3236692 |
| Ares XXXIV CLO Ltd Series 2025-2A Class A1R4, CME Term SOFR 3 month Index + 1.29%, 4.9576% 7/17/2038 (b)(c)(o) | 6275000 | 6276035 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 4.9322% 1/15/2038 (b)(c)(o) | 860000 | 862830 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.0376% 10/20/2037 (b)(c)(o) | 2246000 | 2251682 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.918% 7/24/2035 (b)(c)(o) | 3094641 | 3097823 |
| Benefit Str Partners Clo Xxxiii Ltd / Benefit Str Partners Clo Xxxiii LLC Series 2026-33A Class AR, CME Term SOFR 3 month Index + 1.19%, 4.8542% 1/25/2039 (b)(c)(o) | 4188000 | 4195417 |
| Benefit Street Partners Clo 44 Ltd / LLC Series 2025-44A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.944% 1/15/2039 (b)(c)(o) | 4233000 | 4241280 |
| Benefit Street Partners CLO Ltd Series 2025-43A Class A, CME Term SOFR 3 month Index + 1.27%, 5.1875% 10/20/2038 (b)(c)(o) | 4386000 | 4394772 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.0638% 1/15/2035 (b)(c)(o) | 1049000 | 1050794 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (b)(c)(o) | 2890000 | 2894008 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.078% 7/25/2037 (b)(c)(o) | 3813000 | 3817496 |
| Carlyle US Clo Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.8789% 1/20/2039 (b)(c)(o) | 4784000 | 4794075 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 4.868% 1/25/2038 (b)(c)(o) | 4672000 | 4667328 |
| Cedar Fdg Xvii Clo Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0197% 7/20/2038 (b)(c)(o) | 1424000 | 1428843 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/20/2037 (b)(c)(o) | 11690000 | 11733463 |
| Cifc Funding 2021-Iii Ltd Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9022% 10/15/2038 (b)(c)(o) | 7744000 | 7744867 |
| Cifc Funding 2025-Vi Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.25%, 5.1098% 10/23/2038 (b)(c)(o) | 2776000 | 2781774 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 4.9422% 10/15/2038 (b)(c)(o) | 4167000 | 4172488 |
| CIFC Funding Ltd Series 2026-1A Class A1, CME Term SOFR 3 month Index + 1.17%, 0% 4/25/2039 (b)(c)(g)(o) | 8000000 | 8001472 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 4.6676% 4/18/2035 (b)(c)(o) | 4585000 | 4586091 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 4.9697% 4/20/2035 (b)(c)(o) | 2199000 | 2199000 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.1976% 4/18/2037 (b)(c)(o) | 2761000 | 2764562 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 7/15/2037 (b)(c)(o) | 4104000 | 4108174 |
| Dryden Senior Loan Fund Series 2024-78A Class A1R, CME Term SOFR 3 month Index + 1.53%, 5.1976% 4/17/2037 (b)(c)(o) | 3479000 | 3483940 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.0622% 10/15/2037 (b)(c)(o) | 3618000 | 3628785 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 10/15/2037 (b)(c)(o) | 2414000 | 2417532 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 4.8322% 4/15/2038 (b)(c)(o) | 4206000 | 4206000 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.8956% 11/20/2038 (b)(c)(o) | 4613000 | 4618909 |
| Flatiron CLO 31 Ltd Series 2025-31A Class A1, CME Term SOFR 3 month Index + 1.2%, 4.8969% 1/18/2039 (b)(c)(o) | 4256000 | 4264295 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 4.9592% 10/22/2038 (b)(c)(o) | 4147000 | 4158636 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/19/2037 (b)(c)(o) | 2487000 | 2495011 |
| Flatiron Rr Clo 27 Ltd Series 2024-3A Class A2, CME Term SOFR 3 month Index + 1.5%, 5.1676% 10/18/2037 (b)(c)(o) | 1680000 | 1684339 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (o) | 481477 | 477855 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.2222% 4/15/2037 (b)(c)(o) | 2354000 | 2353494 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (b)(c)(o) | 2979000 | 2979000 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.178% 4/25/2037 (b)(c)(o) | 2929000 | 2934700 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 4.7522% 7/15/2034 (b)(c)(o) | 1325000 | 1325959 |
| Magnetite CLO Ltd Series 2024-30A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.208% 10/25/2037 (b)(c)(o) | 1565000 | 1567266 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 4.988% 7/25/2038 (b)(c)(o) | 4137000 | 4154508 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (b)(c)(o) | 2889000 | 2889673 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 4.958% 1/25/2038 (b)(c)(o) | 2342000 | 2349593 |
| Magnetite XXI Ltd Series 2021-21A Class AR, CME Term SOFR 3 month Index + 1.2816%, 4.9492% 4/20/2034 (b)(c)(o) | 1158000 | 1158873 |
| Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0222% 7/15/2037 (b)(c)(o) | 2024000 | 2026884 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 4.818% 1/25/2038 (b)(c)(o) | 4068000 | 4072292 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 4.9122% 1/15/2038 (b)(c)(o) | 4963000 | 4973139 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 4.8422% 4/15/2038 (b)(c)(o) | 4916000 | 4916000 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.0676% 7/18/2038 (b)(c)(o) | 2803000 | 2806226 |
| Oak Hill Credit Partners Series 2024-13A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0176% 7/20/2037 (b)(c)(o) | 5028000 | 5033159 |
| Ocp Aegis Clo Ltd Series 2025-47A Class A1, CME Term SOFR 3 month Index + 1.11%, 4.8574% 1/21/2038 (b)(c)(o) | 3826000 | 3830419 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (b)(c)(o) | 4354000 | 4364014 |
| OCP CLO Ltd Series 2025-46A Class A, CME Term SOFR 3 month Index + 1.2%, 5.0473% 10/15/2038 (b)(c)(o) | 2960000 | 2965059 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 4.9592% 1/22/2038 (b)(c)(o) | 4267000 | 4278730 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 4.8976% 4/20/2038 (b)(c)(o) | 2763000 | 2767711 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 4.9976% 10/20/2037 (b)(c)(o) | 3402000 | 3416595 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/20/2037 (b)(c)(o) | 3375000 | 3382331 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.3176% 4/20/2037 (b)(c)(o) | 250000 | 250371 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.029% 2/20/2038 (b)(c)(o) | 3615000 | 3612376 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 4.9876% 1/18/2038 (b)(c)(o) | 1569000 | 1569000 |
| Palmer Square Clo Ltd Series 2025-2A Class A1, CME Term SOFR 3 month Index + 1.35%, 5.0176% 7/20/2038 (b)(c)(o) | 7667000 | 7703487 |
| Palmer Square Clo Ltd Series 2025-5A Class A, CME Term SOFR 3 month Index + 1.21%, 5.0937% 10/20/2038 (b)(c)(o) | 4596000 | 4602802 |
| Palmer Square CLO Ltd Series 2026-1A Class A, CME Term SOFR 3 month Index + 1.19%, 0% 4/20/2039 (b)(c)(g)(o) | 3687000 | 3688674 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 4.6122% 7/15/2033 (b)(c)(o) | 3707650 | 3709915 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 4.6722% 1/15/2033 (b)(c)(o) | 1669711 | 1669711 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 4.4525% 2/15/2033 (b)(c)(o) | 3581198 | 3578856 |
| Peace Park Clo Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/20/2038 (b)(c)(o) | 9800000 | 9790269 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (o) | 589222 | 586164 |
| RR 28 LTD / RR 28 LLC Series 2024-28RA Class A1R, CME Term SOFR 3 month Index + 1.55%, 5.2222% 4/15/2037 (b)(c)(o) | 17800000 | 17832966 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0222% 10/15/2039 (b)(c)(o) | 2003000 | 2003000 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.0122% 1/15/2037 (b)(c)(o) | 1862000 | 1864821 |
| RR Ltd Series 2026-44A Class A1A, CME Term SOFR 3 month Index + 1.17%, 0% 4/15/2041 (b)(c)(g)(o) | 4774000 | 4774234 |
| Sixth Street Clo Xix Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 4.9476% 7/17/2038 (b)(c)(o) | 2685000 | 2695176 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/17/2038 (b)(c)(o) | 4169000 | 4183796 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A2R, CME Term SOFR 3 month Index + 1.5%, 5.1676% 10/17/2038 (b)(c)(o) | 6838000 | 6863629 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/17/2038 (b)(c)(o) | 3415000 | 3427728 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (b)(c)(o) | 2102000 | 2104878 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (c)(o) | 75375 | 75412 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (o) | 544126 | 540131 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (b)(c)(o) | 2051000 | 2056593 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (b)(c)(o) | 1595000 | 1597662 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 323173717 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (o) | 1010454 | 1029734 |
| MULTI-NATIONAL - 0.1%  |  |  |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 4.8476% 4/20/2038 (b)(c)(o) | 1188000 | 1189373 |
| Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.168% 7/27/2037 (b)(c)(o) | 2845000 | 2851467 |
| Ocp Clo 2018-15 Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 1/20/2038 (b)(c)(o) | 2695000 | 2703559 |
| TOTAL MULTI-NATIONAL |  | 6744399 |
| UNITED STATES - 3.1%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (o) | 1966319 | 2026177 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (o) | 1867413 | 1924261 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (o) | 2273753 | 2340107 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (o) | 3475405 | 3383266 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (o) | 1596433 | 1531827 |
| AASET Trust Series 2022-1A Class A, 6% 5/16/2047 (o) | 870739 | 894584 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (o) | 3163176 | 3252758 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (o) | 87431 | 86837 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (o) | 45126 | 44904 |
| ARI Fleet Lease Trust Series 2023-A Class A3, 5.33% 2/17/2032 (o) | 2331909 | 2344911 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (o) | 327441 | 329560 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (o) | 965611 | 980666 |
| Barings Equipment Finance LLC Series 2025-A Class A2, 4.64% 10/13/2028 (o) | 1123882 | 1130439 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (o) | 908124 | 922678 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (o) | 1443940 | 1385264 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 500000 | 505356 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 1807242 | 1812662 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 42486 | 42534 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 471000 | 474817 |
| Carvana Auto Receivables Trust Series 2025-P1 Class A2, 4.5% 6/12/2028  | 926567 | 927297 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (o) | 80125 | 79725 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (o) | 157710 | 156135 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (o) | 488890 | 482782 |
| Ccg Receivables Trust. Series 2025-1 Class B, 4.69% 10/14/2032 (o) | 500000 | 507834 |
| Consolidated Communications LLC / Fidium Fiber Fin Holdco LLC Series 2025-1A Class A2, 6% 5/20/2055 (o) | 570000 | 584434 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (o) | 2999200 | 2988170 |
| DB Master Finance LLC Series 2019-1A Class A23, 4.352% 5/20/2049 (o) | 6054125 | 6048354 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (o) | 9101038 | 8273062 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (o) | 3171240 | 3123209 |
| DB Master Finance LLC Series 2021-1A Class A2II, 2.493% 11/20/2051 (o) | 8373338 | 7978292 |
| DB Master Finance LLC Series 2025-1A Class A2I, 4.891% 8/20/2055 (o) | 3536138 | 3572763 |
| DB Master Finance LLC Series 2025-1A Class A2II, 5.165% 8/20/2055 (o) | 2867813 | 2908395 |
| Dell Equipment Finance Trust Series 2025-2 Class A3, 4.12% 3/24/2031 (o) | 900000 | 906221 |
| Dext Abs LLC Series 2025-2 Class A3, 4.23% 4/15/2036 (o) | 740000 | 742452 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (o) | 279754 | 282655 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (o) | 326569 | 327815 |
| Domino's Pizza Master Issuer LLC Series 2018-1A Class A2II, 4.328% 7/25/2048 (o) | 2880400 | 2876995 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (o) | 2321280 | 2270785 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2I, 2.662% 4/25/2051 (o) | 5699823 | 5473524 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2II, 3.151% 4/25/2051 (o) | 13225028 | 12372538 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.1822% 7/15/2037 (b)(c)(o) | 2790000 | 2795114 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A3, 4.29% 7/20/2029 (o) | 3005000 | 3006636 |
| Enterprise Fleet Financing LLC Series 2023-1 Class A2, 5.51% 1/22/2029 (o) | 21083 | 21105 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A3, 4.98% 8/21/2028 (o) | 900000 | 911801 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (o) | 306838 | 307599 |
| Exeter Automobile Receivables Trust Series 2025-2A Class A3, 4.74% 1/16/2029  | 2763611 | 2770980 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 268865 | 269544 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 540000 | 545501 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 455000 | 458655 |
| Exeter Select Automobile Receivables Trust Series 2025-3 Class A3, 4.18% 12/16/2030  | 2600000 | 2614738 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (o) | 6845000 | 6858669 |
| Ggam Master Tr Internationa Ltd / LLC Series 2025-1A Class A, 5.923% 9/30/2060 (o) | 9185706 | 9391429 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (o) | 5432283 | 5583996 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (o) | 3040000 | 3088013 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 4.848% 1/25/2038 (b)(c)(o) | 3772000 | 3766342 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (o) | 562246 | 556626 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (o) | 533510 | 536402 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 1427609 | 1439454 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (o) | 5053950 | 5197681 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (o) | 2567100 | 2661998 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 1021337 | 1023034 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (o) | 554342 | 555159 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (o) | 227789 | 228528 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (o) | 1058596 | 1064538 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (o) | 2400000 | 2420114 |
| MetroNet Infrastructure Issuer LLC Series 2025-2A Class C, 7.83% 8/20/2055 (o) | 100000 | 103283 |
| MetroNet Infrastructure Issuer LLC Series 2025-4A Class C, 7.112% 12/20/2055 (o) | 200000 | 204144 |
| Navigator Aircraft Abs Ltd Series 2025-1 Class A, 5.107% 10/15/2050 (o) | 6361730 | 6431118 |
| OCP CLO Ltd Series 2025-8RA Class AR2, CME Term SOFR 3 month Index + 1.22%, 4.8876% 10/17/2038 (b)(c)(o) | 4199000 | 4204098 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (o) | 3820000 | 3830380 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (o) | 2000000 | 2006224 |
| Optn Series 2026-A Class A, 4.32% 1/9/2034 (o) | 1505000 | 1509816 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (o) | 2006743 | 2018668 |
| Phantom Aviation Series 2026-1A Class A, 5.24% 1/15/2051 (o) | 3250000 | 3307361 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (o) | 454480 | 466432 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (o) | 909920 | 881454 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (o) | 1447600 | 1385270 |
| Planet Fitness Master Issuer LLC Series 2025-1A Class A2I, 5.274% 12/6/2055 (o) | 2940000 | 2986998 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (o) | 1027707 | 1036765 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.1313% 7/25/2054 (b)(c)(o) | 911063 | 908450 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (c)(o) | 385616 | 383260 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (o) | 733905 | 735647 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (o) | 1464764 | 1471469 |
| Retained Vantage Data Ctrs Issuer LLC / Vantage Data Ctrs CDA Qc4 Ltd Partnership Series 2023-1A Class B, 5.75% 9/15/2048 (o) | 250000 | 250317 |
| Retained Vantage Data Ctrs Issuer LLC / Vantage Data Ctrs CDA Qc4 Ltd Partnership Series 2024-1A Class B, 5.775% 9/15/2049 (o) | 105000 | 104264 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (o) | 381000 | 368145 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A2A, 3.91% 8/20/2029 (o) | 500000 | 500350 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A3, 3.96% 7/21/2031 (o) | 600000 | 601856 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (o) | 2741300 | 2833026 |
| SoFi Consumer Loan Program Trust Series 2025-1 Class A, 4.8% 2/27/2034 (o) | 1388672 | 1395708 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (o) | 8347338 | 8645842 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (o) | 9015875 | 9117365 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (o) | 5732438 | 5872401 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (o) | 4363763 | 4363675 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (o) | 4550400 | 4539695 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (o) | 2151763 | 2149126 |
| Switch Abs Issuer LLC Series 2024-2A Class C, 10.033% 6/25/2054 (o) | 750000 | 777681 |
| Taco Bell Fdg LLC Series 2025-1A Class A2I, 4.821% 8/25/2055 (o) | 6009938 | 6078055 |
| Towd PT Mtg Trust Series 2018-5 Class A1A, 3.25% 7/25/2058 (o) | 1419888 | 1409201 |
| UPX HIL Issuer Trust Series 2025-1 Class B, 6.07% 1/25/2047 (o) | 400000 | 407423 |
| VB-S1 Issuer LLC Series 2022-1A Class F, 5.268% 2/15/2052 (o) | 240000 | 238524 |
| VB-S1 Issuer LLC Series 2024-1A Class D, 6.644% 5/15/2054 (o) | 1500000 | 1529634 |
| VB-S1 Issuer LLC Series 2024-1A Class F, 8.871% 5/15/2054 (o) | 793000 | 817838 |
| VB-S1 Issuer LLC Series 2026-1A Class F, 6.843% 3/15/2056 (o) | 195000 | 199700 |
| VCAT Asset Securitization LLC Series 2026-NPL2 Class A1, 4.987% 2/25/2056 (n)(o) | 1000000 | 999999 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (o) | 644016 | 645179 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (o) | 3368332 | 3448935 |
| Wheels Fleet Lease Funding LLC Series 2023-1A Class A, 5.8% 4/18/2038 (o) | 425274 | 427663 |
| Wheels Fleet Lease Funding LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (o) | 2209749 | 2232620 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (o) | 280696 | 287754 |
| Willis Engine Structured Trust VII Series 2025-B Class A, 5.159% 12/15/2050 (o) | 2879026 | 2910628 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 255462 | 256852 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 886628 | 888214 |
| TOTAL UNITED STATES |  | 244539208 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $661,556,269) |  | <br> **667083003** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 0.4%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.4%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COLOMBIA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Canacol Energy Ltd Tranche DIP 1LN, term loan CME Term SOFR 3 month Index + 9%, 13% 6/30/2026 (b)(c)(i)(l) | 93922 | 93922 |
| FINLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Paper & Forest Products - 0.0% |  |  |
| Ahlstrom Holding 3 Oy Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.1836% 5/23/2030 (b)(c)(i) | 212653 | 212538 |
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Altice France SA Tranche B13 1LN, term loan CME Term SOFR 1 month Index + 5.375%, 9.0472% 5/14/2029 (b)(c)(i) | 56829 | 56531 |
| Altice France SA Tranche B14 1LN, term loan CME Term SOFR 1 month Index + 6.875%, 10.5472% 5/31/2031 (b)(c)(i) | 441632 | 442073 |
| TOTAL FRANCE |  | 498604 |
| LUXEMBOURG - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice Financing SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.6722% 10/31/2027 (b)(c)(i) | 34821 | 25593 |
| NETHERLANDS - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.9336% 8/30/2028 (b)(c)(i) | 681450 | 286209 |
| SWITZERLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Consolidated Energy Finance SA 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 0% 11/18/2030 (b)(c)(i)(k) | 230000 | 205850 |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 11/15/2030 (b)(c)(i) | 368608 | 329557 |
| TOTAL SWITZERLAND |  | 535407 |
| UNITED STATES - 0.4%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Connect Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.677% 10/3/2031 (b)(c)(i) | 105069 | 74599 |
| Connect Holdings LLC Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.9224% 4/3/2031 (b)(c)(i) | 945000 | 855225 |
|  |  | 929824 |
| Media - 0.0% |  |  |
| CMG Media Corp Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.2719% 6/18/2029 (b)(c)(i) | 438169 | 413413 |
| TOTAL COMMUNICATION SERVICES |  | 1343237 |
| Consumer Discretionary - 0.2% |  |  |
| Broadline Retail - 0.0% |  |  |
| Saks Global Enterprises LLC Tranche SECOND OUT ROLL-UP DIP 1LN, term loan CME Term SOFR 1 month Index + 12.5%, 16.1556% 7/15/2026 (b)(c)(i) | 87212 | 26163 |
| Diversified Consumer Services - 0.0% |  |  |
| TKC Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1597% 8/19/2030 (b)(c)(i) | 420000 | 418425 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| Horizon US Finco LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 10/31/2031 (b)(c)(i) | 670607 | 653841 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9336% 6/1/2028 (b)(c)(i) | 737036 | 684434 |
| Sizzling Platter LLC 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.673% 7/2/2032 (b)(c)(i) | 592729 | 536420 |
| Sizzling Platter LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 5% 7/2/2032 (b)(c)(i)(j) | 25271 | 22870 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9285% 12/30/2026 (b)(c)(i) | 1746798 | 1678674 |
| United PF Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 8.5%, 12.4285% 12/30/2026 (b)(c)(i) | 208828 | 202041 |
|  |  | 3778280 |
| Household Durables - 0.0% |  |  |
| TGP Holdings III LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.023% 6/29/2028 (b)(c)(i) | 724371 | 670210 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.4108% 10/1/2032 (b)(c)(i) | 570000 | 569858 |
|  |  | 1240068 |
| Specialty Retail - 0.1% |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.527% 6/6/2031 (b)(c)(i) | 911434 | 750110 |
| Michaels Cos Inc/The 1LN, term loan CME Term SOFR 1 month Index + 5%, 0% 2/19/2033 (b)(c)(i)(k) | 200000 | 190311 |
| SGUS LLC 1LN, term loan 16.1597% 7/15/2026 (c)(i) | 88931 | 26679 |
| SGUS LLC Tranche FIRST OUT DIP FINAL 1LN, term loan CME Term SOFR 1 month Index + 10%, 14.6597% 7/15/2026 (b)(c)(i) | 242083 | 222717 |
| SGUS LLC Tranche FIRST OUT DIP FINAL, term loan 14.677% 7/7/2026 (c)(i) | 100980 | 92902 |
| SGUS LLC Tranche THIRD OUT 1LN, term loan CME Term SOFR 1 month Index + 8%, 13.6597% 7/15/2026 (b)(c)(i)(l) | 208266 | 21174 |
| Staples Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.75%, 9.4136% 9/4/2029 (b)(c)(i) | 419656 | 374543 |
|  |  | 1678436 |
| TOTAL CONSUMER DISCRETIONARY |  | 7141372 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6719% 9/20/2030 (b)(c)(i) | 394013 | 386133 |
| Food Products - 0.0% |  |  |
| Del Monte Foods Corp II Inc 1LN, term loan CME Term SOFR 3 month Index + 8.15%, 0% (b)(c)(i)(l)(m) | 8937 | 0 |
| Del Monte Foods Corp II Inc Tranche FLFO B 1LN, term loan CME Term SOFR 3 month Index + 8%, 0% (b)(c)(i)(l)(m) | 2578 | 0 |
| Del Monte Foods Corp II Inc Tranche TLA DIP, term loan CME Term SOFR 3 month Index + 1%, 13.2597% 3/30/2026 (b)(c)(i)(l) | 22616 | 22616 |
| Del Monte Foods Corp II Inc Tranche TLB DIP ROLLUP, term loan CME Term SOFR 3 month Index + 9.5%, 13.2643% 3/30/2026 (b)(c)(i)(l) | 30142 | 14920 |
|  |  | 37536 |
| TOTAL CONSUMER STAPLES |  | 423669 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 0% (b)(c)(i)(m) | 3462707 | 1643470 |
| Financials - 0.0% |  |  |
| Insurance - 0.0% |  |  |
| Asurion LLC Tranche B14 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.427% 2/23/2033 (b)(c)(i) | 775000 | 760794 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| ModivCare Inc Tranche EXIT 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6898% 12/29/2030 (b)(c)(i) | 78927 | 72612 |
| Team Public Choices LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.25%, 0% 1/31/2033 (b)(c)(i)(k) | 196000 | 183423 |
|  |  | 256035 |
| Pharmaceuticals - 0.0% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 9.923% 10/8/2030 (b)(c)(i) | 1823923 | 1774276 |
| TOTAL HEALTH CARE |  | 2030311 |
| Industrials - 0.1% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| OneSky Flight LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4097% 2/4/2033 (b)(c)(i) | 255000 | 254044 |
| Building Products - 0.0% |  |  |
| Cornerstone Building Brands Inc 1LN, term loan CME Term SOFR 1 month Index + 5.625%, 9.2847% 8/1/2028 (b)(c)(i) | 89538 | 64468 |
| Cornerstone Building Brands Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0097% 4/12/2028 (b)(c)(i) | 1058276 | 772922 |
|  |  | 837390 |
| Commercial Services & Supplies - 0.1% |  |  |
| Artera Services LLC 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1719% 2/15/2031 (b)(c)(i) | 89772 | 73249 |
| Brand Industrial Services Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1636% 8/1/2030 (b)(c)(i) | 1496617 | 1275866 |
| CSC ServiceWorks East LLC Tranche EXCHANGE FLSO TL 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.671% 9/4/2030 (b)(c)(i) | 2481320 | 1916819 |
| CSC ServiceWorks East LLC Tranche INITIAL FL1O 1LN, term loan CME Term SOFR 1 month Index + 5.43%, 9.101% 9/4/2030 (b)(c)(i)(l) | 422005 | 430268 |
| Neptune Bidco US Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.7602% 2/3/2033 (b)(c)(i) | 760000 | 714590 |
|  |  | 4410792 |
| Machinery - 0.0% |  |  |
| Columbus McKinnon Corp/NY Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1602% 2/3/2033 (b)(c)(i) | 165000 | 164381 |
| TOTAL INDUSTRIALS |  | 5666607 |
| Information Technology - 0.0% |  |  |
| IT Services - 0.0% |  |  |
| Constant Contact Inc 2LN, term loan CME Term SOFR 3 month Index + 7.5%, 11.4338% 2/12/2029 (b)(c)(i) | 50000 | 40735 |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9338% 2/10/2028 (b)(c)(i) | 405757 | 350221 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (i) | 735000 | 770648 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.4475% 10/26/2029 (b)(c)(i) | 1273043 | 1275691 |
|  |  | 2437295 |
| Software - 0.0% |  |  |
| Polaris Newco LLC Tranche PIK TERM 2LN, term loan CME Term SOFR 1 month Index + 9%, 12.7727% 6/4/2029 (b)(c)(i) | 265000 | 198750 |
| X.AI LLC 1LN, term loan 12.5% 6/28/2030 (i) | 69737 | 78963 |
| X.AI LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 7.25%, 11.1219% 6/28/2030 (b)(c)(i) | 696812 | 721820 |
|  |  | 999533 |
| TOTAL INFORMATION TECHNOLOGY |  | 3436828 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| Advancion Holdings LLC 2LN, term loan CME Term SOFR 1 month Index + 7.75%, 11.5227% 11/24/2028 (b)(c)(i) | 67000 | 59965 |
| Advancion Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.7727% 11/24/2027 (b)(c)(i) | 125000 | 119688 |
| American Rock Salt Co LLC 1LN, term loan 2% 6/12/2028 (c)(i)(j) | 24082 | 24127 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.7875% 6/9/2028 (b)(c)(i) | 255321 | 229470 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 7%, 10.7875% 6/12/2028 (b)(c)(i) | 91871 | 92044 |
| Chemours Co/The Tranche B3 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 10/15/2032 (b)(c)(i) | 75000 | 74738 |
| Discovery Purchaser Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4192% 10/4/2029 (b)(c)(i) | 1010000 | 989426 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.925%, 7.6969% 7/3/2028 (b)(c)(i) | 1277539 | 1137917 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.677% 3/15/2029 (b)(c)(i) | 656948 | 643690 |
| Hexion Inc 2LN, term loan CME Term SOFR 1 month Index + 7.4375%, 11.2105% 3/15/2030 (b)(c)(i) | 194706 | 182698 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.4168% 8/25/2031 (b)(c)(i) | 868686 | 856377 |
| TPC Group Inc 1LN, term loan CME Term SOFR 1 month Index + 5.75%, 9.3856% 12/16/2031 (b)(c)(i) | 390281 | 348490 |
| Tronox Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1724% 9/30/2031 (b)(c)(i) | 723690 | 562669 |
|  |  | 5321299 |
| Containers & Packaging - 0.0% |  |  |
| BradyPlus Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1898% 12/29/2032 (b)(c)(i) | 770000 | 762785 |
| TOTAL MATERIALS |  | 6084084 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| MRP Buyer LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 6/4/2032 (b)(c)(i) | 674118 | 673558 |
| MRP Buyer LLC Tranche DD 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 5.4615% 6/4/2032 (b)(c)(i)(j) | 85882 | 85811 |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.173% 3/29/2030 (b)(c)(i) | 552314 | 554386 |
| TOTAL UTILITIES |  | 1313755 |
| TOTAL UNITED STATES |  | 29844127 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $33,624,205) |  | <br> **31496400** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Capital One NA ICE IBA - USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (b)(c) | 401000 | 418230 |
| Regions Banks 6.45% 6/26/2037  | 250000 | 274090 |
| TOTAL UNITED STATES |  | 692320 |
| <br> **TOTAL BANK NOTES**<br> (Cost $689,182) |  | <br> **692320** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 2.0%  |  |  |
| Angel Oak Mortgage Trust 2026-2 Series 2026-2 Class A1, 4.694% 2/25/2071 (o) | 400000 | 400000 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (c)(o) | 822256 | 831208 |
| Bravo Residential Funding Trust Series 2023-RPL1 Class A1, 5% 5/25/2063 (o) | 840014 | 849569 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (c)(o) | 721212 | 714607 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (c)(o) | 448901 | 447805 |
| CFMT Series 2025-HB16 Class A, 3% 3/25/2035 (c)(o) | 694317 | 683472 |
| CIM Trust Series 2025-NR1 Class A1, 5% 6/25/2064 (o) | 2023853 | 1992029 |
| CIM Trust Series 2025-R1 Class A1, 5% 2/25/2099 (o) | 3055720 | 3047569 |
| Cross 2026-Nqm2 Mtg Tr Series 2026-NQM2 Class A1FC, 4.735% 3/25/2061 (c)(o) | 800000 | 800266 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (c)(o) | 1110745 | 1125000 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 788 | 799 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 960 | 969 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 1182 | 1205 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 887 | 903 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 1257 | 1281 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 513 | 521 |
| Fannie Mae Guaranteed REMIC Series 2001-38 Class QF, U.S. 30-Day Avg. SOFR Index + 1.0945%, 4.7617% 8/25/2031 (b)(c) | 1298 | 1310 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 240 | 248 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 730 | 761 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5817% 2/25/2032 (b)(c) | 146 | 147 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7727% 3/18/2032 (b)(c) | 268 | 271 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 4/25/2032 (b)(c) | 535 | 540 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 10/25/2032 (b)(c) | 335 | 338 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 4.5317% 1/25/2032 (b)(c) | 132 | 133 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class FV, U.S. 30-Day Avg. SOFR Index + 0.5645%, 4.2317% 11/25/2032 (b)(c) | 913 | 913 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.7683% 11/25/2032 (c)(r) | 190 | 3 |
| Fannie Mae Guaranteed REMIC Series 2002-75 Class FA, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 11/25/2032 (b)(c) | 524 | 529 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 12/25/2033 (c)(r) | 6075 | 752 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 3/25/2033 (c)(r) | 327 | 33 |
| Fannie Mae Guaranteed REMIC Series 2003-70 Class BJ, 5% 7/25/2033  | 9698 | 9798 |
| Fannie Mae Guaranteed REMIC Series 2004-52 Class KZ, 5.5% 7/25/2034  | 45315 | 46208 |
| Fannie Mae Guaranteed REMIC Series 2004-91 Class Z, 5% 12/25/2034  | 103554 | 105488 |
| Fannie Mae Guaranteed REMIC Series 2005-117 Class JN, 4.5% 1/25/2036  | 8695 | 8775 |
| Fannie Mae Guaranteed REMIC Series 2005-14 Class ZB, 5% 3/25/2035  | 31639 | 31970 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.9383% 6/25/2035 (c)(r) | 7075 | 486 |
| Fannie Mae Guaranteed REMIC Series 2005-68 Class CZ, 5.5% 8/25/2035  | 128771 | 132900 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 22730 | 23674 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 14754 | 14993 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 3314 | 3421 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.8983% 11/25/2036 (c)(r) | 4444 | 386 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.8583% 12/25/2036 (c)(r) | 2564 | 262 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (s) | 3259 | 2971 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (s) | 5743 | 5052 |
| Fannie Mae Guaranteed REMIC Series 2006-72 Class CY, 6% 8/25/2026  | 261 | 260 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.6583% 5/25/2037 (c)(r) | 1638 | 156 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index x 38.9131%, 16.9099% 7/25/2037 (b)(c) | 1754 | 2371 |
| Fannie Mae Guaranteed REMIC Series 2009-59 Class HB, 5% 8/25/2039  | 60777 | 61923 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 8991 | 8717 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 66962 | 66493 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 6615 | 6874 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 27605 | 27579 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (r) | 6726 | 98 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 26048 | 24515 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 36028 | 34213 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (r) | 3 | 0 |
| Fannie Mae Guaranteed REMIC Series 2012-70 Class FB, U.S. 30-Day Avg. SOFR Index + 0.5645%, 4.2317% 7/25/2042 (b)(c) | 1182911 | 1173945 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 2.2683% 1/25/2044 (c)(r) | 8150 | 946 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (r) | 37774 | 5227 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 44717 | 43318 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 5104997 | 4559615 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (r) | 22350 | 2912 |
| Fannie Mae Guaranteed REMIC Series 2017-32 Class PA, 2.7% 5/25/2047  | 4392911 | 4108910 |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  | 845527 | 789467 |
| Fannie Mae Guaranteed REMIC Series 2018-45 Class GI, 4% 6/25/2048 (r) | 328199 | 67481 |
| Fannie Mae Guaranteed REMIC Series 2019-76 Class FC, U.S. 30-Day Avg. SOFR Index + 0.6145%, 4.2817% 12/25/2049 (b)(c) | 627066 | 622281 |
| Fannie Mae Guaranteed REMIC Series 2020-45 Class JC, 1.5% 7/25/2040  | 960915 | 844106 |
| Fannie Mae Guaranteed REMIC Series 2020-49 Class LA, 2% 3/25/2043  | 1951748 | 1895415 |
| Fannie Mae Guaranteed REMIC Series 2020-51 Class BA, 2% 6/25/2046  | 639770 | 594193 |
| Fannie Mae Guaranteed REMIC Series 2021-21 Class HG, 2% 11/25/2047  | 1685927 | 1539935 |
| Fannie Mae Guaranteed REMIC Series 2021-45 Class DA, 3% 7/25/2051  | 324722 | 296611 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 117294 | 102617 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 124650 | 109053 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 169692 | 148286 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 164490 | 140304 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 103031 | 94166 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 734979 | 669579 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 485647 | 445382 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 3557796 | 3252076 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 162077 | 147445 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 150430 | 143232 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 189432 | 179429 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class EA, 2.25% 9/25/2046  | 2392919 | 2249146 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class GD, 2.25% 3/25/2052  | 286744 | 267956 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 167099 | 161221 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 318397 | 303449 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class MA, 3% 5/25/2044  | 2463275 | 2398470 |
| Fannie Mae Guaranteed REMIC Series 2022-15 Class GC, 3% 1/25/2047  | 151713 | 146205 |
| Fannie Mae Guaranteed REMIC Series 2022-17 Class BH, 3% 5/25/2047  | 164830 | 159237 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 119653 | 112576 |
| Fannie Mae Guaranteed REMIC Series 2022-20 Class HC, 2.5% 4/25/2052  | 1595577 | 1490390 |
| Fannie Mae Guaranteed REMIC Series 2022-25 Class AB, 4% 9/25/2047  | 291868 | 290304 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 700001 | 643301 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 1774127 | 1624219 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 117657 | 107285 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class YT, 2% 2/25/2052  | 314540 | 290559 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 112933 | 112331 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 309533 | 274881 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 651412 | 600321 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 8/25/2052 (b)(c) | 1494268 | 1489525 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 9/25/2052 (b)(c) | 3140593 | 3130625 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (b)(c) | 1042357 | 1038689 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (b)(c) | 3680335 | 3668645 |
| Fannie Mae Guaranteed REMIC Series 2022-69 Class AB, 4.5% 1/25/2044  | 431689 | 429512 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 212635 | 202508 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 696550 | 649179 |
| Fannie Mae Guaranteed REMIC Series 2023-13 Class CK, 1.5% 11/25/2050  | 1146296 | 984254 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (b)(c) | 1010539 | 1022745 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (b)(c) | 4028466 | 4077592 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.1972% 7/25/2054 (b)(c) | 435145 | 440921 |
| Fannie Mae Guaranteed REMIC Series 2024-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2053 (b)(c) | 886402 | 892793 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 12/25/2054 (b)(c) | 3625589 | 3652166 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 12/25/2054 (b)(c) | 998560 | 1004276 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 72 | 73 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (s) | 1888 | 1639 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (s) | 3047 | 2638 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-47 Class DG, 2% 4/25/2042  | 2698366 | 2619878 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-55 Class A, 2% 5/25/2043  | 591301 | 557473 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  | 495935 | 474147 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-63 Class DA, 2% 9/25/2045  | 304452 | 285354 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (b)(c) | 1424059 | 1435663 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2054 (b)(c) | 1712044 | 1724222 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (b)(c) | 2229394 | 2253056 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 9/25/2054 (b)(c) | 2579520 | 2606076 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (b)(c) | 1685097 | 1701016 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 1725134 | 1739465 |
| Fannie Mae Series 2010-118 Class PB, 4.5% 10/25/2040  | 109816 | 110938 |
| Fannie Mae Series 2010-15 Class FJ, U.S. 30-Day Avg. SOFR Index + 1.0445%, 4.7117% 6/25/2036 (b)(c) | 122328 | 123797 |
| Fannie Mae Series 2010-39 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0345%, 4.7017% 3/25/2036 (b)(c) | 91311 | 92418 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 137608 | 136057 |
| Fannie Mae Series 2022-28 Class A, 2.5% 2/25/2052  | 538179 | 519759 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 376306 | 378849 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 182277 | 173550 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (r) | 1455 | 188 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (r) | 1374 | 183 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (c)(r) | 909 | 152 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (r) | 870 | 136 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (r) | 6007 | 910 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 241 | 244 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 924 | 939 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4341 Class ML, 3.5% 11/15/2031  | 96665 | 96367 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 70010 | 70072 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5148 Class D, 1.75% 10/25/2051  | 4416265 | 3659115 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 169262 | 154832 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 92432 | 84025 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 172872 | 158285 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 210703 | 185718 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 457 | 467 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 3532 | 3594 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 187 | 190 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 494 | 504 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2145 Class MZ, 6.5% 4/15/2029  | 4096 | 4168 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 972 | 993 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 578 | 591 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 310 | 315 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 2174 | 2219 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 8173 | 8497 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5727% 1/15/2032 (b)(c) | 117 | 117 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 3/15/2032 (b)(c) | 158 | 159 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7727% 3/15/2032 (b)(c) | 153 | 154 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 6/15/2031 (b)(c) | 224 | 225 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 3/15/2032 (b)(c) | 82 | 83 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 1026 | 1066 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 1576 | 1618 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 2736 | 2841 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2526 Class FC, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.1727% 11/15/2032 (b)(c) | 1778 | 1777 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 6433 | 6624 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2711 Class FC, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 2/15/2033 (b)(c) | 32063 | 32284 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2770 Class FH, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.1727% 3/15/2034 (b)(c) | 42936 | 42853 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 3543 | 3656 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2877 Class ZD, 5% 10/15/2034  | 119301 | 120678 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 32257 | 32944 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 12601 | 13152 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class MK, 5.5% 6/15/2035  | 1222 | 1257 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 19758 | 20076 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 6559 | 6771 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.8273% 2/15/2036 (c)(r) | 2065 | 196 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (s) | 7026 | 5940 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (s) | 3841 | 3291 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 6851 | 7204 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 26208 | 26976 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.8873% 11/15/2036 (c)(r) | 8731 | 827 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 1882 | 1948 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.8073% 6/15/2037 (c)(r) | 6457 | 659 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.0227% 5/15/2037 (b)(c) | 7405 | 7323 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 24112 | 24626 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 32124 | 32999 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3843 Class PZ, 5% 4/15/2041  | 184296 | 186953 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3857 Class ZP, 5% 5/15/2041  | 259805 | 263543 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 4656 | 4693 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 28302 | 26951 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (r) | 11381 | 276 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 11531 | 11513 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 54111 | 52843 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4690 Class CA, 3% 11/15/2036  | 1361358 | 1336613 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-4954 Class KE, 1.5% 2/25/2050  | 187416 | 155920 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5000 Class BA, 2% 4/25/2045  | 438255 | 412623 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 352921 | 337350 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 113392 | 97251 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5058 Class BE, 3% 11/25/2050  | 387041 | 344902 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5059 Class GA, 1% 1/25/2051  | 614775 | 488972 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5077 Class ME, 2% 8/15/2048  | 4505968 | 3917609 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5083 Class BA, 2.5% 5/25/2032  | 26301 | 26223 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5092 Class CL, 3% 4/25/2041  | 1256381 | 1151716 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5115 Class A, 2% 3/25/2040  | 449681 | 414781 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5139 Class JC, 2% 8/25/2040  | 437202 | 400040 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 128005 | 112029 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5147 Class WN, 2% 1/25/2040  | 458373 | 422783 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 168067 | 147780 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 165428 | 144295 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class BA, 2.5% 5/25/2049  | 478340 | 435683 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 171761 | 156098 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 585700 | 526789 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5178 Class CT, 2% 11/25/2040  | 475919 | 434178 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5178 Class TP, 2.5% 4/25/2049  | 410551 | 374111 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 115311 | 107193 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 787757 | 721769 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 105635 | 96154 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 266207 | 242309 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 113570 | 105471 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 223562 | 203438 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 136531 | 122691 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 1939627 | 1766261 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 223563 | 203439 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 86121 | 80033 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 355689 | 331688 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5199 Class PH, 2.25% 3/25/2052  | 390994 | 354011 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 112576 | 106954 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class BC, 3% 5/25/2048  | 469211 | 446749 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 92302 | 85869 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 171980 | 161090 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class TA, 3.5% 11/25/2046  | 104063 | 101187 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5213 Class AH, 2.25% 4/25/2037  | 355143 | 340986 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CB, 3.25% 4/25/2052  | 665071 | 642444 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CG, 3.5% 4/25/2052  | 217660 | 212019 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5220 Class PK, 3.5% 1/25/2051  | 358122 | 346261 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 189771 | 192499 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5250 Class FA, U.S. 30-Day Avg. SOFR Index + 0.67%, 4.3372% 8/25/2052 (b)(c) | 651669 | 646850 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5254 Class FG, U.S. 30-Day Avg. SOFR Index + 0.75%, 4.4172% 9/25/2052 (b)(c) | 1155996 | 1150858 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 389901 | 391746 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 4.6672% 10/25/2054 (b)(c) | 750016 | 753077 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 11/25/2054 (b)(c) | 3006870 | 3024136 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 3470296 | 3495197 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (b)(c) | 1383606 | 1390945 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9172% 10/25/2054 (b)(c) | 2620600 | 2641772 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 3225664 | 3252739 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 1059 | 1079 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 577 | 588 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 162 | 164 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.1159% 5/20/2060 (b)(c)(h) | 5096 | 5086 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.0969% 8/20/2060 (b)(c)(h) | 82175 | 81913 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.1769% 12/20/2060 (b)(c)(h) | 58919 | 58493 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 12/20/2060 (b)(c)(h) | 44023 | 44033 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 2/20/2061 (b)(c)(h) | 49174 | 49185 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.2869% 2/20/2061 (b)(c)(h) | 56079 | 56083 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 4/20/2061 (b)(c)(h) | 36430 | 36441 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 5/20/2061 (b)(c)(h) | 47302 | 47314 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 5/20/2061 (b)(c)(h) | 40975 | 40984 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.3269% 6/20/2061 (b)(c)(h) | 40730 | 40757 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3469% 9/20/2061 (b)(c)(h) | 14843 | 14856 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 10/20/2061 (b)(c)(h) | 45956 | 46043 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4969% 11/20/2061 (b)(c)(h) | 44936 | 45051 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4969% 1/20/2062 (b)(c)(h) | 29053 | 29137 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4269% 1/20/2062 (b)(c)(h) | 61274 | 61407 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4269% 3/20/2062 (b)(c)(h) | 36032 | 36085 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 4.4469% 5/20/2061 (b)(c)(h) | 127 | 128 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H01 Class FA, 1.65% 1/20/2063 (h) | 1 | 1 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H04 Class BA, 1.65% 2/20/2063 (h) | 178 | 171 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H19 Class FC, CME Term SOFR 1 month Index + 0.6%, 4.3969% 8/20/2063 (b)(c)(h) | 1517 | 1520 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 1/20/2064 (b)(c)(h) | 3258 | 3264 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 12/20/2063 (b)(c)(h) | 7460 | 7472 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 6/20/2064 (b)(c)(h) | 10762 | 10764 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.0769% 5/20/2063 (b)(c)(h) | 1433 | 1427 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (h) | 266 | 252 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 3.9969% 4/20/2063 (b)(c)(h) | 2059 | 2044 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H30 Class HA, 1.75% 9/20/2062 (c)(h) | 11554 | 11283 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H13 Class FB, 1 year U.S. Treasury Index + 0.5%, 3.98% 5/20/2066 (b)(c)(h) | 50581 | 50635 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.1969% 12/20/2062 (b)(c)(h) | 1306 | 1304 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 46683 | 43750 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 3.83% 8/20/2066 (b)(c)(h) | 69300 | 69223 |
| Ginnie Mae Mortgage pass-thru certificates Series 2018-H12 Class HA, 3.25% 8/20/2068 (h) | 284285 | 279195 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-22 Class AZ, 5.5% 4/20/2034  | 96481 | 100620 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 9979 | 10184 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.7259% 5/16/2034 (c)(r) | 1981 | 115 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.9159% 6/16/2037 (c)(r) | 3770 | 340 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-59 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.2817% 7/20/2037 (b)(c) | 30315 | 30391 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-2 Class FD, CME Term SOFR 1 month Index + 0.5945%, 4.2617% 1/20/2038 (b)(c) | 7976 | 7989 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-73 Class FA, CME Term SOFR 1 month Index + 0.9745%, 4.6417% 8/20/2038 (b)(c) | 41975 | 42644 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-83 Class FB, CME Term SOFR 1 month Index + 1.0145%, 4.6817% 9/20/2038 (b)(c) | 31753 | 32296 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-108 Class CF, CME Term SOFR 1 month Index + 0.7145%, 4.3741% 11/16/2039 (b)(c) | 45688 | 45911 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-116 Class KF, CME Term SOFR 1 month Index + 0.6445%, 4.3041% 12/16/2039 (b)(c) | 24739 | 24819 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 7054 | 7023 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 93985 | 93556 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-169 Class Z, 4.5% 12/20/2040  | 423528 | 417955 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 20756 | 20661 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-31 Class BP, 5% 3/20/2040  | 190198 | 196258 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3359% 3/20/2060 (b)(c)(h) | 12351 | 12363 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (r) | 5387 | 146 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-68 Class EC, 3.5% 4/20/2041  | 12280 | 12201 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-69 Class GX, 4.5% 5/16/2040  | 5187 | 5176 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 2.3183% 7/20/2041 (c)(r) | 8648 | 919 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-98 Class FA, CME Term SOFR 1 month Index + 0.5145%, 4.1817% 8/20/2042 (b)(c) | 32157 | 31952 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 23044 | 22843 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 179644 | 169983 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 69498 | 65821 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 117055 | 109824 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 94538 | 89441 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 36015 | 34316 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 176635 | 164179 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 99044 | 92278 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 80101 | 74857 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 100324 | 94988 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 89878 | 86104 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (o) | 3310693 | 3255314 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (n)(o) | 256202 | 253673 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (c)(o) | 857487 | 868228 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (o) | 290264 | 278395 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (c)(o) | 499859 | 483822 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (c)(o) | 695635 | 703951 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (o) | 288556 | 275919 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (o) | 142972 | 135984 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (o) | 401969 | 386145 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (o) | 2314984 | 2267032 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (n)(o) | 587924 | 592127 |
| Obx Trust Series 2025-NQM19 Class A1, 4.869% 10/25/2065 (c)(o) | 940437 | 943401 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (o) | 13905 | 13886 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (o) | 79443 | 78420 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (c)(o) | 1853804 | 1825346 |
| Ocwen Loan Investment Trust Series 2025-HB2 Class A, 3% 11/25/2038 (c)(o) | 1209162 | 1172041 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (o) | 307673 | 307673 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (n)(o) | 1209663 | 1192962 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (o) | 762187 | 741154 |
| PRET Trust Series 2025-RPL2 Class A1, 4% 8/25/2064 (o) | 3153206 | 3098082 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (c)(o) | 652985 | 656282 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (o) | 812477 | 806300 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (o) | 256410 | 254496 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (c)(o) | 158364 | 156918 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (c)(o) | 2769967 | 2747403 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (c)(o) | 1002606 | 982196 |
| Prpm LLC Series 2025-RCF5 Class A1, 4.839% 10/25/2055 (o) | 367889 | 368486 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (o) | 500932 | 488236 |
| TOTAL UNITED STATES |  | 153894582 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $149,751,419) |  | <br> **153894582** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 5.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |
| Prima Capital CRE Securitization Ltd/Llc Series 2019-RK1 Class BT, 4.45% 4/15/2038 (o) | 343000 | 328344 |
| UNITED STATES - 5.2%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4026% 6/15/2040 (b)(c)(o) | 3720000 | 3738663 |
| Ares Commercial Mortgage Trust Series 2026-GCP Class D, CME Term SOFR 1 month Index + 2.35%, 6.05% 2/15/2043 (b)(c)(o) | 275000 | 276201 |
| Ares Tr 2 Series 2025-IND3 Class E, CME Term SOFR 1 month Index + 3.55%, 7.2097% 4/15/2042 (b)(c)(o) | 565000 | 564294 |
| Ares Trust Series 2024-IND2 Class F, CME Term SOFR 1 month Index + 4.039%, 7.6987% 10/15/2034 (b)(c)(o) | 170000 | 170095 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (o) | 567962 | 549519 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (o) | 132000 | 125972 |
| Bank of America Merrill Lynch Commercial Mortgage Trust Series 2016-UB10 Class B, 3.79% 7/15/2049  | 157148 | 154811 |
| Bank of America Merrill Lynch Commercial Mortgage Trust Series 2016-UB10 Class C, 4.8745% 7/15/2049 (c) | 818000 | 793571 |
| BANK Series 2017-BNK4 Class C, 4.372% 5/15/2050  | 235000 | 209176 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 1000000 | 990563 |
| BANK Series 2017-BNK6 Class ASB, 3.289% 7/15/2060  | 44946 | 44790 |
| BANK Series 2018-BN10 Class ASB, 3.641% 2/15/2061  | 177954 | 177169 |
| BANK Series 2018-BN10 Class C, 4.163% 2/15/2061 (c) | 385000 | 356358 |
| BANK Series 2019-BN19 Class ASB, 3.071% 8/15/2061  | 438683 | 432747 |
| BANK Series 2019-BN20 Class ASB, 2.933% 9/15/2062  | 71780 | 70403 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 962049 | 921496 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 76549 | 74999 |
| BANK Series 2022-BNK39 Class C, 3.2684% 2/15/2055 (c) | 194000 | 170226 |
| BANK Series 2023-BNK45 Class B, 6.148% 2/15/2056 (c) | 200000 | 212745 |
| BANK Series 2024-BNK47 Class A5, 5.716% 6/15/2057  | 800000 | 862017 |
| BANK Series 2025-BNK51 Class C, 5.946% 12/25/2067 (c) | 240000 | 243181 |
| BANK5 Series 2024-5YR11 Class C, 6.3221% 11/15/2057 (c) | 225000 | 229867 |
| BANK5 Series 2024-5YR12 Class C, 6.3021% 12/15/2057 (c) | 161000 | 166266 |
| BANK5 Series 2025-5YR16 Class XB, 0.3468% 8/15/2063 (c)(r) | 7700000 | 136318 |
| BANK5 Series 2025-5YR19 Class D, 4.5% 12/15/2058 (c)(o) | 490000 | 423852 |
| BANK5 Series 2025-5YR19 Class XB, 0.5998% 12/15/2058 (c)(r) | 3600000 | 102979 |
| Barings Issuer LLC Series 2026-SBP Class A, 4.82% 2/25/2059 (o) | 4931000 | 4937759 |
| BBCMS Mortgage Trust Series 2020-C7 Class B, 3.152% 4/15/2053  | 950000 | 843199 |
| BBCMS Mortgage Trust Series 2020-C7 Class C, 3.5863% 4/15/2053 (c) | 189000 | 164192 |
| BBCMS Mortgage Trust Series 2022-C16 Class B, 4.6% 6/15/2055  | 200000 | 188115 |
| BBCMS Mortgage Trust Series 2024-C26 Class C, 6% 5/15/2057  | 150000 | 154789 |
| BBCMS Mortgage Trust Series 2024-C26 Class D, 4.5% 5/15/2057 (o) | 435000 | 358807 |
| BBCMS Mortgage Trust Series 2024-C30 Class C, 5.98% 11/15/2057  | 334000 | 341928 |
| BBCMS Mortgage Trust Series 2025-5C33 Class C, 5.981% 3/15/2058  | 118000 | 120855 |
| BBCMS Mortgage Trust Series 2025-5C33 Class D, 6.6265% 3/15/2058 (c)(o) | 213000 | 208495 |
| BBCMS Mortgage Trust Series 2025-5C37 Class C, 6.002% 9/15/2058 (c) | 595000 | 612043 |
| BBCMS Mortgage Trust Series 2025-5C38 Class XB, 0.8919% 11/15/2058 (c)(o)(r) | 8700000 | 348466 |
| BBCMS Mortgage Trust Series 2025-C32 Class C, 6.125% 2/15/2062 (c) | 368000 | 382034 |
| BBCMS Mortgage Trust Series 2025-C32 Class D, 4.5% 2/15/2062 (o) | 100000 | 84230 |
| BBCMS Mortgage Trust Series 2025-C35 Class C, 6.1139% 7/15/2058 (c) | 220000 | 228623 |
| BBCMS Mortgage Trust Series 2025-C39 Class C, 5.9066% 12/15/2058 (c) | 100000 | 102439 |
| Bbcms Mtg Tr Series 2025-5C34 Class C, 6.8065% 5/15/2058 (c) | 760000 | 806540 |
| Benchmark Mortgage Trust Series 2018-B2 Class ASB, 3.7802% 2/15/2051  | 327747 | 326567 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 4151000 | 4149237 |
| Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.0157% 8/15/2052 (c)(r) | 6946881 | 165955 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7596% 12/15/2062 (c)(r) | 3915467 | 74427 |
| Benchmark Mortgage Trust Series 2020-IG3 Class 825C, 3.0763% 9/15/2048 (c)(o) | 242000 | 231287 |
| Benchmark Mortgage Trust Series 2020-IG3 Class 825D, 3.0763% 9/15/2048 (c)(o) | 265000 | 251021 |
| Benchmark Mortgage Trust Series 2022-B33 Class C, 3.6136% 3/15/2055 (c) | 400000 | 325269 |
| Benchmark Mortgage Trust Series 2024-V11 Class C, 6.295% 11/15/2057  | 596000 | 612913 |
| Benchmark Mortgage Trust Series 2025-B41 Class C, 6.1365% 7/15/2068  | 125000 | 129778 |
| Benchmark Mortgage Trust Series 2026-V20 Class A3, 5.184% 2/15/2059  | 1500000 | 1564748 |
| BFLD Commercial Mortgage Trust Series 2024-UNIV Class E, CME Term SOFR 1 month Index + 3.6395%, 7.2992% 11/15/2041 (b)(c)(o) | 749000 | 750873 |
| BFLD Trust Series 2024-WRHS Class E, CME Term SOFR 1 month Index + 3.6889%, 7.3486% 7/15/2039 (b)(c)(o) | 825027 | 826059 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.0018% 3/15/2041 (b)(c)(o) | 2764428 | 2764428 |
| Bmo 2025-C12 Mortgage Trust Series 2025-C12 Class C, 6.3932% 6/15/2058 (c) | 737000 | 773717 |
| BMO Mortgage Trust Series 2024-C10 Class C, 5.979% 11/15/2057 (c) | 100000 | 101552 |
| BMO Mortgage Trust Series 2025-5C10 Class C, 6.485% 5/15/2058 (c) | 245000 | 253833 |
| BMO Mortgage Trust Series 2025-5C11 Class XB, 0.5838% 7/15/2058 (c)(r) | 13800000 | 346248 |
| BMO Mortgage Trust Series 2025-5C12 Class XB, 0.7492% 10/15/2058 (c)(r) | 9300000 | 313064 |
| BMO Mortgage Trust Series 2025-5C13 Class A2, 4.7355% 12/15/2058  | 1000000 | 1020952 |
| BMO Mortgage Trust Series 2025-5C9 Class XA, 0.7069% 4/15/2058 (c)(r) | 6397318 | 168620 |
| BMO Mortgage Trust Series 2025-C13 Class C, 6.1337% 10/15/2058 (c) | 399000 | 399434 |
| BMO Mortgage Trust Series 2026-C14 Class C, 5.9255% 2/15/2059 (o) | 175000 | 178627 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.0316% 6/15/2041 (b)(c)(o) | 2072000 | 2072648 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.3012% 6/15/2041 (b)(c)(o) | 1023000 | 1023639 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 5.5009% 6/15/2041 (b)(c)(o) | 723000 | 723678 |
| BMP Series 2024-MF23 Class E, CME Term SOFR 1 month Index + 3.3891%, 7.0487% 6/15/2041 (b)(c)(o) | 590000 | 590737 |
| Bpr Coml Mtg Trust Series 2025-STAR Class C, 6.0608% 11/5/2042 (c)(o) | 585000 | 590675 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.3919% 11/5/2039 (c)(o) | 8606000 | 8853513 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class C, 6.3894% 11/5/2039 (c)(o) | 264000 | 274517 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class D, 7.2343% 11/5/2039 (c)(o) | 1125000 | 1180209 |
| BPR Trust Series 2023-BRK2 Class C, 8.335% 10/5/2038 (c)(o) | 616000 | 636460 |
| BPR Trust Series 2024-PMDW Class B, 5.85% 11/5/2041 (c)(o) | 120000 | 124058 |
| BPR Trust Series 2024-PMDW Class E, 5.85% 11/5/2041 (c)(o) | 70000 | 68162 |
| Bres Coml Mtg Trust Series 2025-ATCAP Class E, CME Term SOFR 1 month Index + 3.6408%, 7.3004% 11/15/2042 (b)(c)(o) | 467000 | 467752 |
| Bres Coml Mtg Trust Series 2025-ATCAP Class F, CME Term SOFR 1 month Index + 5.1885%, 8.8482% 11/15/2042 (b)(c)(o) | 575000 | 575864 |
| Bway Trust Series 2025-1535 Class B, 7.7102% 5/5/2042 (c)(o) | 595000 | 628280 |
| BX Commercial Mortgage Trust 2020-VIVA Series 2020-VIVA Class D, 3.5488% 3/11/2044 (c)(o) | 1225000 | 1151085 |
| BX Commercial Mortgage Trust 2020-VIVA Series 2020-VIVA Class E, 3.5488% 3/11/2044 (c)(o) | 481000 | 438826 |
| BX Commercial Mortgage Trust 2021-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.1507% 4/15/2037 (b)(c)(o) | 1007671 | 1007671 |
| BX Commercial Mortgage Trust 2022-LP2 Series 2022-LP2 Class F, CME Term SOFR 1 month Index + 3.2578%, 6.9175% 2/15/2039 (b)(c)(o) | 945000 | 944705 |
| BX Commercial Mortgage Trust 2022-LP2 Series 2022-LP2 Class G, CME Term SOFR 1 month Index + 4.1058%, 7.7655% 2/15/2039 (b)(c)(o) | 334600 | 334749 |
| BX Commercial Mortgage Trust 2024-KING Series 2024-KING Class E, CME Term SOFR 1 month Index + 3.688%, 7.3476% 5/15/2034 (b)(c)(o) | 2087518 | 2092737 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class A, 5.5908% 11/13/2046 (c)(o) | 262000 | 270586 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class B, 5.9949% 11/13/2046 (c)(o) | 100000 | 104266 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class C, 6.3984% 11/13/2046 (c)(o) | 239000 | 249086 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class E, 8.1339% 11/13/2046 (c)(o) | 1416000 | 1534142 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.0513% 3/15/2041 (b)(c)(o) | 12239163 | 12242988 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class D, CME Term SOFR 1 month Index + 2.6898%, 6.3495% 3/15/2041 (b)(c)(o) | 471450 | 471744 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.103% 4/15/2040 (b)(c)(o) | 8322975 | 8333379 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class D, CME Term SOFR 1 month Index + 2.4919%, 6.1515% 4/15/2040 (b)(c)(o) | 362657 | 363563 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class E, CME Term SOFR 1 month Index + 3.6902%, 7.3498% 4/15/2040 (b)(c)(o) | 1113357 | 1118923 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.301% 5/15/2041 (c)(o) | 5322468 | 5325795 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class E, CME Term SOFR 1 month Index + 3.6883%, 7.348% 5/15/2041 (b)(c)(o) | 700000 | 698765 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 4.7063% 4/15/2034 (b)(c)(o) | 383377 | 381459 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.0063% 4/15/2034 (b)(c)(o) | 614000 | 608628 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.3063% 4/15/2034 (b)(c)(o) | 406000 | 401940 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 5.6063% 4/15/2034 (b)(c)(o) | 426000 | 421208 |
| BX Commercial Mortgage Trust Series 2020-VIV2 Class C, 3.5424% 3/9/2044 (c)(o) | 11671000 | 11085083 |
| BX Commercial Mortgage Trust Series 2021-CIP Class E, CME Term SOFR 1 month Index + 2.9345%, 6.5945% 12/15/2038 (b)(c)(o) | 515091 | 514930 |
| BX Commercial Mortgage Trust Series 2021-CIP Class F, CME Term SOFR 1 month Index + 3.3335%, 6.9935% 12/15/2038 (b)(c)(o) | 696424 | 696206 |
| BX Commercial Mortgage Trust Series 2021-IRON Class D, CME Term SOFR 1 month Index + 2.2645%, 5.9245% 2/15/2038 (b)(c)(o) | 261231 | 260727 |
| BX Commercial Mortgage Trust Series 2021-IRON Class E, CME Term SOFR 1 month Index + 2.7145%, 6.3745% 2/15/2038 (b)(c)(o) | 618247 | 617055 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.4636% 10/15/2036 (b)(c)(o) | 2316000 | 2311658 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 4.6733% 10/15/2036 (b)(c)(o) | 268000 | 267330 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 4.8731% 10/15/2036 (b)(c)(o) | 2044000 | 2037621 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.0728% 10/15/2036 (b)(c)(o) | 349000 | 347911 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 5.722% 10/15/2036 (b)(c)(o) | 2036000 | 2030916 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 4.6726% 2/15/2039 (b)(c)(o) | 521841 | 521678 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 4.972% 2/15/2039 (b)(c)(o) | 1627500 | 1626991 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.2214% 2/15/2039 (b)(c)(o) | 819700 | 819444 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 5.6205% 2/15/2039 (b)(c)(o) | 538300 | 538132 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.4211% 12/9/2040 (b)(c)(o) | 2828446 | 2828446 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 5.8505% 12/9/2040 (b)(c)(o) | 272300 | 272300 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.2998% 12/9/2040 (b)(c)(o) | 144900 | 144900 |
| BX Commercial Mortgage Trust Series 2024-AIR2 Class D, CME Term SOFR 1 month Index + 2.7905%, 6.4505% 10/15/2041 (b)(c)(o) | 359693 | 360142 |
| BX Commercial Mortgage Trust Series 2024-AIRC Class D, CME Term SOFR 1 month Index + 3.0892%, 6.7489% 8/15/2041 (b)(c)(o) | 355573 | 356344 |
| BX Commercial Mortgage Trust Series 2024-GPA2 Class E, CME Term SOFR 1 month Index + 3.5395%, 7.1992% 11/15/2041 (b)(c)(o) | 1250000 | 1249686 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 4.9525% 12/15/2039 (b)(c)(o) | 3497198 | 3498291 |
| BX Commercial Mortgage Trust Series 2024-MF Class D, CME Term SOFR 1 month Index + 2.6898%, 6.3495% 2/15/2039 (b)(c)(o) | 251469 | 251705 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class B, CME Term SOFR 1 month Index + 1.743%, 5.4026% 4/15/2040 (b)(c)(o) | 2987386 | 2992054 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 3/15/2043 (b)(c)(o) | 7095000 | 7099463 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class B, CME Term SOFR 1 month Index + 1.45%, 5.12% 3/15/2043 (b)(c)(o) | 937000 | 938176 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class E, CME Term SOFR 1 month Index + 3%, 6.67% 3/15/2043 (b)(c)(o) | 180000 | 180564 |
| BX Trust 2019-OC11 Series 2019-OC11 Class E, 3.944% 12/9/2041 (c)(o) | 2038000 | 1908133 |
| BX Trust 2019-OC11 Series 2019-OC11 Class XA, 0.742% 12/9/2041 (c)(o)(r) | 50900000 | 1248404 |
| BX Trust 2021 Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8245% 2/15/2036 (b)(c)(o) | 200000 | 199877 |
| BX Trust 2021 Series 2021-LBA Class EJV, CME Term SOFR 1 month Index + 2.3645%, 6.0245% 2/15/2036 (b)(c)(o) | 1345000 | 1344585 |
| BX Trust 2021 Series 2021-LBA Class EV, CME Term SOFR 1 month Index + 2.3645%, 6.0245% 2/15/2036 (b)(c)(o) | 304462 | 304368 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class E, CME Term SOFR 1 month Index + 2.8894%, 6.5696% 6/15/2041 (b)(c)(o) | 947000 | 936938 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class F, CME Term SOFR 1 month Index + 3.9379%, 7.5975% 6/15/2041 (b)(c)(o) | 1750000 | 1747843 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.1015% 4/15/2041 (b)(c)(o) | 5616712 | 5618468 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 5.3512% 4/15/2041 (b)(c)(o) | 565379 | 565732 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 5.6008% 4/15/2041 (b)(c)(o) | 469842 | 470135 |
| BX Trust 2024-FNX Series 2024-FNX Class D, CME Term SOFR 1 month Index + 2.9402%, 6.5998% 11/15/2041 (b)(c)(o) | 112909 | 113051 |
| BX Trust 2024-FNX Series 2024-FNX Class E, CME Term SOFR 1 month Index + 3.9387%, 7.5984% 11/15/2041 (b)(c)(o) | 542999 | 540892 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.8035% 3/15/2030 (b)(c)(o) | 12882431 | 12866328 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.0531% 3/15/2030 (b)(c)(o) | 1643610 | 1639501 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.2029% 3/15/2030 (b)(c)(o) | 2315109 | 2309333 |
| BX Trust 2025-ROIC Series 2025-ROIC Class E, CME Term SOFR 1 month Index + 2.9413%, 6.6009% 3/15/2030 (b)(c)(o) | 720300 | 720300 |
| BX Trust Series 2020-VIV3 Class B, 3.5439% 3/9/2044 (c)(o) | 2451000 | 2358161 |
| BX Trust Series 2021-ACNT Class G, CME Term SOFR 1 month Index + 3.4095%, 7.0695% 11/15/2038 (b)(c)(o) | 448232 | 446278 |
| BX Trust Series 2021-RISE Class F, CME Term SOFR 1 month Index + 2.7645%, 6.4245% 11/15/2036 (b)(c)(o) | 283185 | 283097 |
| BX Trust Series 2021-RISE Class G, CME Term SOFR 1 month Index + 3.0645%, 6.7245% 11/15/2036 (b)(c)(o) | 304318 | 304223 |
| BX Trust Series 2021-SDMF Class F, CME Term SOFR 1 month Index + 2.0515%, 5.7115% 9/15/2034 (b)(c)(o) | 604112 | 603546 |
| BX Trust Series 2021-XL2 Class G, CME Term SOFR 1 month Index + 2.9573%, 6.6173% 10/15/2038 (b)(c)(o) | 147000 | 146954 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 5.5997% 4/15/2037 (b)(c)(o) | 650300 | 650504 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 5.9497% 4/15/2037 (b)(c)(o) | 146999 | 147182 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 6.4987% 4/15/2037 (b)(c)(o) | 553699 | 554737 |
| BX Trust Series 2022-IND Class E, CME Term SOFR 1 month Index + 3.987%, 7.6467% 4/15/2037 (b)(c)(o) | 402500 | 403506 |
| BX Trust Series 2022-LBA6 Class E, CME Term SOFR 1 month Index + 2.7%, 6.3597% 1/15/2039 (b)(c)(o) | 1547000 | 1546517 |
| BX Trust Series 2022-VAMF Class E, CME Term SOFR 1 month Index + 2.7%, 6.3597% 1/15/2039 (b)(c)(o) | 301366 | 301013 |
| BX Trust Series 2022-VAMF Class F, CME Term SOFR 1 month Index + 3.299%, 6.9587% 1/15/2039 (b)(c)(o) | 626324 | 624208 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.1017% 2/15/2039 (b)(c)(o) | 5178707 | 5178707 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.4512% 2/15/2039 (b)(c)(o) | 1467300 | 1467300 |
| BX Trust Series 2024-XL4 Class D, CME Term SOFR 1 month Index + 3.1396%, 6.7993% 2/15/2039 (b)(c)(o) | 83914 | 83914 |
| BX Trust Series 2024-XL4 Class E, CME Term SOFR 1 month Index + 4.1881%, 7.8477% 2/15/2039 (b)(c)(o) | 382010 | 381924 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.3509% 3/15/2041 (b)(c)(o) | 917700 | 917700 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 5.6005% 3/15/2041 (b)(c)(o) | 1218000 | 1218000 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.8097% 2/15/2035 (b)(c)(o) | 7086000 | 7076423 |
| BX Trust Series 2025-DIME Class E, 6.6597% 2/15/2035 (c)(o) | 610000 | 609237 |
| BX Trust Series 2025-DIME Class F, CME Term SOFR 1 month Index + 3.7%, 7.3597% 2/15/2035 (b)(c)(o) | 876000 | 872465 |
| BX Trust Series 2025-LUNR Class E, CME Term SOFR 1 month Index + 3.95%, 7.6097% 6/15/2040 (b)(c)(o) | 84057 | 84687 |
| BX Trust Series 2025-OMG Class F, CME Term SOFR 1 month Index + 3.6%, 7.26% 10/15/2042 (b)(c)(l)(o) | 545000 | 545218 |
| BX Trust Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.0597% 6/15/2035 (b)(c)(o) | 1604000 | 1604000 |
| BX Trust Series 2025-TAIL Class D, CME Term SOFR 1 month Index + 2.45%, 6.1097% 6/15/2035 (b)(c)(o) | 528000 | 528495 |
| BX Trust Series 2025-TAIL Class E, CME Term SOFR 1 month Index + 3.3%, 6.9597% 6/15/2035 (b)(c)(o) | 722000 | 721554 |
| BX Trust Series 2025-VLT6 Class E, CME Term SOFR 1 month Index + 3.1907%, 6.8504% 3/15/2042 (b)(c)(o) | 912000 | 906870 |
| BX Trust Series 2025-VLT6 Class F, CME Term SOFR 1 month Index + 3.9397%, 7.5993% 3/15/2042 (b)(c)(o) | 724000 | 715512 |
| BX Trust Series 2025-VLT7 Class D, CME Term SOFR 1 month Index + 3.25%, 6.9097% 7/15/2044 (b)(c)(o) | 358000 | 359092 |
| BX Trust Series 2025-VOLT Class D, CME Term SOFR 1 month Index + 2.75%, 6.4097% 12/15/2044 (b)(c)(o) | 560000 | 561048 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (c)(o) | 3509000 | 3597217 |
| Cent Trust Series 2025-CITY Class X, 0.2082% 7/10/2040 (o) | 40600000 | 265426 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (o) | 1802844 | 1474336 |
| CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2, 3.5853% 12/10/2054  | 228740 | 227240 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 236857 | 234637 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A3, 3.197% 8/15/2050  | 285478 | 282412 |
| Cip Commercial Mortgage Trust Series 2025-SBAY Class E, CME Term SOFR 1 month Index + 3.75%, 7.4097% 10/15/2037 (b)(c)(o) | 255000 | 255306 |
| Citigroup Commercial Mortgage Trust Series 2016-C1 Class A4, 3.209% 5/10/2049  | 400000 | 399203 |
| Citigroup Commercial Mortgage Trust Series 2020-420K Class D, 3.3118% 11/10/2042 (c)(o) | 775000 | 707965 |
| Citigroup Commercial Mortgage Trust Series 2020-420K Class E, 3.3118% 11/10/2042 (c)(o) | 600000 | 535540 |
| Citigroup Commercial Mortgage Trust Series 2020-GC46 Class AAB, 2.614% 2/15/2053  | 403333 | 393520 |
| Citigroup Commercial Mortgage Trust Series 2023-PRM3 Class C, 6.3597% 7/10/2028 (c)(o) | 732000 | 754164 |
| Citigroup Commercial Mortgage Trust Series 2023-SMRT Class C, 5.8524% 10/12/2040 (c)(o) | 150000 | 152588 |
| Citigroup Commercial Mortgage Trust Series 2023-SMRT Class D, 5.8524% 10/12/2040 (c)(o) | 530000 | 535098 |
| Citigroup Commercial Mortgage Trust Series 2023-SMRT Class E, 5.8524% 10/12/2040 (c)(o) | 1051000 | 1052945 |
| COMM Mortgage Trust Series 2014-CR20 Class C, 4.7343% 11/10/2047 (c) | 157222 | 152111 |
| COMM Mortgage Trust Series 2015-DC1 Class B, 4.035% 2/10/2048 (c) | 875000 | 836150 |
| COMM Mortgage Trust Series 2015-DC1 Class C, 4.1805% 2/10/2048 (c) | 688000 | 607091 |
| COMM Mortgage Trust Series 2015-LC19 Class C, 4.4255% 2/10/2048 (c) | 191494 | 182502 |
| COMM Mortgage Trust Series 2017-COR2 Class C, 4.5868% 9/10/2050 (c) | 126000 | 120965 |
| COMM Mortgage Trust Series 2025-180W Class E, 7.3635% 8/10/2042 (c)(o) | 700000 | 726536 |
| COMM Mortgage Trust Series 2025-180W Class F, 7.3635% 8/10/2042 (c)(o) | 150000 | 149148 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 824434 | 829658 |
| Cone Trust Series 2024-DFW1 Class E, CME Term SOFR 1 month Index + 3.8885%, 7.5481% 8/15/2041 (b)(c)(o) | 897000 | 896361 |
| CPT Mortgage Trust Series 2019-CPT Class E, 2.9968% 11/13/2039 (c)(o) | 100000 | 89165 |
| CSAIL Commercial Mortgage Trust Series 2017-C8 Class C, 4.2536% 6/15/2050 (c) | 490000 | 437079 |
| CSAIL Commercial Mortgage Trust Series 2017-CX10 Class ASB, 3.3269% 11/15/2050  | 128436 | 127895 |
| CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A3, 3.9585% 8/15/2051  | 280000 | 279320 |
| CSMC Trust Series 2017-PFHP Class D, CME Term SOFR 1 month Index + 2.297%, 5.957% 12/15/2030 (b)(c)(o) | 1296000 | 1195154 |
| CSMC Trust Series 2019-UVIL Class E, 3.2833% 12/15/2041 (c)(o) | 153000 | 137975 |
| Cstl Coml Mtg Trust Series 2025-GATE2 Class E, 6.3548% 11/10/2042 (c)(o) | 520000 | 527176 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class A, 4.6945% 2/10/2043 (c)(o) | 500000 | 506086 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class E, 6.3428% 2/10/2043 (c)(o) | 134500 | 136299 |
| DBJPM Mortgage Trust Series 2020-C9 Class A5, 1.926% 8/15/2053  | 800000 | 726389 |
| DBJPM Mortgage Trust Series 2020-C9 Class B, 2.567% 8/15/2053  | 388000 | 336195 |
| DBUBS Mortgage Trust Series 2011-LC3A Class D, 5.3822% 8/10/2044 (c)(o) | 585576 | 570931 |
| DC Commercial Mortgage Trust Series 2023-DC Class C, 7.1405% 9/12/2040 (c)(o) | 150000 | 155192 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (c)(o) | 524000 | 540462 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class D, 6.9552% 1/15/2041 (c)(o) | 1100000 | 1123901 |
| ELP Series 2025-ELP Class A, 4.7573% 11/13/2042 (o) | 2895000 | 2917817 |
| ELP Series 2025-ELP Class D, 5.6124% 11/13/2042 (c)(o) | 160000 | 161235 |
| ELP Series 2025-ELP Class E, 6.665% 11/13/2042 (c)(o) | 615000 | 633284 |
| EQT Trust Series 2024-EXTR Class B, 5.6546% 7/5/2041 (c)(o) | 158000 | 161616 |
| EQT Trust Series 2024-EXTR Class C, 6.0464% 7/5/2041 (c)(o) | 133000 | 136142 |
| EQT Trust Series 2024-EXTR Class D, 6.6819% 7/5/2041 (c)(o) | 100000 | 102330 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.2597% 10/15/2042 (b)(c)(o) | 1535000 | 1537876 |
| Extended Stay America Trust Series 2025-ESH Class C, CME Term SOFR 1 month Index + 1.85%, 5.5097% 10/15/2042 (b)(c)(o) | 750000 | 751880 |
| Extended Stay America Trust Series 2025-ESH Class E, CME Term SOFR 1 month Index + 3.35%, 7.0097% 10/15/2042 (b)(c)(o) | 378000 | 380842 |
| Extended Stay America Trust Series 2025-ESH Class F, CME Term SOFR 1 month Index + 4.1%, 7.7597% 10/15/2042 (b)(c)(o) | 378000 | 380841 |
| Extended Stay America Trust Series 2026-ESH2 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 2/15/2043 (b)(c)(o) | 7832000 | 7834448 |
| Extended Stay America Trust Series 2026-ESH2 Class B, CME Term SOFR 1 month Index + 1.4%, 5.0597% 2/15/2043 (b)(c)(o) | 804000 | 805508 |
| Extended Stay America Trust Series 2026-ESH2 Class C, CME Term SOFR 1 month Index + 1.6%, 5.2597% 2/15/2043 (b)(c)(o) | 545000 | 546362 |
| Extended Stay America Trust Series 2026-ESH2 Class E, CME Term SOFR 1 month Index + 2.9%, 6.5597% 2/15/2043 (b)(c)(o) | 330000 | 331912 |
| Extended Stay America Trust Series 2026-ESH2 Class F, 7.4097% 2/15/2043 (o) | 580000 | 584090 |
| Fontainebleau Miami Beach Beach Mtg Tr Series 2024-FBLU Class F, CME Term SOFR 1 month Index + 4.25%, 7.9097% 12/15/2039 (b)(c)(o) | 274000 | 274856 |
| Fontainebleau Miami Beach Beach Mtg Tr Series 2024-FBLU Class G, CME Term SOFR 1 month Index + 5.65%, 9.3097% 12/15/2039 (b)(c)(o) | 660000 | 665465 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 1900000 | 1887241 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 900000 | 895602 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K086 Class A2, 3.859% 11/25/2028  | 2100000 | 2108850 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K135 Class A2, 2.154% 10/25/2031  | 600000 | 548647 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K521 Class AS, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.1992% 3/25/2029 (b)(c) | 2592212 | 2587816 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K543 Class A2, 4.329% 6/25/2030 (c) | 1300000 | 1327101 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class A2, 4.266% 7/25/2030 (c) | 900000 | 916741 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (c) | 1200000 | 1226128 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  | 1500000 | 1535362 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (c) | 2600000 | 2654739 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K549 Class A2, 4.34% 9/25/2030 (c) | 400000 | 408734 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class A2, 4.165% 11/25/2030 (c) | 900000 | 913443 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class AS, 4.2292% 10/25/2030 (c) | 6698918 | 6696128 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K552 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (b)(c) | 4798916 | 4798913 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K763 Class A2, 4.17% 10/25/2032 (c) | 2000000 | 2018815 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K553 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (b)(c) | 1772829 | 1772828 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K554 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 10/25/2030 (b)(c) | 2399772 | 2399770 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K555 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 11/25/2030 (b)(c) | 4800000 | 4800720 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K556 Class AS, U.S. 30-Day Avg. SOFR Index + 0.49%, 4.1692% 12/25/2030 (b)(c) | 1400000 | 1400437 |
| FS Commercial Mortgage Trust Series 2023-4SZN Class D, 9.0801% 11/10/2039 (c)(o) | 500000 | 509571 |
| GS Mortgage Securities Trust Series 2011-GC5 Class C, 5.143% 8/10/2044 (c)(o) | 644317 | 634374 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 92387 | 91336 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 800000 | 800198 |
| GS Mortgage Securities Trust Series 2019-GC38 Class B, 4.309% 2/10/2052  | 269000 | 256205 |
| GS Mortgage Securities Trust Series 2019-GC42 Class C, 3.699% 9/10/2052 (c) | 999551 | 861399 |
| GS Mortgage Securities Trust Series 2020-GC45 Class SWB, 3.2185% 12/13/2039 (c)(o) | 445000 | 399361 |
| GS Mortgage Securities Trust Series 2020-GC45 Class SWD, 3.2185% 12/13/2039 (c)(o) | 176000 | 144495 |
| GS Mortgage Securities Trust Series 2023-SHIP Class E, 7.4336% 9/10/2038 (c)(o) | 1250000 | 1253420 |
| GS Mortgage Securities Trust Series 2024-RVR Class B, 5.7226% 8/10/2041 (c)(o) | 100000 | 102239 |
| GS Mortgage Securities Trust Series 2024-RVR Class D, 6.6729% 8/10/2041 (c)(o) | 352000 | 359566 |
| GS Mortgage Securities Trust Series 2025-800D Class A, CME Term SOFR 1 month Index + 2.65%, 6.3141% 11/25/2041 (b)(c)(o) | 497000 | 497474 |
| GS Mortgage Securities Trust Series 2025-800D Class B, CME Term SOFR 1 month Index + 3.45%, 7.1141% 11/25/2041 (b)(c)(o) | 180000 | 179922 |
| GSAT Trust Series 2025-BMF Class F, CME Term SOFR 1 month Index + 4.15%, 7.8097% 7/15/2040 (b)(c)(o) | 533000 | 531601 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.3597% 10/15/2035 (b)(c)(o) | 930000 | 928256 |
| Hilton USA Trust Series 2016-HHV Class E, 4.1935% 11/5/2038 (c)(o) | 1000000 | 992226 |
| Hilton USA Trust Series 2016-HHV Class F, 4.1935% 11/5/2038 (c)(o) | 2000000 | 1967490 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 5.0415% 11/5/2037 (c)(o) | 2544000 | 2596673 |
| Intown Mortgage Trust Series 2025-STAY Class E, CME Term SOFR 1 month Index + 3.85%, 7.51% 3/15/2042 (b)(c)(o) | 176000 | 177034 |
| Ip 2025-Ip Mtg Tr Series 2025-IP Class F, 7.7123% 6/10/2042 (c)(o) | 431000 | 440015 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C18 Class C, 4.525% 2/15/2047 (c) | 372000 | 362458 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C26 Class D, 3.6083% 1/15/2048 (c)(o) | 575000 | 510163 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class C, 3.3970% 12/15/2049 (c) | 120000 | 107623 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class A2, 2.8822% 12/15/2049  | 179822 | 178790 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class ASB, 2.9941% 12/15/2049  | 110143 | 109755 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (o) | 476000 | 453986 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (o) | 103000 | 70086 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (l)(o) | 159000 | 91693 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX, 1.116% 7/5/2033 (c)(o)(r) | 2000000 | 43902 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-OMNI Class D, 5.7972% 10/5/2039 (c)(o) | 354000 | 353993 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-OMNI Class E, 5.7972% 10/5/2039 (c)(o) | 400000 | 395077 |
| KNDR Trust Series 2021-KIND Class C, CME Term SOFR 1 month Index + 1.8645%, 5.53% 8/15/2038 (b)(c)(o) | 99185 | 98194 |
| KNDR Trust Series 2021-KIND Class D, CME Term SOFR 1 month Index + 2.4145%, 6.08% 8/15/2038 (b)(c)(o) | 693306 | 684640 |
| KNDR Trust Series 2021-KIND Class E, CME Term SOFR 1 month Index + 3.3645%, 7.03% 8/15/2038 (b)(c)(o) | 372937 | 369025 |
| KRE COML Mortgage Trust Series 2025-AIP4 Class E, CME Term SOFR 1 month Index + 3%, 6.6597% 3/15/2042 (b)(c)(o) | 257888 | 257460 |
| LBA Trust Series 2024-7IND Class D, CME Term SOFR 1 month Index + 2.641%, 6.3007% 10/15/2041 (b)(c)(o) | 390606 | 390961 |
| LCCM Mortgage Trust Series 2017-LC26 Class A3, 3.289% 7/12/2050 (o) | 1206374 | 1192459 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 4.9549% 5/15/2039 (b)(c)(o) | 2726000 | 2633998 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.4536% 5/15/2039 (b)(c)(o) | 1630000 | 1532416 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 5.7528% 5/15/2039 (b)(c)(o) | 913000 | 831312 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.2016% 5/15/2039 (b)(c)(o) | 812000 | 686971 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 4.8745% 3/15/2038 (b)(c)(o) | 22642 | 22471 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.1745% 3/15/2038 (b)(c)(o) | 206500 | 204435 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 5.5245% 3/15/2038 (b)(c)(o) | 180600 | 177214 |
| LV Trust Series 2024-SHOW Class C, 6.2763% 10/10/2041 (c)(o) | 128000 | 129611 |
| MCR Mortgage Trust Series 2024-TWA Class F, 10.382% 6/12/2039 (o) | 200000 | 203840 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class F, CME Term SOFR 1 month Index + 2.7154%, 6.3754% 4/15/2038 (b)(c)(o) | 1720000 | 1720000 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class G, CME Term SOFR 1 month Index + 3.3154%, 6.9754% 4/15/2038 (b)(c)(o) | 1280000 | 1279999 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.4745% 7/15/2038 (b)(c)(o) | 200000 | 199850 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class F, CME Term SOFR 1 month Index + 2.3145%, 5.9745% 7/15/2038 (b)(c)(o) | 800000 | 799000 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class G, CME Term SOFR 1 month Index + 2.8645%, 6.5245% 7/15/2038 (b)(c)(o) | 1500000 | 1498125 |
| MHP Commercial Mortgage Trust Series 2022-MHIL Class E, CME Term SOFR 1 month Index + 2.6106%, 6.2703% 1/15/2039 (b)(c)(o) | 873600 | 873053 |
| MHP Commercial Mortgage Trust Series 2022-MHIL Class F, CME Term SOFR 1 month Index + 3.2592%, 6.9189% 1/15/2039 (b)(c)(o) | 1069600 | 1068932 |
| MHP Commercial Mortgage Trust Series 2022-MHIL Class G, CME Term SOFR 1 month Index + 3.9575%, 7.6172% 1/15/2027 (b)(c)(o) | 979200 | 980460 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 9/15/2040 (b)(c)(o) | 2100000 | 2101744 |
| MHP Series 2025-MHIL2 Class D, CME Term SOFR 1 month Index + 2.65%, 6.3097% 9/15/2040 (b)(c)(o) | 357000 | 357522 |
| MHP Series 2025-MHIL2 Class E, CME Term SOFR 1 month Index + 3.5%, 7.1597% 9/15/2040 (b)(c)(o) | 495000 | 496345 |
| MHP Series 2025-MHIL2 Class F, CME Term SOFR 1 month Index + 4.25%, 7.9097% 9/15/2040 (b)(c)(o) | 425000 | 426654 |
| Morgan Stanley Bank Amer Trust Series 2025-C35 Class C, 6.349% 8/15/2058  | 178000 | 188033 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C34 Class ASB, 3.354% 11/15/2052  | 388261 | 385694 |
| Morgan Stanley Capital I Trust Series 2015-MS1 Class C, 4.0280% 5/15/2048 (c) | 561000 | 504844 |
| Morgan Stanley Capital I Trust Series 2016-BNK2 Class C, 3.8794% 11/15/2049 (c) | 100000 | 86678 |
| Morgan Stanley Capital I Trust Series 2016-UB11 Class A4, 2.782% 8/15/2049  | 1000000 | 991945 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class A4, 3.259% 6/15/2050  | 500000 | 494754 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class B, 4.075% 6/15/2050  | 515000 | 505017 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class C, 4.281% 6/15/2050  | 442000 | 419034 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class D, 2.73% 12/15/2050  | 471000 | 430947 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 5485000 | 5522050 |
| Morgan Stanley Capital I Trust Series 2019-L2 Class A3, 3.806% 3/15/2052  | 359438 | 356505 |
| Morgan Stanley Capital I Trust Series 2024-BPR2 Class A, 7.291% 5/5/2029 (o) | 923014 | 978225 |
| Morgan Stanley Capital I Trust Series 2024-BPR2 Class X, 0.8553% 5/5/2029 (c)(o)(r) | 7822484 | 198662 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class B, 3.9% 9/24/2057 (c)(o) | 140000 | 135701 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class C, 4.1913% 9/24/2057 (c)(o) | 152000 | 146855 |
| Msbam Series 2025-5C2 Class C, 5.743% 11/15/2058 (c) | 400000 | 401507 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class C, 7.0183% 12/15/2056 (c) | 647000 | 707573 |
| NCMF Trust Series 2025-MFS Class F, 8.437% 6/10/2033 (c)(o) | 356000 | 362924 |
| NXPT Commercial Mortgage Trust Series 2024-STOR Class E, 6.7033% 11/5/2041 (c)(o) | 1134000 | 1156019 |
| NYC Commercial Mortgage Trust Series 2025-77C Class E, 6.2628% 1/10/2036 (c)(o) | 690000 | 699989 |
| Plym Commercial Mortgage Trust Series 2026-IND Class A, CME Term SOFR 1 month Index + 1.25%, 4.9% 3/15/2043 (b)(c)(o) | 9563000 | 9563000 |
| Plym Commercial Mortgage Trust Series 2026-IND Class B, CME Term SOFR 1 month Index + 1.45%, 5.1% 3/15/2043 (b)(c)(o) | 1226000 | 1226767 |
| Plym Commercial Mortgage Trust Series 2026-IND Class C, CME Term SOFR 1 month Index + 1.65%, 5.3% 3/15/2043 (b)(c)(o) | 1361000 | 1361851 |
| Plym Commercial Mortgage Trust Series 2026-IND Class D, CME Term SOFR 1 month Index + 2.15%, 5.8% 3/15/2043 (b)(c)(o) | 585000 | 584743 |
| Prima Capital CRE Securitization Ltd Series 2019-7A Class D, 4.25% 12/25/2050 (o) | 295000 | 283468 |
| Prima Capital CRE Securitization Ltd Series 2020-8A Class C, 3% 12/26/2070 (o) | 840000 | 727020 |
| PRM Trust Series 2025-PRM6 Class E, 6.5831% 7/5/2033 (c)(o) | 192000 | 193483 |
| PRM Trust Series 2025-PRM6 Class F, 7.0585% 7/5/2033 (c)(o) | 432000 | 431794 |
| PRM5 Trust Series 2025-PRM5 Class D, 5.812% 3/10/2033 (c)(o) | 164000 | 164815 |
| PRM5 Trust Series 2025-PRM5 Class E, 7.0967% 3/10/2033 (c)(o) | 600000 | 603775 |
| ROCK Trust Series 2024-CNTR Class E, 8.8191% 11/13/2041 (o) | 737000 | 788853 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 4.9097% 8/15/2042 (b)(c)(o) | 1200000 | 1202993 |
| SCG Trust Series 2025-FLWR Class E, CME Term SOFR 1 month Index + 2.75%, 6.4097% 8/15/2042 (b)(c)(o) | 660000 | 659586 |
| SCG Trust Series 2025-SNIP Class D, CME Term SOFR 1 month Index + 2.6%, 6.2597% 9/15/2042 (b)(c)(o) | 530000 | 533649 |
| SCG Trust Series 2025-SNIP Class E, 7.0597% 9/15/2042 (c)(o) | 662000 | 665724 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class E, CME Term SOFR 1 month Index + 4.1885%, 7.8481% 11/15/2034 (b)(c)(o) | 167300 | 167300 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class F, CME Term SOFR 1 month Index + 5.187%, 8.8467% 11/15/2034 (b)(c)(o) | 139300 | 138841 |
| SG Commercial Mortgage Securities Trust Series 2020-COVE Class F, 3.7276% 3/15/2037 (c)(o) | 197000 | 178359 |
| SHR Trust Series 2024-LXRY Class D, CME Term SOFR 1 month Index + 3.6%, 7.2597% 10/15/2041 (b)(c)(o) | 460000 | 464224 |
| SHR Trust Series 2024-LXRY Class E, CME Term SOFR 1 month Index + 4.45%, 8.1097% 10/15/2041 (b)(c)(o) | 100000 | 100770 |
| SMRT Trust Series 2022-MINI Class E, CME Term SOFR 1 month Index + 2.7%, 6.36% 1/15/2039 (b)(c)(o) | 1140000 | 1138575 |
| SMRT Trust Series 2022-MINI Class F, CME Term SOFR 1 month Index + 3.35%, 7.01% 1/15/2039 (b)(c)(o) | 510000 | 509379 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.5049% 11/15/2038 (b)(c)(o) | 11643959 | 11640320 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 4.8539% 11/15/2038 (b)(c)(o) | 4163170 | 4161869 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.1031% 11/15/2038 (b)(c)(o) | 507499 | 507341 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 5.3523% 11/15/2038 (b)(c)(o) | 333859 | 333983 |
| SREIT Trust Series 2021-MFP Class G, CME Term SOFR 1 month Index + 3.0883%, 6.7479% 11/15/2038 (b)(c)(o) | 1048552 | 1047960 |
| SREIT Trust Series 2021-PALM Class G, CME Term SOFR 1 month Index + 3.7306%, 7.3906% 10/15/2034 (b)(c)(o) | 482000 | 482497 |
| STWD Trust Series 2021-LIH Class E, CME Term SOFR 1 month Index + 3.0175%, 6.677% 11/15/2036 (b)(c)(o) | 255000 | 254047 |
| STWD Trust Series 2021-LIH Class F, CME Term SOFR 1 month Index + 3.6655%, 7.325% 11/15/2036 (b)(c)(o) | 1230000 | 1223872 |
| SWCH Commercial Mortgage Trust Series 2025-DATA Class D, CME Term SOFR 1 month Index + 2.6412%, 6.3009% 2/15/2042 (b)(c)(o) | 385000 | 382834 |
| SWCH Commercial Mortgage Trust Series 2025-DATA Class F, CME Term SOFR 1 month Index + 4.2389%, 7.8986% 2/15/2042 (b)(c)(o) | 1283000 | 1271431 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.9026% 12/15/2039 (b)(c)(o) | 5010000 | 5016267 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.2521% 12/15/2039 (b)(c)(o) | 1074000 | 1076685 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 5.6515% 12/15/2039 (b)(c)(o) | 2027000 | 2037138 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class D, CME Term SOFR 1 month Index + 2.7408%, 6.4005% 12/15/2039 (b)(c)(o) | 590000 | 593687 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class ASB, 3.586% 12/15/2050  | 713068 | 709624 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 0.9635% 12/15/2050 (c)(r) | 1079170 | 15383 |
| VDCM Commercial Mortgage Trust Series 2025-AZ Class C, 6.0329% 7/13/2044 (c)(o) | 290000 | 297460 |
| VDCM Commercial Mortgage Trust Series 2025-AZ Class D, 6.4337% 7/13/2044 (c)(o) | 195000 | 200339 |
| VDCM Commercial Mortgage Trust Series 2025-AZ Class E, 7.9314% 7/13/2044 (c)(o) | 145000 | 150894 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (o) | 1382000 | 1200649 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (o) | 1276000 | 1060734 |
| VTR Commercial Mortgage Trust Series 2025-STEM Class C, 6.0567% 10/13/2039 (c)(o) | 110000 | 110491 |
| VTR Commercial Mortgage Trust Series 2025-STEM Class D, 6.7089% 10/13/2039 (c)(o) | 320000 | 320906 |
| Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 Class B, 2.967% 8/15/2049  | 455000 | 396822 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 4.8285% 7/15/2048 (b)(c)(o) | 2800000 | 2800480 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C37 Class A4, 3.525% 12/15/2049  | 751440 | 747242 |
| Wells Fargo Commercial Mortgage Trust Series 2016-NXS6 Class C, 4.3425% 11/15/2049 (c) | 621000 | 603111 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C38 Class ASB, 3.261% 7/15/2050  | 92579 | 92281 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class ASB, 3.488% 12/15/2050  | 171740 | 171081 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.8156% 12/15/2050 (c)(r) | 2938121 | 36616 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9038% 8/15/2051 (c)(r) | 2170903 | 32038 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C55 Class ASB, 2.651% 2/15/2053  | 337884 | 329810 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 4.9745% 5/15/2031 (b)(c)(o) | 953000 | 952560 |
| Wells Fargo Commercial Mortgage Trust Series 2021-SAVE Class D, CME Term SOFR 1 month Index + 2.9645%, 6.6245% 2/15/2040 (b)(c)(o) | 460800 | 459645 |
| Wells Fargo Commercial Mortgage Trust Series 2024-1CHI Class E, 7.8268% 7/15/2035 (c)(o) | 415000 | 421506 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C2 Class C, 6.3328% 11/15/2057 (c) | 416000 | 429196 |
| Wells Fargo Commercial Mortgage Trust Series 2025-5C7 Class C, 5.798% 12/15/2058  | 120000 | 120820 |
| Wells Fargo Commercial Mortgage Trust Series 2025-C65 Class C, 6.014% 10/15/2058 (c) | 355000 | 359334 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (c)(o) | 3206000 | 3236554 |
| WFCM Series 2025-B33RP Class E, CME Term SOFR 1 month Index + 3.5%, 7.1597% 8/15/2042 (b)(c)(o) | 660000 | 664122 |
| WHARF Series 2025-DC Class E, 7.9816% 7/15/2040 (c)(o) | 237000 | 243758 |
| TOTAL UNITED STATES |  | 404233792 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $401,102,121) |  | <br> **404562136** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| BRAZIL - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Passenger Airlines - 0.0% |  |  |
| Azul SA ADR  | 13817 | 231435 |
| Azul SA ADR  | 335475 | 102521 |
| TOTAL BRAZIL |  | 333956 |
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice France Holding SA (l) | 30465 | 553641 |
| Altice France Holding SA rights (l)(o)(t) | 802 | 9022 |
| TOTAL FRANCE |  | 562663 |
| UNITED STATES - 0.0%  |  |  |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| ModivCare Inc (l) | 10239 | 57594 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $827,119) |  | <br> **954213** |

---

---

| | | |
|:---|:---|:---|
| &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>|
| CAMEROON - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Golar LNG Ltd 2.75% 12/15/2030 (o) | 442000 | 465647 |
| GHANA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Kosmos Energy Ltd 3.125% 3/15/2030  | 580000 | 387730 |
| UNITED STATES - 0.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| EchoStar Corp 3.875% 11/30/2030 pay-in-kind (c) | 805813 | 2846534 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Redfin Corp 0.5% 4/1/2027  | 1638000 | 1564290 |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| MKS Inc 1.25% 6/1/2030  | 211000 | 367035 |
| ON Semiconductor Corp 0% 5/1/2027 (q) | 387000 | 521096 |
| Wolfspeed Inc 2.5% 6/15/2031  | 164000 | 277263 |
| Wolfspeed Inc 2.5% 6/15/2031 (o) | 37000 | 62552 |
|  |  | 1227946 |
| Software - 0.1% |  |  |
| Riot Platforms Inc 0.75% 1/15/2030  | 778000 | 1055357 |
| Terawulf Inc 0% 5/1/2032 (o)(q) | 644000 | 706210 |
|  |  | 1761567 |
| TOTAL INFORMATION TECHNOLOGY |  | 2989513 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| PG&E Corp 4.25% 12/1/2027  | 597000 | 638074 |
| TOTAL UNITED STATES |  | 8038411 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $6,037,633) |  | <br> **8891788** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Household Durables - 0.0% |  |  |
| Whirlpool Corp Series A, 8.5%  | 11685 | 573850 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Acrisure Holdings Inc Series A-2 (l) | 28293 | 797297 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Oracle Corp Series D 6.5%  | 15130 | 694013 |
| TOTAL UNITED STATES |  | 2065160 |
| <br> **TOTAL CONVERTIBLE PREFERRED STOCKS**<br> (Cost $2,027,086) |  | <br> **2065160** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 4.8%** | &nbsp;&nbsp;**Fixed-Income Funds - 4.8%** | &nbsp;&nbsp;**Fixed-Income Funds - 4.8%** |
|  | Shares | Value ($)<br>|
| Fidelity Floating Rate Central Fund (w)<br>(Cost $389,309,595)<br>| 3991171 | **374371861** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ANGOLA - 0.0%  |  |  |  |
| Angola Republic 8.25% 5/9/2028 (o) |  | 330000 | 332785 |
| Angola Republic 8.75% 4/14/2032 (o) |  | 200000 | 196211 |
| Angola Republic 9.244% 1/15/2031 (o) |  | 200000 | 203008 |
| Angola Republic 9.375% 5/8/2048 (o) |  | 270000 | 243338 |
| Angola Republic 9.875% 10/15/2035 (o) |  | 200000 | 203635 |
| TOTAL ANGOLA |  |  | 1178977 |
| ARGENTINA - 0.2%  |  |  |  |
| Argentine Republic 0.75% 7/9/2030 (n) |  | 2952007 | 2499002 |
| Argentine Republic 1% 7/9/2029  |  | 360672 | 318181 |
| Argentine Republic 3.5% 7/9/2041 (n) |  | 460000 | 321326 |
| Argentine Republic 4.125% 7/9/2035 (n) |  | 3724989 | 2801657 |
| Argentine Republic 5% 1/9/2038 (n) |  | 1185000 | 931594 |
| TOTAL ARGENTINA |  |  | 6871760 |
| ARMENIA - 0.0%  |  |  |  |
| Republic of Armenia 3.6% 2/2/2031 (o) |  | 230000 | 211887 |
| Republic of Armenia 6.75% 3/12/2035 (o) |  | 320000 | 339002 |
| TOTAL ARMENIA |  |  | 550889 |
| AUSTRALIA - 0.0%  |  |  |  |
| Australian Commonwealth 1.75% 11/21/2032 (p) | AUD | 160000 | 96244 |
| BAHAMAS (NASSAU) - 0.0%  |  |  |  |
| Commonwealth of the Bahamas 8.25% 6/24/2036 (o) |  | 255000 | 285378 |
| BAHRAIN - 0.0%  |  |  |  |
| Bahrain Kingdom 5.625% 5/18/2034 (o) |  | 190000 | 179415 |
| Bahrain Kingdom 7.1% 2/3/2038 (o) |  | 200000 | 200800 |
| Bahrain Kingdom 7.5% 2/12/2036 (o) |  | 100000 | 105400 |
| TOTAL BAHRAIN |  |  | 485615 |
| BENIN - 0.0%  |  |  |  |
| Republic of Benin 7.96% 2/13/2038 (o) |  | 450000 | 471829 |
| Republic of Benin 8.375% 1/23/2041 (o) |  | 100000 | 106305 |
| TOTAL BENIN |  |  | 578134 |
| BERMUDA - 0.0%  |  |  |  |
| Republic of Bermuda 3.375% 8/20/2050 (o) |  | 140000 | 98917 |
| Republic of Bermuda 3.717% 1/25/2027 (o) |  | 300000 | 299063 |
| Republic of Bermuda 4.75% 2/15/2029 (o) |  | 280000 | 284021 |
| Republic of Bermuda 5% 7/15/2032 (o) |  | 140000 | 142951 |
| TOTAL BERMUDA |  |  | 824952 |
| BRAZIL - 0.0%  |  |  |  |
| Federative Republic of Brazil 3.875% 6/12/2030  |  | 345000 | 332580 |
| Federative Republic of Brazil 5.625% 2/21/2047  |  | 115000 | 100214 |
| Federative Republic of Brazil 6% 10/20/2033  |  | 200000 | 204450 |
| Federative Republic of Brazil 6.25% 5/22/2036  |  | 200000 | 201900 |
| Federative Republic of Brazil 6.625% 3/15/2035  |  | 200000 | 210000 |
| Federative Republic of Brazil 7.125% 1/20/2037  |  | 340000 | 377587 |
| Federative Republic of Brazil 7.250% 1/12/2056  |  | 200000 | 203200 |
| Federative Republic of Brazil 8.25% 1/20/2034  |  | 605000 | 705733 |
| TOTAL BRAZIL |  |  | 2335664 |
| CANADA - 0.0%  |  |  |  |
| Canadian Government 1.5% 12/1/2031  | CAD | 450000 | 307153 |
| Canadian Government 2% 6/1/2032  | CAD | 1535000 | 1070661 |
| Canadian Government 2.75% 6/1/2033  | CAD | 400000 | 289641 |
| TOTAL CANADA |  |  | 1667455 |
| CHILE - 0.0%  |  |  |  |
| Chilean Republic 2.45% 1/31/2031  |  | 805000 | 741405 |
| Chilean Republic 2.75% 1/31/2027  |  | 200000 | 197400 |
| Chilean Republic 3.1% 1/22/2061  |  | 575000 | 371910 |
| Chilean Republic 4.34% 3/7/2042  |  | 200000 | 182550 |
| Chilean Republic 5.33% 1/5/2054  |  | 240000 | 238740 |
| TOTAL CHILE |  |  | 1732005 |
| COLOMBIA - 0.0%  |  |  |  |
| Colombian Republic 3% 1/30/2030  |  | 440000 | 395912 |
| Colombian Republic 3.125% 4/15/2031  |  | 240000 | 208260 |
| Colombian Republic 3.25% 4/22/2032  |  | 200000 | 169100 |
| Colombian Republic 4.125% 5/15/2051  |  | 200000 | 125660 |
| Colombian Republic 5% 6/15/2045  |  | 370000 | 272875 |
| Colombian Republic 5.2% 5/15/2049  |  | 365000 | 269188 |
| Colombian Republic 7.375% 4/25/2030  |  | 200000 | 210080 |
| Colombian Republic 7.375% 9/18/2037  |  | 100000 | 101861 |
| Colombian Republic 8% 11/14/2035  |  | 667000 | 711856 |
| Colombian Republic 8% 4/20/2033  |  | 130000 | 139165 |
| Colombian Republic 8.5% 4/25/2035  |  | 200000 | 219550 |
| Colombian Republic 8.75% 11/14/2053  |  | 200000 | 219660 |
| TOTAL COLOMBIA |  |  | 3043167 |
| COSTA RICA - 0.0%  |  |  |  |
| Republic of Costa Rica 5.625% 4/30/2043 (o) |  | 90000 | 88046 |
| Republic of Costa Rica 6.125% 2/19/2031 (o) |  | 80000 | 83960 |
| Republic of Costa Rica 6.55% 4/3/2034 (o) |  | 65000 | 70574 |
| Republic of Costa Rica 7.3% 11/13/2054 (o) |  | 200000 | 228458 |
| TOTAL COSTA RICA |  |  | 471038 |
| COTE D'IVOIRE - 0.0%  |  |  |  |
| Cote d'Ivoire Treasury Bill 6.125% 6/15/2033 (o) |  | 560000 | 554680 |
| Cote d'Ivoire Treasury Bill 6.75% 2/25/2041 (o) |  | 200000 | 190800 |
| Cote d'Ivoire Treasury Bill 8.075% 4/1/2036 (o) |  | 200000 | 215628 |
| Cote d'Ivoire Treasury Bill 8.25% 1/30/2037 (o) |  | 145000 | 158340 |
| TOTAL COTE D'IVOIRE |  |  | 1119448 |
| DOMINICAN REPUBLIC - 0.2%  |  |  |  |
| Dominican Republic 4.5% 1/30/2030 (o) |  | 1400000 | 1369200 |
| Dominican Republic 4.875% 9/23/2032 (o) |  | 705000 | 676800 |
| Dominican Republic 5.75% 3/17/2034 (o) |  | 150000 | 149699 |
| Dominican Republic 5.95% 1/25/2027 (o) |  | 3260000 | 3293499 |
| Dominican Republic 6% 7/19/2028 (o) |  | 715000 | 735020 |
| Dominican Republic 6.5% 2/15/2048 (o) |  | 150000 | 151228 |
| Dominican Republic 6.6% 6/1/2036 (o) |  | 135000 | 142020 |
| Dominican Republic 6.85% 1/27/2045 (o) |  | 135000 | 141075 |
| Dominican Republic 7.05% 2/3/2031 (o) |  | 150000 | 161063 |
| Dominican Republic 7.15% 2/24/2055 (o) |  | 210000 | 227640 |
| Dominican Republic 7.45% 4/30/2044 (o) |  | 235000 | 261085 |
| TOTAL DOMINICAN REPUBLIC |  |  | 7308329 |
| ECUADOR - 0.0%  |  |  |  |
| Republic of Ecuador 6.9% 7/31/2030 (n)(o) |  | 361441 | 356897 |
| Republic of Ecuador 6.9% 7/31/2035 (n)(o) |  | 655000 | 594313 |
| Republic of Ecuador 8.75% 1/29/2034 (o) |  | 240000 | 242160 |
| Republic of Ecuador 9.25% 1/29/2039 (o) |  | 200000 | 203400 |
| TOTAL ECUADOR |  |  | 1396770 |
| EGYPT - 0.0%  |  |  |  |
| Arab Republic of Egypt 7.5% 1/31/2027 (o) |  | 370000 | 376590 |
| Arab Republic of Egypt 7.5% 2/16/2061 (o) |  | 495000 | 420750 |
| Arab Republic of Egypt 7.6003% 3/1/2029 (o) |  | 245000 | 256868 |
| Arab Republic of Egypt 7.625% 5/29/2032 (o) |  | 135000 | 138408 |
| Arab Republic of Egypt 7.903% 2/21/2048 (o) |  | 200000 | 180400 |
| Arab Republic of Egypt 8.5% 1/31/2047 (o) |  | 360000 | 343800 |
| Arab Republic of Egypt 8.7002% 3/1/2049 (o) |  | 200000 | 194312 |
| TOTAL EGYPT |  |  | 1911128 |
| EL SALVADOR - 0.0%  |  |  |  |
| El Salvador Republic 0.25% 4/17/2030 (o) |  | 150000 | 5287 |
| El Salvador Republic 7.1246% 1/20/2050 (o) |  | 150000 | 135863 |
| El Salvador Republic 7.65% 6/15/2035 (o) |  | 80000 | 82560 |
| El Salvador Republic 9.25% 4/17/2030 (o) |  | 205000 | 221913 |
| El Salvador Republic 9.65% 11/21/2054 (o) |  | 150000 | 170458 |
| TOTAL EL SALVADOR |  |  | 616081 |
| GABON - 0.0%  |  |  |  |
| Gabonese Republic 6.625% 2/6/2031 (o) |  | 115000 | 95054 |
| Gabonese Republic 7% 11/24/2031 (o) |  | 60000 | 48953 |
| TOTAL GABON |  |  | 144007 |
| GHANA - 0.0%  |  |  |  |
| Ghana Republic 0% 1/3/2030 (o)(q) |  | 8030 | 6926 |
| Ghana Republic 0% 7/3/2026 (o)(q) |  | 3200 | 3148 |
| Ghana Republic 5% 7/3/2029 (n)(o) |  | 115325 | 112902 |
| Ghana Republic 5% 7/3/2035 (n)(o) |  | 144200 | 130474 |
| TOTAL GHANA |  |  | 253450 |
| GUATEMALA - 0.0%  |  |  |  |
| Republic of Guatemala 6.125% 6/1/2050 (o) |  | 230000 | 230598 |
| Republic of Guatemala 6.25% 8/15/2036 (o) |  | 255000 | 270220 |
| Republic of Guatemala 6.6% 6/13/2036 (o) |  | 230000 | 249694 |
| Republic of Guatemala 6.875% 8/15/2055 (o) |  | 200000 | 218368 |
| TOTAL GUATEMALA |  |  | 968880 |
| HUNGARY - 0.0%  |  |  |  |
| Hungary Government 3.125% 9/21/2051 (o) |  | 405000 | 256574 |
| Hungary Government 5.25% 6/16/2029 (o) |  | 200000 | 204741 |
| Hungary Government 5.5% 6/16/2034 (o) |  | 280000 | 287000 |
| Hungary Government 6.25% 9/22/2032 (o) |  | 140000 | 150375 |
| Hungary Government 6.75% 9/23/2055 (o) |  | 210000 | 224700 |
| Hungary Government 6.75% 9/25/2052 (o) |  | 100000 | 108890 |
| TOTAL HUNGARY |  |  | 1232280 |
| INDONESIA - 0.1%  |  |  |  |
| Indonesia Government 3.2% 9/23/2061  |  | 200000 | 126299 |
| Indonesia Government 3.85% 10/15/2030  |  | 125000 | 123137 |
| Indonesia Government 4.2% 10/15/2050  |  | 2100000 | 1714125 |
| Indonesia Government 4.35% 1/11/2048  |  | 200000 | 171600 |
| Indonesia Government 5.95% 1/8/2046 (o) |  | 200000 | 211688 |
| Indonesia Government 6.75% 1/15/2044 (o) |  | 260000 | 298545 |
| Indonesia Government 7.75% 1/17/2038 (o) |  | 455000 | 564769 |
| Indonesia Government 8.5% 10/12/2035 (o) |  | 670000 | 849058 |
| TOTAL INDONESIA |  |  | 4059221 |
| ISRAEL - 0.0%  |  |  |  |
| Israel Government 3.375% 1/15/2050  |  | 270000 | 185512 |
| Israel Government 5% 1/13/2036  |  | 250000 | 249048 |
| Israel Government 5.75% 3/12/2054  |  | 200000 | 195488 |
| Israel Government 5.875% 1/13/2056  |  | 255000 | 253342 |
| TOTAL ISRAEL |  |  | 883390 |
| JAPAN - 0.2%  |  |  |  |
| Japan Government 0.1% 9/20/2028  | JPY | 203400000 | 1264138 |
| Japan Government Treasury Bills 0% 3/2/2026 (q) | JPY | 180000000 | 1152627 |
| Japan Government Treasury Bills 0% 3/23/2026 (q) | JPY | 186600000 | 1194436 |
| Japan Government Treasury Bills 0% 3/30/2026 (q) | JPY | 94850000 | 607062 |
| Japan Government Treasury Bills 0% 5/18/2026 (q) | JPY | 140650000 | 899208 |
| TOTAL JAPAN |  |  | 5117471 |
| JORDAN - 0.0%  |  |  |  |
| Jordan Government 7.375% 10/10/2047 (o) |  | 115000 | 113620 |
| Jordan Government 7.75% 1/15/2028 (o) |  | 230000 | 240350 |
| TOTAL JORDAN |  |  | 353970 |
| KENYA - 0.0%  |  |  |  |
| Republic of Kenya 6.3% 1/23/2034 (o) |  | 105000 | 94429 |
| Republic of Kenya 8.7% 2/26/2039 (o) |  | 200000 | 195218 |
| Republic of Kenya 9.5% 3/5/2036 (o) |  | 140000 | 147105 |
| Republic of Kenya 9.75% 2/16/2031 (o) |  | 260000 | 284700 |
| TOTAL KENYA |  |  | 721452 |
| LEBANON - 0.0%  |  |  |  |
| Lebanon Republic 5.8% (m)(p) |  | 290000 | 84535 |
| Lebanon Republic 6.375% (m)(p) |  | 180000 | 52470 |
| TOTAL LEBANON |  |  | 137005 |
| MEXICO - 0.2%  |  |  |  |
| United Mexican States 2.659% 5/24/2031  |  | 160000 | 144160 |
| United Mexican States 3.25% 4/16/2030  |  | 300000 | 285563 |
| United Mexican States 3.5% 2/12/2034  |  | 260000 | 227630 |
| United Mexican States 3.75% 1/11/2028  |  | 300000 | 297938 |
| United Mexican States 3.75% 4/19/2071  |  | 360000 | 216720 |
| United Mexican States 4.875% 5/19/2033  |  | 200000 | 194600 |
| United Mexican States 5.625% 2/9/2034  |  | 210000 | 212184 |
| United Mexican States 5.75% 10/12/2110  |  | 410000 | 348213 |
| United Mexican States 6% 5/7/2036  |  | 340000 | 348925 |
| United Mexican States 6.05% 1/11/2040  |  | 455000 | 457917 |
| United Mexican States 6.125% 2/9/2038  |  | 200000 | 202650 |
| United Mexican States 6.338% 5/4/2053  |  | 200000 | 193990 |
| United Mexican States 6.35% 2/9/2035  |  | 300000 | 316650 |
| United Mexican States 6.4% 5/7/2054  |  | 120000 | 117287 |
| United Mexican States 6.75% 2/9/2056  |  | 200000 | 202690 |
| United Mexican States 6.875% 5/13/2037  |  | 200000 | 216600 |
| United Mexican States 7.375% 5/13/2055  |  | 350000 | 383425 |
| TOTAL MEXICO |  |  | 4367142 |
| MONGOLIA - 0.0%  |  |  |  |
| Mongolia Government 6.625% 2/25/2030 (o) |  | 245000 | 254494 |
| MONTENEGRO - 0.0%  |  |  |  |
| Republic of Montenegro 7.25% 3/12/2031 (o) |  | 550000 | 589017 |
| MOROCCO - 0.0%  |  |  |  |
| Moroccan Kingdom 6.5% 9/8/2033 (o) |  | 230000 | 250930 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| European Union 3.375% 12/12/2035 (p) | EUR | 1325000 | 1619650 |
| European Union 3.75% 10/12/2045 (p) | EUR | 670000 | 801894 |
| European Union 4% 4/4/2044 (p) | EUR | 345000 | 429544 |
| TOTAL MULTI-NATIONAL |  |  | 2851088 |
| NIGERIA - 0.0%  |  |  |  |
| Republic of Nigeria 6.125% 9/28/2028 (o) |  | 590000 | 594797 |
| Republic of Nigeria 6.5% 11/28/2027 (o) |  | 205000 | 208139 |
| Republic of Nigeria 7.143% 2/23/2030 (o) |  | 200000 | 206188 |
| Republic of Nigeria 7.696% 2/23/2038 (o) |  | 200000 | 199688 |
| Republic of Nigeria 7.875% 2/16/2032 (o) |  | 200000 | 209438 |
| Republic of Nigeria 9.1297% 1/13/2046 (o) |  | 85000 | 92479 |
| TOTAL NIGERIA |  |  | 1510729 |
| OMAN - 0.0%  |  |  |  |
| Oman Sultanate 5.625% 1/17/2028 (o) |  | 125000 | 128146 |
| Oman Sultanate 6% 8/1/2029 (o) |  | 490000 | 514500 |
| Oman Sultanate 6.25% 1/25/2031 (o) |  | 270000 | 289710 |
| Oman Sultanate 6.5% 3/8/2047 (o) |  | 280000 | 302960 |
| Oman Sultanate 6.75% 1/17/2048 (o) |  | 255000 | 280913 |
| TOTAL OMAN |  |  | 1516229 |
| PAKISTAN - 0.0%  |  |  |  |
| Islamic Republic of Pakistan 6% 4/8/2026 (o) |  | 360000 | 359640 |
| Islamic Republic of Pakistan 6.875% 12/5/2027 (o) |  | 105000 | 105798 |
| Islamic Republic of Pakistan 7.375% 4/8/2031 (o) |  | 470000 | 464125 |
| TOTAL PAKISTAN |  |  | 929563 |
| PANAMA - 0.0%  |  |  |  |
| Panamanian Republic 3.298% 1/19/2033  |  | 165000 | 147840 |
| Panamanian Republic 5.227% 2/23/2034  |  | 275000 | 274833 |
| Panamanian Republic 5.662% 2/23/2038  |  | 445000 | 446902 |
| Panamanian Republic 7.875% 3/1/2057  |  | 250000 | 301500 |
| Panamanian Republic 8% 3/1/2038  |  | 200000 | 238350 |
| TOTAL PANAMA |  |  | 1409425 |
| PARAGUAY - 0.0%  |  |  |  |
| Republic of Paraguay 2.739% 1/29/2033 (o) |  | 125000 | 112862 |
| Republic of Paraguay 4.95% 4/28/2031 (o) |  | 138000 | 140726 |
| Republic of Paraguay 5.4% 3/30/2050 (o) |  | 150000 | 141600 |
| Republic of Paraguay 6.65% 3/4/2055 (o) |  | 200000 | 219400 |
| TOTAL PARAGUAY |  |  | 614588 |
| PERU - 0.0%  |  |  |  |
| Peruvian Republic 2.783% 1/23/2031  |  | 330000 | 306240 |
| Peruvian Republic 3% 1/15/2034  |  | 190000 | 166963 |
| Peruvian Republic 3.3% 3/11/2041  |  | 205000 | 161136 |
| TOTAL PERU |  |  | 634339 |
| PHILIPPINES - 0.0%  |  |  |  |
| Philippine Republic 2.65% 12/10/2045  |  | 200000 | 133750 |
| Philippine Republic 5.5% 1/17/2048  |  | 125000 | 125781 |
| Philippine Republic 5.6% 5/14/2049  |  | 240000 | 243960 |
| Philippine Republic 5.609% 4/13/2033  |  | 240000 | 255300 |
| Philippine Republic 5.95% 10/13/2047  |  | 250000 | 264842 |
| TOTAL PHILIPPINES |  |  | 1023633 |
| POLAND - 0.0%  |  |  |  |
| Bank Gospodarstwa Krajowego 5.375% 5/22/2033 (o) |  | 75000 | 78371 |
| Bank Gospodarstwa Krajowego 6.25% 7/9/2054 (o) |  | 355000 | 375413 |
| Republic of Poland 5.5% 3/18/2054  |  | 115000 | 112543 |
| Republic of Poland 5.5% 4/4/2053  |  | 145000 | 141742 |
| Republic of Poland 5.75% 11/16/2032  |  | 175000 | 188781 |
| TOTAL POLAND |  |  | 896850 |
| QATAR - 0.0%  |  |  |  |
| State of Qatar 4.4% 4/16/2050 (o) |  | 455000 | 407894 |
| State of Qatar 4.625% 6/2/2046 (o) |  | 480000 | 451800 |
| State of Qatar 4.817% 3/14/2049 (o) |  | 370000 | 354508 |
| State of Qatar 5.103% 4/23/2048 (o) |  | 555000 | 553923 |
| State of Qatar 9.75% 6/15/2030 (o) |  | 135000 | 166177 |
| TOTAL QATAR |  |  | 1934302 |
| ROMANIA - 0.0%  |  |  |  |
| Romanian Republic 2.124% 7/16/2031 (p) | EUR | 100000 | 106787 |
| Romanian Republic 3% 2/27/2027 (o) |  | 105000 | 103688 |
| Romanian Republic 3.625% 3/27/2032 (o) |  | 200000 | 186000 |
| Romanian Republic 4% 2/14/2051 (o) |  | 221000 | 159666 |
| Romanian Republic 4.625% 3/4/2033 (o) | EUR | 365000 | 430206 |
| Romanian Republic 5.75% 7/4/2036 (o) |  | 300000 | 299100 |
| Romanian Republic 5.75% 9/16/2030 (o) |  | 208000 | 215968 |
| Romanian Republic 5.875% 7/11/2032 (p) | EUR | 400000 | 505961 |
| Romanian Republic 6% 5/25/2034 (o) |  | 150000 | 154688 |
| Romanian Republic 6.375% 1/30/2034 (p) |  | 250000 | 264036 |
| Romanian Republic 6.375% 9/18/2033 (p) | EUR | 300000 | 388279 |
| Romanian Republic 6.625% 2/17/2028 (o) |  | 90000 | 93777 |
| Romanian Republic 7.125% 1/17/2033 (o) |  | 105000 | 116018 |
| Romanian Republic 7.5% 2/10/2037 (o) |  | 314000 | 355702 |
| TOTAL ROMANIA |  |  | 3379876 |
| RWANDA - 0.0%  |  |  |  |
| Rwanda Republic 5.5% 8/9/2031 (o) |  | 275000 | 257898 |
| SAUDI ARABIA - 0.0%  |  |  |  |
| Kingdom of Saudi Arabia 2.25% 2/2/2033 (o) |  | 305000 | 264078 |
| Kingdom of Saudi Arabia 3.25% 10/22/2030 (o) |  | 595000 | 570534 |
| Kingdom of Saudi Arabia 3.45% 2/2/2061 (o) |  | 450000 | 293850 |
| Kingdom of Saudi Arabia 3.75% 1/21/2055 (o) |  | 315000 | 227095 |
| Kingdom of Saudi Arabia 4.375% 1/12/2031 (o) |  | 200000 | 200276 |
| Kingdom of Saudi Arabia 4.5% 10/26/2046 (o) |  | 410000 | 352703 |
| Kingdom of Saudi Arabia 4.5% 4/22/2060 (o) |  | 590000 | 474666 |
| Kingdom of Saudi Arabia 4.625% 10/4/2047 (o) |  | 300000 | 261075 |
| Kingdom of Saudi Arabia 4.875% 1/12/2036 (o) |  | 200000 | 200800 |
| TOTAL SAUDI ARABIA |  |  | 2845077 |
| SENEGAL - 0.0%  |  |  |  |
| Republic of Senegal 6.25% 5/23/2033 (o) |  | 190000 | 117219 |
| SERBIA - 0.0%  |  |  |  |
| Republic of Serbia 2.125% 12/1/2030 (o) |  | 365000 | 324340 |
| Republic of Serbia 6% 6/12/2034 (o) |  | 110000 | 115820 |
| Republic of Serbia 6.5% 9/26/2033 (o) |  | 200000 | 217747 |
| TOTAL SERBIA |  |  | 657907 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| South African Republic 4.85% 9/27/2027  |  | 200000 | 201700 |
| South African Republic 5% 10/12/2046  |  | 200000 | 155999 |
| South African Republic 5.65% 9/27/2047  |  | 220000 | 185680 |
| South African Republic 5.75% 9/30/2049  |  | 250000 | 210313 |
| South African Republic 5.875% 4/20/2032  |  | 200000 | 206625 |
| South African Republic 6.125% 12/11/2037 (o) |  | 200000 | 197200 |
| South African Republic 7.1% 11/19/2036 (o) |  | 335000 | 360209 |
| South African Republic 7.25% 12/11/2055 (o) |  | 200000 | 200000 |
| TOTAL SOUTH AFRICA |  |  | 1717726 |
| SRI LANKA - 0.0%  |  |  |  |
| Democratic Socialist Republic of Sri Lanka 3.1% 1/15/2030 (n)(o) |  | 138250 | 137835 |
| Democratic Socialist Republic of Sri Lanka 3.35% 3/15/2033 (n)(o) |  | 362332 | 338124 |
| Democratic Socialist Republic of Sri Lanka 3.6% 2/15/2038 (n)(o) |  | 199093 | 197922 |
| Democratic Socialist Republic of Sri Lanka 3.6% 5/15/2036 (n)(o) |  | 99504 | 99106 |
| Democratic Socialist Republic of Sri Lanka 3.6% 6/15/2035 (n)(o) |  | 48374 | 39522 |
| Democratic Socialist Republic of Sri Lanka 4% 4/15/2028 (o) |  | 104640 | 101632 |
| TOTAL SRI LANKA |  |  | 914141 |
| TRINIDAD & TOBAGO - 0.0%  |  |  |  |
| Republic of Trinidad & Tobago 6.5% 1/28/2036 (o) |  | 200000 | 202350 |
| TURKEY - 0.2%  |  |  |  |
| Turkish Republic 4.25% 4/14/2026  |  | 225000 | 224719 |
| Turkish Republic 4.875% 10/9/2026  |  | 430000 | 431348 |
| Turkish Republic 4.875% 4/16/2043  |  | 620000 | 471572 |
| Turkish Republic 5.125% 2/17/2028  |  | 225000 | 225914 |
| Turkish Republic 5.25% 3/13/2030  |  | 85000 | 83928 |
| Turkish Republic 5.75% 5/11/2047  |  | 200000 | 163450 |
| Turkish Republic 5.875% 6/26/2031  |  | 180000 | 179100 |
| Turkish Republic 6% 1/14/2041  |  | 470000 | 421679 |
| Turkish Republic 6.3% 3/14/2033  |  | 200000 | 197550 |
| Turkish Republic 6.625% 2/17/2045  |  | 200000 | 183600 |
| Turkish Republic 6.8% 11/4/2036  |  | 330000 | 330000 |
| Turkish Republic 6.875% 1/14/2038  |  | 255000 | 253980 |
| Turkish Republic 7.125% 7/17/2032  |  | 250000 | 260703 |
| Turkish Republic 7.625% 5/15/2034  |  | 200000 | 214200 |
| Turkish Republic 9.125% 7/13/2030  |  | 350000 | 396484 |
| Turkish Republic 9.375% 1/19/2033  |  | 335000 | 389940 |
| Turkish Republic 9.375% 3/14/2029  |  | 780000 | 867992 |
| Turkish Republic 9.875% 1/15/2028  |  | 410000 | 445928 |
| TOTAL TURKEY |  |  | 5742087 |
| UKRAINE - 0.0%  |  |  |  |
| Ukraine Government 0% 2/1/2030 (n)(o) |  | 56813 | 36474 |
| Ukraine Government 0% 2/1/2034 (n)(o) |  | 212307 | 104030 |
| Ukraine Government 0% 2/1/2035 (n)(o) |  | 304411 | 172449 |
| Ukraine Government 0% 2/1/2036 (n)(o) |  | 184509 | 104155 |
| Ukraine Government 4% 2/1/2032 (n)(o) |  | 214400 | 166160 |
| Ukraine Government 4.5% 2/1/2029 (n)(o) |  | 343290 | 262789 |
| Ukraine Government 4.5% 2/1/2034 (n)(o) |  | 422544 | 262400 |
| Ukraine Government 4.5% 2/1/2035 (n)(o) |  | 192527 | 116864 |
| Ukraine Government 4.5% 2/1/2036 (n)(o) |  | 136722 | 82033 |
| TOTAL UKRAINE |  |  | 1307354 |
| UNITED ARAB EMIRATES - 0.0%  |  |  |  |
| Emirate of Abu Dhabi 3% 9/15/2051 (o) |  | 400000 | 274608 |
| Emirate of Abu Dhabi 3.125% 9/30/2049 (o) |  | 1175000 | 840736 |
| Emirate of Abu Dhabi 3.875% 4/16/2050 (o) |  | 285000 | 229200 |
| Emirate of Abu Dhabi 5.5% 4/30/2054 (o) |  | 200000 | 204750 |
| Emirate of Dubai 3.9% 9/9/2050 (p) |  | 505000 | 379065 |
| Emirate of Dubai 5.25% 1/30/2043 (p) |  | 200000 | 200312 |
| TOTAL UNITED ARAB EMIRATES |  |  | 2128671 |
| URUGUAY - 0.0%  |  |  |  |
| Uruguay Republic 5.1% 6/18/2050  |  | 350000 | 336350 |
| Uruguay Republic 5.75% 10/28/2034  |  | 140000 | 150402 |
| TOTAL URUGUAY |  |  | 486752 |
| UZBEKISTAN - 0.0%  |  |  |  |
| Republic of Uzbekistan 3.9% 10/19/2031 (o) |  | 230000 | 216128 |
| VENEZUELA - 0.0%  |  |  |  |
| Venezuela Republic 11.95% (m)(p) |  | 560000 | 255920 |
| Venezuela Republic 12.75% (m)(p) |  | 105000 | 48615 |
| Venezuela Republic 9.25% (m) |  | 1285000 | 571825 |
| TOTAL VENEZUELA |  |  | 876360 |
| ZAMBIA - 0.0%  |  |  |  |
| Republic of Zambia 0.5% 12/31/2053 (o) |  | 365000 | 267019 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $80,460,180) |  |  | <br> **86243054** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 22.0%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 22.0%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 22.0%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 22.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ARGENTINA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Tecpetrol SA 7.625% 1/22/2033 (o) |  | 140000 | 143893 |
| Tecpetrol SA 7.625% 11/3/2030 (o) |  | 150000 | 152224 |
| YPF SA 8.25% 1/17/2034 (o) |  | 140000 | 144172 |
| TOTAL ARGENTINA |  |  | 440289 |
| AUSTRALIA - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Australia & New Zealand Banking Group Ltd 5.1454% 8/18/2036 (c)(p) | GBP | 500000 | 679849 |
| Commonwealth Bank of Australia 2.688% 3/11/2031 (o) |  | 525000 | 485492 |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (c)(o) |  | 517000 | 503851 |
| Commonwealth Bank of Australia 3.788% 8/26/2037 (c)(p) | EUR | 300000 | 356561 |
| National Australia Bank Ltd 3.612% 1/22/2036 (c)(p) | EUR | 400000 | 475243 |
| Westpac Banking Corp 4.11% 7/24/2034 (c) |  | 744000 | 737603 |
|  |  |  | 3238599 |
| Financial Services - 0.0% |  |  |  |
| Cimic Finance Ltd 1.5% 5/28/2029 (p) | EUR | 328000 | 368285 |
| Insurance - 0.0% |  |  |  |
| QBE Insurance Group Ltd 2.5% 9/13/2038 (c)(p) | GBP | 318000 | 408205 |
| TOTAL FINANCIALS |  |  | 4015089 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Mineral Resources Ltd 7% 4/1/2031 (o) |  | 200000 | 210402 |
| Mineral Resources Ltd 8% 11/1/2027 (o) |  | 1405000 | 1435861 |
| TOTAL MATERIALS |  |  | 1646263 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| AusNet Services Holdings Pty Ltd 6.134% 5/31/2033  | AUD | 510000 | 376951 |
| TOTAL AUSTRALIA |  |  | 6038303 |
| AUSTRIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Mondi Finance PLC 3.375% 5/23/2031 (p) | EUR | 160000 | 189511 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Supernova Invest GmbH 5% 6/24/2030 (p) | EUR | 100000 | 122522 |
| TOTAL AUSTRIA |  |  | 312033 |
| AZERBAIJAN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Southern Gas Corridor CJSC 6.875% 3/24/2026 (o) |  | 360000 | 360630 |
| State Oil Co of the Azerbaijan Republic 6.95% 3/18/2030 (p) |  | 200000 | 216068 |
| TOTAL AZERBAIJAN |  |  | 576698 |
| BAHRAIN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Bapco Energies BSC Closed 7.5% 10/25/2027 (o) |  | 290000 | 297720 |
| Bapco Energies BSC Closed 8.375% 11/7/2028 (o) |  | 140000 | 148943 |
| TOTAL BAHRAIN |  |  | 446663 |
| BAILIWICK OF JERSEY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Aston Martin Capital Holdings Ltd 10% 3/31/2029 (o) |  | 605000 | 488538 |
| BELGIUM - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Barry Callebaut Services NV 4.25% 8/19/2031 (p) | EUR | 500000 | 615278 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Fluxys SA 4% 11/28/2030 (p) | EUR | 600000 | 728313 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Shurgard Luxembourg Sarl 4% 5/27/2035 (p) | EUR | 300000 | 358295 |
| TOTAL BELGIUM |  |  | 1701886 |
| BRAZIL - 0.1%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| MercadoLibre Inc 4.9% 1/15/2033  |  | 205000 | 204179 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Minerva Luxembourg SA 4.375% 3/18/2031 (o) |  | 100000 | 92921 |
| Minerva Luxembourg SA 8.875% 9/13/2033 (o) |  | 225000 | 245770 |
| NBM US Holdings Inc 6.625% 8/6/2029 (o) |  | 330000 | 333439 |
|  |  |  | 672130 |
| Food Products - 0.0% |  |  |  |
| Marb Bondco PLC 3.95% 1/29/2031 (o) |  | 420000 | 382305 |
| TOTAL CONSUMER STAPLES |  |  | 1054435 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Guara Norte Sarl 5.198% 6/15/2034 (o) |  | 165746 | 162412 |
| Yinson Boronia Production BV 8.947% 7/31/2042 (o) |  | 340010 | 373974 |
|  |  |  | 536386 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| MC Brazil Downstream Trading SARL 7.25% 6/30/2031 (o) |  | 425899 | 366007 |
| PRIO Luxembourg Holding Sarl 6.75% 10/15/2030 (o) |  | 250000 | 245694 |
|  |  |  | 611701 |
| TOTAL ENERGY |  |  | 1148087 |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Ambipar Lux Sarl 9.875% (m)(o) |  | 1586000 | 297375 |
| Marine Transportation - 0.0% |  |  |  |
| Yinson Bergenia Production BV 8.498% 1/31/2045 (o) |  | 197340 | 209945 |
| Passenger Airlines - 0.0% |  |  |  |
| Azul Secured Finance LLP 9.875% 2/15/2031 (o) |  | 385000 | 386775 |
| TOTAL INDUSTRIALS |  |  | 894095 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Braskem Netherlands Finance BV 5.875% 1/31/2050 (o) |  | 150000 | 56915 |
| Braskem Netherlands Finance BV 7.25% 2/13/2033 (o) |  | 530000 | 218625 |
| Braskem Netherlands Finance BV 8.5% 1/12/2031 (o) |  | 235000 | 99734 |
|  |  |  | 375274 |
| Metals & Mining - 0.1% |  |  |  |
| CSN Inova Ventures 6.75% 1/28/2028 (o) |  | 260000 | 222885 |
| CSN Resources SA 5.875% 4/8/2032 (o) |  | 180000 | 128250 |
| CSN Resources SA 8.875% 12/5/2030 (o) |  | 200000 | 166200 |
| ERO Copper Corp 6.5% 2/15/2030 (o) |  | 565000 | 567825 |
| Nexa Resources SA 6.6% 4/8/2037 (o) |  | 200000 | 213766 |
| Nexa Resources SA 6.75% 4/9/2034 (o) |  | 60000 | 64950 |
| Samarco Mineracao SA 9% 6/30/2031 pay-in-kind (c)(o) |  | 1606571 | 1614091 |
| Usiminas International Sarl 7.5% 1/27/2032 (o) |  | 315000 | 324450 |
| Vale Overseas Ltd 6% 2/25/2056 (c)(o) |  | 200000 | 203912 |
| Vale Overseas Ltd 6.4% 6/28/2054  |  | 305000 | 318063 |
|  |  |  | 3824392 |
| Paper & Forest Products - 0.0% |  |  |  |
| LD Celulose International GmbH 7.95% 1/26/2032 (o) |  | 265000 | 279362 |
| Suzano Austria GmbH 3.75% 1/15/2031  |  | 95000 | 90559 |
| Suzano Austria GmbH 5% 1/15/2030  |  | 440000 | 443577 |
| Suzano Netherlands BV 5.5% 1/15/2036  |  | 260000 | 262730 |
|  |  |  | 1076228 |
| TOTAL MATERIALS |  |  | 5275894 |
| TOTAL BRAZIL |  |  | 8576690 |
| CAMEROON - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Golar LNG Ltd 7.5% 10/2/2030 (o) |  | 685000 | 685904 |
| Golar LNG Ltd 7.75% 9/19/2029 (o)(p) |  | 1000000 | 1007980 |
| TOTAL CAMEROON |  |  | 1693884 |
| CANADA - 0.2%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| TELUS Corp 6.625% 10/15/2055 (c) |  | 382000 | 394460 |
| TELUS Corp 7% 10/15/2055 (c) |  | 188000 | 198388 |
|  |  |  | 592848 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Rogers Communications Inc 7% 4/15/2055 (c) |  | 184000 | 192431 |
| Rogers Communications Inc 7.125% 4/15/2055 (c) |  | 184000 | 194926 |
|  |  |  | 387357 |
| TOTAL COMMUNICATION SERVICES |  |  | 980205 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 5.625% 9/15/2029 (o) |  | 1195000 | 1216120 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (o) |  | 464000 | 477207 |
|  |  |  | 1693327 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Gildan Activewear Inc 4.7% 10/7/2030 (o) |  | 528000 | 531385 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 2224712 |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Canadian Natural Resources Ltd 3.85% 6/1/2027  |  | 2700000 | 2699645 |
| Canadian Natural Resources Ltd 5.85% 2/1/2035  |  | 525000 | 561832 |
| Cenovus Energy Inc 3.75% 2/15/2052  |  | 210000 | 152151 |
| Cenovus Energy Inc 4.65% 3/20/2031  |  | 1294000 | 1310421 |
| Cenovus Energy Inc 5.25% 6/15/2037  |  | 717000 | 714644 |
| Cenovus Energy Inc 5.4% 3/20/2036  |  | 996000 | 1014540 |
| Cenovus Energy Inc 5.4% 6/15/2047  |  | 146000 | 137292 |
| Cenovus Energy Inc 6.75% 11/15/2039  |  | 58000 | 64838 |
| South Bow Canadian Infrastructure Holdings Ltd 7.5% 3/1/2055 (c) |  | 417000 | 442620 |
| South Bow Canadian Infrastructure Holdings Ltd 7.625% 3/1/2055 (c) |  | 63000 | 65649 |
| TOTAL ENERGY |  |  | 7163632 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank of Nova Scotia/The 3.375% 3/5/2033 (c)(p) | EUR | 1100000 | 1310753 |
| Bank of Nova Scotia/The 4.338% 9/15/2031 (c) |  | 200000 | 200712 |
| Royal Bank of Canada 3.125% 9/27/2031 (c)(p) | EUR | 510000 | 606635 |
| Toronto Dominion Bank 3.357% 9/22/2032 (p) | EUR | 500000 | 591699 |
|  |  |  | 2709799 |
| Insurance - 0.0% |  |  |  |
| Sagicor Financial Co Ltd 5.3% 5/13/2028 (o) |  | 150000 | 149430 |
| TOTAL FINANCIALS |  |  | 2859229 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Bausch Health Cos Inc 11% 9/30/2028 (o) |  | 92000 | 96196 |
| Bausch Health Cos Inc 4.875% 6/1/2028 (o) |  | 110000 | 102369 |
| Bausch Health Cos Inc 5.25% 1/30/2030 (o) |  | 180000 | 126000 |
| TOTAL HEALTH CARE |  |  | 324565 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| Bombardier Inc 6.75% 6/15/2033 (o) |  | 340000 | 358273 |
| Bombardier Inc 7% 6/1/2032 (o) |  | 1220000 | 1285138 |
|  |  |  | 1643411 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Wrangler Holdco Corp 6.625% 4/1/2032 (o) |  | 365000 | 380224 |
| TOTAL INDUSTRIALS |  |  | 2023635 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Methanex Corp 5.125% 10/15/2027  |  | 1004000 | 1007933 |
| Methanex Corp 5.25% 12/15/2029  |  | 230000 | 231945 |
| Methanex Corp 5.65% 12/1/2044  |  | 401000 | 365055 |
|  |  |  | 1604933 |
| Metals & Mining - 0.0% |  |  |  |
| Capstone Copper Corp 6.75% 3/31/2033 (o) |  | 315000 | 325532 |
| Champion Iron Canada Inc 7.875% 7/15/2032 (o) |  | 150000 | 159538 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (o) |  | 65000 | 64958 |
|  |  |  | 550028 |
| TOTAL MATERIALS |  |  | 2154961 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| TransAlta Corp 5.875% 2/1/2034  |  | 570000 | 573563 |
| TransAlta Corp 6.5% 3/15/2040  |  | 380000 | 383695 |
| TOTAL UTILITIES |  |  | 957258 |
| TOTAL CANADA |  |  | 18688197 |
| CHILE - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| VTR Comunicaciones SpA 4.375% 4/15/2029 (o) |  | 70000 | 69154 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Empresa Nacional del Petroleo 5.95% 7/30/2034 (o) |  | 200000 | 209943 |
| Empresa Nacional del Petroleo 6.15% 5/10/2033 (o) |  | 85000 | 90163 |
| TOTAL ENERGY |  |  | 300106 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Antofagasta PLC 2.375% 10/14/2030 (o) |  | 385000 | 349738 |
| Antofagasta PLC 5.625% 9/9/2035 (o) |  | 200000 | 207590 |
| Antofagasta PLC 5.625% 5/13/2032 (o) |  | 110000 | 115067 |
| Corp Nacional del Cobre de Chile 3% 9/30/2029 (o) |  | 50000 | 47891 |
| Corp Nacional del Cobre de Chile 3.15% 1/14/2030 (o) |  | 150000 | 144079 |
| Corp Nacional del Cobre de Chile 3.7% 1/30/2050 (o) |  | 595000 | 431712 |
| Corp Nacional del Cobre de Chile 5.125% 2/2/2033 (o) |  | 115000 | 117486 |
| Corp Nacional del Cobre de Chile 5.529% 1/30/2037 (o) |  | 200000 | 205196 |
| Corp Nacional del Cobre de Chile 5.95% 1/8/2034 (o) |  | 150000 | 158870 |
| Corp Nacional del Cobre de Chile 6.3% 9/8/2053 (o) |  | 140000 | 147076 |
| Corp Nacional del Cobre de Chile 6.44% 1/26/2036 (o) |  | 80000 | 87385 |
| Corp Nacional del Cobre de Chile 6.78% 1/13/2055 (o) |  | 200000 | 220105 |
|  |  |  | 2232195 |
| Paper & Forest Products - 0.0% |  |  |  |
| Celulosa Arauco y Constitucion SA 6.18% 5/5/2032 (o) |  | 200000 | 204372 |
| Inversiones CMPC SA 3% 4/6/2031 (o) |  | 235000 | 209444 |
|  |  |  | 413816 |
| TOTAL MATERIALS |  |  | 2646011 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Chile Electricity Lux Mpc II Sarl 5.58% 10/20/2035 (o) |  | 224826 | 232470 |
| Chile Electricity Lux MPC Sarl 6.01% 1/20/2033 (o) |  | 68800 | 72219 |
| TOTAL UTILITIES |  |  | 304689 |
| TOTAL CHILE |  |  | 3319960 |
| CHINA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| Prosus NV 3.061% 7/13/2031 (o) |  | 200000 | 183946 |
| Prosus NV 3.68% 1/21/2030 (o) |  | 280000 | 271076 |
| Prosus NV 4.027% 8/3/2050 (o) |  | 270000 | 191869 |
| Prosus NV 4.193% 1/19/2032 (o) |  | 140000 | 135538 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 782429 |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| ENN Energy Holdings Ltd 4.625% 5/17/2027 (o) |  | 270000 | 271136 |
| TOTAL CHINA |  |  | 1053565 |
| COLOMBIA - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Colombia Telecomunicaciones SA ESP 4.95% 7/17/2030 (o) |  | 465000 | 434659 |
| Energy - 0.1% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Oleoducto Central SA 4% 7/14/2027 (o) |  | 195000 | 193046 |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Canacol Energy Ltd 5.75% (m)(o) |  | 2560000 | 755200 |
| Ecopetrol SA 4.625% 11/2/2031  |  | 160000 | 143400 |
| Ecopetrol SA 8.375% 1/19/2036  |  | 240000 | 246600 |
| Ecopetrol SA 8.875% 1/13/2033  |  | 695000 | 738021 |
| Geopark Ltd 5.5% 1/17/2027 (o) |  | 235000 | 225013 |
| Geopark Ltd 8.75% 1/31/2030 (o) |  | 235000 | 223202 |
| Gran Tierra Energy Inc 9.75% 4/15/2031 (o) |  | 620000 | 499100 |
|  |  |  | 2830536 |
| TOTAL ENERGY |  |  | 3023582 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bancolombia SA 8.625% 12/24/2034 (c) |  | 200000 | 213677 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Aris Mining Corp 8% 10/31/2029 (o) |  | 325000 | 340216 |
| 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 (o) |  | 1230000 | 1156200 |
| EnfraGen Energia Sur SAU/ EnfraGen Chile SpA/ EnfraGen Spain SAU 8.499% 6/30/2032 (o) |  | 200000 | 208793 |
| Termocandelaria Power SA 7.75% 9/17/2031 (o) |  | 225000 | 233579 |
| TOTAL UTILITIES |  |  | 1598572 |
| TOTAL COLOMBIA |  |  | 5610706 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Ivanhoe Mines Ltd 7.875% 1/23/2030 (o) |  | 215000 | 223835 |
| COSTA RICA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Liberty Costa Rica Senior Secured Finance 10.875% 1/15/2031 (o) |  | 195000 | 207248 |
| COTE D'IVOIRE - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Endeavour Mining PLC 7% 5/28/2030 (o) |  | 350000 | 361631 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| Czechoslovak Group AS 6.5% 1/10/2031 (o) |  | 255000 | 267150 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 6% 1/27/2032 (p) | EUR | 300000 | 359000 |
| TOTAL CZECH REPUBLIC |  |  | 626150 |
| DENMARK - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Carlsberg Breweries A/S 3.25% 2/28/2032 (p) | EUR | 325000 | 386666 |
| Tobacco - 0.0% |  |  |  |
| Scandinavian Tobacco Group A/S 4.875% 9/12/2029 (p) | EUR | 150000 | 185387 |
| TOTAL CONSUMER STAPLES |  |  | 572053 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Danske Bank A/S 3.875% 1/9/2032 (c)(p) | EUR | 1015000 | 1243339 |
| Jyske Bank A/S 5.125% 5/1/2035 (c)(p) | EUR | 468000 | 584666 |
| TOTAL FINANCIALS |  |  | 1828005 |
| TOTAL DENMARK |  |  | 2400058 |
| DOMINICAN REPUBLIC - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Aeropuertos Dominicanos Siglo XXI SA 7% 6/30/2034 (o) |  | 230000 | 241380 |
| FINLAND - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Leisure Products - 0.0% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (o) |  | 697000 | 727247 |
| Materials - 0.0% |  |  |  |
| Paper & Forest Products - 0.0% |  |  |  |
| Ahlstrom Holding 3 Oy 4.875% 2/4/2028 (o) |  | 90000 | 89509 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (p) | EUR | 250000 | 287060 |
| Citycon Treasury BV 5.375% 7/8/2031 (p) | EUR | 100000 | 114325 |
| TOTAL REAL ESTATE |  |  | 401385 |
| TOTAL FINLAND |  |  | 1218141 |
| FRANCE - 0.3%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| Altice France SA 6.5% 10/15/2031 (o) |  | 651677 | 626435 |
| Altice France SA 6.5% 4/15/2032 (o) |  | 1699697 | 1627810 |
| Altice France SA 6.875% 10/15/2030 (o) |  | 216463 | 209843 |
| Altice France SA 6.875% 7/15/2032 (o) |  | 553354 | 531233 |
| Orange SA 4.75% 1/13/2033 (o) |  | 300000 | 303499 |
| Orange SA 5% 1/13/2036 (o) |  | 300000 | 301319 |
|  |  |  | 3600139 |
| Media - 0.0% |  |  |  |
| Publicis Groupe SA 3.375% 6/12/2032 (p) | EUR | 300000 | 354994 |
| TOTAL COMMUNICATION SERVICES |  |  | 3955133 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Forvia SE 6.75% 9/15/2033 (o) |  | 360000 | 369937 |
| Valeo SE 4.625% 3/23/2032 (p) | EUR | 100000 | 120167 |
|  |  |  | 490104 |
| Automobiles - 0.0% |  |  |  |
| RCI Banque SA 4.75% 3/24/2037 (c)(p) | EUR | 100000 | 121874 |
| RCI Banque SA 5.5% 10/9/2034 (c)(p) | EUR | 200000 | 249921 |
|  |  |  | 371795 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 861899 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Pernod Ricard SA 3.75% 2/4/2037 (p) | EUR | 300000 | 353195 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vallourec SACA 7.5% 4/15/2032 (o) |  | 895000 | 950292 |
| Viridien 10% 10/15/2030 (o) |  | 360000 | 386034 |
| TOTAL ENERGY |  |  | 1336326 |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| BNP Paribas SA 2.159% 9/15/2029 (c)(o) |  | 532000 | 506057 |
| BNP Paribas SA 3.132% 1/20/2033 (c)(o) |  | 650000 | 600609 |
| BNP Paribas SA 3.945% 2/18/2037 (c)(p) | EUR | 900000 | 1071463 |
| BNP Paribas SA 5.786% 1/13/2033 (c)(o) |  | 5406000 | 5725751 |
| BPCE SA 5.716% 1/18/2030 (c)(o) |  | 250000 | 259727 |
| Societe Generale SA 5.5% 4/13/2029 (c)(o) |  | 3692000 | 3788455 |
| Societe Generale SA 6.691% 1/10/2034 (c)(o) |  | 544000 | 597381 |
|  |  |  | 12549443 |
| Financial Services - 0.0% |  |  |  |
| Iliad Holding SAS 7% 4/15/2032 (o) |  | 360000 | 369535 |
| Iliad Holding SAS 8.5% 4/15/2031 (o) |  | 275000 | 294656 |
|  |  |  | 664191 |
| TOTAL FINANCIALS |  |  | 13213634 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Holding d'Infrastructures des Metiers de l'Environnement SAS 0.625% 9/16/2028 (p) | EUR | 249000 | 277271 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Electricite de France SA 5.5% 1/25/2035 (p) | GBP | 400000 | 540352 |
| Electricite de France SA 6.125% 6/2/2034 (p) | GBP | 150000 | 212580 |
|  |  |  | 752932 |
| Multi-Utilities - 0.0% |  |  |  |
| Engie SA 3.875% 3/6/2036 (p) | EUR | 300000 | 362058 |
| Engie SA 4.25% 9/6/2034 (p) | EUR | 400000 | 499994 |
| Veolia Environnement SA 3.324% 6/17/2032 (p) | EUR | 700000 | 833132 |
|  |  |  | 1695184 |
| TOTAL UTILITIES |  |  | 2448116 |
| TOTAL FRANCE |  |  | 22445574 |
| GEORGIA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Silk Road Group Holding LLC 7.5% 9/15/2030 (o) |  | 200000 | 204000 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Georgian Railway JSC 4% 6/17/2028 (o) |  | 90000 | 86175 |
| TOTAL GEORGIA |  |  | 290175 |
| GERMANY - 0.5%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Robert Bosch GmbH 4.375% 6/2/2043 (p) | EUR | 300000 | 356162 |
| Schaeffler AG 5.375% 4/1/2031 (p) | EUR | 200000 | 251065 |
| ZF Europe Finance BV 4.75% 1/31/2029 (p) | EUR | 300000 | 360185 |
| ZF Europe Finance BV 5.5% 2/17/2032 (p) | EUR | 200000 | 236473 |
| ZF Europe Finance BV 7% 6/12/2030 (p) | EUR | 100000 | 126958 |
| ZF North America Capital Inc 7.5% 3/24/2031 (o) |  | 235000 | 242194 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1573037 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| METRO AG 4% 3/5/2030 (p) | EUR | 225000 | 279105 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vier Gas Transport GmbH 3.625% 9/8/2033 (p) | EUR | 400000 | 477355 |
| Financials - 0.4% |  |  |  |
| Banks - 0.0% |  |  |  |
| Commerzbank AG 3.625% 1/14/2032 (c)(p) | EUR | 300000 | 360771 |
| DZ Bank AG Deutsche Zentral-Genossenschaftsbank Frankfurt Am Main 3.706% 10/15/2035 (c)(p) | EUR | 200000 | 237502 |
| Volkswagen Bank GmbH 3.5% 6/19/2031 (p) | EUR | 200000 | 239118 |
|  |  |  | 837391 |
| Capital Markets - 0.4% |  |  |  |
| Deutsche Bank AG/New York NY 4.999% 9/11/2030 (c) |  | 13000000 | 13281538 |
| Deutsche Bank AG/New York NY 5.882% 7/8/2031 (c) |  | 5000000 | 5212248 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (c) |  | 980000 | 1024944 |
| Deutsche Bank AG/New York NY 6.819% 11/20/2029 (c) |  | 2377000 | 2531516 |
|  |  |  | 22050246 |
| Financial Services - 0.0% |  |  |  |
| KfW 1.125% 3/31/2037 (p) | EUR | 730000 | 716677 |
| KfW 2.625% 1/10/2034 (p) | EUR | 875000 | 1030029 |
|  |  |  | 1746706 |
| TOTAL FINANCIALS |  |  | 24634343 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Bayer US Finance LLC 6.375% 11/21/2030 (o) |  | 617000 | 664566 |
| Bayer US Finance LLC 6.5% 11/21/2033 (o) |  | 939000 | 1029185 |
| TOTAL HEALTH CARE |  |  | 1693751 |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| Infineon Technologies AG 3.5% 2/16/2034 (p) | EUR | 300000 | 357050 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| ACCENTRO East Holding GMBH 6% 6/30/2027 pay-in-kind (l) | EUR | 100000 | 118160 |
| Accentro Real Estate AG 10% 12/30/2027 pay-in-kind  | EUR | 203315 | 257239 |
| Accentro Real Estate AG 5.625% 12/30/2034 pay-in-kind (c)(p) | EUR | 553674 | 176640 |
| Sirius Real Estate Ltd 4% 1/22/2032 (p) | EUR | 300000 | 358244 |
| TOTAL REAL ESTATE |  |  | 910283 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.1% |  |  |  |
| Amprion GmbH 3.125% 8/27/2030 (p) | EUR | 300000 | 357430 |
| Amprion GmbH 3.625% 5/21/2031 (p) | EUR | 100000 | 121428 |
| Amprion GmbH 3.875% 6/5/2036 (p) | EUR | 300000 | 359896 |
| EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/2081 (c)(p) | EUR | 600000 | 678507 |
| EnBW International Finance BV 3.75% 11/20/2035 (p) | EUR | 750000 | 902261 |
| EnBW International Finance BV 5.7923% 2/26/2036 (p) | AUD | 440000 | 312240 |
|  |  |  | 2731762 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| RWE Finance US LLC 5.125% 9/18/2035 (o) |  | 890000 | 892237 |
| RWE Finance US LLC 5.875% 4/16/2034 (o) |  | 558000 | 592368 |
|  |  |  | 1484605 |
| TOTAL UTILITIES |  |  | 4216367 |
| TOTAL GERMANY |  |  | 34141291 |
| GHANA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Kosmos Energy Gta Holdings 11.25% 1/29/2031 (o)(p) |  | 200000 | 203562 |
| Kosmos Energy Ltd 7.5% 3/1/2028 (o) |  | 341000 | 294539 |
| Kosmos Energy Ltd 8.75% 10/1/2031 (o) |  | 1010000 | 757500 |
| Tullow Oil PLC 10.25% 5/15/2026 (o) |  | 954000 | 845626 |
| TOTAL GHANA |  |  | 2101227 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (o) |  | 960000 | 989473 |
| GREECE - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| Danaos Corp 6.875% 10/15/2032 (o) |  | 370000 | 381563 |
| GUATEMALA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| CT Trust 5.125% 2/3/2032 (o) |  | 350000 | 336084 |
| Millicom International Cellular SA 4.5% 4/27/2031 (o) |  | 165000 | 153540 |
| Millicom International Cellular SA 5.125% 1/15/2028 (o) |  | 927000 | 922087 |
| Millicom International Cellular SA 6.25% 3/25/2029 (o) |  | 1440000 | 1449590 |
| Millicom International Cellular SA 7.375% 4/2/2032 (o) |  | 245000 | 252854 |
| TOTAL COMMUNICATION SERVICES |  |  | 3114155 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Cntl Amr Bottling Corp 5.25% 4/27/2029 (o) |  | 195000 | 192680 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Energuate Trust 2 0 6.35% 9/15/2035 (o) |  | 250000 | 253436 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Investment Energy Resources Ltd 6.25% 4/26/2029 (o) |  | 300000 | 301032 |
| TOTAL UTILITIES |  |  | 554468 |
| TOTAL GUATEMALA |  |  | 3861303 |
| HONG KONG - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| Prudential Funding Asia PLC 2.95% 11/3/2033 (c)(p) |  | 690000 | 666558 |
| HUNGARY - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Magyar Export-Import Bank Zrt 6.125% 12/4/2027 (o) |  | 85000 | 87444 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| MVM Energetika Zrt 6.5% 3/13/2031 (p) |  | 200000 | 213000 |
| TOTAL HUNGARY |  |  | 300444 |
| INDIA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Consumer Finance - 0.0% |  |  |  |
| Shriram Finance Ltd 6.625% 4/22/2027 (o) |  | 135000 | 137700 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Biocon Biologics Global PLC 6.67% 10/9/2029 (o) |  | 140000 | 141472 |
| TOTAL INDIA |  |  | 279172 |
| INDONESIA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Medco Laurel Tree Pte Ltd 6.95% 11/12/2028 (o) |  | 325000 | 326424 |
| Medco Maple Tree Pte Ltd 8.96% 4/27/2029 (o) |  | 315000 | 327206 |
| Pertamina Persero PT 4.175% 1/21/2050 (o) |  | 185000 | 142912 |
| TOTAL ENERGY |  |  | 796542 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Freeport Indonesia PT 4.763% 4/14/2027 (o) |  | 125000 | 125550 |
| Freeport Indonesia PT 5.315% 4/14/2032 (o) |  | 265000 | 270439 |
| Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT 5.45% 5/15/2030 (o) |  | 450000 | 463392 |
| TOTAL MATERIALS |  |  | 859381 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Pertamina Geothermal Energy PT 5.15% 4/27/2028 (o) |  | 90000 | 91271 |
| TOTAL INDONESIA |  |  | 1747194 |
| IRELAND - 0.7%  |  |  |  |
| Financials - 0.4% |  |  |  |
| Consumer Finance - 0.4% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  |  | 868000 | 859600 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  |  | 3909000 | 3802750 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  |  | 5872000 | 5487387 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.1% 1/19/2029  |  | 4000000 | 4107061 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.75% 6/6/2028  |  | 7000000 | 7249303 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  |  | 4752000 | 4871587 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 1/31/2056 (c) |  | 359000 | 372168 |
|  |  |  | 26749856 |
| Financial Services - 0.0% |  |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (o) |  | 755000 | 766944 |
| GGAM Finance Ltd 6.875% 4/15/2029 (o) |  | 1545000 | 1591466 |
|  |  |  | 2358410 |
| TOTAL FINANCIALS |  |  | 29108266 |
| Industrials - 0.3% |  |  |  |
| Transportation Infrastructure - 0.3% |  |  |  |
| Avolon Holdings Funding Ltd 4.25% 4/15/2026 (o) |  | 290000 | 289961 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (o) |  | 880000 | 880055 |
| Avolon Holdings Funding Ltd 4.85% 4/1/2033 (o) |  | 190000 | 188322 |
| Avolon Holdings Funding Ltd 4.95% 1/15/2028 (o) |  | 4604000 | 4665146 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (o) |  | 428000 | 438295 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (o) |  | 2337000 | 2417168 |
| Avolon Holdings Funding Ltd 5.75% 11/15/2029 (o) |  | 3000000 | 3135069 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (o) |  | 3000000 | 3121007 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (o) |  | 5341000 | 5566628 |
| TOTAL INDUSTRIALS |  |  | 20701651 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Smurfit Kappa Treasury ULC 3.489% 11/24/2031  | EUR | 100000 | 119719 |
| TOTAL IRELAND |  |  | 49929636 |
| ISRAEL - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Energean Israel Finance Ltd 5.375% 3/30/2028 (o)(p) |  | 120000 | 118623 |
| Energean Israel Finance Ltd 5.875% 3/30/2031 (o)(p) |  | 240000 | 230719 |
| Leviathan Bond Ltd 6.5% 6/30/2027 (o)(p) |  | 380000 | 382280 |
| TOTAL ENERGY |  |  | 731622 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank Hapoalim BM 5.252% 1/14/2033 (o)(p) |  | 200000 | 202173 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Teva Pharmaceutical Finance Netherlands III BV 3.15% 10/1/2026  |  | 100000 | 99267 |
| Teva Pharmaceutical Finance Netherlands III BV 4.75% 5/9/2027  |  | 120000 | 120035 |
| Teva Pharmaceutical Finance Netherlands III BV 6% 12/1/2032  |  | 575000 | 610163 |
| Teva Pharmaceutical Finance Netherlands III BV 7.875% 9/15/2029  |  | 215000 | 235118 |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  |  | 380000 | 394312 |
| TOTAL HEALTH CARE |  |  | 1458895 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Israel Electric Corp Ltd 3.75% 2/22/2032 (o)(p) |  | 260000 | 245461 |
| TOTAL ISRAEL |  |  | 2638151 |
| ITALY - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Intesa Sanpaolo SpA 4.198% 6/1/2032 (c)(o) |  | 242000 | 233864 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Enel Finance International NV 4.375% 9/30/2030 (o) |  | 200000 | 201022 |
| Enel Finance International NV 5.5% 6/26/2034 (o) |  | 300000 | 312978 |
|  |  |  | 514000 |
| Gas Utilities - 0.0% |  |  |  |
| Snam SpA 5.75% 5/28/2035 (o) |  | 345000 | 364594 |
| TOTAL UTILITIES |  |  | 878594 |
| TOTAL ITALY |  |  | 1112458 |
| JAMAICA - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Kingston Airport Revenue Finance Ltd 6.75% 12/15/2036 (o) |  | 230000 | 235704 |
| Montego Bay Airport Revenue Finance Ltd 6.6% 6/15/2035 (o) |  | 200000 | 202000 |
| TOTAL JAMAICA |  |  | 437704 |
| JAPAN - 0.1%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| NTT Finance Corp 3.678% 7/16/2033 (p) | EUR | 200000 | 240676 |
| NTT Finance Corp 4.567% 7/16/2027 (o) |  | 816000 | 823402 |
| NTT Finance Corp 4.62% 7/16/2028 (o) |  | 826000 | 838479 |
| NTT Finance Corp 4.876% 7/16/2030 (o) |  | 2115000 | 2169828 |
| TOTAL COMMUNICATION SERVICES |  |  | 4072385 |
| Consumer Staples - 0.0% |  |  |  |
| Tobacco - 0.0% |  |  |  |
| Japan Tobacco Inc 5.856% 6/15/2035 (o) |  | 340000 | 367945 |
| TOTAL JAPAN |  |  | 4440330 |
| KAZAKHSTAN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| KazMunayGas National Co JSC 3.5% 4/14/2033 (o) |  | 195000 | 178730 |
| KazMunayGas National Co JSC 5.375% 4/24/2030 (o) |  | 30000 | 30767 |
| KazMunayGas National Co JSC 5.75% 4/19/2047 (o) |  | 80000 | 76528 |
| Tengizchevroil Finance Co International Ltd 3.25% 8/15/2030 (o) |  | 225000 | 209475 |
| TOTAL KAZAKHSTAN |  |  | 495500 |
| KOREA (SOUTH) - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| POSCO 5.75% 1/17/2028 (o) |  | 240000 | 247331 |
| POSCO 5.875% 1/17/2033 (o) |  | 70000 | 75603 |
| TOTAL KOREA (SOUTH) |  |  | 322934 |
| KUWAIT - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| MEGlobal BV 2.625% 4/28/2028 (o) |  | 125000 | 120500 |
| LUXEMBOURG - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Altice Financing SA 5.75% 8/15/2029 (o) |  | 1595000 | 1106476 |
| Altice Financing SA 9.625% 7/15/2027 (o) |  | 345000 | 257957 |
|  |  |  | 1364433 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Altice France Lux 3 / Altice Holdings 1 10% 1/15/2033 (o) |  | 197000 | 185124 |
| TOTAL COMMUNICATION SERVICES |  |  | 1549557 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Breakwater Energy Holdings Sarl 9.25% 11/15/2030 (o) |  | 355000 | 378182 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Titanium 2l Bondco Sarl 6.25% 1/14/2031 pay-in-kind  | EUR | 1929600 | 425257 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Herens Holdco Sarl 4.75% 5/15/2028 (o) |  | 1519000 | 1336747 |
| Real Estate - 0.1% |  |  |  |
| Diversified REITs - 0.0% |  |  |  |
| Stoneweg Ereit Lux Finco Sarl 4.125% 2/22/2033 (p) | EUR | 600000 | 712383 |
| Industrial REITs - 0.0% |  |  |  |
| Prologis International Funding II SA 4.375% 7/1/2036 (p) | EUR | 100000 | 123464 |
| Real Estate Management & Development - 0.1% |  |  |  |
| AXA Logistics Europe Master SCA 3.375% 5/13/2031 (p) | EUR | 200000 | 238370 |
| Blackstone Property Partners Europe Holdings Sarl 1% 5/4/2028 (p) | EUR | 197000 | 224126 |
| Blackstone Property Partners Europe Holdings Sarl 1.75% 3/12/2029 (p) | EUR | 617000 | 704728 |
| CBRE Europe Logistics Partners SCA SICAV-SIF 3.5% 9/22/2032 (p) | EUR | 300000 | 352671 |
| CBRE Open-Ended Funds SCA SICAV-SIF 4.75% 3/27/2034 (p) | EUR | 289000 | 362060 |
| Logicor Financing Sarl 1.625% 1/17/2030 (p) | EUR | 181000 | 202411 |
| Logicor Financing Sarl 2% 1/17/2034 (p) | EUR | 428000 | 443393 |
| Logicor Financing Sarl 3.75% 7/14/2032 (p) | EUR | 120000 | 142995 |
| Logicor Financing Sarl 4.25% 7/18/2029 (p) | EUR | 100000 | 122751 |
| P3 Group Sarl 3.75% 4/2/2033 (p) | EUR | 200000 | 236871 |
| P3 Group Sarl 4% 4/19/2032 (p) | EUR | 300000 | 363322 |
|  |  |  | 3393698 |
| TOTAL REAL ESTATE |  |  | 4229545 |
| TOTAL LUXEMBOURG |  |  | 7919288 |
| MALAYSIA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| GENM Capital Labuan Ltd 3.882% 4/19/2031 (o) |  | 265000 | 244793 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Petronas Capital Ltd 3.404% 4/28/2061 (o) |  | 235000 | 162447 |
| Petronas Capital Ltd 3.5% 4/21/2030 (o) |  | 120000 | 117751 |
| TOTAL ENERGY |  |  | 280198 |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| MISC Capital Two Labuan Ltd 3.75% 4/6/2027 (o) |  | 450000 | 448268 |
| TOTAL MALAYSIA |  |  | 973259 |
| MAURITIUS - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Axian Telecom Holding & Management PLC 7.25% 7/11/2030 (o) |  | 560000 | 567448 |
| MEXICO - 1.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Metalsa Sapi De Cv 3.75% 5/4/2031 (o) |  | 205000 | 178285 |
| Energy - 0.9% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.9% |  |  |  |
| FEL Energy VI SARL 5.75% 12/1/2040 (o) |  | 109645 | 107535 |
| Petroleos Mexicanos 5.95% 1/28/2031  |  | 39470000 | 38641130 |
| Petroleos Mexicanos 6.35% 2/12/2048  |  | 3548000 | 2846915 |
| Petroleos Mexicanos 6.5% 6/2/2041  |  | 85000 | 75665 |
| Petroleos Mexicanos 6.625% 6/15/2035  |  | 1020000 | 976038 |
| Petroleos Mexicanos 6.7% 2/16/2032  |  | 6577000 | 6596073 |
| Petroleos Mexicanos 6.75% 9/21/2047  |  | 13445000 | 11179518 |
| Petroleos Mexicanos 6.95% 1/28/2060  |  | 1224000 | 1007640 |
| Petroleos Mexicanos 7.69% 1/23/2050  |  | 3865000 | 3510193 |
| TOTAL ENERGY |  |  | 64940707 |
| Financials - 0.1% |  |  |  |
| Banks - 0.0% |  |  |  |
| BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX 5.25% 9/10/2029 (o) |  | 215000 | 221066 |
| Capital Markets - 0.1% |  |  |  |
| Eagle Funding Luxco Sarl 5.5% 8/17/2030 (o) |  | 565000 | 576300 |
| TOTAL FINANCIALS |  |  | 797366 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Orbia Advance Corp SAB de CV 2.875% 5/11/2031 (o) |  | 140000 | 116116 |
| Orbia Advance Corp SAB de CV 6.8% 5/13/2030 (o) |  | 370000 | 372143 |
|  |  |  | 488259 |
| Metals & Mining - 0.0% |  |  |  |
| Fresnillo PLC 4.25% 10/2/2050 (o) |  | 155000 | 122954 |
| TOTAL MATERIALS |  |  | 611213 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Corp Inmobiliaria Vesta SAB de CV 5.5% 1/30/2033 (o) |  | 200000 | 200716 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Buffalo Energy Mexico Holdings / Buffalo Energy Infrastructure / Buffalo Energy 7.875% 2/15/2039 (o) |  | 242878 | 265511 |
| Saavi Energia Sarl 8.875% 2/10/2035 (o) |  | 410000 | 450391 |
| TOTAL UTILITIES |  |  | 715902 |
| TOTAL MEXICO |  |  | 67444189 |
| MOROCCO - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| OCP SA 3.75% 6/23/2031 (o) |  | 230000 | 216890 |
| OCP SA 6.1% 4/30/2030 (o) |  | 200000 | 209000 |
| OCP SA 6.75% 5/2/2034 (o) |  | 255000 | 276769 |
| OCP SA 6.875% 4/25/2044 (o) |  | 160000 | 168576 |
| OCP SA 7.5% 5/2/2054 (o) |  | 115000 | 129026 |
| TOTAL MOROCCO |  |  | 1000261 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| European Investment Bank 2.875% 1/12/2033 (p) | EUR | 80000 | 96155 |
| NETHERLANDS - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Koninklijke KPN NV 3.875% 2/16/2036 (p) | EUR | 200000 | 240266 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| REWE International Finance BV 4.875% 9/13/2030 (p) | EUR | 400000 | 506798 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Cooperatieve Rabobank UA 1.125% 5/7/2031 (p) | EUR | 400000 | 429226 |
| Cooperatieve Rabobank UA 5.71% 1/21/2033 (c)(o) |  | 650000 | 691344 |
| ING Groep NV 3% 8/17/2031 (c)(p) | EUR | 700000 | 823893 |
|  |  |  | 1944463 |
| Insurance - 0.0% |  |  |  |
| Argentum Netherlands BV 5.625% 8/15/2052 (c)(p) |  | 393000 | 398277 |
| TOTAL FINANCIALS |  |  | 2342740 |
| Information Technology - 0.1% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  |  | 1841000 | 1872903 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  |  | 5308000 | 5422115 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 7295018 |
| TOTAL NETHERLANDS |  |  | 10384822 |
| NIGERIA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| IHS Holding Ltd 5.625% 11/29/2026 (o) |  | 564000 | 561219 |
| IHS Holding Ltd 6.25% 11/29/2028 (o) |  | 55000 | 55154 |
| IHS Holding Ltd 7.875% 5/29/2030 (o) |  | 490000 | 511438 |
| IHS Holding Ltd 8.25% 11/29/2031 (o) |  | 480000 | 511234 |
| TOTAL COMMUNICATION SERVICES |  |  | 1639045 |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| IHS Netherlands Holdco BV 8% 9/18/2027 (o) |  | 158119 | 158752 |
| TOTAL NIGERIA |  |  | 1797797 |
| NORWAY - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| TGS ASA 8.5% 1/15/2030 (o) |  | 373000 | 393991 |
| PANAMA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (o) |  | 1075000 | 1087907 |
| Media - 0.0% |  |  |  |
| Telecomunicaciones Digitales SA 4.5% 1/30/2030 (o) |  | 460000 | 442175 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (o) |  | 1145000 | 1182530 |
| TOTAL COMMUNICATION SERVICES |  |  | 2712612 |
| Industrials - 0.0% |  |  |  |
| Air Freight & Logistics - 0.0% |  |  |  |
| Aeropuerto Internacional de Tocumen SA 5.125% 8/11/2061 (o) |  | 105000 | 86506 |
| TOTAL PANAMA |  |  | 2799118 |
| PARAGUAY - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Telefonica Celular del Paraguay SA 5.875% 4/15/2027 (o) |  | 200000 | 198912 |
| PERU - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| InRetail Shopping Malls 5.65% 10/16/2032 (o) |  | 205000 | 205974 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco de Credito del Peru S.A. 5.8% 3/10/2035 (c)(o) |  | 235000 | 239700 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Cia de Minas Buenaventura SAA 6.8% 2/4/2032 (o) |  | 280000 | 292061 |
| Volcan Cia Minera SAA 8.5% 10/28/2032 (o) |  | 720000 | 753323 |
| TOTAL MATERIALS |  |  | 1045384 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Kallpa Generacion SA 5.5% 9/11/2035 (o) |  | 200000 | 202230 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Niagara Energy SAC 5.746% 10/3/2034 (o) |  | 345000 | 357108 |
| TOTAL UTILITIES |  |  | 559338 |
| TOTAL PERU |  |  | 2050396 |
| POLAND - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| ORLEN SA 6% 1/30/2035 (o) |  | 345000 | 366518 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GTC Aurora Luxembourg SA 2.25% 6/23/2026 (p) | EUR | 568000 | 667169 |
| GTC Finance DAC 6.5% 10/15/2030 (p) | EUR | 600000 | 662877 |
| TOTAL REAL ESTATE |  |  | 1330046 |
| TOTAL POLAND |  |  | 1696564 |
| QATAR - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Ooredoo International Finance Ltd 2.625% 4/8/2031 (o) |  | 170000 | 157955 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| QatarEnergy 1.375% 9/12/2026 (o) |  | 350000 | 344907 |
| QatarEnergy 2.25% 7/12/2031 (o) |  | 925000 | 839678 |
| QatarEnergy 3.125% 7/12/2041 (o) |  | 535000 | 419788 |
| QatarEnergy 3.3% 7/12/2051 (o) |  | 815000 | 580745 |
| TOTAL ENERGY |  |  | 2185118 |
| TOTAL QATAR |  |  | 2343073 |
| SAUDI ARABIA - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| EIG Pearl Holdings Sarl 3.545% 8/31/2036 (o) |  | 630445 | 583792 |
| Saudi Arabian Oil Co 2.25% 11/24/2030 (o) |  | 445000 | 404959 |
| Saudi Arabian Oil Co 3.25% 11/24/2050 (o) |  | 345000 | 230581 |
| Saudi Arabian Oil Co 3.5% 11/24/2070 (o) |  | 135000 | 84914 |
| Saudi Arabian Oil Co 3.5% 4/16/2029 (o) |  | 710000 | 697674 |
| Saudi Arabian Oil Co 4.25% 4/16/2039 (o) |  | 785000 | 717050 |
| Saudi Arabian Oil Co 4.375% 2/2/2031 (o) |  | 240000 | 239616 |
| Saudi Arabian Oil Co 4.375% 4/16/2049 (o) |  | 120000 | 100126 |
| Saudi Arabian Oil Co 5.875% 7/17/2064 (o) |  | 200000 | 194000 |
| Saudi Arabian Oil Co 6.375% 6/2/2055 (o) |  | 450000 | 474755 |
| TOTAL ENERGY |  |  | 3727467 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Gaci First Investment Co 5% 10/13/2027 (p) |  | 355000 | 359304 |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| Greensaif Pipelines Bidco Sarl 5.8528% 2/23/2036 (o) |  | 435000 | 455036 |
| Greensaif Pipelines Bidco Sarl 6.1027% 8/23/2042 (o) |  | 270000 | 282680 |
| Greensaif Pipelines Bidco Sarl 6.129% 2/23/2038 (o) |  | 400000 | 424724 |
| Greensaif Pipelines Bidco Sarl 6.51% 2/23/2042 (o) |  | 120000 | 131175 |
| TOTAL INDUSTRIALS |  |  | 1293615 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Ma'aden Sukuk Ltd 5.25% 1/29/2036 (o) |  | 200000 | 202230 |
| Ma'aden Sukuk Ltd 5.25% 2/13/2030 (o) |  | 335000 | 344102 |
| TOTAL MATERIALS |  |  | 546332 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Dar Al-Arkan Sukuk Co Ltd 7.25% 7/2/2030 (p) |  | 210000 | 215775 |
| TOTAL SAUDI ARABIA |  |  | 6142493 |
| SERBIA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Distributors - 0.0% |  |  |  |
| Telecommunications co Telekom Srbija AD Belgrade 7% 10/28/2029 (o) |  | 335000 | 339908 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Liquid Telecommunications Financing Plc 5.5% 9/4/2026 (o) |  | 1610000 | 1553892 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| MTN Mauritius Investments Ltd 6.5% 10/13/2026 (o) |  | 145000 | 146160 |
| TOTAL COMMUNICATION SERVICES |  |  | 1700052 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Transnet/South Africa 8.25% 2/6/2028 (o) |  | 130000 | 137149 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Sasol Financing USA LLC 4.375% 9/18/2026  |  | 370000 | 366907 |
| Sasol Financing USA LLC 5.5% 3/18/2031  |  | 100000 | 87750 |
| Sasol Financing USA LLC 6.5% 9/27/2028  |  | 50000 | 49643 |
| Sasol Financing USA LLC 8.75% 5/3/2029 (o) |  | 120000 | 123037 |
|  |  |  | 627337 |
| Metals & Mining - 0.0% |  |  |  |
| Windfall Mining Group Inc / Groupe Minier Windfall Inc 5.854% 5/13/2032 (o) |  | 200000 | 209680 |
| TOTAL MATERIALS |  |  | 837017 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Eskom Holdings 6.35% 8/10/2028 (o) |  | 350000 | 361158 |
| Eskom Holdings 8.45% 8/10/2028 (o) |  | 220000 | 235882 |
| TOTAL UTILITIES |  |  | 597040 |
| TOTAL SOUTH AFRICA |  |  | 3271258 |
| SPAIN - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/2035 (c) |  | 600000 | 641710 |
| CaixaBank SA 3.625% 9/19/2032 (c)(p) | EUR | 300000 | 361096 |
| TOTAL SPAIN |  |  | 1002806 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Heimstaden Bostad AB 3.875% 11/5/2029 (p) | EUR | 290000 | 349727 |
| Samhallsbyggnadsbolaget I Norden Holding AB 2.25% 7/12/2027 (p) | EUR | 135000 | 152486 |
| TOTAL SWEDEN |  |  | 502213 |
| SWITZERLAND - 0.5%  |  |  |  |
| Financials - 0.4% |  |  |  |
| Capital Markets - 0.4% |  |  |  |
| UBS Group AG 1.494% 8/10/2027 (c)(o) |  | 1190000 | 1176678 |
| UBS Group AG 3.869% 1/12/2029 (c)(o) |  | 1570000 | 1564975 |
| UBS Group AG 4.125% 6/9/2033 (c)(p) | EUR | 378000 | 465759 |
| UBS Group AG 4.194% 4/1/2031 (c)(o) |  | 9010000 | 8984285 |
| UBS Group AG 4.55% 4/17/2026  |  | 388000 | 388244 |
| UBS Group AG 4.75% 3/17/2032 (c)(p) | EUR | 1093000 | 1384033 |
| UBS Group AG 5.428% 2/8/2030 (c)(o) |  | 12000000 | 12438014 |
|  |  |  | 26401988 |
| Insurance - 0.0% |  |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (c)(o) |  | 200000 | 202052 |
| Zurich Finance Ireland Designated Activity Co 3.5% 5/2/2052 (c)(p) |  | 374000 | 342332 |
|  |  |  | 544384 |
| TOTAL FINANCIALS |  |  | 26946372 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 6.375% 2/1/2030 (o) |  | 595000 | 553521 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 7.875% 5/1/2027 (o) |  | 414000 | 415031 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 9.5% 6/1/2028 (o) |  | 30000 | 30936 |
| TOTAL INDUSTRIALS |  |  | 999488 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Consolidated Energy Finance SA 12% 2/15/2031 (o) |  | 575000 | 497375 |
| Consolidated Energy Finance SA 5.625% 10/15/2028 (o) |  | 220000 | 184800 |
| Consolidated Energy Finance SA 6.5% 5/15/2026 (o) |  | 1485000 | 1474468 |
|  |  |  | 2156643 |
| Containers & Packaging - 0.0% |  |  |  |
| SIG Combibloc PurchaseCo Sarl 3.75% 3/19/2030 (p) | EUR | 125000 | 150342 |
| TOTAL MATERIALS |  |  | 2306985 |
| TOTAL SWITZERLAND |  |  | 30252845 |
| TANZANIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (o) |  | 295000 | 304851 |
| THAILAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| PTT Treasury Center Co Ltd 3.7% 7/16/2070 (o) |  | 105000 | 74588 |
| TURKEY - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Turk Telekomunikasyon AS 6.95% 10/7/2032 (o) |  | 140000 | 143428 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Turkiye Garanti Bankasi AS 8.125% 1/8/2036 (c)(o) |  | 215000 | 223766 |
| Turkiye Ihracat Kredi Bankasi AS 6.375% 1/15/2031 (o) |  | 300000 | 300600 |
| Turkiye Ihracat Kredi Bankasi AS 6.375% 10/3/2030 (o) |  | 265000 | 266325 |
| TOTAL FINANCIALS |  |  | 790691 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| TAV Havalimanlari Holding AS 8.5% 12/7/2028 (o) |  | 105000 | 109536 |
| TOTAL TURKEY |  |  | 1043655 |
| UKRAINE - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| NAK Naftogaz Ukraine via Kondor Finance PLC loan participation 7.625% 11/8/2028 pay-in-kind (o) |  | 116756 | 93054 |
| UNITED ARAB EMIRATES - 0.1%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Adnoc Murban Rsc Ltd 5.125% 9/11/2054 (o) |  | 230000 | 216057 |
| Galaxy Pipeline Assets Bidco Ltd 2.16% 3/31/2034 (o) |  | 199269 | 181385 |
| Galaxy Pipeline Assets Bidco Ltd 2.625% 3/31/2036 (o) |  | 790000 | 702103 |
| TOTAL ENERGY |  |  | 1099545 |
| Financials - 0.1% |  |  |  |
| Financial Services - 0.1% |  |  |  |
| Abu Dhabi Developmental Holding Co PJSC 5.25% 10/2/2054 (o) |  | 265000 | 256886 |
| Abu Dhabi Developmental Holding Co PJSC 5.5% 5/8/2034 (o) |  | 230000 | 242868 |
| MDGH GMTN RSC Ltd 2.875% 11/7/2029 (o) |  | 280000 | 268276 |
| MDGH GMTN RSC Ltd 4.375% 11/22/2033 (o) |  | 120000 | 118554 |
| MDGH GMTN RSC Ltd 5.084% 5/22/2053 (o) |  | 390000 | 372451 |
| MDGH GMTN RSC Ltd Series 1, 5.5% 4/28/2033 (o) |  | 145000 | 153410 |
| TOTAL FINANCIALS |  |  | 1412445 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| DP World Crescent Ltd 3.7495% 1/30/2030 (o) |  | 170000 | 165005 |
| DP World Ltd/United Arab Emirates 5.625% 9/25/2048 (o) |  | 295000 | 288068 |
| TOTAL INDUSTRIALS |  |  | 453073 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Aldar Properties PJSC 5.875% 4/14/2056 (c)(o) |  | 200000 | 198620 |
| Aldar Properties PJSC 6.6227% 4/15/2055 (c)(p) |  | 400000 | 414676 |
| Alpha Star Holding IX Ltd 7% 8/26/2028 (p) |  | 200000 | 205000 |
| Alpha Star Holding VIII Ltd 8.375% 4/12/2027 (p) |  | 200000 | 205500 |
| Sobha Sukuk Ltd 8.75% 7/17/2028 (p) |  | 200000 | 209894 |
| TOTAL REAL ESTATE |  |  | 1233690 |
| Utilities - 0.0% |  |  |  |
| Multi-Utilities - 0.0% |  |  |  |
| Abu Dhabi National Energy Co PJSC 4% 10/3/2049 (o) |  | 235000 | 190893 |
| Abu Dhabi National Energy Co PJSC 4.375% 1/24/2029 (o) |  | 150000 | 151219 |
| Abu Dhabi National Energy Co PJSC 4.696% 4/24/2033 (o) |  | 135000 | 136355 |
| Abu Dhabi National Energy Co PJSC 4.75% 3/9/2037 (o) |  | 280000 | 276327 |
| Abu Dhabi National Energy Co PJSC 4.875% 4/23/2030 (o) |  | 85000 | 87401 |
| TOTAL UTILITIES |  |  | 842195 |
| TOTAL UNITED ARAB EMIRATES |  |  | 5040948 |
| UNITED KINGDOM - 1.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| BT Finance PLC 3.375% 11/17/2032 (p) | EUR | 325000 | 384520 |
| Virgin Media Finance PLC 5% 7/15/2030 (o) |  | 40000 | 33276 |
|  |  |  | 417796 |
| Media - 0.0% |  |  |  |
| Virgin Media Secured Finance PLC 4.5% 8/15/2030 (o) |  | 1085000 | 989044 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Vmed O2 UK Financing I PLC 6.75% 1/15/2033 (o) |  | 185000 | 175379 |
| TOTAL COMMUNICATION SERVICES |  |  | 1582219 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Macquarie Airfinance Holdings Ltd 6.4% 3/26/2029 (o) |  | 75000 | 79096 |
| Broadline Retail - 0.0% |  |  |  |
| John Lewis PLC 4.25% 12/18/2034 (p) | GBP | 304000 | 354934 |
| Marks & Spencer PLC 5.125% 8/18/2032 (p) | GBP | 200000 | 273166 |
|  |  |  | 628100 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| IHG Finance LLC 3.375% 9/10/2030 (p) | EUR | 150000 | 179241 |
| Whitbread Group PLC 2.375% 5/31/2027 (p) | GBP | 249000 | 326829 |
|  |  |  | 506070 |
| Household Durables - 0.0% |  |  |  |
| Berkeley Group PLC/The 2.5% 8/11/2031 (p) | GBP | 648000 | 765109 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1978375 |
| Consumer Staples - 0.4% |  |  |  |
| Tobacco - 0.4% |  |  |  |
| BAT Capital Corp 4.7% 4/2/2027  |  | 1252000 | 1260489 |
| BAT Capital Corp 4.906% 4/2/2030  |  | 1500000 | 1541343 |
| BAT Capital Corp 5.282% 4/2/2050  |  | 1500000 | 1377966 |
| BAT Capital Corp 6% 2/20/2034  |  | 10000000 | 10853346 |
| BAT Capital Corp 6.421% 8/2/2033  |  | 1137000 | 1264641 |
| BAT International Finance PLC 4.125% 4/12/2032 (p) | EUR | 1017000 | 1245520 |
| Imperial Brands Finance PLC 3.875% 2/12/2034 (p) | EUR | 1125000 | 1330857 |
| Imperial Brands Finance PLC 6.125% 7/27/2027 (o) |  | 764000 | 784911 |
| Reynolds American Inc 7.25% 6/15/2037  |  | 75000 | 87804 |
| TOTAL CONSUMER STAPLES |  |  | 19746877 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| EG Global Finance PLC 12% 11/30/2028 (o) |  | 1750000 | 1881332 |
| Financials - 0.6% |  |  |  |
| Banks - 0.6% |  |  |  |
| Barclays PLC 3.543% 8/14/2031 (c)(p) | EUR | 600000 | 718501 |
| Barclays PLC 5.088% 6/20/2030 (c) |  | 1421000 | 1449309 |
| Barclays PLC 5.2% 5/12/2026  |  | 1318000 | 1320884 |
| Barclays PLC 5.367% 2/25/2031 (c) |  | 6000000 | 6228172 |
| Barclays PLC 5.69% 3/12/2030 (c) |  | 3094000 | 3225499 |
| Barclays PLC 5.829% 5/9/2027 (c) |  | 2370000 | 2377634 |
| Barclays PLC 6.224% 5/9/2034 (c) |  | 8576000 | 9278829 |
| Barclays PLC 6.49% 9/13/2029 (c) |  | 2400000 | 2534694 |
| Barclays PLC 6.692% 9/13/2034 (c) |  | 2000000 | 2226209 |
| HSBC Holdings PLC 4.787% 3/10/2032 (c)(p) | EUR | 547000 | 693278 |
| HSBC Holdings PLC 4.856% 5/23/2033 (c)(p) | EUR | 640000 | 816571 |
| HSBC Holdings PLC 8.201% 11/16/2034 (c)(p) | GBP | 225000 | 335526 |
| Lloyds Banking Group PLC 4.75% 9/21/2031 (c)(p) | EUR | 925000 | 1169211 |
| NatWest Group PLC 2.105% 11/28/2031 (c)(p) | GBP | 638000 | 849177 |
| NatWest Group PLC 3.073% 5/22/2028 (c) |  | 951000 | 941316 |
| NatWest Group PLC 5.847% 3/2/2027 (c) |  | 3394000 | 3394001 |
| NatWest Group PLC 7.416% 6/6/2033 (c)(p) | GBP | 341000 | 484218 |
| Standard Chartered PLC 3.864% 3/17/2033 (c)(p) | EUR | 300000 | 360928 |
| Virgin Money UK PLC 7.625% 8/23/2029 (c)(p) | GBP | 456000 | 663145 |
|  |  |  | 39067102 |
| Consumer Finance - 0.0% |  |  |  |
| Motability Operations Group PLC 3.625% 1/22/2033 (p) | EUR | 450000 | 537570 |
| Financial Services - 0.0% |  |  |  |
| Nationwide Building Society 4% 7/30/2035 (c)(p) | EUR | 200000 | 241401 |
| Insurance - 0.0% |  |  |  |
| Admiral Group PLC 8.5% 1/6/2034 (p) | GBP | 385000 | 602843 |
| TOTAL FINANCIALS |  |  | 40448916 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.875% 9/26/2031 (p) | EUR | 736000 | 742113 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Heathrow Funding Ltd 6% 3/5/2032 (p) | GBP | 505000 | 708530 |
| TOTAL INDUSTRIALS |  |  | 1450643 |
| Real Estate - 0.0% |  |  |  |
| Office REITs - 0.0% |  |  |  |
| Great Portland Estates PLC 5.375% 9/25/2031 (p) | GBP | 200000 | 274595 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Titanium Ruth Holdco Ltd 0.95% 6/2/2026 (p) | EUR | 235000 | 276301 |
| TOTAL REAL ESTATE |  |  | 550896 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| London Power Networks PLC 3.837% 6/11/2037 (p) | EUR | 275000 | 328206 |
| NGG Finance PLC 2.125% 9/5/2082 (c)(p) | EUR | 555000 | 646608 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/2032 (p) | EUR | 375000 | 448374 |
|  |  |  | 1423188 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (o) |  | 1110000 | 1106733 |
| ContourGlobal Power Holdings SA 6.75% 2/28/2030 (o) |  | 385000 | 396550 |
|  |  |  | 1503283 |
| Water Utilities - 0.1% |  |  |  |
| Anglian Water Osprey Financing PLC 6.375% 8/18/2033 (p) | GBP | 200000 | 271987 |
| Anglian Water Services Financing PLC 5.875% 6/20/2031 (p) | GBP | 325000 | 456531 |
| Anglian Water Services Financing PLC 6.25% 9/12/2044 (p) | GBP | 175000 | 230580 |
| Anglian Water Services Financing PLC 6.293% 7/30/2030 (p) | GBP | 305000 | 434113 |
| Northumbrian Water Finance PLC 5.375% 7/22/2032 (p) | GBP | 250000 | 341570 |
| Northumbrian Water Finance PLC 5.625% 4/29/2033 (p) | GBP | 400000 | 550105 |
| Severn Trent Utilities Finance PLC 3.875% 8/4/2035 (p) | EUR | 375000 | 449703 |
| South West Water Finance PLC 5.25% 9/15/2031 (p) | GBP | 350000 | 477905 |
| South West Water Finance PLC 5.75% 12/11/2032 (p) | GBP | 100000 | 140195 |
| SW Finance I PLC 6.875% 8/7/2032 (p) | GBP | 300000 | 426663 |
| SW Finance I PLC 7.375% 12/12/2041 (p) | GBP | 346000 | 490639 |
| Wessex Water Services Finance PLC 6.125% 9/19/2034 (p) | GBP | 300000 | 419243 |
| Yorkshire Water Finance PLC 5.5% 4/28/2035 (p) | GBP | 267000 | 352292 |
| Yorkshire Water Finance PLC 6% 7/22/2033 (p) | GBP | 300000 | 415950 |
|  |  |  | 5457476 |
| TOTAL UTILITIES |  |  | 8383947 |
| TOTAL UNITED KINGDOM |  |  | 76023205 |
| UNITED STATES - 16.9%  |  |  |  |
| Communication Services - 1.4% |  |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |  |
| APLD ComputeCo LLC 9.25% 12/15/2030 (o) |  | 1690000 | 1773810 |
| AT&T Inc 3.8% 12/1/2057  |  | 4105000 | 2879886 |
| AT&T Inc 4.3% 2/15/2030  |  | 559000 | 564305 |
| Black Pearl Compute LLC 6.125% 2/15/2031 (o)(v) |  | 429000 | 439061 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (o) |  | 175000 | 174862 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (o) |  | 195000 | 194856 |
| Cipher Compute LLC 7.125% 11/15/2030 (o)(v) |  | 450000 | 469055 |
| Comcast Corp 6.45% 3/15/2037  |  | 365000 | 407315 |
| Connect Holdings LLC 10.5% 4/3/2031 (o) |  | 205000 | 198243 |
| Flash Compute LLC 7.25% 12/31/2030 (o) |  | 760000 | 777950 |
| Level 3 Financing Inc 3.625% 1/15/2029 (o) |  | 229000 | 215260 |
| Level 3 Financing Inc 3.75% 7/15/2029 (o) |  | 231000 | 214123 |
| Level 3 Financing Inc 4.25% 7/1/2028 (o) |  | 70000 | 67482 |
| Level 3 Financing Inc 6.875% 6/30/2033 (o) |  | 830000 | 859610 |
| Level 3 Financing Inc 7% 3/31/2034 (o) |  | 600000 | 623727 |
| Level 3 Financing Inc 8.5% 1/15/2036 (o) |  | 1005000 | 1046406 |
| Lumen Technologies Inc 4.5% 1/15/2029 (o) |  | 70000 | 66634 |
| Uniti Services LLC 7.5% 10/15/2033 (o) |  | 390000 | 405768 |
| Verizon Communications Inc 2.55% 3/21/2031  |  | 1065000 | 985386 |
| Verizon Communications Inc 4.75% 1/15/2033  |  | 3562000 | 3612384 |
| Verizon Communications Inc 4.78% 2/15/2035  |  | 1330000 | 1324250 |
| WULF Compute LLC 7.75% 10/15/2030 (o)(v) |  | 870000 | 921342 |
|  |  |  | 18221715 |
| Interactive Media & Services - 0.0% |  |  |  |
| Alphabet Inc 3.375% 5/6/2037  | EUR | 100000 | 116198 |
| Alphabet Inc 3.875% 5/6/2045  | EUR | 100000 | 113508 |
| Alphabet Inc 4% 5/6/2054  | EUR | 100000 | 110826 |
| Snap Inc 6.875% 3/1/2033 (o)(v) |  | 295000 | 293826 |
| Snap Inc 6.875% 3/15/2034 (o) |  | 195000 | 194405 |
|  |  |  | 828763 |
| Media - 1.0% |  |  |  |
| Advantage Sales & Marketing Inc 6.5% 11/15/2028 (o) |  | 590000 | 483800 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 1/15/2034 (o) |  | 485000 | 422484 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 2/1/2031 (o) |  | 730000 | 680433 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 5/1/2032  |  | 710000 | 649760 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 6/1/2033 (o) |  | 425000 | 379575 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 2/1/2032 (o) |  | 325000 | 302226 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7% 2/1/2033 (o) |  | 190000 | 194265 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7.375% 2/1/2036 (o)(v) |  | 150000 | 152256 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  |  | 5694000 | 4967726 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  |  | 5574000 | 5308326 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  |  | 2154000 | 1737350 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  |  | 9941000 | 8285723 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  |  | 2499000 | 1994252 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  |  | 5861000 | 5101348 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  |  | 1898000 | 1989257 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  |  | 2039000 | 1936088 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  |  | 16233000 | 17264222 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.65% 2/1/2034  |  | 11000000 | 11682766 |
| Clear Channel Outdoor Holdings Inc 7.125% 2/15/2031 (o) |  | 525000 | 554931 |
| Clear Channel Outdoor Holdings Inc 7.5% 3/15/2033 (o) |  | 525000 | 566749 |
| Clear Channel Outdoor Holdings Inc 7.5% 6/1/2029 (o) |  | 436000 | 439104 |
| Clear Channel Outdoor Holdings Inc 7.75% 4/15/2028 (o) |  | 205000 | 206627 |
| Clear Channel Outdoor Holdings Inc 7.875% 4/1/2030 (o) |  | 355000 | 374100 |
| CMG Media Corp 8.875% 6/18/2029 (o) |  | 85000 | 74180 |
| CSC Holdings LLC 3.375% 2/15/2031 (o) |  | 2615000 | 1558776 |
| CSC Holdings LLC 4.125% 12/1/2030 (o) |  | 115000 | 70158 |
| CSC Holdings LLC 4.5% 11/15/2031 (o) |  | 425000 | 255064 |
| CSC Holdings LLC 4.625% 12/1/2030 (o) |  | 550000 | 203563 |
| Discovery Communications LLC 6.35% 6/1/2040  |  | 175000 | 142468 |
| Discovery Global Holdings Inc 5.05% 3/15/2042  |  | 135000 | 96863 |
| DISH DBS Corp 5.125% 6/1/2029  |  | 527000 | 470629 |
| DISH DBS Corp 5.25% 12/1/2026 (o) |  | 315000 | 305969 |
| DISH DBS Corp 7.375% 7/1/2028  |  | 310000 | 299101 |
| DISH DBS Corp 7.75% 7/1/2026  |  | 1160000 | 1145631 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (c) |  | 1688038 | 1709567 |
| EW Scripps Co/The 9.875% 8/15/2030 (o) |  | 390000 | 391615 |
| Lamar Media Corp 5.375% 11/1/2033 (o) |  | 185000 | 185483 |
| Time Warner Cable LLC 4.5% 9/15/2042  |  | 167000 | 131698 |
| Time Warner Cable LLC 6.75% 6/15/2039  |  | 378000 | 387165 |
| Time Warner Cable LLC 7.3% 7/1/2038  |  | 2420000 | 2618918 |
| Univision Communications Inc 8.5% 7/31/2031 (o)(v) |  | 905000 | 926183 |
| Univision Communications Inc 9.375% 8/1/2032 (o) |  | 295000 | 312159 |
|  |  |  | 76958558 |
| Wireless Telecommunication Services - 0.2% |  |  |  |
| T-Mobile USA Inc 3.75% 4/15/2027  |  | 1250000 | 1248022 |
| T-Mobile USA Inc 3.875% 4/15/2030  |  | 2100000 | 2083856 |
| T-Mobile USA Inc 4.5% 4/15/2050  |  | 528000 | 443030 |
| T-Mobile USA Inc 5.05% 7/15/2033  |  | 13000000 | 13409869 |
|  |  |  | 17184777 |
| TOTAL COMMUNICATION SERVICES |  |  | 113193813 |
| Consumer Discretionary - 0.5% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| American Axle & Manufacturing Inc 6.375% 10/15/2032 (o) |  | 280000 | 284963 |
| American Axle & Manufacturing Inc 7.75% 10/15/2033 (o)(v) |  | 530000 | 538661 |
| Clarios Global LP / Clarios US Finance Co 6.75% 9/15/2032 (o) |  | 535000 | 555343 |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (o) |  | 330000 | 345662 |
| Cooper-Standard Automotive Inc 9.25% 3/1/2031 (g)(o) |  | 380000 | 381071 |
|  |  |  | 2105700 |
| Automobiles - 0.1% |  |  |  |
| Ford Motor Co 3.25% 2/12/2032  |  | 4000000 | 3600413 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (o) |  | 645000 | 610093 |
| Stellantis Finance US Inc 5.75% 3/18/2030 (o) |  | 570000 | 583947 |
|  |  |  | 4794453 |
| Broadline Retail - 0.0% |  |  |  |
| GrubHub Holdings Inc 13% 7/31/2030 pay-in-kind (o) |  | 131810 | 88157 |
| Saks Global Enterprises LLC 11% (m)(o) |  | 1 | 0 |
| Saks Global Enterprises LLC 11% (l)(m)(o) |  | 196459 | 0 |
| Wayfair LLC 6.75% 11/15/2032 (o) |  | 545000 | 555461 |
| Wayfair LLC 7.25% 10/31/2029 (o) |  | 950000 | 981770 |
| Wayfair LLC 7.75% 9/15/2030 (o)(v) |  | 1224000 | 1287171 |
|  |  |  | 2912559 |
| Diversified Consumer Services - 0.0% |  |  |  |
| Service Corp International/US 5.75% 10/15/2032  |  | 160000 | 163121 |
| Sotheby's 7.375% 10/15/2027 (o) |  | 1445000 | 1436195 |
| Sotheby's/Bidfair Holdings Inc 5.875% 6/1/2029 (o) |  | 40000 | 38485 |
| StoneMor Inc 8.5% 5/15/2029 (o) |  | 1006000 | 975844 |
| TKC Holdings Inc 12% 2/15/2031 (o) |  | 545000 | 572839 |
| TKC Holdings Inc 8.5% 8/15/2030 (o) |  | 725000 | 741885 |
|  |  |  | 3928369 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |  |
| Acushnet Co 5.625% 12/1/2033 (o) |  | 185000 | 188287 |
| BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc 9.5% 7/1/2032 (o)(v) |  | 235000 | 216464 |
| Carnival Corp 5.75% 8/1/2032 (o) |  | 80000 | 83024 |
| Carnival Corp 5.875% 6/15/2031 (o) |  | 655000 | 684490 |
| Carnival Corp 6.125% 2/15/2033 (o) |  | 1555000 | 1609732 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (o) |  | 1325000 | 1249634 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (o) |  | 1110000 | 1034228 |
| Hilton Domestic Operating Co Inc 5.5% 3/31/2034 (o) |  | 185000 | 186975 |
| Hilton Domestic Operating Co Inc 5.75% 9/15/2033 (o) |  | 345000 | 353163 |
| Hilton Domestic Operating Co Inc 5.875% 3/15/2033 (o) |  | 315000 | 324208 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (o) |  | 50000 | 51011 |
| Life Time Inc 6% 11/15/2031 (o) |  | 925000 | 952758 |
| Light & Wonder International Inc 6.25% 10/1/2033 (o) |  | 550000 | 552376 |
| MajorDrive Holdings IV LLC 6.375% 6/1/2029 (o) |  | 565000 | 418504 |
| McDonald's Corp 3.5% 5/21/2032 (p) | EUR | 425000 | 510382 |
| McDonald's Corp 3.5% 7/1/2027  |  | 353000 | 351597 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 11.875% 4/15/2031 (o) |  | 330000 | 349837 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 8.25% 4/15/2030 (o)(v) |  | 180000 | 187570 |
| NCL Corp Ltd 6.25% 9/15/2033 (o) |  | 400000 | 403752 |
| NCL Corp Ltd 6.75% 2/1/2032 (o) |  | 365000 | 375866 |
| Royal Caribbean Cruises Ltd 6% 2/1/2033 (o) |  | 432000 | 446876 |
| Viking Cruises Ltd 5.875% 10/15/2033 (o) |  | 1840000 | 1877094 |
| Yum! Brands Inc 4.625% 1/31/2032 (v) |  | 194000 | 190733 |
|  |  |  | 12598561 |
| Household Durables - 0.1% |  |  |  |
| Ashton Woods USA LLC / Ashton Woods Finance Co 6.875% 8/1/2033 (o) |  | 195000 | 196823 |
| Century Communities Inc 6.625% 9/15/2033 (o) |  | 355000 | 360721 |
| Dream Finders Homes Inc 6.875% 9/15/2030 (o) |  | 355000 | 362981 |
| LGI Homes Inc 7% 11/15/2032 (o) |  | 1555000 | 1524430 |
| LGI Homes Inc 8.75% 12/15/2028 (o) |  | 221000 | 230583 |
| New Home Co Inc/The 8.5% 11/1/2030 (o) |  | 335000 | 348842 |
| TopBuild Corp 4.125% 2/15/2032 (o) |  | 385000 | 365905 |
| TopBuild Corp 5.625% 1/31/2034 (o) |  | 365000 | 368121 |
| Whirlpool Corp 5.75% 3/1/2034 (v) |  | 80000 | 75964 |
| Whirlpool Corp 6.125% 6/15/2030  |  | 682000 | 685061 |
| Whirlpool Corp 6.5% 6/15/2033 (v) |  | 1530000 | 1526857 |
|  |  |  | 6046288 |
| Specialty Retail - 0.1% |  |  |  |
| Advance Auto Parts Inc 7.375% 8/1/2033 (o) |  | 380000 | 389426 |
| AutoNation Inc 4.75% 6/1/2030  |  | 156000 | 158246 |
| AutoZone Inc 4% 4/15/2030  |  | 1110000 | 1105200 |
| Carvana Co 9% 6/1/2030 pay-in-kind (c)(o) |  | 681250 | 709222 |
| Champions Financing Inc 8.75% 2/15/2029 (o)(v) |  | 635000 | 602034 |
| LBM Acquisition LLC 6.25% 1/15/2029 (o) |  | 275000 | 209666 |
| LBM Acquisition LLC 9.5% 6/15/2031 (o) |  | 525000 | 489668 |
| Lowe's Cos Inc 3.35% 4/1/2027  |  | 149000 | 148202 |
| Lowe's Cos Inc 3.75% 4/1/2032  |  | 459000 | 444649 |
| Michaels Cos Inc/The 11% 3/15/2034 (g)(o) |  | 570000 | 532758 |
| Michaels Cos Inc/The 7.875% 5/1/2029 (o) |  | 465000 | 467093 |
| Michaels Cos Inc/The 8.5% 3/15/2033 (g)(o) |  | 570000 | 554442 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  |  | 246000 | 247016 |
| Staples Inc 10.75% 9/1/2029 (o) |  | 820000 | 752403 |
| Staples Inc 12.75% 1/15/2030 (o) |  | 578275 | 406499 |
| Wand NewCo 3 Inc 7.625% 1/30/2032 (o) |  | 130000 | 135649 |
|  |  |  | 7352173 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 39738103 |
| Consumer Staples - 0.3% |  |  |  |
| Consumer Staples Distribution & Retail - 0.2% |  |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.75% 3/31/2034 (o) |  | 445000 | 442787 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.25% 3/15/2033 (o) |  | 440000 | 453719 |
| Albertsons Cos Inc 5.625% 3/31/2032 (o) |  | 380000 | 381496 |
| C&S Group Enterprises LLC 5% 12/15/2028 (o) |  | 400000 | 378152 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (o) |  | 700000 | 734502 |
| Kroger Co/The 5% 9/15/2034  |  | 2680000 | 2724967 |
| Mars Inc 4.8% 3/1/2030 (o) |  | 4050000 | 4163379 |
| Mars Inc 5% 3/1/2032 (o) |  | 3041000 | 3150063 |
| Performance Food Group Inc 5.625% 3/1/2034 (o) |  | 440000 | 441472 |
| Performance Food Group Inc 6.125% 9/15/2032 (o) |  | 185000 | 189902 |
| Sysco Corp 5.95% 4/1/2030  |  | 471000 | 501366 |
| Sysco Corp 6.6% 4/1/2050  |  | 710000 | 794922 |
| US Foods Inc 5.75% 4/15/2033 (o) |  | 220000 | 224406 |
| US Foods Inc 7.25% 1/15/2032 (o)(v) |  | 180000 | 188514 |
|  |  |  | 14769647 |
| Food Products - 0.1% |  |  |  |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 3% 5/15/2032  |  | 3083000 | 2807239 |
| Lamb Weston Holdings Inc 4.375% 1/31/2032 (o)(v) |  | 1215000 | 1159863 |
| Post Holdings Inc 6.25% 10/15/2034 (o) |  | 295000 | 301292 |
| Post Holdings Inc 6.375% 3/1/2033 (o) |  | 535000 | 544567 |
| Post Holdings Inc 6.5% 3/15/2036 (o) |  | 185000 | 188198 |
|  |  |  | 5001159 |
| Household Products - 0.0% |  |  |  |
| Resideo Funding Inc 6.5% 7/15/2032 (o) |  | 180000 | 183765 |
| Tobacco - 0.0% |  |  |  |
| Altria Group Inc 3.875% 9/16/2046  |  | 1521000 | 1170816 |
| Altria Group Inc 4.25% 8/9/2042  |  | 932000 | 791174 |
| Altria Group Inc 4.5% 5/2/2043  |  | 632000 | 548397 |
| Altria Group Inc 4.8% 2/14/2029  |  | 173000 | 176755 |
| Altria Group Inc 5.95% 2/14/2049  |  | 600000 | 607931 |
| Philip Morris International Inc 3.25% 6/6/2032  | EUR | 900000 | 1063821 |
|  |  |  | 4358894 |
| TOTAL CONSUMER STAPLES |  |  | 24313465 |
| Energy - 2.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Archrock Services LP / Archrock Partners Finance Corp 6% 2/1/2034 (o) |  | 750000 | 759363 |
| Kodiak Gas Services LLC 6.5% 10/1/2033 (o) |  | 250000 | 257805 |
| Kodiak Gas Services LLC 6.75% 10/1/2035 (o) |  | 285000 | 297795 |
| Nabors Industries Inc 8.875% 8/15/2031 (o) |  | 325000 | 336693 |
| Star Holding LLC 8.75% 8/1/2031 (o) |  | 270000 | 271987 |
| Transocean International Ltd 7.875% 10/15/2032 (o) |  | 100000 | 107372 |
| Transocean International Ltd 8.25% 5/15/2029 (o) |  | 710000 | 739231 |
| Transocean International Ltd 8.5% 5/15/2031 (o) |  | 835000 | 883042 |
| USA Compression Partners LP / USA Compression Finance Corp 6.25% 10/1/2033 (o) |  | 365000 | 371188 |
| WBI Operating LLC 6.25% 10/15/2030 (o) |  | 295000 | 300676 |
| WBI Operating LLC 6.5% 10/15/2033 (o) |  | 295000 | 299794 |
|  |  |  | 4624946 |
| Oil, Gas & Consumable Fuels - 2.0% |  |  |  |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 10/15/2033 (o) |  | 180000 | 182727 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 7/1/2034 (o) |  | 560000 | 568754 |
| Ascent Resources Utica Holdings LLC / ARU Finance Corp 6.625% 7/15/2033 (o) |  | 210000 | 217914 |
| California Resources Corp 7% 1/15/2034 (o) |  | 35000 | 35640 |
| California Resources Corp 8.25% 6/15/2029 (o) |  | 1085000 | 1139043 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 2/15/2031 (o) |  | 340000 | 362212 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 7/15/2028 (o) |  | 711000 | 738871 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (o) |  | 955000 | 931378 |
| CNX Resources Corp 5.875% 3/1/2034 (o) |  | 405000 | 405741 |
| CNX Resources Corp 7.25% 3/1/2032 (o) |  | 235000 | 246419 |
| Columbia Pipeline Group Inc 5.8% 6/1/2045  |  | 10000 | 10152 |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (o) |  | 290000 | 309787 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (o) |  | 5781000 | 6263477 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (o) |  | 233000 | 251758 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (o) |  | 420000 | 458041 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (o) |  | 252000 | 279662 |
| Comstock Resources Inc 5.875% 1/15/2030 (o) |  | 530000 | 510784 |
| Comstock Resources Inc 6.75% 3/1/2029 (o) |  | 425000 | 423357 |
| CVR Energy Inc 7.5% 2/15/2031 (o) |  | 380000 | 378712 |
| CVR Energy Inc 7.875% 2/15/2034 (o) |  | 190000 | 186202 |
| DBR Land Holdings LLC 6.25% 12/1/2030 (o) |  | 365000 | 376461 |
| DCP Midstream Operating LP 5.125% 5/15/2029  |  | 659000 | 677738 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.125% 6/1/2028 (o) |  | 1090000 | 1095341 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.375% 6/30/2033 (o) |  | 30000 | 31029 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (o) |  | 262000 | 273569 |
| Energy Transfer LP 3.75% 5/15/2030  |  | 481000 | 473157 |
| Energy Transfer LP 4.95% 6/15/2028  |  | 494000 | 503871 |
| Energy Transfer LP 5% 5/15/2050  |  | 839000 | 717107 |
| Energy Transfer LP 5.25% 4/15/2029  |  | 350000 | 361484 |
| Energy Transfer LP 5.75% 2/15/2033  |  | 4000000 | 4251189 |
| Energy Transfer LP 5.8% 6/15/2038  |  | 275000 | 285729 |
| Energy Transfer LP 6.5% 2/15/2056 (c) |  | 189000 | 190972 |
| Energy Transfer LP 6.55% 12/1/2033  |  | 14000000 | 15505213 |
| Energy Transfer LP 6.75% 2/15/2056 (c) |  | 39000 | 39864 |
| Energy Transfer LP 7.375% 2/1/2031 (o) |  | 185000 | 192033 |
| Exxon Mobil Corp 3.482% 3/19/2030  |  | 3150000 | 3107298 |
| Genesis Energy LP / Genesis Energy Finance Corp 6.75% 3/15/2034 (g) |  | 190000 | 192192 |
| Genesis Energy LP / Genesis Energy Finance Corp 8% 5/15/2033  |  | 705000 | 745379 |
| Global Partners LP / GLP Finance Corp 6.875% 1/15/2029  |  | 250000 | 252459 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (o)(v) |  | 160000 | 165545 |
| Harvest Midstream I LP 7.5% 5/15/2032 (o) |  | 385000 | 399623 |
| Hess Corp 5.8% 4/1/2047  |  | 874000 | 916581 |
| Hess Corp 7.125% 3/15/2033  |  | 201000 | 234937 |
| Hess Corp 7.3% 8/15/2031  |  | 2102000 | 2428349 |
| Hess Midstream Operations LP 5.125% 6/15/2028 (o) |  | 540000 | 540436 |
| Hess Midstream Operations LP 5.875% 3/1/2028 (o) |  | 370000 | 376138 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (o) |  | 490000 | 507031 |
| Howard Midstream Energy Partners LLC 6.625% 1/15/2034 (o) |  | 195000 | 201528 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (o) |  | 355000 | 374637 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  |  | 1365000 | 1515803 |
| Kinder Morgan Inc 5.55% 6/1/2045  |  | 415000 | 410325 |
| Kinetik Holdings LP 5.875% 6/15/2030 (o) |  | 465000 | 470236 |
| Kinetik Holdings LP 6.625% 12/15/2028 (o) |  | 480000 | 494842 |
| Moss Creek Resources Holdings Inc 8.25% 9/1/2031 (o) |  | 585000 | 576485 |
| MPLX LP 4.8% 2/15/2029  |  | 175000 | 178384 |
| MPLX LP 4.95% 9/1/2032  |  | 10463000 | 10652246 |
| MPLX LP 5% 3/1/2033  |  | 2000000 | 2032934 |
| MPLX LP 5.5% 2/15/2049  |  | 525000 | 491456 |
| Occidental Petroleum Corp 6.2% 3/15/2040  |  | 700000 | 729590 |
| Occidental Petroleum Corp 6.45% 9/15/2036  |  | 3600000 | 3921314 |
| Occidental Petroleum Corp 6.6% 3/15/2046  |  | 807000 | 857363 |
| Occidental Petroleum Corp 6.625% 9/1/2030  |  | 8000000 | 8657809 |
| Occidental Petroleum Corp 7.5% 5/1/2031  |  | 5927000 | 6748779 |
| Occidental Petroleum Corp 7.875% 9/15/2031  |  | 4000000 | 4643355 |
| ONEOK Inc 4.25% 9/24/2027  |  | 1249000 | 1254974 |
| ONEOK Inc 4.4% 10/15/2029  |  | 1306000 | 1317027 |
| ONEOK Inc 4.75% 10/15/2031  |  | 2540000 | 2576455 |
| Ovintiv Inc 5.15% 11/15/2041  |  | 1916000 | 1680225 |
| Ovintiv Inc 6.625% 8/15/2037  |  | 350000 | 383111 |
| Ovintiv Inc 7.375% 11/1/2031  |  | 435000 | 491301 |
| Ovintiv Inc 8.125% 9/15/2030  |  | 1083000 | 1246515 |
| PBF Holding Co LLC / PBF Finance Corp 6% 2/15/2028  |  | 186000 | 185223 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (o) |  | 660000 | 662288 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (o)(v) |  | 570000 | 604986 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  |  | 4767000 | 4674875 |
| Prairie Acquiror LP 9% 8/1/2029 (o) |  | 320000 | 333915 |
| Rockies Express Pipeline LLC 4.8% 5/15/2030 (o) |  | 490000 | 482275 |
| Rockies Express Pipeline LLC 4.95% 7/15/2029 (o) |  | 230000 | 230018 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (o) |  | 450000 | 474041 |
| Rockies Express Pipeline LLC 6.875% 4/15/2040 (o) |  | 110000 | 113294 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  |  | 1622000 | 1640092 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 160000 | 157646 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  |  | 150000 | 150057 |
| Sunoco LP / Sunoco Finance Corp 6% 4/15/2027  |  | 855000 | 855384 |
| Sunoco LP 4.625% 5/1/2030 (o) |  | 300000 | 293535 |
| Sunoco LP 5.375% 7/15/2031 (g)(o) |  | 380000 | 380887 |
| Sunoco LP 5.625% 3/15/2031 (o) |  | 165000 | 166418 |
| Sunoco LP 5.625% 7/15/2034 (g)(o) |  | 380000 | 379941 |
| Sunoco LP 5.875% 3/15/2034 (o) |  | 165000 | 165659 |
| Sunoco LP 6.25% 7/1/2033 (o) |  | 405000 | 417120 |
| Sunoco LP 6.625% 8/15/2032 (o) |  | 1180000 | 1221414 |
| Sunoco LP 7% 5/1/2029 (o) |  | 60000 | 62227 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 5.5% 1/15/2028 (o) |  | 320000 | 319688 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 12/31/2030 (o) |  | 1820000 | 1844390 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6.75% 3/15/2034 (o) |  | 175000 | 179848 |
| Talos Production Inc 9% 2/1/2029 (o)(v) |  | 345000 | 359301 |
| Targa Resources Corp 4.35% 1/15/2029  |  | 1656000 | 1669483 |
| Targa Resources Corp 4.35% 4/15/2031  |  | 1951000 | 1951157 |
| Targa Resources Corp 4.9% 9/15/2030  |  | 2167000 | 2225367 |
| Targa Resources Corp 5.65% 2/15/2036  |  | 5217000 | 5424492 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  |  | 207000 | 200295 |
| Venture Global Plaquemines LNG LLC 6.125% 12/15/2030 (o) |  | 385000 | 399941 |
| Venture Global Plaquemines LNG LLC 6.5% 1/15/2034 (o) |  | 645000 | 678810 |
| Venture Global Plaquemines LNG LLC 6.5% 6/15/2034 (o) |  | 235000 | 246741 |
| Venture Global Plaquemines LNG LLC 6.75% 1/15/2036 (o) |  | 720000 | 766952 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (o) |  | 370000 | 410452 |
| Venture Global Plaquemines LNG LLC 7.75% 5/1/2035 (o)(v) |  | 380000 | 431006 |
| Western Gas Partners LP 4.05% 2/1/2030 (n) |  | 11000000 | 10866259 |
| Western Gas Partners LP 4.5% 3/1/2028  |  | 200000 | 201536 |
| Western Gas Partners LP 4.65% 7/1/2026  |  | 138000 | 138037 |
| Western Gas Partners LP 4.75% 8/15/2028  |  | 168000 | 170466 |
| Williams Cos Inc/The 3.5% 11/15/2030  |  | 1727000 | 1673404 |
| Williams Cos Inc/The 4.65% 8/15/2032  |  | 3526000 | 3569156 |
| Williams Cos Inc/The 5.4% 3/2/2026  |  | 823000 | 823000 |
| Williams Cos Inc/The 5.65% 3/15/2033  |  | 4000000 | 4232668 |
| Williams Cos Inc/The 5.75% 6/24/2044  |  | 35000 | 35482 |
|  |  |  | 153117276 |
| TOTAL ENERGY |  |  | 157742222 |
| Financials - 6.7% |  |  |  |
| Banks - 3.9% |  |  |  |
| Bank of America Corp 2.299% 7/21/2032 (c) |  | 1880000 | 1696120 |
| Bank of America Corp 2.592% 4/29/2031 (c) |  | 10000000 | 9402520 |
| Bank of America Corp 3.705% 4/24/2028 (c) |  | 528000 | 526313 |
| Bank of America Corp 4.376% 4/27/2028 (c) |  | 10000000 | 10045752 |
| Bank of America Corp 4.571% 4/27/2033 (c) |  | 6000000 | 6024412 |
| Bank of America Corp 5.015% 7/22/2033 (c) |  | 19317000 | 19884604 |
| Bank of America Corp 5.288% 4/25/2034 (c) |  | 11000000 | 11416288 |
| Bank of America Corp 5.872% 9/15/2034 (c) |  | 9000000 | 9662846 |
| Citigroup Inc 3.07% 2/24/2028 (c) |  | 2000000 | 1980683 |
| Citigroup Inc 4.296% 7/23/2036 (c) | EUR | 200000 | 240092 |
| Citigroup Inc 4.3% 11/20/2026  |  | 6314000 | 6324742 |
| Citigroup Inc 4.412% 3/31/2031 (c) |  | 9221000 | 9269064 |
| Citigroup Inc 4.45% 9/29/2027  |  | 4372000 | 4398397 |
| Citigroup Inc 4.91% 5/24/2033 (c) |  | 20224000 | 20640414 |
| Citigroup Inc 6.27% 11/17/2033 (c) |  | 2000000 | 2194684 |
| First-Citizens Bank & Trust Co 6.125% 3/9/2028  |  | 210000 | 217404 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (c) |  | 880000 | 837381 |
| JPMorgan Chase & Co 3.761% 3/21/2034 (c)(p) | EUR | 251000 | 302512 |
| JPMorgan Chase & Co 3.882% 7/24/2038 (c) |  | 1000000 | 905782 |
| JPMorgan Chase & Co 4.452% 12/5/2029 (c) |  | 5500000 | 5558506 |
| JPMorgan Chase & Co 4.493% 3/24/2031 (c) |  | 11000000 | 11151614 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (c) |  | 10682000 | 10794011 |
| JPMorgan Chase & Co 4.898% 1/22/2037 (c) |  | 94000 | 94562 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (c) |  | 16234000 | 16644973 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (c) |  | 4288000 | 4446946 |
| JPMorgan Chase & Co 5.299% 7/24/2029 (c) |  | 6500000 | 6690392 |
| JPMorgan Chase & Co 5.336% 1/23/2035 (c) |  | 5000000 | 5211096 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (c) |  | 14000000 | 14651354 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (c) |  | 5093000 | 5385633 |
| JPMorgan Chase & Co 5.581% 4/22/2030 (c) |  | 15000000 | 15666141 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (c) |  | 2606000 | 2761234 |
| Morgan Stanley Private Bank NA 4.204% 11/17/2028 (c) |  | 7590000 | 7618238 |
| Morgan Stanley Private Bank NA 4.465% 11/19/2031 (c) |  | 7586000 | 7632691 |
| Synchrony Bank 5.625% 8/23/2027  |  | 1253000 | 1276281 |
| Wells Fargo & Co 2.879% 10/30/2030 (c) |  | 5000000 | 4785531 |
| Wells Fargo & Co 3.526% 3/24/2028 (c) |  | 2047000 | 2036420 |
| Wells Fargo & Co 4.478% 4/4/2031 (c) |  | 15026000 | 15181180 |
| Wells Fargo & Co 4.897% 7/25/2033 (c) |  | 15711000 | 16021964 |
| Wells Fargo & Co 5.15% 4/23/2031 (c) |  | 5839000 | 6044737 |
| Wells Fargo & Co 5.389% 4/24/2034 (c) |  | 7133000 | 7433333 |
| Wells Fargo & Co 5.499% 1/23/2035 (c) |  | 686000 | 718589 |
| Wells Fargo & Co 5.557% 7/25/2034 (c) |  | 2000000 | 2104544 |
| Wells Fargo & Co 5.574% 7/25/2029 (c) |  | 6500000 | 6724590 |
| Wells Fargo & Co 5.605% 4/23/2036 (c) |  | 5157000 | 5423770 |
| Wells Fargo & Co 6.303% 10/23/2029 (c) |  | 2000000 | 2109243 |
| Western Alliance Bancorp 3% 6/15/2031 (c) |  | 105000 | 103675 |
|  |  |  | 300241258 |
| Capital Markets - 1.7% |  |  |  |
| Athene Global Funding 5.339% 1/15/2027 (o) |  | 4562000 | 4609273 |
| Athene Global Funding 5.583% 1/9/2029 (o) |  | 12293000 | 12566468 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (c) |  | 23922000 | 21576536 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (c) |  | 13272000 | 12314497 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (c) |  | 4660000 | 4638129 |
| Goldman Sachs Group Inc/The 3.8% 3/15/2030  |  | 3630000 | 3594815 |
| Goldman Sachs Group Inc/The 3.814% 4/23/2029 (c) |  | 6025000 | 5990137 |
| Goldman Sachs Group Inc/The 4.223% 5/1/2029 (c) |  | 2500000 | 2507394 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  |  | 278000 | 312274 |
| Hightower Holding LLC 9.125% 1/31/2030 (o) |  | 370000 | 382687 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (o) |  | 740000 | 744419 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (o) |  | 820000 | 841471 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 5% 8/15/2028 (o) |  | 585000 | 556228 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (o)(v) |  | 360000 | 350546 |
| Moody's Corp 3.25% 1/15/2028  |  | 10000 | 9881 |
| Morgan Stanley 2.699% 1/22/2031 (c) |  | 12000000 | 11354621 |
| Morgan Stanley 3.622% 4/1/2031 (c) |  | 2099000 | 2052388 |
| Morgan Stanley 3.955% 3/21/2035 (c) | EUR | 270000 | 325486 |
| Morgan Stanley 4.099% 5/22/2036 (c) | EUR | 400000 | 486166 |
| Morgan Stanley 4.431% 1/23/2030 (c) |  | 2242000 | 2262953 |
| Morgan Stanley 4.889% 7/20/2033 (c) |  | 14947000 | 15245885 |
| Morgan Stanley 5.164% 4/20/2029 (c) |  | 6000000 | 6136203 |
| Morgan Stanley 5.192% 4/17/2031 (c) |  | 3887000 | 4026597 |
| Morgan Stanley 5.424% 7/21/2034 (c) |  | 7000000 | 7311000 |
| Morgan Stanley 5.449% 7/20/2029 (c) |  | 1318000 | 1359086 |
| Morgan Stanley 5.664% 4/17/2036 (c) |  | 3082000 | 3257045 |
| Morgan Stanley 5.831% 4/19/2035 (c) |  | 6000000 | 6411674 |
| MSCI Inc 5.15% 3/15/2036  |  | 1323000 | 1310983 |
| MSCI Inc 5.25% 9/1/2035  |  | 4354000 | 4359493 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (o) |  | 180000 | 187347 |
|  |  |  | 137081682 |
| Consumer Finance - 0.6% |  |  |  |
| Ally Financial Inc 4.75% 6/9/2027  |  | 2500000 | 2519547 |
| Ally Financial Inc 6.646% 1/17/2040 (c) |  | 596000 | 594603 |
| Ally Financial Inc 7.1% 11/15/2027  |  | 2060000 | 2159341 |
| Capital One Financial Corp 3.273% 3/1/2030 (c) |  | 1358000 | 1324508 |
| Capital One Financial Corp 3.65% 5/11/2027  |  | 2746000 | 2736331 |
| Capital One Financial Corp 4.1% 2/9/2027  |  | 284000 | 284392 |
| Capital One Financial Corp 4.927% 5/10/2028 (c) |  | 2786000 | 2813484 |
| Capital One Financial Corp 5.247% 7/26/2030 (c) |  | 2210000 | 2283672 |
| Capital One Financial Corp 6.312% 6/8/2029 (c) |  | 5000000 | 5233515 |
| Capital One Financial Corp 7.624% 10/30/2031 (c) |  | 7238000 | 8158305 |
| Encore Capital Group Inc 8.5% 5/15/2030 (o)(v) |  | 520000 | 556293 |
| Ford Motor Credit Co LLC 4.445% 2/14/2030  | EUR | 212000 | 259394 |
| Ford Motor Credit Co LLC 4.97% 4/6/2029  |  | 1306000 | 1314329 |
| Ford Motor Credit Co LLC 6.184% 8/29/2031  | GBP | 250000 | 348775 |
| Ford Motor Credit Co LLC 6.8% 5/12/2028  |  | 2000000 | 2092103 |
| Ford Motor Credit Co LLC 7.122% 11/7/2033  |  | 4000000 | 4370991 |
| LFS Topco LLC 8.75% 7/15/2030 (o)(v) |  | 755000 | 730435 |
| Navient Corp 5.5% 3/15/2029 (v) |  | 195000 | 182143 |
| Navient Corp 5.625% 8/1/2033 (v) |  | 400000 | 328575 |
| Navient Corp 7.875% 6/15/2032 (v) |  | 435000 | 405950 |
| OneMain Finance Corp 6.125% 5/15/2030  |  | 350000 | 351374 |
| OneMain Finance Corp 6.5% 3/15/2033  |  | 180000 | 178360 |
| OneMain Finance Corp 6.625% 5/15/2029  |  | 415000 | 423664 |
| OneMain Finance Corp 6.75% 3/15/2032  |  | 185000 | 186436 |
| OneMain Finance Corp 6.75% 9/15/2033  |  | 75000 | 74438 |
| OneMain Finance Corp 7.125% 11/15/2031 (v) |  | 850000 | 869083 |
| OneMain Finance Corp 7.125% 9/15/2032  |  | 375000 | 383497 |
| OneMain Finance Corp 7.5% 5/15/2031  |  | 235000 | 242953 |
| OneMain Finance Corp 7.875% 3/15/2030  |  | 365000 | 381774 |
| PRA Group Inc 8.875% 1/31/2030 (o) |  | 180000 | 183150 |
| SLM Corp 6.5% 1/31/2030  |  | 335000 | 340190 |
| Stellantis Financial Services US Corp 5.4% 9/15/2030 (o) |  | 597000 | 603620 |
| Synchrony Financial 3.95% 12/1/2027  |  | 2458000 | 2446732 |
|  |  |  | 45361957 |
| Financial Services - 0.3% |  |  |  |
| Block Inc 5.625% 8/15/2030 (o) |  | 330000 | 334327 |
| Block Inc 6% 8/15/2033 (o) |  | 260000 | 264208 |
| Block Inc 6.5% 5/15/2032  |  | 1685000 | 1733459 |
| Burford Capital Global Finance LLC 7.5% 7/15/2033 (o) |  | 325000 | 303979 |
| Clue Opco LLC 9.5% 10/15/2031 (o)(v) |  | 205000 | 212288 |
| Corebridge Financial Inc 3.65% 4/5/2027  |  | 1551000 | 1542860 |
| Corebridge Financial Inc 3.85% 4/5/2029  |  | 623000 | 615872 |
| Corebridge Financial Inc 3.9% 4/5/2032  |  | 9241000 | 8775917 |
| Corebridge Financial Inc 4.35% 4/5/2042  |  | 169000 | 143949 |
| Equitable Holdings Inc 4.572% 2/15/2029 (o) |  | 2265000 | 2273321 |
| HA Sustainable Infrastructure Capital Inc 6% 3/15/2036 (g) |  | 381000 | 378701 |
| HA Sustainable Infrastructure Capital Inc 7.125% 11/15/2056 (c) |  | 190000 | 189948 |
| HA Sustainable Infrastructure Capital Inc 8% 6/1/2056 (c) |  | 554000 | 583672 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (o) |  | 265000 | 261025 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.25% 5/15/2027  |  | 1201000 | 1182948 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9% 6/15/2030  |  | 120000 | 114146 |
| ION Platform Finance US Inc 7.875% 9/30/2032 (o) |  | 320000 | 256067 |
| Jackson Financial Inc 3.125% 11/23/2031  |  | 2194000 | 1998516 |
| Jackson Financial Inc 5.17% 6/8/2027  |  | 682000 | 690294 |
| Jackson Financial Inc 5.67% 6/8/2032  |  | 734000 | 750614 |
| Jefferson Capital Holdin 8.25% 5/15/2030 (o) |  | 178000 | 186489 |
| NFE Financing LLC 12% (m)(o) |  | 1283176 | 463868 |
| Pine Street Trust II 5.568% 2/15/2049 (o) |  | 1000000 | 952868 |
| Rocket Cos Inc 6.375% 8/1/2033 (o) |  | 605000 | 625280 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (o) |  | 275000 | 271814 |
| WEX Inc 6.5% 3/15/2033 (o) |  | 160000 | 160805 |
| Windstream Services LLC / Windstream Escrow Finance Corp 8.25% 10/1/2031 (o) |  | 620000 | 652758 |
|  |  |  | 25919993 |
| Insurance - 0.2% |  |  |  |
| American International Group Inc 5.125% 3/27/2033  |  | 1500000 | 1546001 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (o) |  | 515000 | 498942 |
| Asurion LLC and Asurion Co-Issuer Inc 8% 12/31/2032 (o) |  | 1090000 | 1144836 |
| Asurion LLC and Asurion Co-Issuer Inc 8.375% 2/1/2034 (o) |  | 835000 | 830964 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (o) |  | 6287000 | 5963045 |
| Liberty Mutual Group Inc 4.569% 2/1/2029 (o) |  | 2000000 | 2012920 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  |  | 678000 | 685053 |
| Pacific LifeCorp 5.125% 1/30/2043 (o) |  | 950000 | 904984 |
| Unum Group 4% 6/15/2029  |  | 852000 | 845158 |
|  |  |  | 14431903 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |  |
| EF Holdco / EF Cayman Hold / Ellington Fin REIT Cayman/TRS / EF Cayman Non-MTM 7.375% 9/30/2030 (o) |  | 370000 | 373680 |
| Rithm Capital Corp 8% 4/1/2029 (o) |  | 125000 | 125793 |
| Rithm Capital Corp 8% 7/15/2030 (o)(v) |  | 365000 | 366683 |
| Starwood Property Trust Inc 3.625% 7/15/2026 (o) |  | 65000 | 64605 |
| Starwood Property Trust Inc 5.25% 10/15/2028 (o) |  | 185000 | 185889 |
| Starwood Property Trust Inc 5.75% 1/15/2031 (o) |  | 295000 | 298083 |
| Starwood Property Trust Inc 6% 4/15/2030 (o) |  | 1290000 | 1319887 |
| Starwood Property Trust Inc 6.5% 10/15/2030 (o) |  | 35000 | 36475 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (o) |  | 380000 | 395210 |
|  |  |  | 3166305 |
| TOTAL FINANCIALS |  |  | 526203098 |
| Health Care - 1.3% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| BioMarin Pharmaceutical Inc5.5% 2/15/2034 (o) |  | 380000 | 383341 |
| Emergent BioSolutions Inc 3.875% 8/15/2028 (o) |  | 771000 | 674142 |
|  |  |  | 1057483 |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| AdaptHealth LLC 5.125% 3/1/2030 (o)(v) |  | 400000 | 385427 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (o) |  | 1285000 | 1326084 |
| Sotera Health Holdings LLC 7.375% 6/1/2031 (o) |  | 100000 | 105222 |
|  |  |  | 1816733 |
| Health Care Providers & Services - 1.2% |  |  |  |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (o)(v) |  | 575000 | 593600 |
| Accendra Health Inc 6.625% 4/1/2030 (o) |  | 920000 | 442647 |
| Centene Corp 2.45% 7/15/2028  |  | 1670000 | 1574022 |
| Centene Corp 2.625% 8/1/2031  |  | 4800000 | 4158598 |
| Centene Corp 3% 10/15/2030  |  | 3000000 | 2701821 |
| Centene Corp 3.375% 2/15/2030  |  | 3815000 | 3537626 |
| Centene Corp 4.25% 12/15/2027  |  | 880000 | 874671 |
| Centene Corp 4.625% 12/15/2029  |  | 3670000 | 3581062 |
| CHS/Community Health Systems Inc 4.75% 2/15/2031 (o) |  | 1995000 | 1830395 |
| CHS/Community Health Systems Inc 5.25% 5/15/2030 (o) |  | 1365000 | 1311536 |
| CHS/Community Health Systems Inc 6.125% 4/1/2030 (o) |  | 910000 | 804541 |
| CHS/Community Health Systems Inc 9.75% 1/15/2034 (o) |  | 350000 | 368836 |
| Cigna Group/The 3.05% 10/15/2027  |  | 500000 | 494554 |
| Cigna Group/The 4.8% 8/15/2038  |  | 550000 | 533183 |
| CVS Health Corp 3% 8/15/2026  |  | 125000 | 124443 |
| CVS Health Corp 3.625% 4/1/2027  |  | 375000 | 373862 |
| CVS Health Corp 4.78% 3/25/2038  |  | 2092000 | 1998895 |
| CVS Health Corp 5% 1/30/2029  |  | 801000 | 822103 |
| CVS Health Corp 5.125% 2/21/2030  |  | 4000000 | 4125694 |
| CVS Health Corp 5.25% 1/30/2031  |  | 5329000 | 5554044 |
| CVS Health Corp 5.55% 6/1/2031  |  | 6000000 | 6330640 |
| CVS Health Corp 6.75% 12/10/2054 (c)(v) |  | 1124000 | 1169157 |
| CVS Health Corp 7% 3/10/2055 (c) |  | 750000 | 788870 |
| DaVita Inc 4.625% 6/1/2030 (o) |  | 330000 | 323046 |
| DaVita Inc 6.75% 7/15/2033 (o) |  | 470000 | 487993 |
| DaVita Inc 6.875% 9/1/2032 (o)(v) |  | 1180000 | 1226121 |
| Global Medical Response Inc 7.375% 10/1/2032 (o) |  | 179000 | 187392 |
| HCA Inc 3.5% 9/1/2030  |  | 8709000 | 8436973 |
| HCA Inc 3.625% 3/15/2032  |  | 195000 | 185809 |
| HCA Inc 5.45% 9/15/2034  |  | 7000000 | 7268185 |
| HCA Inc 5.5% 6/1/2033  |  | 2000000 | 2096208 |
| HCA Inc 5.625% 9/1/2028  |  | 1054000 | 1087623 |
| HCA Inc 5.875% 2/1/2029  |  | 981000 | 1022479 |
| Humana Inc 3.7% 3/23/2029  |  | 585000 | 575202 |
| Humana Inc 5.375% 4/15/2031  |  | 5071000 | 5226047 |
| LifePoint Health Inc 10% 6/1/2032 (o) |  | 255000 | 265966 |
| Molina Healthcare Inc 6.25% 1/15/2033 (o) |  | 1245000 | 1224727 |
| Molina Healthcare Inc 6.5% 2/15/2031 (o) |  | 515000 | 516645 |
| National Mentor Holdings Inc 10.5% 12/15/2030 (o) |  | 555000 | 552954 |
| Pediatrix Medical Group Inc 5.375% 2/15/2030 (o) |  | 365000 | 362639 |
| Radiology Partners Inc 8.5% 7/15/2032 (o) |  | 170000 | 175046 |
| Radiology Partners Inc 9.781% 2/15/2030 pay-in-kind (c)(o) |  | 46159 | 43158 |
| Sabra Health Care LP 3.2% 12/1/2031  |  | 9971000 | 9221252 |
| Surgery Center Holdings Inc 7.25% 4/15/2032 (o) |  | 365000 | 364557 |
| TEAM Services Holding Inc 9% 2/15/2033 (o)(v) |  | 770000 | 753183 |
| Tenet Healthcare Corp 5.125% 11/1/2027  |  | 1555000 | 1555905 |
| Tenet Healthcare Corp 5.5% 11/15/2032 (o) |  | 555000 | 561900 |
| Tenet Healthcare Corp 6% 11/15/2033 (o) |  | 300000 | 310029 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  |  | 319000 | 325009 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (o) |  | 945000 | 945295 |
|  |  |  | 89396143 |
| Health Care Technology - 0.0% |  |  |  |
| IQVIA Inc 6.25% 6/1/2032 (o) |  | 755000 | 776650 |
| Pharmaceuticals - 0.1% |  |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (o) |  | 1936000 | 2002081 |
| Bausch Health Americas Inc 8.5% 1/31/2027 (o) |  | 280000 | 277481 |
| Elanco Animal Health Inc 6.65% 8/28/2028 (c) |  | 194000 | 201682 |
| Mylan Inc 4.55% 4/15/2028  |  | 450000 | 452290 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (o) |  | 435000 | 427025 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (o)(v) |  | 735000 | 653125 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 6.75% 5/15/2034 (o) |  | 160000 | 155199 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 7.875% 5/15/2034 (o)(v) |  | 905000 | 843426 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  |  | 826000 | 825065 |
|  |  |  | 5837374 |
| TOTAL HEALTH CARE |  |  | 98884383 |
| Industrials - 1.0% |  |  |  |
| Aerospace & Defense - 0.5% |  |  |  |
| Axon Enterprise Inc 6.125% 3/15/2030 (o) |  | 460000 | 474088 |
| Axon Enterprise Inc 6.25% 3/15/2033 (o) |  | 425000 | 440521 |
| Boeing Co 3.5% 3/1/2039  |  | 3000000 | 2515589 |
| Boeing Co 5.15% 5/1/2030  |  | 6303000 | 6528268 |
| Boeing Co 5.705% 5/1/2040  |  | 720000 | 749113 |
| Boeing Co 5.805% 5/1/2050  |  | 1130000 | 1134565 |
| Boeing Co 5.93% 5/1/2060  |  | 720000 | 722102 |
| Boeing Co 6.259% 5/1/2027  |  | 766000 | 784719 |
| Boeing Co 6.298% 5/1/2029  |  | 983000 | 1047532 |
| Boeing Co 6.388% 5/1/2031  |  | 5744000 | 6278599 |
| Boeing Co 6.528% 5/1/2034  |  | 4796000 | 5377164 |
| Boeing Co 6.858% 5/1/2054  |  | 1199000 | 1375048 |
| Boeing Co 7.008% 5/1/2064  |  | 1132000 | 1312531 |
| BWX Technologies Inc 4.125% 6/30/2028 (o) |  | 380000 | 376354 |
| Carpenter Technology Corp 5.625% 3/1/2034 (o) |  | 505000 | 514938 |
| OneSky Flight LLC 8.875% 12/15/2029 (o) |  | 370000 | 393781 |
| TransDigm Inc 6% 1/15/2033 (o) |  | 3596000 | 3659610 |
| TransDigm Inc 6.125% 7/31/2034 (o)(v) |  | 380000 | 385980 |
| TransDigm Inc 6.25% 1/31/2034 (o) |  | 130000 | 134484 |
| TransDigm Inc 6.375% 5/31/2033 (o) |  | 185000 | 188817 |
| TransDigm Inc 6.75% 1/31/2034 (o) |  | 600000 | 622669 |
|  |  |  | 35016472 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (o)(v) |  | 725000 | 756263 |
| Stonepeak Nile Parent LLC 7.25% 3/15/2032 (o) |  | 350000 | 371428 |
|  |  |  | 1127691 |
| Building Products - 0.1% |  |  |  |
| Advanced Drainage Systems Inc 5.375% 3/1/2034 (o) |  | 390000 | 392972 |
| AmeriTex HoldCo Intermediate LLC 7.625% 8/15/2033 (o) |  | 345000 | 361223 |
| Builders FirstSource Inc 4.25% 2/1/2032 (o) |  | 1195000 | 1139695 |
| Builders FirstSource Inc 6.75% 5/15/2035 (o) |  | 840000 | 876594 |
| Camelot Return Merger Sub Inc 8.75% 8/1/2028 (o) |  | 265000 | 200078 |
| Carrier Global Corp 5.9% 3/15/2034  |  | 223000 | 241265 |
| Cornerstone Building Brands Inc 6.125% 1/15/2029 (o) |  | 215000 | 107306 |
| Cornerstone Building Brands Inc 9.5% 8/15/2029 (o) |  | 165000 | 119934 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.625% 12/15/2030 (o) |  | 470000 | 486448 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.75% 7/15/2031 (o) |  | 735000 | 766393 |
| JH North America Holdings Inc 6.125% 7/31/2032 (o) |  | 110000 | 112899 |
| Masterbrand Inc 7% 7/15/2032 (o) |  | 150000 | 150965 |
| MIWD Holdco II LLC / MIWD Finance Corp 5.5% 2/1/2030 (o)(v) |  | 250000 | 234275 |
| Standard Building Solutions Inc 5.875% 3/15/2034 (o) |  | 370000 | 369098 |
| Standard Building Solutions Inc 6.25% 8/1/2033 (o) |  | 730000 | 743616 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (o) |  | 315000 | 324241 |
|  |  |  | 6627002 |
| Commercial Services & Supplies - 0.2% |  |  |  |
| ADT Security Corp/The 5.875% 10/15/2033 (o) |  | 370000 | 376055 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6.875% 6/15/2030 (o) |  | 455000 | 473588 |
| Allied Universal Holdco LLC 7.875% 2/15/2031 (o) |  | 1440000 | 1521372 |
| Artera Services LLC 8.5% 2/15/2031 (o) |  | 2315000 | 1935266 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (o)(v) |  | 335000 | 312847 |
| Clean Harbors Inc 6.375% 2/1/2031 (o)(v) |  | 200000 | 205345 |
| CoreCivic Inc 4.75% 10/15/2027  |  | 1480000 | 1480364 |
| CoreCivic Inc 8.25% 4/15/2029  |  | 175000 | 181730 |
| GEO Group Inc/The 10.25% 4/15/2031  |  | 440000 | 472422 |
| GEO Group Inc/The 8.625% 4/15/2029  |  | 750000 | 780387 |
| GFL Environmental Holdings US Inc 5.5% 2/1/2034 (o) |  | 190000 | 190683 |
| GFL Environmental Inc 3.5% 9/1/2028 (o) |  | 265000 | 259115 |
| GFL Environmental Inc 6.75% 1/15/2031 (o) |  | 960000 | 1006896 |
| Neptune Bidco US Inc 9.5% 2/15/2033 (o) |  | 385000 | 376834 |
| OT Midco Inc 10% 2/15/2030 (o) |  | 570000 | 242005 |
| Reworld Holding Corp 4.875% 12/1/2029 (o) |  | 195000 | 187926 |
| Williams Scotsman Inc 6.625% 4/15/2030 (o) |  | 230000 | 238291 |
| Williams Scotsman Inc 6.625% 6/15/2029 (o) |  | 315000 | 325378 |
|  |  |  | 10566504 |
| Construction & Engineering - 0.0% |  |  |  |
| AECOM 6% 8/1/2033 (o) |  | 700000 | 715233 |
| Amsted Industries Inc 6.375% 3/15/2033 (o) |  | 340000 | 353341 |
| Railworks Holdings LP / Railworks Rally Inc 8.25% 11/15/2028 (o) |  | 820000 | 828136 |
|  |  |  | 1896710 |
| Electrical Equipment - 0.0% |  |  |  |
| Sensata Technologies BV 4% 4/15/2029 (o) |  | 31000 | 30343 |
| WESCO Distribution Inc 5.25% 4/15/2031 (o) |  | 440000 | 439221 |
| WESCO Distribution Inc 5.5% 4/15/2034 (o) |  | 570000 | 574423 |
| WESCO Distribution Inc 6.375% 3/15/2033 (o) |  | 180000 | 187672 |
|  |  |  | 1231659 |
| Ground Transportation - 0.1% |  |  |  |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8.375% 6/15/2032 (o) |  | 285000 | 280258 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (o) |  | 395000 | 407141 |
| Uber Technologies Inc 4.15% 1/15/2031  |  | 2993000 | 2981280 |
| Uber Technologies Inc 4.8% 9/15/2035  |  | 2361000 | 2350212 |
| XPO Inc 7.125% 2/1/2032 (o) |  | 150000 | 157197 |
|  |  |  | 6176088 |
| Industrial Conglomerates - 0.0% |  |  |  |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 4.25% 2/1/2027 (o) |  | 405000 | 402165 |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 7% 7/15/2031 (o) |  | 265000 | 279428 |
|  |  |  | 681593 |
| Machinery - 0.0% |  |  |  |
| Allison Transmission Inc 5.875% 12/1/2033 (o) |  | 405000 | 413594 |
| Beach Acquisition Bidco LLC 10% 7/15/2033 pay-in-kind (c)(o) |  | 727293 | 803661 |
| Columbus McKinnon Corp/NY 7.125% 2/1/2033 (o)(v) |  | 380000 | 390663 |
| Enpro Inc 6.125% 6/1/2033 (o) |  | 360000 | 371537 |
|  |  |  | 1979455 |
| Passenger Airlines - 0.0% |  |  |  |
| JetBlue Airways Corp / JetBlue Loyalty LP 9.875% 9/20/2031 (o) |  | 520000 | 528448 |
| United Airlines Holdings Inc 4.875% 3/1/2029  |  | 570000 | 573920 |
| United Airlines Holdings Inc 5.375% 3/1/2031  |  | 380000 | 386875 |
|  |  |  | 1489243 |
| Professional Services - 0.0% |  |  |  |
| CACI International Inc 6.375% 6/15/2033 (o) |  | 550000 | 566221 |
| Paychex Inc 5.1% 4/15/2030  |  | 525000 | 536159 |
| Paychex Inc 5.35% 4/15/2032  |  | 731000 | 749679 |
| Paychex Inc 5.6% 4/15/2035  |  | 571000 | 585358 |
| Verisk Analytics Inc 4.45% 3/15/2031  |  | 881000 | 885291 |
|  |  |  | 3322708 |
| Trading Companies & Distributors - 0.1% |  |  |  |
| FTAI Aviation Investors LLC 7% 6/15/2032 (o) |  | 220000 | 230934 |
| FTAI Aviation Investors LLC 7.875% 12/1/2030 (o)(v) |  | 245000 | 259242 |
| Herc Holdings Inc 5.75% 3/15/2031 (o) |  | 245000 | 248362 |
| Herc Holdings Inc 6% 3/15/2034 (o) |  | 225000 | 226199 |
| Herc Holdings Inc 7% 6/15/2030 (o) |  | 655000 | 686386 |
| Herc Holdings Inc 7.25% 6/15/2033 (o) |  | 445000 | 470395 |
| QXO Building Products Inc 6.75% 4/30/2032 (o)(v) |  | 1155000 | 1196252 |
| Synergy Infrastructure Holdings LLC 7.875% 12/1/2030 (o) |  | 175000 | 182293 |
| United Rentals North America Inc 5.375% 11/15/2033 (o) |  | 1475000 | 1487027 |
|  |  |  | 4987090 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Beacon Mobility Corp 7.25% 8/1/2030 (o) |  | 175000 | 183300 |
| TOTAL INDUSTRIALS |  |  | 75285515 |
| Information Technology - 1.0% |  |  |  |
| Electronic Equipment, Instruments & Components - 0.3% |  |  |  |
| Coherent Corp 5% 12/15/2029 (o)(v) |  | 285000 | 285154 |
| Dell International LLC / EMC Corp 4.15% 2/15/2029  |  | 3072000 | 3082995 |
| Dell International LLC / EMC Corp 4.5% 2/15/2031  |  | 6078000 | 6107511 |
| Dell International LLC / EMC Corp 4.75% 10/6/2032  |  | 7051000 | 7116959 |
| Dell International LLC / EMC Corp 5.1% 2/15/2036  |  | 7420000 | 7447297 |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  |  | 418000 | 449113 |
| Lightning Power LLC 7.25% 8/15/2032 (o) |  | 265000 | 281340 |
| Sensata Technologies Inc 3.75% 2/15/2031 (o) |  | 635000 | 598650 |
| Sensata Technologies Inc 6.625% 7/15/2032 (o)(v) |  | 370000 | 387312 |
|  |  |  | 25756331 |
| IT Services - 0.0% |  |  |  |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (o) |  | 997000 | 979929 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (o)(v) |  | 470000 | 461369 |
| CoreWeave Inc 9% 2/1/2031 (o) |  | 1560000 | 1505191 |
| CoreWeave Inc 9.25% 6/1/2030 (o) |  | 595000 | 582773 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (o) |  | 385000 | 360177 |
|  |  |  | 3889439 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |  |
| Amkor Technology Inc 5.875% 10/1/2033 (o) |  | 180000 | 183679 |
| Broadcom Inc 1.95% 2/15/2028  |  | 351000 | 339316 |
| Broadcom Inc 2.45% 2/15/2031  |  | 8421000 | 7783894 |
| Broadcom Inc 2.6% 2/15/2033  |  | 17032000 | 15161645 |
| Broadcom Inc 3.187% 11/15/2036 (o) |  | 813000 | 701354 |
| Broadcom Inc 3.419% 4/15/2033  |  | 269000 | 251958 |
| Entegris Inc 3.625% 5/1/2029 (o)(v) |  | 1475000 | 1415729 |
| Entegris Inc 4.375% 4/15/2028 (o) |  | 55000 | 54530 |
| Entegris Inc 4.75% 4/15/2029 (o) |  | 80000 | 80066 |
| Entegris Inc 5.95% 6/15/2030 (o) |  | 185000 | 188651 |
| ON Semiconductor Corp 3.875% 9/1/2028 (o) |  | 270000 | 264305 |
| Wolfspeed Inc 7% 6/15/2031 pay-in-kind (c) |  | 211922 | 157016 |
| Wolfspeed Inc 9.875% 6/23/2030 pay-in-kind (c)(o) |  | 152452 | 162941 |
|  |  |  | 26745084 |
| Software - 0.3% |  |  |  |
| Cloud Software Group Inc 9% 9/30/2029 (o) |  | 885000 | 866635 |
| Fiserv Funding ULC 3.5% 6/15/2032  | EUR | 253000 | 294971 |
| Oracle Corp 3.6% 4/1/2040  |  | 2253000 | 1702582 |
| Oracle Corp 4.45% 9/26/2030  |  | 2312000 | 2267502 |
| Oracle Corp 4.55% 2/4/2029  |  | 190000 | 190361 |
| Oracle Corp 4.8% 9/26/2032  |  | 3856000 | 3767795 |
| Oracle Corp 4.95% 2/4/2031  |  | 189000 | 188613 |
| Oracle Corp 5.2% 9/26/2035  |  | 3510000 | 3391899 |
| Oracle Corp 5.35% 5/4/2033  |  | 190000 | 190641 |
| Oracle Corp 5.7% 2/4/2036  |  | 189000 | 189106 |
| Oracle Corp 5.875% 9/26/2045  |  | 2165000 | 1961631 |
| Oracle Corp 5.95% 9/26/2055  |  | 2714000 | 2388303 |
| Oracle Corp 6.1% 9/26/2065  |  | 2793000 | 2420202 |
| Oracle Corp 6.55% 2/4/2046  |  | 264000 | 257255 |
| Oracle Corp 6.7% 2/4/2056  |  | 189000 | 183285 |
| Oracle Corp 6.85% 2/4/2066  |  | 38000 | 36404 |
| Oracle Corp U.S. SOFR Averages Index + 1.11%, 4.777% 2/4/2029 (b)(c) |  | 190000 | 189728 |
| X.AI LLC / X.AI Co Issuer Corp 12.5% 6/30/2030 (o) |  | 1025000 | 1167385 |
|  |  |  | 21654298 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Seagate Data Storage Technology Pte Ltd 5.75% 12/1/2034 (o) |  | 310000 | 317138 |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (o) |  | 70000 | 72040 |
| Seagate Data Storage Technology Pte Ltd 8.25% 12/15/2029 (o) |  | 2145000 | 2263316 |
|  |  |  | 2652494 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 80697646 |
| Materials - 0.5% |  |  |  |
| Chemicals - 0.4% |  |  |  |
| Advancion Sciences Inc 9.25% 11/1/2026 pay-in-kind (c)(o) |  | 841496 | 727894 |
| Celanese US Holdings LLC 6.5% 4/15/2030 (v) |  | 305000 | 312494 |
| Celanese US Holdings LLC 6.75% 4/15/2033 (v) |  | 820000 | 840747 |
| Celanese US Holdings LLC 6.85% 11/15/2028 (c) |  | 639000 | 672448 |
| Celanese US Holdings LLC 6.879% 7/15/2032 (c)(v) |  | 6365000 | 6710092 |
| Celanese US Holdings LLC 7% 2/15/2031  |  | 555000 | 571707 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (c) |  | 1398000 | 1490514 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (c)(v) |  | 857000 | 920715 |
| Celanese US Holdings LLC 7.375% 2/15/2034  |  | 995000 | 1022178 |
| Chemours Co/The 4.625% 11/15/2029 (o) |  | 940000 | 890378 |
| Chemours Co/The 5.75% 11/15/2028 (o) |  | 320000 | 321860 |
| Chemours Co/The 7.875% 3/15/2034 (g)(o) |  | 470000 | 469413 |
| Chemours Co/The 8% 1/15/2033 (o) |  | 450000 | 457671 |
| CompoSecure Holdings LLC 5.625% 2/1/2033 (o) |  | 750000 | 746250 |
| GPD Cos Inc 12.5% 12/31/2029 pay-in-kind (o) |  | 353838 | 186375 |
| Mativ Holdings Inc 8% 10/1/2029 (o) |  | 460000 | 453980 |
| Methanex US Operations Inc 6.25% 3/15/2032 (o)(v) |  | 735000 | 760727 |
| Olin Corp 5% 2/1/2030 (v) |  | 1180000 | 1147515 |
| Olin Corp 6.625% 4/1/2033 (o) |  | 665000 | 649353 |
| Olympus Water US Holding Corp 6.75% 8/1/2032 (o) |  | 340000 | 334699 |
| Olympus Water US Holding Corp 7.25% 2/15/2033 (o)(v) |  | 920000 | 915830 |
| Olympus Water US Holding Corp 7.25% 6/15/2031 (o)(v) |  | 1100000 | 1125460 |
| Perimeter Holdings LLC 6.25% 1/15/2034 (o) |  | 375000 | 376710 |
| Solstice Advanced Materials Inc 5.625% 9/30/2033 (o) |  | 375000 | 379058 |
| Tronox Inc 4.625% 3/15/2029 (o)(v) |  | 1055000 | 815708 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (o) |  | 875000 | 838195 |
| WR Grace Holdings LLC 6.625% 8/15/2032 (o) |  | 520000 | 526046 |
| WR Grace Holdings LLC 7% 8/1/2033 (o) |  | 255000 | 259628 |
| WR Grace Holdings LLC 7.375% 3/1/2031 (o) |  | 65000 | 66727 |
|  |  |  | 24990372 |
| Construction Materials - 0.0% |  |  |  |
| Quikrete Holdings Inc 6.375% 3/1/2032 (o) |  | 1570000 | 1631698 |
| Quikrete Holdings Inc 6.75% 3/1/2033 (o) |  | 435000 | 452163 |
| Smyrna Ready Mix Concrete LLC 6% 11/1/2028 (o) |  | 485000 | 485654 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (o) |  | 300000 | 318715 |
|  |  |  | 2888230 |
| Containers & Packaging - 0.0% |  |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (o) |  | 470000 | 448585 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6.25% 1/30/2031 (o) |  | 270000 | 276349 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (o) |  | 470000 | 473549 |
| Clydesdale Acquisition Holdings Inc 6.875% 1/15/2030 (o) |  | 300000 | 304599 |
| Clydesdale Acquisition Holdings Inc 8.75% 4/15/2030 (o)(v) |  | 370000 | 368369 |
| Crown Americas LLC / Crown Americas Capital Corp 5.875% 6/1/2033 (o) |  | 450000 | 462343 |
| Graphic Packaging International LLC 3.75% 2/1/2030 (o)(v) |  | 430000 | 406942 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (o) |  | 250000 | 253246 |
|  |  |  | 2993982 |
| Metals & Mining - 0.1% |  |  |  |
| Alcoa Nederland Holding BV 7.125% 3/15/2031 (o) |  | 835000 | 882785 |
| Alumina Pty Ltd 6.375% 9/15/2032 (o) |  | 705000 | 731959 |
| Century Aluminum Co 6.875% 8/1/2032 (o) |  | 345000 | 356853 |
| Cleveland-Cliffs Inc 4.875% 3/1/2031 (o) |  | 1165000 | 1105281 |
| Cleveland-Cliffs Inc 7% 3/15/2032 (o) |  | 285000 | 289453 |
| Cleveland-Cliffs Inc 7.375% 5/1/2033 (o) |  | 195000 | 200115 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (o) |  | 405000 | 422718 |
| Commercial Metals Co 3.875% 2/15/2031  |  | 380000 | 361323 |
| Commercial Metals Co 5.75% 11/15/2033 (o) |  | 495000 | 505041 |
| Commercial Metals Co 6% 12/15/2035 (o) |  | 495000 | 507003 |
| Kaiser Aluminum Corp 5.875% 3/1/2034 (o) |  | 370000 | 374121 |
| Novelis Corp 3.875% 8/15/2031 (o)(v) |  | 750000 | 685424 |
| Novelis Corp 6.375% 8/15/2033 (o) |  | 195000 | 197122 |
| Novelis Corp 6.875% 1/30/2030 (o) |  | 680000 | 701949 |
|  |  |  | 7321147 |
| TOTAL MATERIALS |  |  | 38193731 |
| Real Estate - 1.3% |  |  |  |
| Diversified REITs - 0.2% |  |  |  |
| GLP Capital LP / GLP Financing II Inc 5.625% 9/15/2034  |  | 411000 | 418466 |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  |  | 297000 | 258747 |
| Safehold GL Holdings LLC 6.1% 4/1/2034  |  | 145000 | 156537 |
| Store Capital LLC 2.75% 11/18/2030  |  | 424000 | 389990 |
| Store Capital LLC 4.625% 3/15/2029  |  | 315000 | 316454 |
| Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC 6% 1/15/2030 (o) |  | 880000 | 831583 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 6.5% 2/15/2029 (o) |  | 1085000 | 1055252 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (o) |  | 630000 | 638950 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (o) |  | 300000 | 304262 |
| VICI Properties LP 4.75% 2/15/2028  |  | 1390000 | 1403818 |
| VICI Properties LP 4.75% 4/1/2028  |  | 983000 | 992658 |
| VICI Properties LP 4.95% 2/15/2030  |  | 4092000 | 4159595 |
| VICI Properties LP 5.125% 5/15/2032  |  | 6485000 | 6577946 |
| Vornado Realty LP 2.15% 6/1/2026  |  | 374000 | 371077 |
| WP Carey Inc 3.85% 7/15/2029  |  | 246000 | 244043 |
| WP Carey Inc 4.25% 7/23/2032  | EUR | 100000 | 123101 |
|  |  |  | 18242479 |
| Health Care REITs - 0.4% |  |  |  |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  |  | 857000 | 874452 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  |  | 260000 | 249013 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  |  | 270000 | 268907 |
| Healthpeak OP LLC 3.25% 7/15/2026  |  | 113000 | 112680 |
| Healthpeak OP LLC 3.5% 7/15/2029  |  | 129000 | 126442 |
| MPT Operating Partnership LP / MPT Finance Corp 0.993% 10/15/2026  | EUR | 155000 | 179494 |
| MPT Operating Partnership LP / MPT Finance Corp 3.5% 3/15/2031  |  | 540000 | 413121 |
| MPT Operating Partnership LP / MPT Finance Corp 4.625% 8/1/2029  |  | 245000 | 211678 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027  |  | 1850000 | 1813007 |
| MPT Operating Partnership LP / MPT Finance Corp 8.5% 2/15/2032 (o) |  | 105000 | 112379 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033 (v) |  | 9753000 | 8806736 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  |  | 4892000 | 4616606 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  |  | 2155000 | 2099937 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  |  | 3349000 | 3381271 |
| Ventas Realty LP 3% 1/15/2030  |  | 1531000 | 1467752 |
| Ventas Realty LP 4% 3/1/2028  |  | 218000 | 217903 |
| Ventas Realty LP 4.75% 11/15/2030  |  | 2100000 | 2145631 |
|  |  |  | 27097009 |
| Hotel & Resort REITs - 0.0% |  |  |  |
| RHP Hotel Properties LP / RHP Finance Corp 5.75% 3/15/2034 (g)(o) |  | 335000 | 337444 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (o)(v) |  | 380000 | 394740 |
|  |  |  | 732184 |
| Industrial REITs - 0.0% |  |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  |  | 387000 | 358875 |
| Prologis Euro Finance LLC 3.25% 9/22/2032  | EUR | 245000 | 289471 |
|  |  |  | 648346 |
| Office REITs - 0.2% |  |  |  |
| Boston Properties LP 3.25% 1/30/2031  |  | 792000 | 746004 |
| Boston Properties LP 4.5% 12/1/2028  |  | 605000 | 610089 |
| Boston Properties LP 6.75% 12/1/2027  |  | 1120000 | 1168704 |
| COPT Defense Properties LP 2% 1/15/2029  |  | 1000000 | 944062 |
| COPT Defense Properties LP 2.25% 3/15/2026  |  | 348000 | 347743 |
| COPT Defense Properties LP 2.75% 4/15/2031  |  | 4235000 | 3911037 |
| COPT Defense Properties LP 2.9% 12/1/2033  |  | 5000000 | 4337610 |
| COPT Defense Properties LP 4.5% 10/15/2030  |  | 616000 | 618689 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  |  | 1473000 | 1310970 |
|  |  |  | 13994908 |
| Real Estate Management & Development - 0.2% |  |  |  |
| Americold Realty Operating Partnership LP 5.409% 9/12/2034  |  | 200000 | 198228 |
| Anywhere Real Estate Group LLC / Anywhere Co-Issuer Corp 7% 4/15/2030 (o) |  | 70000 | 70759 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 5.75% 1/15/2029 (o) |  | 395000 | 389376 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 9.75% 4/15/2030 (o) |  | 170000 | 183177 |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  |  | 421000 | 412669 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  |  | 260000 | 245273 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  |  | 1521000 | 1605110 |
| CBRE Services Inc 2.5% 4/1/2031  |  | 1070000 | 976215 |
| Essex Portfolio LP 5.5% 4/1/2034  |  | 5601000 | 5841900 |
| Extra Space Storage LP 5.4% 2/1/2034  |  | 260000 | 268204 |
| Forestar Group Inc 6.5% 3/15/2033 (o) |  | 540000 | 552852 |
| Howard Hughes Corp/The 4.375% 2/1/2031 (o) |  | 535000 | 508845 |
| Kennedy-Wilson Inc 4.75% 2/1/2030  |  | 360000 | 349169 |
| Tanger Properties LP 2.75% 9/1/2031  |  | 897000 | 820423 |
| Tanger Properties LP 3.125% 9/1/2026  |  | 2775000 | 2758857 |
| Taylor Morrison Communities Inc 5.75% 11/15/2032 (o) |  | 290000 | 299655 |
|  |  |  | 15480712 |
| Residential REITs - 0.2% |  |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  |  | 153000 | 137915 |
| American Homes 4 Rent LP 3.625% 4/15/2032  |  | 3681000 | 3493961 |
| American Homes 4 Rent LP 5.5% 2/1/2034  |  | 387000 | 399699 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  |  | 3126000 | 3042523 |
| Sun Communities Operating LP 2.3% 11/1/2028  |  | 341000 | 325705 |
| Sun Communities Operating LP 2.7% 7/15/2031  |  | 880000 | 807578 |
| Sun Communities Operating LP 4.2% 4/15/2032  |  | 6100000 | 5980477 |
|  |  |  | 14187858 |
| Retail REITs - 0.1% |  |  |  |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  |  | 1055000 | 1045549 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  |  | 2000000 | 2003421 |
| Brixmor Operating Partnership LP 5.5% 2/15/2034  |  | 3000000 | 3124075 |
| Kite Realty Group Trust 4.75% 9/15/2030  |  | 79000 | 80542 |
| Phillips Edison Grocery Center Operating Partnership I LP 4.75% 3/15/2033  |  | 1813000 | 1816189 |
| Realty Income Corp 2.2% 6/15/2028  |  | 172000 | 165704 |
| Realty Income Corp 2.85% 12/15/2032  |  | 211000 | 192248 |
| Realty Income Corp 3.25% 1/15/2031  |  | 213000 | 204387 |
| Realty Income Corp 3.375% 6/20/2031  | EUR | 300000 | 357413 |
| Realty Income Corp 3.4% 1/15/2028  |  | 320000 | 317328 |
| Simon Property Group LP 2.45% 9/13/2029  |  | 333000 | 316584 |
|  |  |  | 9623440 |
| Specialized REITs - 0.0% |  |  |  |
| American Tower Corp 3.625% 5/30/2032  | EUR | 400000 | 481615 |
| American Tower Corp 5.45% 2/15/2034  |  | 160000 | 167490 |
| Iron Mountain Inc 6.25% 1/15/2033 (o) |  | 175000 | 178816 |
| Millrose Properties Inc 6.25% 9/15/2032 (o) |  | 200000 | 202509 |
| Millrose Properties Inc 6.375% 8/1/2030 (o) |  | 241000 | 247242 |
|  |  |  | 1277672 |
| TOTAL REAL ESTATE |  |  | 101284608 |
| Utilities - 0.9% |  |  |  |
| Electric Utilities - 0.6% |  |  |  |
| Alabama Power Co 3.05% 3/15/2032  |  | 1447000 | 1358412 |
| Clearway Energy Operating LLC 3.75% 2/15/2031 (o) |  | 640000 | 606300 |
| Clearway Energy Operating LLC 4.75% 3/15/2028 (o) |  | 95000 | 94690 |
| Clearway Energy Operating LLC 5.75% 1/15/2034 (o) |  | 340000 | 344480 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  |  | 2173000 | 2069120 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  |  | 1337000 | 1334930 |
| Duke Energy Corp 2.45% 6/1/2030  |  | 565000 | 529498 |
| Duke Energy Corp 3.85% 6/15/2034  | EUR | 349000 | 417778 |
| Duke Energy Corp 4.5% 8/15/2032  |  | 7000000 | 7058929 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (o) |  | 276000 | 255478 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (o) |  | 935000 | 847856 |
| Edison International 4.8% 3/15/2031  |  | 381000 | 380772 |
| Edison International 6.25% 3/15/2030  |  | 194000 | 205191 |
| Edison International 7.875% 6/15/2054 (c) |  | 310000 | 322722 |
| Edison International 8.125% 6/15/2053 (c) |  | 305000 | 317043 |
| Exelon Corp 3.35% 3/15/2032  |  | 389000 | 367612 |
| Exelon Corp 4.05% 4/15/2030  |  | 7865000 | 7841488 |
| Hawaiian Electric Co Inc 6% 10/1/2033 (o) |  | 290000 | 295587 |
| NRG Energy Inc 5.25% 6/15/2029 (o) |  | 1215000 | 1219239 |
| NRG Energy Inc 5.75% 1/15/2028  |  | 810000 | 809943 |
| NRG Energy Inc 5.75% 1/15/2034 (o) |  | 555000 | 562589 |
| NRG Energy Inc 6% 1/15/2036 (o) |  | 555000 | 564806 |
| NRG Energy Inc 6% 2/1/2033 (o) |  | 345000 | 353354 |
| NRG Energy Inc 6.25% 11/1/2034 (o) |  | 290000 | 299908 |
| Pacific Gas and Electric Co 5.2% 5/1/2036  |  | 100000 | 100332 |
| Pacific Gas and Electric Co 6% 5/1/2056  |  | 100000 | 98767 |
| PacifiCorp 7.375% 9/15/2055 (c) |  | 461000 | 466888 |
| PG&E Corp 5% 7/1/2028  |  | 445000 | 443824 |
| PG&E Corp 5.25% 7/1/2030  |  | 1335000 | 1336105 |
| PG&E Corp 6.85% 9/15/2056 (c) |  | 593000 | 592040 |
| PG&E Corp 7.375% 3/15/2055 (c) |  | 669000 | 692401 |
| Southern Co/The 1.875% 9/15/2081 (c) | EUR | 437000 | 505080 |
| Southern Co/The 4.85% 3/15/2035  |  | 5000000 | 4990918 |
| Vistra Operations Co LLC 5% 7/31/2027 (o) |  | 1440000 | 1437924 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (o) |  | 315000 | 332879 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (o)(v) |  | 250000 | 259488 |
| XPLR Infrastructure Operating Partners LP 7.75% 4/15/2034 (o)(v) |  | 690000 | 715427 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (o) |  | 470000 | 497660 |
| XPLR Infrastructure Operating Partners LP 8.625% 3/15/2033 (o) |  | 470000 | 497492 |
|  |  |  | 41424950 |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |  |
| AES Corp/The 2.45% 1/15/2031  |  | 5111000 | 4739401 |
| AES Corp/The 3.95% 7/15/2030 (o) |  | 8288000 | 8144534 |
| AES Corp/The 6.95% 7/15/2055 (c) |  | 375000 | 362351 |
| Alpha Generation LLC 6.25% 1/15/2034 (o) |  | 370000 | 375738 |
| Alpha Generation LLC 6.75% 10/15/2032 (o) |  | 186000 | 193257 |
| Calpine LLC 5.125% 3/15/2028 (o) |  | 200000 | 199926 |
| Sunnova Energy Corp 5.875% (l)(m)(o) |  | 860000 | 2150 |
| Talen Energy Supply LLC 6.25% 2/1/2034 (o) |  | 555000 | 564765 |
| Talen Energy Supply LLC 6.5% 2/1/2036 (o) |  | 555000 | 570633 |
|  |  |  | 15152755 |
| Multi-Utilities - 0.1% |  |  |  |
| NiSource Inc 2.95% 9/1/2029  |  | 1708000 | 1649308 |
| NiSource Inc 3.6% 5/1/2030  |  | 4000000 | 3923718 |
| NiSource Inc 5.35% 4/1/2034  |  | 3000000 | 3131551 |
| Puget Energy Inc 4.1% 6/15/2030  |  | 683000 | 674130 |
| Puget Energy Inc 4.224% 3/15/2032  |  | 1329000 | 1298938 |
|  |  |  | 10677645 |
| TOTAL UTILITIES |  |  | 67255350 |
| TOTAL UNITED STATES |  |  | 1322791934 |
| UZBEKISTAN - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Navoi Mining & Metallurgical Combinat 6.7% 10/17/2028 (o) |  | 260000 | 269229 |
| Navoi Mining & Metallurgical Combinat 6.75% 5/14/2030 (o) |  | 270000 | 285309 |
| Navoi Mining & Metallurgical Combinat 6.95% 10/17/2031 (o) |  | 200000 | 215245 |
| Navoiyuran State Enterprise 6.7% 7/2/2030 (o) |  | 200000 | 205750 |
| TOTAL UZBEKISTAN |  |  | 975533 |
| VENEZUELA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Petroleos de Venezuela SA 12.75% (m)(o) |  | 51667 | 21568 |
| Petroleos de Venezuela SA 5.375% (m)(p) |  | 200000 | 61300 |
| Petroleos de Venezuela SA 5.5% (m)(p) |  | 15000 | 4680 |
| Petroleos de Venezuela SA 6% (m)(o) |  | 480000 | 152400 |
| Petroleos de Venezuela SA 6% (m)(o) |  | 385000 | 122238 |
| Petroleos de Venezuela SA 9.75% (m)(o) |  | 50000 | 19050 |
| TOTAL VENEZUELA |  |  | 381236 |
| VIETNAM - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Mong Duong Finance Holdings BV 5.125% 5/7/2029 (o) |  | 208577 | 207805 |
| ZAMBIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| First Quantum Minerals Ltd 6.375% 2/15/2036 (o) |  | 365000 | 366174 |
| First Quantum Minerals Ltd 7.25% 2/15/2034 (o) |  | 425000 | 444687 |
| First Quantum Minerals Ltd 8% 3/1/2033 (o) |  | 340000 | 362311 |
| First Quantum Minerals Ltd 8.625% 6/1/2031 (o) |  | 255000 | 267318 |
| TOTAL ZAMBIA |  |  | 1440490 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $1,686,259,873) |  |  | <br> **1730481137** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Strategy Inc 11.25% (n)<br>(Cost $344,752)<br>| 3815 | **381500** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BRAZIL - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Cosan Overseas Ltd 8.25% (p)(u) |  | 360000 | 353542 |
| CHILE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco de Credito e Inversiones SA 7.5% (c)(o)(u) |  | 250000 | 276181 |
| Banco de Credito e Inversiones SA 8.75% (c)(o)(u) |  | 115000 | 124650 |
| Banco del Estado de Chile 7.95% (c)(o)(u) |  | 105000 | 115062 |
| TOTAL CHILE |  |  | 515893 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 3.75% (c)(p)(u) | EUR | 231000 | 256677 |
| FINLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Oyj 7.875% (c)(p)(u) | EUR | 208000 | 223701 |
| FRANCE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| BNP Paribas SA 7.45% (c)(o)(u) |  | 310000 | 331588 |
| GERMANY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Volkswagen International Finance NV 3.875% (c)(p)(u) | EUR | 500000 | 603763 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Grand City Properties SA 1.5% (c)(p)(u) | EUR | 500000 | 594315 |
| TOTAL GERMANY |  |  | 1198078 |
| HONG KONG - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| CAS Capital No 1 Ltd 4% (c)(p)(u) |  | 275000 | 275608 |
| INDIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| IT Services - 0.0% |  |  |  |
| Network i2i Ltd 3.975% (c)(o)(u) |  | 105000 | 105687 |
| KUWAIT - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| NBK Tier 1 Ltd 3.625% (c)(o)(u) |  | 105000 | 104068 |
| MEXICO - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Mercantil del Norte SA/Grand Cayman 7.625% (c)(o)(u) |  | 535000 | 554896 |
| Banco Mercantil del Norte SA/Grand Cayman 8.375% (c)(o)(u) |  | 200000 | 213703 |
| BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX 5.125% 1/18/2033 (c)(o) |  | 110000 | 110089 |
| BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX 8.45% 6/29/2038 (c)(o) |  | 220000 | 250236 |
| TOTAL FINANCIALS |  |  | 1128924 |
| Materials - 0.0% |  |  |  |
| Construction Materials - 0.0% |  |  |  |
| Cemex SAB de CV 5.125% (c)(o)(u) |  | 835000 | 853400 |
| Cemex SAB de CV 7.2% (c)(o)(u) |  | 400000 | 434484 |
| TOTAL MATERIALS |  |  | 1287884 |
| TOTAL MEXICO |  |  | 2416808 |
| SAUDI ARABIA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| NCB Tier 1 Sukuk Ltd 3.5% (c)(p)(u) |  | 200000 | 199095 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Samhallsbyggnadsbolaget i Norden AB 5 year EUR Swap Annual Index + 2.814%, 4.9355% (b)(c)(m)(p)(u) | EUR | 310000 | 276095 |
| UNITED ARAB EMIRATES - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Emirates NBD Bank PJSC 6.25% (c)(p)(u) |  | 215000 | 219128 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Barclays PLC 8.875% (c)(p)(u) | GBP | 270000 | 390075 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 5 year UK Government Bond + 4.135%, 7.884% (b)(c)(p)(u) | GBP | 202000 | 198559 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| SSE PLC 3.74% (c)(p)(u) | GBP | 335000 | 465639 |
| TOTAL UNITED KINGDOM |  |  | 1054273 |
| UNITED STATES - 0.2%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Energy Transfer LP 6.625% (c)(u) |  | 1968000 | 1997723 |
| Energy Transfer LP Series G, 7.125% (c)(u) |  | 40000 | 42313 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.0241% (b)(c)(u) |  | 988000 | 990232 |
| Sunoco LP 7.875% (c)(o)(u) |  | 660000 | 705821 |
| TOTAL ENERGY |  |  | 3736089 |
| Financials - 0.2% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of America Corp 6.25% (c)(u) |  | 365000 | 377726 |
| BW Real Estate Inc 9.5% (c)(o)(u) |  | 1133000 | 1203475 |
| Citigroup Inc 6.5% (c)(u) |  | 190000 | 193443 |
| Citigroup Inc 6.625% (c)(u) |  | 555000 | 581968 |
|  |  |  | 2356612 |
| Consumer Finance - 0.1% |  |  |  |
| Ally Financial Inc 4.7% (c)(u)(v) |  | 1177000 | 1175680 |
| Ally Financial Inc 4.7% (c)(u) |  | 478000 | 452554 |
|  |  |  | 1628234 |
| Insurance - 0.0% |  |  |  |
| Alliant Holdings LP 10.5% (c)(l)(u) |  | 169668 | 171359 |
| TOTAL FINANCIALS |  |  | 4156205 |
| Industrials - 0.0% |  |  |  |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Air Lease Corp 4.125% (c)(u) |  | 1156000 | 1156248 |
| Aircastle Ltd 5.25% (c)(o)(u) |  | 556000 | 569132 |
| TOTAL INDUSTRIALS |  |  | 1725380 |
| TOTAL UNITED STATES |  |  | 9617674 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $15,636,631) |  |  | <br> **17147915** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 21.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 21.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 21.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 21.2%  |  |  |
| Fannie Mae 2% 11/1/2051  | 3103570 | 2598129 |
| Fannie Mae 2% 2/1/2052  | 731316 | 617243 |
| Fannie Mae 2% 3/1/2052  | 3050100 | 2550507 |
| Fannie Mae 2.5% 4/1/2052  | 794410 | 698603 |
| Fannie Mae 2.5% 5/1/2052  | 3686858 | 3230695 |
| Fannie Mae 2.5% 6/1/2052  | 2785291 | 2458084 |
| Fannie Mae 3% 12/1/2051  | 11520791 | 10525777 |
| Fannie Mae 3% 6/1/2052  | 1581158 | 1454974 |
| Fannie Mae 3.5% 12/1/2036  | 14320 | 14149 |
| Fannie Mae 3.5% 5/1/2036  | 10891 | 10785 |
| Fannie Mae 5.5% 2/1/2055  | 2528065 | 2605749 |
| Fannie Mae 7% 8/1/2054  | 24307 | 25904 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.365%, 6.095% 10/1/2035 (b)(c) | 2468 | 2536 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (b)(c) | 567 | 586 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 5.96% 1/1/2035 (b)(c) | 915 | 944 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (b)(c) | 166 | 171 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (b)(c) | 648 | 670 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.44% 3/1/2037 (b)(c) | 4755 | 4933 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.58%, 5.848% 1/1/2044 (b)(c) | 926 | 964 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.58%, 6.455% 4/1/2044 (b)(c) | 700 | 728 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6093%, 6.369% 5/1/2035 (b)(c) | 712 | 735 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 6.315% 9/1/2036 (b)(c) | 137 | 142 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6337%, 6.373% 4/1/2044 (b)(c) | 1177 | 1227 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6669%, 6.391% 11/1/2036 (b)(c) | 1126 | 1165 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6731%, 6.22% 3/1/2033 (b)(c) | 2058 | 2121 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6834%, 6.511% 5/1/2036 (b)(c) | 1010 | 1046 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6917%, 5.974% 2/1/2037 (b)(c) | 10520 | 10920 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6919%, 6.305% 7/1/2043 (b)(c) | 7686 | 8061 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.592% 6/1/2042 (b)(c) | 4063 | 4262 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7392%, 6.152% 3/1/2040 (b)(c) | 4107 | 4293 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.279% 7/1/2035 (b)(c) | 1839 | 1902 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.5% 8/1/2041 (b)(c) | 1953 | 2051 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.07% 1/1/2042 (b)(c) | 21139 | 22200 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.478% 7/1/2041 (b)(c) | 1323 | 1389 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8063%, 6.388% 12/1/2040 (b)(c) | 21372 | 22443 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.06% 12/1/2039 (b)(c) | 397 | 415 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.508% 7/1/2041 (b)(c) | 2713 | 2850 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.568% 9/1/2041 (b)(c) | 2274 | 2388 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.593% 2/1/2042 (b)(c) | 9365 | 9834 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.587% 2/1/2035 (b)(c) | 1465 | 1523 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 6.58% 10/1/2041 (b)(c) | 794 | 826 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.854%, 6.753% 4/1/2036 (b)(c) | 8111 | 8433 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.89%, 6.246% 8/1/2035 (b)(c) | 4657 | 4795 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (b)(c) | 1680 | 1758 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.137%, 6.164% 7/1/2036 (b)(c) | 713 | 733 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (b)(c) | 396 | 409 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.217% 6/1/2036 (b)(c) | 817 | 845 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.275%, 6.379% 10/1/2033 (b)(c) | 535 | 552 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.392% 7/1/2034 (b)(c) | 269 | 277 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 558803 | 511163 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 607326 | 525607 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 1326680 | 1056406 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 203049 | 186182 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 194375 | 178229 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 11567 | 10606 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 47961 | 41567 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 1103666 | 947019 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 210662 | 193163 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 12008 | 11010 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2036  | 332756 | 305115 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 2284513 | 1978513 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 51358 | 44415 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 1076837 | 855778 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 52523 | 45394 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 2425732 | 2206798 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 25910 | 23798 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 845384 | 671839 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2035  | 793058 | 728172 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 3553407 | 2975817 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 100382 | 84536 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 986701 | 879543 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 402623 | 359132 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 878834 | 735709 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 246669 | 208732 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 37360 | 31463 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 619097 | 522528 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 213206 | 179283 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 91649 | 77153 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 22774 | 19015 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 1974454 | 1775696 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 433786 | 386933 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 353242 | 315037 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 210421 | 177007 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 199218 | 168144 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 196235 | 165013 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 125315 | 105376 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 18759 | 15686 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 397711 | 371792 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 20582 | 19177 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 1704776 | 1531977 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 300519 | 270109 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 89550 | 80747 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 231942 | 194748 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 19284 | 16143 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 242054 | 203390 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 172520 | 145610 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 167313 | 140692 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 163761 | 161255 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 27980 | 26157 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 25156 | 23438 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 19221 | 17968 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 19044 | 17809 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 9730 | 9132 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15078 | 13536 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  | 5315013 | 4730960 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 44183 | 37208 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 32602 | 27445 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 15513 | 13020 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 605656 | 508913 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 547561 | 460953 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 287967 | 240799 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 24403 | 22744 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 15467 | 13878 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 637627 | 536773 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 215600 | 181498 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 186159 | 156714 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 139085 | 117477 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 43385 | 36523 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 33881 | 28522 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 27944 | 23524 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 16714 | 14029 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 5888212 | 4949510 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 3340645 | 2812254 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 3098170 | 2607162 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 2423032 | 2047351 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1731484 | 1455991 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 781803 | 659855 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 493856 | 417440 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 492493 | 411825 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 426208 | 359727 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 96718 | 81208 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 407496 | 365595 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 89058 | 80212 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 4045025 | 3382468 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 28782 | 26924 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042  | 3283164 | 2948931 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 96779 | 81472 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 3160556 | 2969397 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036  | 32077 | 29987 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 64421 | 58013 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 16565 | 14834 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2050  | 350658 | 293989 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 289815 | 259373 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 9280181 | 7774629 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 186610 | 157152 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 109114 | 91889 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 2307944 | 1933519 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 91842 | 76885 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 34985 | 29451 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 32279 | 27073 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 21181 | 17732 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2040  | 7431638 | 6696487 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2042  | 4281625 | 3815414 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 26734 | 22397 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 129067 | 107926 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 18516 | 15466 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2051  | 241609 | 202035 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 100872 | 98083 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 5984 | 5795 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2037  | 492801 | 470900 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 44639 | 40649 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 13009 | 11814 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 1565937 | 1386380 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 287552 | 252513 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 8424102 | 7381814 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1010507 | 889269 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 260495 | 229730 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 102429 | 89852 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 102701 | 99897 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 14456 | 14066 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 3858 | 3754 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2041  | 283260 | 261181 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 681453 | 600972 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 390243 | 341960 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 48091 | 47277 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 63937 | 62190 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 4485 | 4363 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 82207 | 79688 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 21481 | 20816 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 895723 | 855356 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2040  | 242730 | 224667 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 146747 | 134792 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 49480 | 45554 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1872213 | 1640570 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1446551 | 1275710 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1029001 | 905545 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 738320 | 646970 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 558719 | 489590 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 178775 | 173773 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 150881 | 146206 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 3258 | 3156 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2033  | 1551841 | 1507312 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2049  | 1386420 | 1219215 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 687945 | 602827 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 255687 | 225011 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 53798 | 52346 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 35543 | 34097 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 147715 | 136350 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  | 25949 | 23591 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 19118 | 16788 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 4053772 | 3607951 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 578760 | 555209 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 514613 | 493673 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 46216 | 42858 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 81741 | 75905 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 3968767 | 3482685 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 714936 | 630724 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 3360902 | 2966074 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 1206560 | 1061423 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2031  | 635723 | 619948 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 96874 | 94227 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 307105 | 290129 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 138709 | 127943 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 3126746 | 2865506 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 19614 | 17833 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 6842480 | 6021541 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 3129011 | 2753602 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 2566169 | 2271921 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1770322 | 1565670 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1289918 | 1130320 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 294973 | 259767 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 814695 | 794476 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 793194 | 772973 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 718599 | 700770 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 704751 | 687020 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 691735 | 674109 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 571596 | 557392 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 14160 | 13818 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 33402 | 30971 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 96306 | 88821 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 82334 | 75884 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 72903 | 67567 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 42076 | 38730 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 17160 | 15775 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2867947 | 2531030 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2541791 | 2228892 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2508640 | 2213933 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1479430 | 1297772 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 21155 | 18558 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 6976314 | 6152398 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 2683854 | 2360176 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 193282 | 169972 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 1024073 | 997975 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 649552 | 632996 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 632324 | 616634 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 1275744 | 1125874 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 266751 | 246904 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 299695 | 276431 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 96607 | 88979 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 75933 | 70119 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2049  | 4449662 | 3957521 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 2623348 | 2316805 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 880852 | 779850 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 35360 | 34459 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 20048 | 19543 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2033  | 4440 | 4292 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2041  | 483609 | 445947 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1986951 | 1742974 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1590585 | 1395278 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1536200 | 1347571 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 35479 | 34510 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2042  | 7544493 | 7044868 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 11256 | 11038 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 66338 | 62466 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 14009 | 13180 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 9295 | 8774 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7628 | 7169 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7258 | 6834 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 6807 | 6404 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 3831 | 3624 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2044  | 78851 | 73952 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 366027 | 333843 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 30768 | 27899 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 17195 | 16115 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 5974 | 5614 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 590552 | 548775 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 25890 | 24051 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 2512987 | 2299874 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 1035963 | 944547 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 4701 | 4608 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 67936 | 66937 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2039  | 23907 | 23008 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 32896 | 31008 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 31866 | 29891 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 742828 | 690279 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 721838 | 670774 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 34839 | 32705 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 72405 | 66038 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 5049469 | 4651233 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 688763 | 631214 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 444801 | 407636 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 264069 | 241675 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 19321 | 17755 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 15862 | 14576 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 188292 | 185147 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 56688 | 55744 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 27512 | 26884 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 17878 | 16857 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 9920 | 9299 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 7724 | 7265 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 4476 | 4212 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 2814 | 2642 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 664943 | 606475 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1126274 | 1026889 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 193056 | 176744 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 154786 | 141660 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 114967 | 113480 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 47241 | 46568 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 48942 | 45992 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 35783 | 33638 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 27153 | 25564 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 21765 | 20474 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 17135 | 16107 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 10210 | 9611 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 9199 | 8646 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 8460 | 7936 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 5044 | 4758 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 194839 | 182622 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 187029 | 175193 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 27785 | 26042 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 303636 | 279594 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 497416 | 454766 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 440376 | 402617 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 40600 | 36941 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 7828 | 7682 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 14781 | 13915 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 263116 | 244503 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 8886680 | 8258020 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 359078 | 327690 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 80787 | 74391 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 2039917 | 1873298 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1477986 | 1344794 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1465609 | 1338113 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 61108 | 57283 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 9700 | 9124 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 44898 | 41932 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 53506 | 50068 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 264504 | 248081 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 244633 | 229755 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 210171 | 193464 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 38654 | 35316 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 4032871 | 3685824 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1737153 | 1598521 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 999378 | 914627 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 87424 | 81982 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 48539 | 45566 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 39752 | 37378 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 5929 | 5572 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 6326 | 5886 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 240462 | 223526 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 75261 | 69302 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2044  | 38115 | 35823 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 1961864 | 1800394 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 135140 | 133256 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2040  | 51741 | 49714 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 9315 | 8788 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 81052 | 75947 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 393609 | 365887 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 117529 | 110077 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 2420893 | 2226938 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 501058 | 460915 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 99521 | 97648 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 65433 | 61311 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 22866 | 21448 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 11405 | 10687 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 13190 | 12259 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 11959 | 11104 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 4413 | 4085 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 173181 | 160875 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 7108745 | 6514778 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 264681 | 242897 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 11211 | 11002 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 9133 | 8962 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 296811 | 291853 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 31006 | 29159 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 410233 | 381084 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 143848 | 133627 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 115525 | 108358 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 20737 | 19004 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 8106 | 7860 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 25394 | 24581 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 208564 | 199731 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 998986 | 961049 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 115742 | 110515 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 6356661 | 6148303 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 343387 | 324552 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 140327 | 133332 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 61837 | 59872 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 21226 | 20556 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 14324 | 13926 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 5825 | 5641 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 3509 | 3399 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 26708 | 25653 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 913486 | 879367 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 68269 | 65207 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2048  | 10869904 | 10467301 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 6594 | 6378 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 3553 | 3432 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 1246241 | 1196967 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 222087 | 212948 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 38761 | 36672 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 4343 | 4211 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1898876 | 1835865 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 69537 | 66592 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 33003 | 31605 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 56819 | 54306 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2051  | 46770 | 44249 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2035  | 119517 | 118044 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 11887 | 11473 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 258298 | 244938 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 12006 | 11608 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 11982 | 11562 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 238441 | 225437 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 4173 | 4043 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 29529 | 28537 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 22834 | 22051 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 48571 | 46635 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 2793404 | 2712608 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2051  | 462761 | 438535 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2038  | 7186 | 7097 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 38880 | 37555 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 24871 | 24029 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 193640 | 185923 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2050  | 28130 | 26525 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 197861 | 187441 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 14950 | 14163 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 31280 | 30303 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 24909 | 24067 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 268679 | 257216 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 111769 | 107070 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 67311 | 64481 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 1627684 | 1575832 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  | 553669 | 527625 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 174831 | 172840 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 21577 | 20901 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 8636 | 8380 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 30594 | 29653 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 4882 | 4728 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 34011 | 32570 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 2294836 | 2187608 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 14334 | 13879 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 13196 | 12782 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 7097 | 6872 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 238473 | 228969 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 602028 | 579542 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 22694 | 21499 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 45950 | 45802 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 4543 | 4526 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 1856 | 1849 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 66867 | 66639 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 4995 | 4972 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 10118 | 10074 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 120895 | 119538 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 11943 | 11909 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 6270 | 6241 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 2332 | 2327 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 2183 | 2177 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 56644 | 56422 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 39708 | 39543 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 2370 | 2358 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 16221 | 16151 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 6425 | 6363 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 50675 | 50138 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 68280 | 68064 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 13144 | 13109 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 9120 | 9100 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 8257 | 8225 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7721 | 7688 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7299 | 7274 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7049 | 7029 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 6280 | 6261 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 5996 | 5968 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 5468 | 5448 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 5320 | 5305 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 5139 | 5117 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 4737 | 4722 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3667 | 3651 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3481 | 3465 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3103 | 3092 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3077 | 3070 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 2437 | 2426 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 2063 | 2060 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 35562 | 35420 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 19749 | 19668 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 15984 | 15914 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 25256 | 24994 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 161420 | 159659 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 20356 | 20134 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 18795 | 18725 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 6577 | 6546 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 5645 | 5621 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 2300 | 2291 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 3710 | 3678 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 9482 | 9376 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 93598 | 92547 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 37941 | 37821 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 5684 | 5665 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 47128 | 46911 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 3095 | 3085 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 953 | 952 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 39002 | 38568 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 12431 | 12292 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 21201 | 20837 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 80487 | 79584 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 1260 | 1260 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 6690 | 6732 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 2220 | 2212 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 1221 | 1217 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 19131 | 19024 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 6094 | 6034 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 75721 | 74956 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 16633 | 16561 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 11620 | 11571 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 5445 | 5422 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 3280 | 3264 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 1888 | 1879 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 6509 | 6464 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 9957860 | 9869748 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 5725 | 5670 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 15092 | 14918 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 72292 | 71255 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 585636 | 575405 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 21559 | 21317 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 73129 | 72080 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 6497 | 6475 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 12982 | 12861 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 80060 | 79087 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2050  | 1232468 | 1209395 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 71579 | 70865 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 68923 | 67891 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 40587 | 39979 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 21611 | 21369 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 3448 | 3424 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 13423 | 13285 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 8252 | 8184 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 8139 | 8048 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 177722 | 174839 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 42965 | 43234 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 7645 | 7674 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 2203 | 2194 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 2634 | 2623 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 4466070 | 4429425 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 85620 | 84713 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 121591 | 120265 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 10555 | 10440 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 205648 | 203276 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2053  | 6416596 | 6296268 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 19414 | 19470 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 2155 | 2156 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 1400 | 1423 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 54442 | 55317 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 7834 | 7869 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 705 | 717 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 5686 | 5783 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 146742 | 149241 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 4004 | 4072 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 7427 | 7513 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 1273 | 1288 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 13617 | 13850 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 2600 | 2612 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 11123 | 11309 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 2283 | 2322 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 2259 | 2297 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 12374 | 12583 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 7089 | 7141 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 12839 | 13046 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 77768 | 79091 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 12777 | 12813 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 10050 | 10079 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 6088 | 6092 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 19108 | 19473 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 4231 | 4289 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 65148 | 66252 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 5343 | 5390 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 6072 | 6107 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 11139 | 11171 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 73313 | 74353 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 20698 | 20984 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 12946 | 13122 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 4640 | 4716 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 7417 | 7459 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 7704 | 7719 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 411453 | 419323 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 9740 | 9926 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 20019 | 20311 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 20113 | 20437 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 91572 | 92122 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 197 | 199 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 14583 | 14828 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 1964 | 1998 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 73816 | 74259 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 12777 | 12834 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 2940 | 2977 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1468 | 1488 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1311 | 1327 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 980 | 994 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 880 | 892 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 448 | 454 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 224 | 227 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 25895 | 26391 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 3208 | 3250 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 1476 | 1496 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 1469 | 1488 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 1174 | 1189 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 553 | 560 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 495 | 502 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 7596 | 7709 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 3500 | 3549 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 31287 | 31819 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 1956 | 1989 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 13622 | 13683 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 15475 | 16022 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 477263 | 486017 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 153125 | 156030 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 20625 | 21170 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 374642 | 382685 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 323765 | 329906 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 197223 | 200718 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 200714 | 204395 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 63558 | 65237 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 11276 | 11592 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 55059 | 56498 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 23545 | 24161 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 2424 | 2481 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 23665 | 24331 |
| Fannie Mae Mortgage pass-thru certificates 5.31% 8/1/2041 (c) | 18738 | 19140 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 917487 | 946891 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 4302152 | 4446753 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 1011758 | 1048610 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 1627104 | 1684209 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2038  | 7967591 | 8245668 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 75811 | 78146 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 591239 | 609818 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 1158788 | 1196288 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 511703 | 528262 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 318122 | 329113 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 464834 | 479876 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 3162884 | 3261039 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1083230 | 1120654 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 1282887 | 1330317 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2052  | 681952 | 703808 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 5.755% 1/1/2035 (b)(c) | 161 | 165 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.51%, 5.76% 2/1/2033 (b)(c) | 66 | 67 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 5.907% 12/1/2034 (b)(c) | 311 | 318 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.142% 9/1/2033 (b)(c) | 8999 | 9204 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.585% 9/1/2035 (b)(c) | 152 | 158 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2034  | 7118 | 7455 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2035  | 13423 | 14158 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 308 | 325 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 5864 | 6222 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 5658 | 6016 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 1631746 | 1709211 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 4249 | 4460 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 2265 | 2383 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 5454 | 5776 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 602523 | 630704 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2034  | 9822 | 10336 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 9892 | 10378 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 1749 | 1842 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 774 | 814 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 100 | 106 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1596261 | 1653580 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 497855 | 520518 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 195682 | 204834 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 65293 | 68367 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 2309 | 2462 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2034  | 2739 | 2866 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2053  | 4003213 | 4182941 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 4943689 | 5167185 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1754746 | 1842300 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2034  | 2696 | 2821 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 3022 | 3166 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 1978 | 2104 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 1962571 | 2041435 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 543744 | 560382 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 1282573 | 1341758 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2035  | 19054 | 20008 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 1936953 | 1995012 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 6854 | 7279 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 1394784 | 1436591 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 1853620 | 1939157 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 1035 | 1087 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 30162 | 31742 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 3455 | 3649 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053 (e) | 565959 | 591014 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1356697 | 1397362 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 1007 | 1063 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 346 | 364 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 909 | 967 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 12966 | 13780 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 414950 | 433320 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 2063563 | 2144601 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1157687 | 1192025 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 7674063 | 8038381 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 7285285 | 7517055 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2034  | 12498 | 13128 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 602 | 634 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 75 | 79 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 15035 | 15732 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 291 | 299 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 3134 | 3306 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 414 | 440 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 459488 | 477676 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 2669788 | 2748977 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 428517 | 448693 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  | 2281805 | 2414397 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 3105903 | 3297059 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2053  | 886351 | 924975 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 3469 | 3632 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 33527 | 35238 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2054  | 54613 | 57498 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 67949 | 71839 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 62244 | 65970 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 52892 | 56048 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 379873 | 396427 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 829205 | 877389 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 379472 | 396008 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 660367 | 700803 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 83215 | 88467 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 10108 | 10583 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 2030 | 2124 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 4216 | 4438 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2053  | 150791 | 158934 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 2423768 | 2584302 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 1983755 | 2099648 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 750584 | 782472 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 238209 | 252126 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 2633104 | 2801744 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 247 | 264 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 30698 | 32230 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 24052 | 25252 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 5569 | 5859 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 879827 | 930884 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2054  | 61149 | 64365 |
| Fannie Mae Mortgage pass-thru certificates 6.783% 2/1/2039 (c) | 5245 | 5489 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 4 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 260434 | 276960 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 15 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 23 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 6 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 54 | 57 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 513708 | 548272 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 21719 | 23008 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 112873 | 119190 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 34213 | 36198 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 23 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 11 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 50 | 53 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 381893 | 406842 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 355 | 375 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 224 | 235 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 474 | 497 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 90 | 94 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 59 | 62 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 322 | 342 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 128 | 135 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 95 | 100 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 24 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2054  | 19624 | 21020 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 23 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 11 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 22825 | 24533 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 26 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 138 | 145 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  | 310527 | 330135 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 245417 | 262179 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 640 | 654 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 34 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 10 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 27 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 15 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 10 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 2 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 42 | 43 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 41 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 12 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 33 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 18 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 1 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 463 | 473 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 2 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 35 | 36 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 374856 | 342897 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 1312230 | 1044899 |
| Freddie Mac Gold Pool 1.5% 10/1/2035  | 1187827 | 1089157 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 310117 | 284356 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 143808 | 131862 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 20572 | 18863 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 196455 | 180136 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 30750 | 26631 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 2350583 | 2032674 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 1335545 | 1061377 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 52558 | 45417 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 1055540 | 838853 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 1244377 | 1073792 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 810284 | 699869 |
| Freddie Mac Gold Pool 1.5% 4/1/2051 (f) | 3750690 | 2980729 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 90940 | 72271 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 251995 | 231378 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 438622 | 368149 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 290797 | 245528 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 192508 | 160735 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 17162 | 15308 |
| Freddie Mac Gold Pool 2% 10/1/2050  | 461304 | 386177 |
| Freddie Mac Gold Pool 2% 10/1/2050  | 19984 | 16730 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 845990 | 710858 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 45869 | 38571 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 147040 | 131106 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 7045924 | 5955688 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 6549620 | 5482963 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 38275 | 32042 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 26611 | 22277 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1483115 | 1246213 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 667673 | 561440 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 630609 | 529092 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 65570 | 55137 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 38193 | 32116 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 722517 | 609817 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 237370 | 199602 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 36986 | 34483 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 26008 | 24313 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 22886 | 21394 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 182894 | 164194 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 2044760 | 1711115 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 21694 | 18161 |
| Freddie Mac Gold Pool 2% 2/1/2052 (d) | 1379752 | 1156773 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 599274 | 503175 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 20168 | 18847 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 207667 | 187096 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 3413373 | 2854278 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 2687490 | 2251491 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 417004 | 351046 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 391613 | 329671 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 336154 | 282984 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 46431 | 39087 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 29084 | 24483 |
| Freddie Mac Gold Pool 2% 4/1/2051  | 279848 | 234010 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 3883525 | 3258344 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 55111 | 46343 |
| Freddie Mac Gold Pool 2% 5/1/2036  | 34986 | 32706 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 163761 | 146724 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 6548777 | 5510908 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 3422374 | 2861805 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 2664351 | 2250423 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 77812 | 65262 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 72726 | 61223 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 278544 | 249412 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 22612052 | 18957764 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 598474 | 504000 |
| Freddie Mac Gold Pool 2% 6/1/2051  | 18133 | 15163 |
| Freddie Mac Gold Pool 2% 6/1/2052  | 339781 | 284127 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1057252 | 947554 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 16465 | 14733 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 170336 | 143447 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 51977 | 43545 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 20484 | 17174 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 698172 | 591887 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 43208 | 36374 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 15260 | 12851 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 435318 | 364423 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 12985952 | 10879203 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 311666 | 262370 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 85477 | 71556 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 14970 | 12541 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 321090 | 270002 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 318287 | 267645 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 55022 | 46268 |
| Freddie Mac Gold Pool 2.5% 1/1/2031  | 3441 | 3361 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  | 442849 | 408754 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 228935 | 210051 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 1157666 | 1018773 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 51748 | 45637 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 19153 | 18684 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 113372 | 104141 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 2987118 | 2628733 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 82970 | 80703 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  | 3970 | 3847 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1327041 | 1223222 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 69569 | 64019 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 63762 | 58785 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 3081556 | 2725322 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 836215 | 738501 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 350781 | 310230 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 528469 | 463083 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 248538 | 229448 |
| Freddie Mac Gold Pool 2.5% 2/1/2050  | 625808 | 550334 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 8164708 | 7213199 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 14099 | 12381 |
| Freddie Mac Gold Pool 2.5% 3/1/2032  | 1103614 | 1072720 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 2142193 | 1881163 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 25176 | 24379 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 3493529 | 3201789 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 46280 | 42483 |
| Freddie Mac Gold Pool 2.5% 4/1/2052 (e) | 839478 | 740334 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 524822 | 487009 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 346510 | 305803 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 12076 | 11796 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 11553 | 11274 |
| Freddie Mac Gold Pool 2.5% 6/1/2040  | 40212 | 37368 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 55417 | 51000 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 19629 | 19154 |
| Freddie Mac Gold Pool 2.5% 7/1/2032  | 355019 | 344700 |
| Freddie Mac Gold Pool 2.5% 7/1/2033  | 43476 | 42045 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 690648 | 609944 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 81904 | 72512 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1333104 | 1177745 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 514077 | 452399 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 33137 | 32325 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 52394 | 48239 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 1146088 | 1014673 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 114264 | 105528 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 5861 | 5491 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1283726 | 1172052 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 802419 | 730108 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 2080030 | 1906234 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 48871 | 44574 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 310978 | 283536 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 36139 | 35608 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 31114 | 30595 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 3416 | 3355 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 84247 | 79417 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 7522 | 7092 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 2788 | 2626 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 180604 | 167965 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 402165 | 366803 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 33835 | 33353 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 12776 | 12523 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 24284 | 23623 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 5856 | 5535 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 459743 | 423341 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 3752481 | 3429565 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 719952 | 654622 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 409724 | 372801 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 31411 | 30774 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 8469 | 7882 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 7726 | 7190 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 3778729 | 3453554 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 158021 | 145460 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 4015 | 3739 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 137283 | 127762 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 20902 | 19452 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 302952 | 276787 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 10712 | 10559 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 4142 | 4083 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 136031 | 126597 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 74948 | 68990 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 1311493 | 1193305 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 1199964 | 1098202 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 8467 | 7895 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 10941 | 10098 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 278391 | 254087 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 16848 | 16172 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 5628 | 5413 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 878051 | 838395 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 7343 | 7064 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 6619 | 6427 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 28610 | 27542 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 192288 | 183063 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 52906 | 52292 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 13784 | 13412 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 208970 | 201034 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 23592 | 22663 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 8799 | 8411 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 20499 | 20345 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 13247 | 12887 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 31605 | 30301 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 48352 | 46516 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 35729 | 34155 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 214192 | 212617 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 841240 | 814612 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 17715 | 17198 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 6669 | 6489 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 109347 | 104530 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 19296 | 18446 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 258878 | 245972 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 64253 | 60729 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 125652 | 124865 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 42737 | 41172 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 11657 | 11253 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 9278 | 8951 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 171294 | 165035 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 43084 | 41146 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 216804 | 205901 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 98426 | 93488 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 16348 | 15919 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 149812 | 145796 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 21894 | 21199 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 8678 | 8411 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 39854 | 38223 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 32684 | 31418 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 15727 | 15032 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 234902 | 224293 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 23916 | 23717 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 31162 | 30353 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 5550 | 5404 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 77591 | 74632 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 326569 | 314940 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 89980 | 89400 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 27623 | 26936 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 163732 | 157866 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 94012 | 90502 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 15340 | 14794 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 8849 | 8536 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  | 23917 | 22874 |
| Freddie Mac Gold Pool 3.5% 6/1/2047  | 125745 | 120105 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 129442 | 128616 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 2633 | 2561 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 508743 | 492903 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 505886 | 486990 |
| Freddie Mac Gold Pool 3.5% 7/1/2048  | 1951175 | 1863663 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 40428 | 40083 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 17706 | 17244 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 786136 | 756773 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 92571 | 89114 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 59086 | 56879 |
| Freddie Mac Gold Pool 3.5% 8/1/2049  | 9255708 | 8834798 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 264932 | 252387 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 14279 | 13918 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1161792 | 1124848 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 633147 | 612780 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 412963 | 397418 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 45377 | 43506 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 15368 | 14794 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 12654 | 12181 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 71716 | 72758 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 8190 | 8250 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 5629 | 5617 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 2683 | 2680 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 4330 | 4298 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 45105 | 44973 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 5321 | 5306 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 4177 | 4166 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 2220 | 2210 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 10798 | 10726 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 7629 | 7565 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 2843 | 2825 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 604097 | 594297 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 7320 | 7293 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 95473 | 95224 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 75516 | 75284 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 9470 | 9429 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 8249 | 8205 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 58780 | 57838 |
| Freddie Mac Gold Pool 4% 11/1/2051  | 33936 | 33566 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 2300 | 2295 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 93320 | 91824 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 14414 | 14387 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 19749 | 19677 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 7724 | 7681 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 5895 | 5860 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 4631 | 4601 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 2550 | 2534 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 62161 | 61721 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 23405 | 23236 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 60636 | 59758 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 18147 | 17913 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 15597 | 15422 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 6493140 | 6377667 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 1710534 | 1680114 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 3467 | 3451 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 3389 | 3378 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 51043 | 50821 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 39293 | 39170 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 74856 | 74556 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 4117 | 4098 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 22569 | 22334 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 21254 | 20940 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 17971 | 17706 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 9749 | 9605 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 3659 | 3605 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 1075 | 1059 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 34063 | 33625 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 25059 | 24737 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 101311 | 102213 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 6242 | 6230 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 5045 | 5013 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 30739 | 30653 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 8094 | 8017 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 125144 | 123333 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 4221 | 4259 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 3117 | 3145 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 2012 | 2005 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 5319 | 5276 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 360062 | 355077 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 25220 | 24926 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 19923 | 19700 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 79061 | 78677 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 9931 | 9869 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 8188 | 8147 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 4531 | 4508 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 2521 | 2504 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 15147 | 15017 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 30929 | 30582 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 21379 | 21570 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 16026 | 16144 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 4789 | 4758 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 19380 | 19156 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 5706 | 5691 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 2090 | 2085 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 1525 | 1523 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 31939 | 31821 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 5987 | 5975 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 7698 | 7654 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 7209 | 7166 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 6905 | 6866 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 6071 | 6032 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 5937 | 5895 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 4363 | 4334 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 36962 | 36559 |
| Freddie Mac Gold Pool 4.5% 1/1/2040  | 1768 | 1799 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 1118 | 1138 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 55674 | 56690 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 4204 | 4235 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 10937 | 11134 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 2625 | 2672 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 1025 | 1044 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 5214 | 5310 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 2946 | 3000 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 13847 | 14100 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 73424 | 74134 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 11570 | 11591 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 1307 | 1330 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 1984 | 2020 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 1711 | 1743 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 3663 | 3710 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 10071 | 10251 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 4264 | 4296 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 7973 | 8118 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 2261 | 2302 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 2255 | 2296 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 2110 | 2149 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 1372 | 1397 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 966 | 984 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 17618 | 17750 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 21549 | 21943 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 8856 | 9018 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 2210 | 2250 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 2154 | 2193 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 26715 | 27203 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 3057 | 3112 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 2982 | 3037 |
| Freddie Mac Gold Pool 4.5% 5/1/2035  | 905 | 919 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 6981 | 7108 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 3192 | 3250 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 2136 | 2175 |
| Freddie Mac Gold Pool 4.5% 5/1/2045  | 17294 | 17504 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 48821 | 49187 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 35937 | 36206 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 16814 | 16939 |
| Freddie Mac Gold Pool 4.5% 6/1/2038  | 1100 | 1117 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 2936 | 2988 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 2462 | 2507 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 2074 | 2111 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 977 | 994 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 70044 | 70547 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 19156 | 19306 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 4044 | 4116 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 1793 | 1826 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 1556 | 1584 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 34837 | 35207 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 29681 | 29894 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 15370 | 15490 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 414 | 420 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 1385 | 1410 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 9245 | 9414 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 1443 | 1469 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 1072 | 1092 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  | 47444 | 47225 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 5192 | 5283 |
| Freddie Mac Gold Pool 4.5% 9/1/2040  | 2559 | 2606 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 23672 | 24100 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 12719 | 12951 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 10219 | 10406 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 9536 | 9798 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 431 | 445 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 4284 | 4436 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 343466 | 349391 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 1123 | 1154 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 818 | 839 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 147061 | 149851 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 670 | 691 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 700829 | 713684 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 238034 | 243144 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 464 | 477 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 1787 | 1843 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 527950 | 537634 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 392335 | 399531 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 357733 | 364071 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 100573 | 102355 |
| Freddie Mac Gold Pool 5% 12/1/2054  | 2566763 | 2607827 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 377 | 388 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 2689 | 2764 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 990 | 1020 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 692 | 713 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 5804 | 5983 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 6373 | 6605 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 454 | 466 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 221 | 227 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 2548 | 2625 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 476 | 490 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 211 | 218 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 3893 | 4032 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 3231 | 3348 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 95110 | 98614 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1930785 | 1973440 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 16567 | 17053 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 2257 | 2327 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 1863 | 1933 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 1525 | 1583 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 725 | 743 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 313 | 322 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 4038 | 4153 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 296 | 304 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 3200 | 3311 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 932 | 956 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 1631 | 1682 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 146413 | 149190 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 1770647 | 1827256 |
| Freddie Mac Gold Pool 5.5% 11/1/2052  | 823960 | 852942 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 229421 | 234193 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (e)(f) | 1124095 | 1165390 |
| Freddie Mac Gold Pool 5.5% 4/1/2053  | 194259 | 201092 |
| Freddie Mac Gold Pool 5.5% 5/1/2039  | 5190532 | 5371687 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 550523 | 567822 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  | 3544202 | 3662000 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 1648935 | 1703714 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 230 | 239 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 142 | 147 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 113 | 118 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 1266346 | 1325574 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 152 | 158 |
| Freddie Mac Gold Pool 6% 11/1/2032  | 1268 | 1320 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 300443 | 312335 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 60 | 63 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 3366 | 3587 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 925 | 983 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 269960 | 282164 |
| Freddie Mac Gold Pool 6% 3/1/2053  | 1016564 | 1065062 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 117 | 122 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 399 | 416 |
| Freddie Mac Gold Pool 6% 4/1/2039  | 1078199 | 1119503 |
| Freddie Mac Gold Pool 6% 4/1/2054 (f) | 16095616 | 16838362 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 2772 | 2873 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 1839894 | 1927097 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 41 | 42 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 303 | 314 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 392 | 410 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 2552381 | 2643778 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 3024 | 3205 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 1204892 | 1262093 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 2324 | 2428 |
| Freddie Mac Gold Pool 6% 9/1/2039  | 660940 | 685640 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 927014 | 970661 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 251575 | 262556 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 939 | 982 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1158897 | 1226148 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 884 | 929 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 263939 | 279255 |
| Freddie Mac Gold Pool 6.5% 12/1/2054  | 2056022 | 2192199 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 8034 | 8431 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 87 | 91 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 6276630 | 6643318 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 2332371 | 2477377 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 23 | 24 |
| Freddie Mac Gold Pool 6.5% 7/1/2054  | 29060 | 30921 |
| Freddie Mac Gold Pool 6.5% 7/1/2055  | 3068138 | 3255052 |
| Freddie Mac Gold Pool 6.5% 7/1/2055  | 638173 | 675605 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 332 | 348 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 230 | 241 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 221 | 233 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 11735 | 12625 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 293826 | 310992 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 2794482 | 2968218 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 1670225 | 1777197 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 466 | 493 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 830820 | 883539 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 557236 | 593814 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 319946 | 340348 |
| Freddie Mac Gold Pool 7% 10/1/2053  | 23188 | 24420 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 776 | 820 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 687 | 733 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 40677 | 42965 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 276 | 290 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 1091 | 1145 |
| Freddie Mac Gold Pool 7% 7/1/2054  | 17362 | 18508 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 23 | 23 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 48 | 48 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 1941 | 2059 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 1 | 1 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 33 | 35 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 73 | 77 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 20 | 20 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 3979535 | 4159443 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 4848718 | 5069435 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 560330 | 593765 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 494576 | 525325 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 160470 | 171249 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 5.616% 1/1/2036 (b)(c) | 2003 | 2049 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 5.884% 3/1/2036 (b)(c) | 1737 | 1781 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 5.85% 3/1/2036 (b)(c) | 1316 | 1359 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.665%, 5.915% 7/1/2036 (b)(c) | 8538 | 8816 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.202% 12/1/2040 (b)(c) | 12458 | 13047 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.406% 7/1/2041 (b)(c) | 2299 | 2410 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.436% 9/1/2041 (b)(c) | 22222 | 23325 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (b)(c) | 920 | 956 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.38% 10/1/2041 (b)(c) | 25683 | 26971 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.63% 9/1/2041 (b)(c) | 2514 | 2640 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (b)(c) | 459 | 482 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.535% 6/1/2041 (b)(c) | 504 | 530 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.672% 6/1/2041 (b)(c) | 6364 | 6684 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.778% 5/1/2041 (b)(c) | 4450 | 4673 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.863% 5/1/2041 (b)(c) | 5812 | 6103 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.939%, 6.607% 10/1/2042 (b)(c) | 11354 | 11923 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.01% 4/1/2038 (b)(c) | 752 | 790 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 6.658% 3/1/2033 (b)(c) | 25 | 25 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (b)(c) | 4529 | 4725 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.095% 6/1/2033 (b)(c) | 9452 | 9685 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.23%, 6.48% 4/1/2034 (b)(c) | 3139 | 3234 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.2597%, 6.321% 6/1/2033 (b)(c) | 1788 | 1836 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 6.328% 3/1/2035 (b)(c) | 3714 | 3833 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.548%, 6.548% 7/1/2035 (b)(c) | 5848 | 6062 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2055  | 1867174 | 1928619 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 3105888 | 3206399 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1353589 | 1399085 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 379046 | 391787 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 371664 | 383691 |
| Freddie Mac Non Gold Pool 5.5% 9/1/2054  | 2098125 | 2163236 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 5.915% 7/1/2035 (b)(c) | 1494 | 1534 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.178% 10/1/2036 (b)(c) | 6011 | 6174 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.29% 1/1/2037 (b)(c) | 2092 | 2154 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.994%, 6.307% 10/1/2035 (b)(c) | 7316 | 7545 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.01%, 6.51% 5/1/2037 (b)(c) | 1479 | 1538 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.26% 6/1/2037 (b)(c) | 3044 | 3165 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 1015471 | 1061062 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 325683 | 340102 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 311839 | 325157 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 2773424 | 2896205 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 320577 | 334769 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 541071 | 562488 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 3112166 | 3288876 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 207528 | 220885 |
| Freddie Mac Non Gold Pool 6.5% 11/1/2054  | 86655 | 92232 |
| Freddie Mac Non Gold Pool 6.5% 2/1/2055  | 231430 | 246397 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 1415164 | 1245209 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 2191129 | 1927984 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 1163511 | 1023778 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 635440 | 558531 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 3014038 | 2649240 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 784087 | 689677 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 538393 | 473229 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1420714 | 1248761 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 786460 | 691273 |
| Ginnie Mae I Pool 3% 12/15/2042  | 19942 | 18640 |
| Ginnie Mae I Pool 3% 12/20/2042  | 24862 | 23259 |
| Ginnie Mae I Pool 3% 2/15/2045  | 10830 | 10055 |
| Ginnie Mae I Pool 3% 2/20/2050  | 79935 | 73408 |
| Ginnie Mae I Pool 3% 3/20/2043  | 16189 | 15152 |
| Ginnie Mae I Pool 3% 3/20/2043  | 6737 | 6310 |
| Ginnie Mae I Pool 3% 4/15/2045  | 6699 | 6200 |
| Ginnie Mae I Pool 3% 5/15/2042  | 2983 | 2798 |
| Ginnie Mae I Pool 3% 6/15/2043  | 2490 | 2333 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 9994 | 9541 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 1377250 | 1305512 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 22172 | 21172 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 8634 | 8250 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 8018 | 7655 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 9896 | 9476 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 4521 | 4321 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 3519 | 3374 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 1052 | 1006 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 9445 | 9038 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 3256 | 3116 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 43554 | 41664 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 6675 | 6336 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 13137 | 12564 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 5603 | 5359 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 37323 | 35711 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 7090 | 6748 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 13883 | 13302 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 6301 | 6020 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 2169 | 2072 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 11744 | 11186 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 126675 | 121492 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 7342766 | 6964886 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 4365959 | 4138546 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 2328327 | 2207050 |
| Ginnie Mae I Pool 4% 1/15/2041  | 7960 | 7832 |
| Ginnie Mae I Pool 4% 1/15/2047  | 5713 | 5576 |
| Ginnie Mae I Pool 4% 1/15/2047  | 5499 | 5367 |
| Ginnie Mae I Pool 4% 1/15/2047  | 4230 | 4128 |
| Ginnie Mae I Pool 4% 1/15/2047  | 2016 | 1968 |
| Ginnie Mae I Pool 4% 10/15/2040  | 9263 | 9117 |
| Ginnie Mae I Pool 4% 10/15/2040  | 8052 | 7929 |
| Ginnie Mae I Pool 4% 10/15/2040  | 7546 | 7428 |
| Ginnie Mae I Pool 4% 10/15/2041  | 17341 | 17039 |
| Ginnie Mae I Pool 4% 10/15/2041  | 8094 | 7960 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6005 | 5908 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4419 | 4347 |
| Ginnie Mae I Pool 4% 10/15/2041  | 3114 | 3060 |
| Ginnie Mae I Pool 4% 10/20/2042  | 29261 | 28703 |
| Ginnie Mae I Pool 4% 10/20/2052  | 1642662 | 1592953 |
| Ginnie Mae I Pool 4% 11/15/2040  | 2301 | 2264 |
| Ginnie Mae I Pool 4% 11/15/2041  | 15057 | 14805 |
| Ginnie Mae I Pool 4% 12/15/2040  | 1080 | 1066 |
| Ginnie Mae I Pool 4% 12/15/2041  | 6440 | 6334 |
| Ginnie Mae I Pool 4% 12/15/2041  | 4861 | 4776 |
| Ginnie Mae I Pool 4% 2/15/2042  | 2122 | 2085 |
| Ginnie Mae I Pool 4% 2/15/2045  | 7570 | 7407 |
| Ginnie Mae I Pool 4% 3/15/2040  | 34168 | 33643 |
| Ginnie Mae I Pool 4% 3/15/2041  | 17187 | 16919 |
| Ginnie Mae I Pool 4% 3/15/2042  | 7776 | 7637 |
| Ginnie Mae I Pool 4% 4/15/2046  | 47529 | 46477 |
| Ginnie Mae I Pool 4% 4/20/2048  | 6665 | 6513 |
| Ginnie Mae I Pool 4% 4/20/2048  | 5886 | 5752 |
| Ginnie Mae I Pool 4% 5/15/2045  | 7084 | 6924 |
| Ginnie Mae I Pool 4% 5/20/2049  | 11704 | 11376 |
| Ginnie Mae I Pool 4% 6/15/2045  | 1889 | 1849 |
| Ginnie Mae I Pool 4% 7/15/2045  | 5160 | 5041 |
| Ginnie Mae I Pool 4% 7/15/2046  | 3828 | 3744 |
| Ginnie Mae I Pool 4% 8/15/2039  | 1259 | 1242 |
| Ginnie Mae I Pool 4% 9/15/2041  | 7106 | 6986 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 1473 | 1491 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 4300 | 4353 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 2939 | 2976 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 10036 | 10160 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 23676 | 23970 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 4464 | 4519 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 999040 | 993976 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 800 | 810 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 5368 | 5435 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 2773 | 2806 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 2554 | 2585 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 19889 | 20136 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 11559 | 11702 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5266 | 5331 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 3000 | 3037 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 2899 | 2935 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 2511 | 2543 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 2308 | 2337 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 36698 | 37152 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 2262 | 2289 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 8633 | 8740 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 7768 | 7864 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 5925 | 5998 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4504 | 4560 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4169 | 4221 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 3830 | 3878 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 22425 | 22701 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 14314 | 14490 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 11452 | 11593 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 4568 | 4624 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 4241 | 4293 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 2093 | 2118 |
| Ginnie Mae I Pool 5% 10/15/2039  | 1600 | 1656 |
| Ginnie Mae I Pool 5% 12/15/2039  | 1580 | 1636 |
| Ginnie Mae I Pool 5% 4/15/2040  | 14966 | 15504 |
| Ginnie Mae I Pool 5% 4/15/2040  | 10826 | 11213 |
| Ginnie Mae I Pool 5% 4/15/2041  | 2008 | 2079 |
| Ginnie Mae I Pool 5% 4/20/2048  | 139360 | 143696 |
| Ginnie Mae I Pool 5% 5/15/2039  | 3680 | 3809 |
| Ginnie Mae I Pool 5% 5/15/2039  | 1609 | 1666 |
| Ginnie Mae I Pool 5% 6/15/2040  | 32970 | 34154 |
| Ginnie Mae I Pool 5% 7/15/2039  | 2785 | 2881 |
| Ginnie Mae I Pool 5% 8/15/2039  | 1339 | 1386 |
| Ginnie Mae I Pool 5% 8/15/2040  | 2856 | 2960 |
| Ginnie Mae I Pool 5% 8/15/2040  | 2406 | 2492 |
| Ginnie Mae I Pool 5% 8/15/2040  | 2135 | 2213 |
| Ginnie Mae I Pool 5% 9/15/2039  | 9068 | 9386 |
| Ginnie Mae I Pool 5% 9/15/2039  | 1315 | 1362 |
| Ginnie Mae I Pool 5% 9/15/2041  | 25146 | 26038 |
| Ginnie Mae I Pool 5.47% 8/20/2059 (c)(h) | 172 | 173 |
| Ginnie Mae I Pool 5.5% 1/15/2039  | 1534 | 1608 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 1214 | 1271 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 2048318 | 2112555 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 7628 | 8006 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 5298 | 5559 |
| Ginnie Mae I Pool 6% 5/15/2040  | 19072 | 20107 |
| Ginnie Mae I Pool 6% 6/15/2036  | 128529 | 135306 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 338 | 360 |
| Ginnie Mae I Pool 7% 1/15/2032  | 155 | 161 |
| Ginnie Mae I Pool 7% 10/15/2028  | 50 | 51 |
| Ginnie Mae I Pool 7% 4/15/2028  | 21 | 21 |
| Ginnie Mae I Pool 7% 4/15/2032  | 15 | 15 |
| Ginnie Mae I Pool 7% 4/20/2032  | 1543 | 1609 |
| Ginnie Mae I Pool 7% 6/15/2028  | 23 | 23 |
| Ginnie Mae I Pool 7% 6/15/2031  | 114 | 118 |
| Ginnie Mae I Pool 7% 7/15/2028  | 24 | 25 |
| Ginnie Mae I Pool 7% 8/15/2032  | 33 | 33 |
| Ginnie Mae I Pool 7% 9/15/2028  | 21 | 22 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 11 | 10 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 364 | 370 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 7 | 7 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 11 | 11 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 32 | 33 |
| Ginnie Mae I Pool 8% 7/15/2027  | 6 | 5 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 8 | 7 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 6 | 5 |
| Ginnie Mae II Pool 2% 10/20/2050  | 8353099 | 7079408 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2166861 | 1836862 |
| Ginnie Mae II Pool 2% 12/20/2050  | 4056378 | 3437666 |
| Ginnie Mae II Pool 2% 2/20/2051  | 944952 | 800784 |
| Ginnie Mae II Pool 2% 3/1/2056 (g) | 81200000 | 68778828 |
| Ginnie Mae II Pool 2% 4/1/2056 (g) | 37875000 | 32085696 |
| Ginnie Mae II Pool 2% 4/20/2051  | 83229 | 70528 |
| Ginnie Mae II Pool 2% 9/20/2050  | 4879147 | 4145232 |
| Ginnie Mae II Pool 2.5% 12/20/2050  | 149470 | 132057 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 4427662 | 3908373 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 9000131 | 7944567 |
| Ginnie Mae II Pool 2.5% 3/1/2056 (g) | 17150000 | 15130419 |
| Ginnie Mae II Pool 2.5% 3/20/2052  | 26639300 | 23517041 |
| Ginnie Mae II Pool 2.5% 4/1/2056 (g) | 7275000 | 6417729 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 549267 | 484847 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 1364140 | 1204150 |
| Ginnie Mae II Pool 3% 1/20/2032  | 338010 | 332427 |
| Ginnie Mae II Pool 3% 1/20/2043  | 131887 | 123883 |
| Ginnie Mae II Pool 3% 10/20/2031  | 110079 | 108322 |
| Ginnie Mae II Pool 3% 10/20/2043  | 10622 | 9953 |
| Ginnie Mae II Pool 3% 11/20/2031  | 119060 | 117116 |
| Ginnie Mae II Pool 3% 12/20/2031  | 180661 | 177744 |
| Ginnie Mae II Pool 3% 12/20/2042  | 11577 | 10874 |
| Ginnie Mae II Pool 3% 12/20/2046  | 2537081 | 2355276 |
| Ginnie Mae II Pool 3% 2/20/2031  | 14089 | 13886 |
| Ginnie Mae II Pool 3% 3/20/2031  | 28205 | 27793 |
| Ginnie Mae II Pool 3% 3/20/2050  | 763153 | 702027 |
| Ginnie Mae II Pool 3% 4/20/2031  | 106570 | 104992 |
| Ginnie Mae II Pool 3% 4/20/2052  | 3803467 | 3489908 |
| Ginnie Mae II Pool 3% 5/20/2031  | 227089 | 223682 |
| Ginnie Mae II Pool 3% 5/20/2051  | 540184 | 495769 |
| Ginnie Mae II Pool 3% 6/20/2050  | 6795 | 6244 |
| Ginnie Mae II Pool 3% 6/20/2051  | 143170 | 131412 |
| Ginnie Mae II Pool 3% 7/20/2031  | 2973 | 2927 |
| Ginnie Mae II Pool 3% 7/20/2051  | 181482 | 166662 |
| Ginnie Mae II Pool 3% 8/20/2031  | 34966 | 34421 |
| Ginnie Mae II Pool 3% 8/20/2051  | 215353 | 197566 |
| Ginnie Mae II Pool 3% 9/20/2031  | 14096 | 13873 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 54120 | 52163 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 23377 | 22532 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 10663 | 10250 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 13112 | 12600 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 1995 | 1913 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 14211 | 13655 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 135222 | 129333 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 26620 | 25567 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 157393 | 151036 |
| Ginnie Mae II Pool 4% 1/20/2042  | 7070 | 6972 |
| Ginnie Mae II Pool 4% 10/20/2040  | 7539 | 7444 |
| Ginnie Mae II Pool 4% 10/20/2041  | 125708 | 124009 |
| Ginnie Mae II Pool 4% 10/20/2044  | 76214 | 74841 |
| Ginnie Mae II Pool 4% 11/20/2040  | 94723 | 93525 |
| Ginnie Mae II Pool 4% 11/20/2041  | 4185 | 4127 |
| Ginnie Mae II Pool 4% 11/20/2044  | 164168 | 161175 |
| Ginnie Mae II Pool 4% 12/20/2044  | 4447 | 4366 |
| Ginnie Mae II Pool 4% 2/20/2041  | 2023 | 1997 |
| Ginnie Mae II Pool 4% 3/20/2041  | 7935 | 7833 |
| Ginnie Mae II Pool 4% 3/20/2047  | 303764 | 298558 |
| Ginnie Mae II Pool 4% 4/20/2042  | 25435 | 25075 |
| Ginnie Mae II Pool 4% 5/20/2046  | 23498 | 23023 |
| Ginnie Mae II Pool 4% 6/20/2045  | 74536 | 73127 |
| Ginnie Mae II Pool 4% 7/20/2044  | 4119 | 4046 |
| Ginnie Mae II Pool 4% 8/20/2043  | 9438 | 9287 |
| Ginnie Mae II Pool 4% 8/20/2044  | 10639 | 10449 |
| Ginnie Mae II Pool 4% 8/20/2045  | 244277 | 239506 |
| Ginnie Mae II Pool 4% 9/20/2040  | 34403 | 33970 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 8689 | 8791 |
| Ginnie Mae II Pool 4.5% 10/20/2039  | 1335 | 1327 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 18784 | 18674 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 1860 | 1882 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 7894 | 7843 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 1870 | 1892 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 7432 | 7391 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 3766 | 3742 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 31217 | 31584 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 326 | 324 |
| Ginnie Mae II Pool 4.5% 3/1/2056 (g) | 17500000 | 17288164 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 650 | 657 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 2043 | 2067 |
| Ginnie Mae II Pool 4.5% 4/1/2056 (g) | 17500000 | 17266974 |
| Ginnie Mae II Pool 4.5% 4/20/2040  | 3532 | 3511 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 18825 | 19046 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 2158 | 2183 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 80971 | 81923 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 294 | 297 |
| Ginnie Mae II Pool 4.5% 6/20/2039  | 1467 | 1459 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 3427 | 3408 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 50991 | 51591 |
| Ginnie Mae II Pool 4.5% 7/20/2039  | 284 | 284 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 3578 | 3620 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 301 | 299 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 19339 | 19567 |
| Ginnie Mae II Pool 5% 9/20/2033  | 13375 | 13654 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 1736869 | 1790253 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 2112351 | 2182557 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (g) | 108625000 | 110023646 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (g) | 84350000 | 85347118 |
| Ginnie Mae II Pool 6% 11/20/2031  | 366 | 379 |
| Ginnie Mae II Pool 6% 12/20/2054  | 2761891 | 2824862 |
| Ginnie Mae II Pool 6% 3/1/2056 (g) | 105725000 | 107869675 |
| Ginnie Mae II Pool 6% 4/1/2056 (g) | 42200000 | 43026373 |
| Ginnie Mae II Pool 6% 5/20/2032  | 1722 | 1786 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 65 | 68 |
| Ginnie Mae II Pool 6.5% 3/1/2056 (g) | 10300000 | 10704239 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 80 | 83 |
| Ginnie Mae II Pool 7% 2/20/2032  | 462 | 482 |
| Ginnie Mae II Pool 7% 3/20/2032  | 238 | 249 |
| Uniform Mortgage Backed Securities 2% 3/1/2056 (g) | 58950000 | 48820274 |
| Uniform Mortgage Backed Securities 2% 4/1/2056 (g) | 21950000 | 18179916 |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 (g) | 9075000 | 7858738 |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 (g) | 4900000 | 4617867 |
| Uniform Mortgage Backed Securities 4% 3/1/2056 (g) | 16925000 | 16450968 |
| Uniform Mortgage Backed Securities 5% 3/1/2041 (g) | 44700000 | 45379230 |
| Uniform Mortgage Backed Securities 5% 3/1/2056 (g) | 7500000 | 7533984 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (g) | 25850000 | 26227650 |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 (g) | 66400000 | 67468628 |
| Uniform Mortgage Backed Securities 6% 3/1/2056 (g) | 98425000 | 100958677 |
| Uniform Mortgage Backed Securities 6% 4/1/2056 (g) | 15075000 | 15461298 |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 (g) | 6200000 | 6438555 |
| TOTAL UNITED STATES |  | 1666502696 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $1,641,532,515) |  | <br> **1666502696** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 43.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 43.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 43.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 43.4%** |
|  | Yield (%) (x) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.875% 11/15/2051  | 1.91 to 2.15 | 34881000 | 20134240 |
| US Treasury Bonds 2% 8/15/2051  | 2.14 | 3714000 | 2220856 |
| US Treasury Bonds 2.25% 2/15/2052  | 2.29 to 2.99 | 24090000 | 15239748 |
| US Treasury Bonds 2.25% 8/15/2046  | 4.93 | 73000 | 49939 |
| US Treasury Bonds 2.875% 5/15/2052  | 3.13 to 4.81 | 23593000 | 17143632 |
| US Treasury Bonds 3.25% 5/15/2042  | 3.39 to 4.91 | 9900000 | 8510906 |
| US Treasury Bonds 3.625% 2/15/2053 (e) | 3.65 to 4.80 | 15123000 | 12695050 |
| US Treasury Bonds 3.625% 5/15/2053  | 3.89 to 4.80 | 19116000 | 16037279 |
| US Treasury Bonds 3.875% 5/15/2043  | 4.92 | 1812000 | 1675140 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 78418000 | 70453672 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.62 | 200000 | 189406 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.20 to 5.00 | 28401000 | 26054589 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.49 to 4.68 | 167261000 | 156683048 |
| US Treasury Bonds 4.25% 8/15/2054  | 3.99 to 4.39 | 67106000 | 62875176 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.91 | 1251000 | 1230525 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.35 to 4.85 | 188900000 | 184546445 |
| US Treasury Bonds 4.5% 2/15/2044  | 4.62 to 4.90 | 1270000 | 1265982 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.52 to 5.12 | 17415000 | 17578946 |
| US Treasury Bonds 4.625% 11/15/2045  | 4.61 to 4.79 | 9149000 | 9209040 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.69 to 4.89 | 17040000 | 17010713 |
| US Treasury Bonds 4.625% 2/15/2046  | 4.57 to 4.63 | 974000 | 980848 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.51 to 4.88 | 40000000 | 39893752 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.57 to 4.65 | 435000 | 439945 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.38 to 4.55 | 105000000 | 104663672 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.80 to 4.98 | 52078000 | 52999536 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.72 to 4.98 | 67000000 | 68224844 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.53 to 4.75 | 13566000 | 14110760 |
| US Treasury Bonds 6.25% 5/15/2030 (f) | 4.72 | 2216000 | 2454133 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.51 to 2.67 | 4046183 | 3989654 |
| US Treasury Notes 2.875% 5/15/2032 (y) | 4.70 | 450000 | 430418 |
| US Treasury Notes 3.5% 1/15/2029  | 3.61 | 21000000 | 21063984 |
| US Treasury Notes 3.5% 2/15/2029  | 3.47 to 3.56 | 12410000 | 12448781 |
| US Treasury Notes 3.625% 12/31/2030  | 3.74 to 3.75 | 27300000 | 27425836 |
| US Treasury Notes 3.625% 3/31/2030  | 4.30 to 4.71 | 525000 | 528076 |
| US Treasury Notes 3.625% 8/31/2030  | 3.59 to 3.61 | 94500000 | 94990957 |
| US Treasury Notes 3.625% 9/30/2031  | 3.63 to 4.23 | 178570000 | 178869943 |
| US Treasury Notes 3.75% 2/28/2033  | 3.72 | 200000 | 200344 |
| US Treasury Notes 3.75% 5/31/2030  | 3.66 to 4.71 | 2174000 | 2196674 |
| US Treasury Notes 3.75% 8/31/2031  | 3.52 to 3.74 | 122370000 | 123373816 |
| US Treasury Notes 3.875% 12/31/2032  | 3.93 to 4.06 | 128800000 | 130067875 |
| US Treasury Notes 3.875% 8/15/2033  | 4.68 | 116000 | 116843 |
| US Treasury Notes 3.875% 8/15/2034  | 3.82 to 4.28 | 133900000 | 134094731 |
| US Treasury Notes 3.875% 8/31/2032  | 3.98 to 4.00 | 20000000 | 20220312 |
| US Treasury Notes 3.875% 9/30/2032  | 3.93 | 37000000 | 37393125 |
| US Treasury Notes 4% 1/31/2033  | 3.79 to 4.00 | 56335000 | 57303258 |
| US Treasury Notes 4% 11/15/2035  | 4.17 to 4.24 | 37500000 | 37634766 |
| US Treasury Notes 4% 2/15/2034  | 3.89 to 4.74 | 8063000 | 8169142 |
| US Treasury Notes 4% 2/28/2030  | 3.85 to 4.71 | 30326000 | 30925412 |
| US Treasury Notes 4% 4/30/2032  | 3.99 to 4.11 | 22100000 | 22523871 |
| US Treasury Notes 4% 6/30/2028 (e) | 3.96 to 3.97 | 7000000 | 7096797 |
| US Treasury Notes 4% 6/30/2032  | 4.15 | 56000000 | 57054375 |
| US Treasury Notes 4% 7/31/2032  | 4.01 to 4.11 | 83020000 | 84560410 |
| US Treasury Notes 4.125% 11/30/2029  | 4.24 | 430000 | 440129 |
| US Treasury Notes 4.125% 11/30/2031  | 4.55 | 20000000 | 20532031 |
| US Treasury Notes 4.125% 2/29/2032  | 4.12 to 4.20 | 68440000 | 70233877 |
| US Treasury Notes 4.125% 3/31/2031  | 4.33 to 4.70 | 80315000 | 82470329 |
| US Treasury Notes 4.125% 3/31/2032  | 4.09 | 70000000 | 71840234 |
| US Treasury Notes 4.125% 5/31/2032  | 4.05 to 4.31 | 103824000 | 106522199 |
| US Treasury Notes 4.125% 7/31/2031  | 3.70 to 4.12 | 105528000 | 108400419 |
| US Treasury Notes 4.25% 1/31/2030  | 4.35 to 4.47 | 69000000 | 70983750 |
| US Treasury Notes 4.25% 11/15/2034  | 4.47 to 4.54 | 131100000 | 134689886 |
| US Treasury Notes 4.25% 2/28/2029  | 4.71 | 1262000 | 1292416 |
| US Treasury Notes 4.25% 2/28/2031  | 4.31 | 4000000 | 4130000 |
| US Treasury Notes 4.25% 5/15/2035  | 4.33 to 4.48 | 131060000 | 134423532 |
| US Treasury Notes 4.25% 6/30/2031  | 4.43 to 4.45 | 46000000 | 47521953 |
| US Treasury Notes 4.25% 8/15/2035  | 4.08 to 4.29 | 190328000 | 195056462 |
| US Treasury Notes 4.375% 1/31/2032  | 4.21 | 400000 | 415828 |
| US Treasury Notes 4.375% 12/31/2029  | 4.39 | 510000 | 526714 |
| US Treasury Notes 4.5% 12/31/2031  | 4.52 to 4.53 | 125000000 | 130766601 |
| US Treasury Notes 4.625% 2/15/2035  | 4.21 to 4.44 | 40123000 | 42336032 |
| US Treasury Notes 4.625% 4/30/2029 (e) | 4.47 to 4.72 | 3030000 | 3139482 |
| US Treasury Notes 4.625% 4/30/2031  | 4.35 to 4.71 | 147000000 | 154413164 |
| US Treasury Notes 4.625% 9/30/2028  | 3.83 | 168000 | 173112 |
| US Treasury Notes 4.625% 9/30/2030  | 4.71 | 160000 | 167519 |
| US Treasury Notes 4.75% 2/15/2045  | 4.96 to 4.97 | 1350000 | 1383750 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $3,374,110,594) |  |  | **3399110641** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.5%** | &nbsp;&nbsp;**Money Market Funds - 2.5%** | &nbsp;&nbsp;**Money Market Funds - 2.5%** | &nbsp;&nbsp;**Money Market Funds - 2.5%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (z) | 3.70 | 176249148 | 176284398 |
| Fidelity Securities Lending Cash Central Fund (z)(Aa) | 3.69 | 19110683 | 19112594 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $195,396,246) |  |  | **195396992** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| 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 | 8/2026 | 8300000 | 79545 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.964% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 9300000 | 122149 |
| Option on an interest rate swap with Citibank NA to receive annually a floating rate based on the US SOFR Index and pay annually a fixed rate of 3.694%, expiring December 2033 | 12/2028 | 5500000 | 129490 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.805% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 5300000 | 147675 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.996% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 5600000 | 68565 |
| TOTAL PUT SWAPTIONS |  |  | 547424 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.964% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 9300000 | 397486 |
| 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 | 8/2026 | 8300000 | 247147 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.805% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 5300000 | 170199 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.694% and pay annually a floating rate based on the US SOFR Index, expiring December 2033 | 12/2028 | 5500000 | 161581 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.996% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 5600000 | 249507 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.753% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 6800000 | 210148 |
| TOTAL CALL SWAPTIONS |  |  | 1436068 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $2,327,299) |  |  | <br> **1983492** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 111.4%**<br> (Cost $8,640,992,719)<br>| <br>**8741258890** |
| **NET OTHER ASSETS (LIABILITIES) - (11.4)%**  | **(889453522)** |
| **NET ASSETS - 100.0%** | **7851805368** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 3/1/2056 | (60275000) | (51054727) |
| Ginnie Mae II Pool 2.5% 3/1/2056 | (7275000) | (6418297) |
| Ginnie Mae II Pool 4.5% 3/1/2056 | (17500000) | (17288164) |
| Ginnie Mae II Pool 5.5% 3/1/2056 | (92725000) | (93918918) |
| Ginnie Mae II Pool 6% 3/1/2056 | (100825000) | (102870276) |
| Ginnie Mae II Pool 6.5% 3/1/2056 | (10300000) | (10704239) |
| Uniform Mortgage Backed Securities 2% 3/1/2056 | (51825000) | (42919604) |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 | (9075000) | (7858738) |
| Uniform Mortgage Backed Securities 2.5% 4/1/2056 | (9075000) | (7859092) |
| Uniform Mortgage Backed Securities 3% 3/1/2056 | (10700000) | (9675558) |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 | (4900000) | (4617867) |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 | (5500000) | (5181172) |
| Uniform Mortgage Backed Securities 4% 3/1/2056 | (18700000) | (18176254) |
| Uniform Mortgage Backed Securities 4.5% 3/1/2056 | (225000) | (222486) |
| Uniform Mortgage Backed Securities 5% 3/1/2041 | (25850000) | (26242799) |
| Uniform Mortgage Backed Securities 5% 3/1/2056 | (7500000) | (7533984) |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 | (66400000) | (67468629) |
| Uniform Mortgage Backed Securities 6% 3/1/2056 | (58100000) | (59595622) |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 | (6200000) | (6438555) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (546044981) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $544,078,362) |  | <br> **(546044981)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 1 | 6/2026 | 78539 | (31) |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 7 | 3/2026 | 550822 | 4359 |
| CBOT 10Y US Treasury Notes Contracts (United States) | 1315 | 6/2026 | 149622344 | 1158436 |
| CBOT 10Y Ultra US Treasury Notes Contracts (United States) | 3 | 6/2026 | 350109 | 3182 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 844 | 6/2026 | 176593813 | 252172 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 2368 | 6/2026 | 260757500 | 1545919 |
| CBOT US Treasury Long Bond Contracts (United States) | 22 | 6/2026 | 2604938 | 24842 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 131 | 6/2026 | 15924688 | 138694 |
| Eurex Euro-Bund Contracts (Germany) | 5 | 3/2026 | 769399 | 12939 |
| The Montreal Exchange / Bourse DE Montreal Canadian Government Contracts (Canada) | 27 | 6/2026 | 2431494 | 8262 |
| TOTAL LONG |  |  |  | 3148774 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | (183) | 6/2026 | (20821969) | (108855) |
| CBOT US Treasury Long Bond Contracts (United States) | (1) | 6/2026 | (118406) | (1189) |
| ICE Long GILT Futures (United Kingdom) | (12) | 6/2026 | (1514974) | (20831) |
| TOTAL SHORT |  |  |  | (130875) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **3017899** |
| The notional amount of long futures as a percentage of Net Assets is 7.6%. | The notional amount of long futures as a percentage of Net Assets is 7.6%. | The notional amount of long futures as a percentage of Net Assets is 7.6%. | The notional amount of long futures as a percentage of Net Assets is 7.6%. | The notional amount of long futures as a percentage of Net Assets is 7.6%. |
| The notional amount of short futures as a percentage of Net Assets is 0.3%. | The notional amount of short futures as a percentage of Net Assets is 0.3%. | The notional amount of short futures as a percentage of Net Assets is 0.3%. | The notional amount of short futures as a percentage of Net Assets is 0.3%. | The notional amount of short futures as a percentage of Net Assets is 0.3%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| CAD | 174000 | USD | 127622 | BNP Paribas SA | 3/2026 | (60) |
| EUR | 1001000 | USD | 1182631 | Goldman Sachs Bank USA | 3/2026 | 150 |
| EUR | 197000 | USD | 232920 | JPMorgan Chase Bank NA | 4/2026 | 466 |
| EUR | 190000 | USD | 225228 | JPMorgan Chase Bank NA | 4/2026 | (136) |
| EUR | 195000 | USD | 230875 | Royal Bank of Canada | 4/2026 | 141 |
| GBP | 161000 | USD | 217458 | BNP Paribas SA | 3/2026 | (487) |
| GBP | 65000 | USD | 87963 | BNP Paribas SA | 4/2026 | (350) |
| GBP | 356000 | USD | 480347 | Bank of America NA | 4/2026 | (500) |
| USD | 839708 | AUD | 1205000 | JPMorgan Chase Bank NA | 4/2026 | (17617) |
| USD | 214640 | CAD | 292000 | BNP Paribas SA | 4/2026 | 79 |
| USD | 1566489 | CAD | 2123000 | Bank of America NA | 4/2026 | 6518 |
| USD | 118477 | EUR | 100000 | BNP Paribas SA | 4/2026 | 7 |
| USD | 56547625 | EUR | 47083000 | BNP Paribas SA | 4/2026 | 768442 |
| USD | 1418882 | EUR | 1198000 | Goldman Sachs Bank USA | 4/2026 | (387) |
| USD | 319773 | EUR | 268000 | JPMorgan Chase Bank NA | 4/2026 | 2274 |
| USD | 63488 | EUR | 53000 | JPMorgan Chase Bank NA | 4/2026 | 699 |
| USD | 217492 | GBP | 161000 | BNP Paribas SA | 4/2026 | 482 |
| USD | 312095 | GBP | 229000 | Citibank NA | 4/2026 | 3430 |
| USD | 14088057 | GBP | 10237000 | Goldman Sachs Bank USA | 4/2026 | 289749 |
| USD | 67223 | GBP | 50000 | JPMorgan Chase Bank NA | 4/2026 | (172) |
| USD | 623986 | GBP | 457000 | JPMorgan Chase Bank NA | 4/2026 | 8002 |
| USD | 924937 | JPY | 140600000 | BNP Paribas SA | 4/2026 | 20291 |
| USD | 4338331 | JPY | 659550000 | Royal Bank of Canada | 4/2026 | 94667 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **1175688** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 1195397 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (19709) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty(4) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($)(5) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 40000 | (150) | (414) | (564) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 16740 | (23410) | (6670) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 100000 | 16740 | (24221) | (7481) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 40000 | 6696 | (10072) | (3376) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 60000 | 10044 | (16594) | (6550) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 90000 | 15066 | (26089) | (11023) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 140000 | 23436 | (38311) | (14875) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 60000 | 10044 | (13791) | (3747) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 70000 | 11718 | (16573) | (4855) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 90000 | 15066 | (21413) | (6347) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 80000 | 13392 | (21061) | (7669) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 150000 | 25111 | (33973) | (8862) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 140000 | 23436 | (30856) | (7420) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 100000 | 16740 | (16014) | 726 |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 100000 | 16740 | (16135) | 605 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 200000 | 30227 | (29426) | 801 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 700000 | 56272 | (34520) | 21752 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 500000 | 40194 | (19662) | 20532 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 500000 | 40194 | (18715) | 21479 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 400000 | 32156 | (15403) | 16753 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 300000 | 24117 | (11381) | 12736 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 400000 | 32156 | (14257) | 17899 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 500000 | 80128 | (31984) | 48144 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 300000 | 48077 | (19570) | 28507 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 100000 | 16026 | (6984) | 9042 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 200000 | 30227 | (31480) | (1253) |
| CMBX BB Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (5%) | Monthly |  | 100000 | 16026 | (14607) | 1419 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 200000 | 32051 | (28845) | 3206 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 300000 | 48077 | (42434) | 5643 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 800000 | (1007) | (1462) | (2469) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 500000 | 40194 | (35401) | 4793 |
| CMBX AAA Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 5192860 | 27684 | (43960) | (16276) |
| Aviva PLC 6.125% 11/14/2036 |  | 12/2030 | Citibank NA | (1%) | Quarterly | EUR | 750000 | 717 | 196 | 913 |
| Commerzbank AG 4% 12/5/2030 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 650000 | 3373 | (7402) | (4029) |
| Heidelberg Materials AG 3.75% 5/31/2032 |  | 12/2030 | JPMorgan Chase Bank NA | (5%) | Quarterly | EUR | 750000 | (182709) | 166656 | (16053) |
| Allianz SE 2.121% 7/8/2050 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 950000 | (8719) | 10210 | 1491 |
| CMBX AAA Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 4000000 | (5033) | 3194 | (1839) |
| UniCredit SpA 5.375% 4/16/2034 |  | 12/2030 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 650000 | (3356) | (3873) | (7229) |
| Societe Generale SA 5.25% 9/6/2032 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 600000 | (700) | (7892) | (8592) |
| CMBX AAA Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (0.5%) | Monthly |  | 3395332 | 18101 | (31836) | (13735) |
| Deutsche Bank AG 5.625% 5/19/2031 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 550000 | 5172 | (9105) | (3933) |
| Generali 4.125% 5/4/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 750000 | (2872) | 1963 | (909) |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 650000 | (5269) | 1361 | (3908) |
| BMW Finance NV 0.75% 7/13/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1250000 | (38445) | 28975 | (9470) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 120000 | 20088 | (20347) | (259) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 3500000 | (4404) | 11099 | 6695 |
| BMW Finance NV 0.75% 7/13/2026 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 300000 | (8772) | 8531 | (241) |
| Generali 4.125% 5/4/2026 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 155000 | 524 | 361 | 885 |
| Deutsche Bank AG 5.625% 5/19/2031 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 155000 | 2905 | (1964) | 941 |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | 6/2031 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 245000 | (194) | 427 | 233 |
| UniCredit SpA 5.375% 4/16/2034 |  | 6/2031 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 165000 | 458 | (478) | (20) |
| Societe Generale SA 5.25% 9/6/2032 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 205000 | 1400 | (712) | 688 |
| Commerzbank AG 4% 1/21/2038 |  | 6/2031 | Citibank NA | (1%) | Quarterly | EUR | 115000 | 1631 | (798) | 833 |
| Aviva PLC 6.125% 11/14/2036 |  | 6/2031 | Citibank NA | (1%) | Quarterly | EUR | 120000 | 985 | 35 | 1020 |
| Allianz SE 3.099% 7/6/2047 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 100000 | (430) | 1227 | 797 |
| Heidelberg Materials AG 3.75% 5/31/2032 |  | 6/2031 | BNP Paribas SA | (5%) | Quarterly | EUR | 170000 | (44068) | 42889 | (1179) |
| CMBX AAA Series 19 Index |  | 12/2058 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 1000000 | 425 | 701 | 1126 |
| 5Y CDX EMIG CDSI Series 44 Index |  | 12/2030 | ICE | (1%) | Quarterly |  | 1355000 | 858 | 0 | 858 |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | 565284 | (515600) | 49684 |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 40000 | 150 | 899 | 1049 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 200000 | (2350) | 3990 | 1640 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 100000 | (1175) | 2018 | 843 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 100000 | (1175) | 1959 | 784 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 200000 | (2350) | 3323 | 973 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 500000 | (5874) | 7846 | 1972 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 100000 | (1175) | 1262 | 87 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 1700000 | (19971) | 30210 | 10239 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 900000 | (10573) | 23993 | 13420 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 800000 | (9398) | 13475 | 4077 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 3900000 | (45816) | 50733 | 4917 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 1000000 | (11748) | 12858 | 1110 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1300000 | (15272) | 14568 | (704) |
| CMBX AAA Series 17 Index | NR | 12/2056 | JPMorgan Securities LLC | 0.5% | Monthly |  | 1000000 | (11748) | 10942 | (806) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 1500000 | (17622) | 11440 | (6182) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 700000 | (8223) | 7283 | (940) |
| CMBX AAA Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 2196979 | (938) | 102 | (836) |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | (165258) | 196901 | 31643 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **400026** | **(318699)** | **81327** |

---

(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.

(4)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 | 149176000 | (361732) | 0 | (361732) |
| 4% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2056 | 3210000 | 149580 | 0 | 149580 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 3/2033 | 1943000 | (14732) | 0 | (14732) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2030 | 69521000 | (348587) | 0 | (348587) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 | 67296000 | (410055) | 0 | (410055) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(985526)** | **0** | **(985526)** |

---

(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.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| CAD | - | Canadian Dollar |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| JPY | - | Japanese Yen |
| USD | - | United States Dollar |

---

**Legend**

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

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

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

(d) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $302,093.

(e) 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 $7,439,006.

(f) 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 $800,626.

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

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

(i) 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.

(j) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $57,667 and $55,305, respectively.

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

(l) Level 3 security.

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

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

(o) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,478,463,158 or 18.8% of net assets.

(p) 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 $71,244,050 or 0.9% of net assets.

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

(r) 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.

(s) Principal Only Strips represent the right to receive the monthly principal payments.

(t) Non-income producing.

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

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

(w) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(x) 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.

(y) 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 $43,042.

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

(Aa) 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 | 210596845 | 1263227686 | 1297549635 | 5068356 | 9502 | - | 176284398 | 176249148 | 0.3% |
| Fidelity Floating Rate Central Fund | 393599870 | 15314124 | 25452027 | 14862099 | (2020099) | (7070007) | 374371861 | 3991171 | 19.5% |
| Fidelity Securities Lending Cash Central Fund | 21662947 | 688545761 | 691095927 | 71665 | (187) | - | 19112594 | 19110683 | 0.1% |
| Total | 625859662 | 1967087571 | 2014097589 | 20002120 | (2010784) | (7070007) | 569768853 |  |  |

---

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

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 667083003 | - | 667083003 | - |
|  **Bank Loan Obligations** |  |  |  |  |
| Communication Services | 1867434 | - | 1867434 | - |
| Consumer Discretionary | 7141372 | - | 7120198 | 21174 |
| Consumer Staples | 423669 | - | 386133 | 37536 |
| Energy | 1737392 | - | 1643470 | 93922 |
| Financials | 760794 | - | 760794 | - |
| Health Care | 2030311 | - | 2030311 | - |
| Industrials | 5666607 | - | 5236339 | 430268 |
| Information Technology | 3436828 | - | 3436828 | - |
| Materials | 6832029 | - | 6832029 | - |
| Utilities | 1599964 | - | 1599964 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 692320 | - | 692320 | - |
|  **Collateralized Mortgage Obligations** | 153894582 | - | 153894582 | - |
|  **Commercial Mortgage Securities** | 404562136 | - | 403925225 | 636911 |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 562663 | - | - | 562663 |
| Health Care | 57594 | - | - | 57594 |
| Industrials | 333956 | 102521 | 231435 | - |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 2846534 | - | 2846534 | - |
| Energy | 853377 | - | 853377 | - |
| Financials | 1564290 | - | 1564290 | - |
| Information Technology | 2989513 | - | 2989513 | - |
| Utilities | 638074 | - | 638074 | - |
|  **Convertible Preferred Stocks** |  |  |  |  |
| Consumer Discretionary | 573850 | - | 573850 | - |
| Financials | 797297 | - | - | 797297 |
| Information Technology | 694013 | - | 694013 | - |
|  **Fixed-Income Funds** | 374371861 | 374371861 | - | - |
|  **Foreign Government and Government Agency Obligations** | 86243054 | - | 86243054 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 136514998 | - | 136514998 | - |
| Consumer Discretionary | 49547479 | - | 49547479 | - |
| Consumer Staples | 48001831 | - | 48001831 | - |
| Energy | 254929396 | - | 254929396 | - |
| Financials | 679536141 | - | 679536141 | - |
| Health Care | 102503066 | - | 102503066 | - |
| Industrials | 105574417 | - | 105574417 | - |
| Information Technology | 88813317 | - | 88813317 | - |
| Materials | 62644058 | - | 62644058 | - |
| Real Estate | 111698974 | - | 111580814 | 118160 |
| Utilities | 90717460 | - | 90715310 | 2150 |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Information Technology | 381500 | 381500 | - | - |
|  **Preferred Securities** |  |  |  |  |
| Communication Services | 275608 | - | 275608 | - |
| Consumer Discretionary | 603763 | - | 603763 | - |
| Consumer Staples | 353542 | - | 353542 | - |
| Energy | 3736089 | - | 3736089 | - |
| Financials | 7044976 | - | 6873617 | 171359 |
| Industrials | 1923939 | - | 1923939 | - |
| Information Technology | 105687 | - | 105687 | - |
| Materials | 1287884 | - | 1287884 | - |
| Real Estate | 1350788 | - | 1350788 | - |
| Utilities | 465639 | - | 465639 | - |
|  **U.S. Government Agency - Mortgage Securities** | 1666502696 | - | 1666502696 | - |
|  **U.S. Treasury Obligations** | 3399110641 | - | 3399110641 | - |
|  **Money Market Funds** | 195396992 | 195396992 | - | - |
|  **Purchased Swaptions** | 1983492 | - | 1983492 | - |
| **Total Investments in Securities:** | 8741258890 | 570252874 | 8168076982 | 2929034 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 3148805 | 3148805 | - | - |
| Forward Foreign Currency Contracts | 1195397 | - | 1195397 | - |
| Swaps | 1021142 | - | 1021142 | - |
| Total Assets | 5365344 | 3148805 | 2216539 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (130906) | (130906) | - | - |
| Forward Foreign Currency Contracts | (19709) | - | (19709) | - |
| Swaps | (1606642) | - | (1606642) | - |
| Total Liabilities | (1757257) | (130906) | (1626351) | - |
| **Total Derivative Instruments:** | 3608087 | 3017899 | 590188 | - |
| **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (546044981) | - | (546044981) | - |
| **Total Other Financial Instruments:** | (546044981) | - | (546044981) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)(b)  | 871562 | (471536) |
| **Total Credit Risk**  | 871562 | (471536) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (c)  | 1195397 | (19709) |
| **Total Foreign Exchange Risk**  | 1195397 | (19709) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (d)  | 3148805 | (130906) |
| Purchased Swaptions (e)  | 1983492 | - |
| Swaps (a)  | 149580 | (1135106) |
| **Total Interest Rate Risk**  | 5281877 | (1266012) |
| **Total Value of Derivatives** | 7348836 | (1757257) |

---

(a)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).

(b)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).

(c)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

(d)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).

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

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $18,336,983) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $8,056,286,878) | $8171490037 |  |
| Fidelity Central Funds (cost $584,705,841) | 569768853 |  |
| Total Investment in Securities (cost $8,640,992,719) |  | $8741258890 |
| Segregated cash with brokers for derivative instruments |  | 4866289 |
| Cash |  | 422326 |
| Foreign currency held at value (cost $845,932) |  | 842896 |
| Receivable for investments sold |  | 9941641 |
| Receivable for TBA sale commitments |  | 544078362 |
| Unrealized appreciation on forward foreign currency contracts |  | 1195397 |
| Receivable for swaps |  | 102 |
| Receivable for fund shares sold |  | 13204141 |
| Dividends receivable |  | 34352 |
| Interest receivable |  | 64321722 |
| Distributions receivable from Fidelity Central Funds |  | 454379 |
| Receivable for daily variation margin on futures contracts |  | 1441187 |
| Receivable for daily variation margin on centrally cleared swaps |  | 1840 |
| Bi-lateral OTC swaps, at value |  | 870704 |
| Other receivables |  | 6346 |
| **Total assets** |  | 9382940574 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $44391530 |  |
| Delayed delivery | 895354900 |  |
| TBA sale commitments, at value | 546044981 |  |
| Unrealized depreciation on forward foreign currency contracts | 19709 |  |
| Payable for fund shares redeemed | 22816742 |  |
| Distributions payable | 496222 |  |
| Bi-lateral OTC swaps, at value | 471536 |  |
| Accrued management fee | 1939451 |  |
| Payable for daily variation margin on centrally cleared swaps | 487620 |  |
| Other payables and accrued expenses | 45 |  |
| Collateral on securities loaned | 19112470 |  |
| **Total liabilities** |  | 1531135206 |
| **Net Assets**  |  | $7851805368 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $7895756975 |
| Total accumulated earnings (loss) |  | (43951607) |
| **Net Assets** |  | $7851805368 |
| **Net Asset Value**, offering price and redemption price per share ($7,851,805,368 ÷ 868,475,120 shares) |  | $9.04 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $479542 |
| Interest  |  | 168005797 |
| Income from Fidelity Central Funds (including $71,665 from security lending)  |  | 20002120 |
| **Total income** |  | 188487459 |
| **Expenses** |  |  |
| Management fee | $11418127 |  |
| Independent trustees' fees and expenses | 7984 |  |
| Legal | 107 |  |
| Total expenses before reductions | 11426218 |  |
| Expense reductions | (12433) |  |
| Total expenses after reductions |  | 11413785 |
| **Net Investment income (loss)** |  | 177073674 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 12747832 |  |
| Fidelity Central Funds | (2010784) |  |
| Forward foreign currency contracts | (340143) |  |
| Foreign currency transactions | 58761 |  |
| Futures contracts | 2584883 |  |
| Swaps | (1755555) |  |
| Total net realized gain (loss) |  | 11284994 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 118875395 |  |
| Fidelity Central Funds  | (7070007) |  |
| Forward foreign currency contracts | 440802 |  |
| Assets and liabilities in foreign currencies | (27549) |  |
| Futures contracts | 935767 |  |
| Swaps | 1422417 |  |
| TBA sale commitments | 1275689 |  |
| Total change in net unrealized appreciation (depreciation) |  | 115852514 |
| **Net gain (loss)** |  | 127137508 |
| **Net increase (decrease) in net assets resulting from operations** |  | $304211182 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $177073674 | $320299946 |
| &nbsp;&nbsp;Net realized gain (loss) | 11284994<br>| (32371316)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 115852514 | (32561063)<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 304211182<br>| 255367567<br>|
| Distributions to shareholders | (174361552)<br>| (307999988)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 1404237193 | 4026693958 |
| Reinvestment of distributions | 170987224<br>| 302424023<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (1160268767) | (2535972735) |
| **Net increase (decrease) in net assets resulting from share transactions** | 414955650<br>| 1793145246<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 544805280<br>| 1740512825<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 7307000088 | 5566487263<br>|
| &nbsp;&nbsp;End of period | $7851805368 | $7307000088 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 156699158 | 455938310 |
| Issued in reinvestment of distributions | 19069882<br>| 34243554<br>|
| &nbsp;&nbsp;Redeemed | (129573891) | (288398978) |
| &nbsp;&nbsp;Net increase (decrease) | 46195149 | 201782886 |

---

**Financial Highlights** 

**Fidelity® Total Bond K6 Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $8.89 | $8.97 | $8.68 | $9.03 | $10.45 | $10.82 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .209  | .430  | .426  | .376  | .248  | .247  |
| Net realized and unrealized gain (loss)  | .146  | (.095)  | .268  | (.357)  | (1.388)  | .013  |
| Total from investment operations  | .355  | .335  | .694  | .019  | (1.140)  | .260  |
| Distributions from net investment income  | (.205)  | (.415)  | (.404)  | (.369)  | (.244)  | (.240)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.036)  | (.390)  |
| Total distributions  | (.205)  | (.415)  | (.404)  | (.369)  | (.280)  | (.630)  |
| Net asset value, end of period  | $9.04 | $8.89 | $8.97 | $8.68 | $9.03 | $10.45 |
| **Total Return** C,D | 4.04% <br>| 3.86%  | 8.25%  | .25%  | (11.07)%  | 2.53%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .30% G | .30%  | .30%  | .30%  | .30%  | .30%  |
| Expenses net of fee waivers, if any  | .30% G<br>| .30%  | .30%  | .30%  | .30%  | .30%  |
| Expenses net of all reductions, if any  | .30% G | .30%  | .30%  | .30%  | .30%  | .30%  |
| Net investment income (loss)  | 4.69% G | 4.89%  | 4.92%  | 4.30%  | 2.55%  | 2.37%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $7851805 | $7307000 | $5566487 | $2496986 | $1820300 | $1833077 |
| Portfolio turnover rate H | 183% G<br>| 228%  | 306%  | 203%  | 108%  | 137%  |

---

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

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

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

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

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

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

G*Annualized.*

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

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

For the period ended February 28, 2026

**1. Organization.**

Fidelity Total Bond K6 Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares generally are available only to employer-sponsored retirement plans that are recordkept by Fidelity, or to certain employer-sponsored retirement plans that are not recordkept by Fidelity.

**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 Floating Rate Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Delayed Delivery & When Issued Securities<br> Foreign Securities<br> Loans & Direct Debt Instruments<br> Restricted Securities | .01% |
| 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.* 

An unaudited holdings listing for the investing fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

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

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

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, preferred securities and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. 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.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in interest. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in interest receivable.

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

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

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

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

Book-tax differences are primarily due to futures contracts, swaps, passive foreign investment companies (PFIC), defaulted bonds, market discount, partnerships, certain conversion ratio adjustments, certain corporate actions, capital loss carryforwards, and losses deferred due to wash sales and futures contracts.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $215350754 |
| **Gross unrealized depreciation** | <u>(93291228)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$122059526</u> |
| **Tax cost** | <u>$8620522133</u> |

---

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

---

| | |
|:---|:---|
| Short-term | $(32374002) |
| Long-term | <u>(129575023)</u> |
| **Total capital loss carryforward** | <u>$(161949025)</u> |

---

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

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

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

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. A fund realizes a gain or loss on settlement, either through the acquisition of an offsetting TBA purchase commitment on or before the sale commitment date, or by delivery of the securities under the commitment.

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

**Loans and Other Direct Debt Instruments.** Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts, options and swaps. 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, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

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

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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>|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

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

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

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

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| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Total Bond K6 Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | <u>(456385)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>290682</u> |
| **Total Credit Risk** | <u>(456385)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>290682</u> |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | <u>(340143)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>440802</u> |
| **Total Foreign Exchange Risk** | <u>(340143)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>440802</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | 2584883 | 935767 |
| Purchased Options | (927287) | 389057 |
| Swaps | <u>(1299170)</u> | <u>1131735</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>358426</u> | <u>2456559</u> |
| Totals | <u>(438102)</u> | <u>3188043</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**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.

**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 Total Bond K6 Fund** | 3585306393 | 3552207539 |

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**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .30% of average net assets. 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.

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

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| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Total Bond K6 Fund** | 33 |

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

**7. Committed Line of Credit.**

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

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

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

The line of credit agreement will expire in March 2027 unless extended or renewed.

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

**8. Security Lending.** 

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Total Bond K6 Fund** | 7654 | - | - |

---

**9. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $12,433.

**10. Other.**

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

**11. Risk and Uncertainties.**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

**Fidelity Total Bond K6 Fund**

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

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

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

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

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

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

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

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

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

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

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

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

**Competitiveness of Management Fee and Total Expense Ratio.** The Board was provided with information regarding industry trends in management fees and expenses. In its review of the fund's management fee and total expense ratio, the Board considered the fund's unitary (subject to certain limited exceptions) fee rate as well as fund expenses paid by FMR under the fund's management contract, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

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

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

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

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

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

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

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

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

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

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

![](img126657_4.jpg)<br>

1.9884014.108 TBDK6-SANN-0426

**Fidelity® Total Bond Fund**

**Semi-Annual Report**

**February 28, 2026**

Includes Fidelity and Fidelity Advisor share classes

![](img126658_1.jpg)

![](img126658_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_TBD-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Total Bond Fund](#Sub_Sec_Fund_1158_TBD-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements1158_TBD-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_TBD-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_TBD-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_TBD-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_TBD-SANN)** |

---

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Total Bond Fund**

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

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 8.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.7%  |  |  |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0192% 7/20/2037 (d)(e)(p) | 26319958 | 26355832 |
| Aimco Clo 19 Ltd / Aimco Clo 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/20/2037 (d)(e)(p) | 8822000 | 8849807 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/19/2037 (d)(e)(p) | 41979000 | 42049609 |
| Ares Lxx Clo Ltd / Ares Lxx Clo LLC Series 2025-70A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.918% 1/25/2039 (d)(e)(p) | 23122000 | 23134786 |
| Bain Cap Cr Clo Ltd / Bain Cap Cr Clo LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/18/2038 (d)(e)(p) | 25870000 | 25966728 |
| Bain Capital Credit Clo Ltd Series 2025-4A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9597% 1/21/2039 (d)(e)(p) | 26968000 | 27076061 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/20/2037 (d)(e)(p) | 30827000 | 30901694 |
| Dryden 108 Clo Ltd / Dryden 108 Clo LLC Series 2024-108A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0276% 7/18/2037 (d)(e)(p) | 41704000 | 41745704 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.0022% 1/15/2038 (d)(e)(p) | 26077000 | 26186028 |
| Goldentree Ln Mgmt US Clo 21 Ltd Series 2024-21A Class E, CME Term SOFR 3 month Index + 5.7%, 9.3676% 7/20/2037 (d)(e)(p) | 588000 | 589717 |
| GoldenTree Loan Management US CLO 21 Ltd Series 2024-21A Class DJ, CME Term SOFR 3 month Index + 4.25%, 7.9176% 7/20/2037 (d)(e)(p) | 390000 | 390760 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.0076% 10/20/2037 (d)(e)(p) | 26860000 | 26951834 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.1776% 7/20/2037 (d)(e)(p) | 19593000 | 19647782 |
| Ocp CLO Aegis Ltd Series 2026-39A Class AR, CME Term SOFR 3 month Index + 1.09%, 1.09% 4/16/2038 (d)(e)(p) | 18379000 | 18379000 |
| TOTAL BAILIWICK OF JERSEY |  | 318225342 |
| BERMUDA - 0.0%  |  |  |
| RR Ltd Series 2026-25A Class A1A2, CME Term SOFR 3 month Index + 1.18%, 4.8491% 4/15/2041 (d)(e)(p) | 17374000 | 17373913 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (p) | 2720118 | 2748712 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (p) | 5630503 | 5701245 |
| TOTAL CANADA |  | 8449957 |
| GRAND CAYMAN (UK OVERSEAS TER) - 4.4%  |  |  |
| Aimco CDO Series 2024-10A Class ARR, CME Term SOFR 3 month Index + 1.41%, 5.0792% 7/22/2037 (d)(e)(p) | 13287000 | 13304539 |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/17/2037 (d)(e)(p) | 23628000 | 23702475 |
| Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2025-14A Class A1R, CME Term SOFR 3 month Index + 1.22%, 4.8876% 10/20/2038 (d)(e)(p) | 39309000 | 39347484 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.1711% 4/16/2037 (d)(e)(p) | 26700000 | 26732841 |
| Allegro Clo Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/20/2038 (d)(e)(p) | 18308000 | 18367464 |
| Allegro Clo Xii Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.44%, 5.1097% 7/21/2037 (d)(e)(p) | 35274000 | 35354248 |
| Apidos CLO LIII Series 2025-53A Class E, CME Term SOFR 3 month Index + 6.43%, 10.0976% 7/20/2038 (d)(e)(p) | 320000 | 330244 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 4.9822% 7/15/2038 (d)(e)(p) | 28190000 | 28293993 |
| Ares Lix Clo Ltd Series 2021-59A Class A, CME Term SOFR 3 month Index + 1.2916%, 4.9596% 4/25/2034 (d)(e)(p) | 13014000 | 13029994 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.0422% 10/15/2037 (d)(e)(p) | 16637000 | 16660225 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.9122% 4/15/2038 (d)(e)(p) | 23510000 | 23491709 |
| Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.0038% 4/15/2034 (d)(e)(p) | 27448000 | 27479346 |
| Ares XXXIV CLO Ltd Series 2025-2A Class A1R4, CME Term SOFR 3 month Index + 1.29%, 4.9576% 7/17/2038 (d)(e)(p) | 34486000 | 34491690 |
| Arini US Clo II Ltd Series 2025-2A Class E, CME Term SOFR 3 month Index + 5.65%, 9.3222% 3/31/2038 (d)(e)(p) | 150000 | 150368 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 4.9322% 1/15/2038 (d)(e)(p) | 15712000 | 15763708 |
| Balboa Bay Loan Funding 2025-1 Ltd Series 2025-1A Class D2, CME Term SOFR 3 month Index + 4.15%, 8.209% 7/20/2038 (d)(e)(p) | 171000 | 170931 |
| Balboa Bay Loan Funding 2025-1 Ltd Series 2025-1A Class E, CME Term SOFR 3 month Index + 5.75%, 9.4176% 7/20/2038 (d)(e)(p) | 150000 | 145500 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.0376% 10/20/2037 (d)(e)(p) | 28887000 | 28960084 |
| Bbam US Clo I Ltd Series 2025-1A Class D1R, CME Term SOFR 3 month Index + 3%, 6.6722% 3/30/2038 (d)(e)(p) | 177000 | 174000 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.918% 7/24/2035 (d)(e)(p) | 17462460 | 17480411 |
| Benefit Str Partners Clo Xxxiii Ltd / Benefit Str Partners Clo Xxxiii LLC Series 2026-33A Class AR, CME Term SOFR 3 month Index + 1.19%, 4.8542% 1/25/2039 (d)(e)(p) | 22949000 | 22989643 |
| Benefit Street Partners Clo 44 Ltd / LLC Series 2025-44A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.944% 1/15/2039 (d)(e)(p) | 23087000 | 23132158 |
| Benefit Street Partners CLO Ltd Series 2025-43A Class A, CME Term SOFR 3 month Index + 1.27%, 5.1875% 10/20/2038 (d)(e)(p) | 24101000 | 24149202 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.0638% 1/15/2035 (d)(e)(p) | 19468000 | 19501290 |
| Birch Grove Clo 12 Ltd Series 2025-12A Class D1, CME Term SOFR 3 month Index + 2.75%, 6.4192% 4/22/2038 (d)(e)(p) | 260000 | 259392 |
| Brant Point Clo Ltd Series 2025-8A Class D1, CME Term SOFR 3 month Index + 2.85%, 6.8119% 3/31/2038 (d)(e)(p) | 530000 | 534420 |
| Capital Trust RE CDO Ltd Series 2005-1A Class E, CME Term SOFR 1 month Index + 2.2145%, 5.8898% 3/20/2050 (d)(e)(k)(p) | 330000 | 0 |
| Carlyle US Clo 2025-2 Ltd Series 2025-2A Class E, CME Term SOFR 3 month Index + 6.75%, 11.046% 7/25/2038 (d)(e)(p) | 250000 | 256153 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (d)(e)(p) | 18307000 | 18332392 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.078% 7/25/2037 (d)(e)(p) | 30219000 | 30254628 |
| Carlyle US Clo Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.8789% 1/20/2039 (d)(e)(p) | 26139000 | 26194049 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 4.868% 1/25/2038 (d)(e)(p) | 21618000 | 21596382 |
| Cedar Fdg Xvii Clo Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0197% 7/20/2038 (d)(e)(p) | 17958000 | 18019075 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/20/2037 (d)(e)(p) | 18972000 | 19042538 |
| Cifc Fdg 2025-Iii Ltd Series 2025-3A Class E, CME Term SOFR 3 month Index + 7.25%, 10.9197% 7/21/2038 (d)(e)(p) | 392000 | 404057 |
| Cifc Fdg Ltd / Cifc Fdg LLC Series 2025-5A Class CR, CME Term SOFR 3 month Index + 1.8%, 5.4722% 1/15/2038 (d)(e)(p) | 425000 | 425627 |
| Cifc Funding 2021-Iii Ltd Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9022% 10/15/2038 (d)(e)(p) | 42055000 | 42059711 |
| Cifc Funding 2025-Vi Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.25%, 5.1098% 10/23/2038 (d)(e)(p) | 15243000 | 15274705 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 4.9422% 10/15/2038 (d)(e)(p) | 22864000 | 22894112 |
| CIFC Funding Ltd Series 2026-1A Class A1, CME Term SOFR 3 month Index + 1.17%, 0% 4/25/2039 (b)(d)(e)(p) | 20000000 | 20003680 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 4.6676% 4/18/2035 (d)(e)(p) | 26759000 | 26765369 |
| CREST Ltd Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.69%, 8.9627% (d)(e)(j)(k)(p) | 407341 | 0 |
| Diameter Cap Ltd / LLC Series 2025-5A Class BR, CME Term SOFR 3 month Index + 1.8%, 5.4722% 1/15/2039 (d)(e)(p) | 475000 | 472275 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 4.9697% 4/20/2035 (d)(e)(p) | 16182000 | 16182000 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.1976% 4/18/2037 (d)(e)(p) | 24322000 | 24353375 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 7/15/2037 (d)(e)(p) | 30093000 | 30123605 |
| Dryden Senior Loan Fund Series 2024-78A Class A1R, CME Term SOFR 3 month Index + 1.53%, 5.1976% 4/17/2037 (d)(e)(p) | 30702000 | 30745597 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.0622% 10/15/2037 (d)(e)(p) | 27944000 | 28027301 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 10/15/2037 (d)(e)(p) | 36609000 | 36662559 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 4.8322% 4/15/2038 (d)(e)(p) | 23472000 | 23472000 |
| Flat Series 2025-30A Class D2, CME Term SOFR 3 month Index + 4.1%, 7.7722% 4/15/2038 (d)(e)(p) | 168000 | 167313 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.8956% 11/20/2038 (d)(e)(p) | 41926000 | 41979708 |
| Flatiron CLO 31 Ltd Series 2025-31A Class A1, CME Term SOFR 3 month Index + 1.2%, 4.8969% 1/18/2039 (d)(e)(p) | 23114000 | 23159049 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 4.9592% 10/22/2038 (d)(e)(p) | 23024000 | 23088605 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/19/2037 (d)(e)(p) | 27878000 | 27967795 |
| Flatiron Rr Clo 30 Ltd Series 2025-30A Class E, CME Term SOFR 3 month Index + 5.25%, 8.9222% 4/15/2038 (d)(e)(p) | 259000 | 260732 |
| Fortress Credit Bsl Ltd Series 2026-1A Class C1, CME Term SOFR 3 month Index + 1.9%, 0% 4/20/2039 (b)(d)(e)(p) | 440000 | 440000 |
| Garnet CLO Ltd Series 2025-1A Class E, CME Term SOFR 3 month Index + 6.25%, 9.9176% 7/20/2037 (d)(e)(p) | 100000 | 100777 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (p) | 2410382 | 2392254 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.2222% 4/15/2037 (d)(e)(p) | 21493000 | 21488379 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (d)(e)(p) | 16948000 | 16948000 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.178% 4/25/2037 (d)(e)(p) | 27525000 | 27578564 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 4.7522% 7/15/2034 (d)(e)(p) | 16653000 | 16665057 |
| Magnetite CLO Ltd Series 2024-30A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.208% 10/25/2037 (d)(e)(p) | 28658000 | 28699497 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 4.988% 7/25/2038 (d)(e)(p) | 23298000 | 23396597 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (d)(e)(p) | 16401000 | 16404821 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 4.958% 1/25/2038 (d)(e)(p) | 14906000 | 14954325 |
| Magnetite XXI Ltd Series 2021-21A Class AR, CME Term SOFR 3 month Index + 1.2816%, 4.9492% 4/20/2034 (d)(e)(p) | 23008000 | 23025348 |
| Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0222% 7/15/2037 (d)(e)(p) | 29129000 | 29170509 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 4.818% 1/25/2038 (d)(e)(p) | 21992000 | 22015202 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 4.9122% 1/15/2038 (d)(e)(p) | 29999000 | 30060288 |
| Midocean Cr Clo Xix Series 2025-19A Class E, CME Term SOFR 3 month Index + 6.25%, 9.9176% 7/20/2036 (d)(e)(p) | 178000 | 178768 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 4.8422% 4/15/2038 (d)(e)(p) | 27967000 | 27967000 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.0676% 7/18/2038 (d)(e)(p) | 22806000 | 22832250 |
| Oak Hill Credit Partners Series 2024-13A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0176% 7/20/2037 (d)(e)(p) | 38437000 | 38476436 |
| Ocp Aegis Clo Ltd Series 2025-47A Class A1, CME Term SOFR 3 month Index + 1.11%, 4.8574% 1/21/2038 (d)(e)(p) | 20822000 | 20846049 |
| Ocp Aegis Clo Ltd Series 2025-47A Class D1A, CME Term SOFR 3 month Index + 2.6%, 6.3474% 1/21/2038 (d)(e)(p) | 430000 | 429900 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (d)(e)(p) | 24292000 | 24347872 |
| OCP CLO Ltd Series 2025-46A Class A, CME Term SOFR 3 month Index + 1.2%, 5.0473% 10/15/2038 (d)(e)(p) | 16060000 | 16087447 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 4.9592% 1/22/2038 (d)(e)(p) | 27221000 | 27295831 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 4.8976% 4/20/2038 (d)(e)(p) | 15455000 | 15481351 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 4.9976% 10/20/2037 (d)(e)(p) | 22652000 | 22749177 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/20/2037 (d)(e)(p) | 31144000 | 31211645 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.3176% 4/20/2037 (d)(e)(p) | 1651000 | 1653455 |
| OHA Credit Partners Ltd Series 2024-18A Class D2, CME Term SOFR 3 month Index + 4.75%, 8.4176% 4/20/2037 (d)(e)(p) | 253000 | 253860 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.029% 2/20/2038 (d)(e)(p) | 21315000 | 21299525 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 4.9876% 1/18/2038 (d)(e)(p) | 9378000 | 9378000 |
| Palmer Square Clo Ltd Series 2025-2A Class DR2, CME Term SOFR 3 month Index + 4.14%, 7.8122% 2/15/2038 (d)(e)(p) | 117000 | 117005 |
| Palmer Square Clo Ltd Series 2025-5A Class A, CME Term SOFR 3 month Index + 1.21%, 5.0937% 10/20/2038 (d)(e)(p) | 25069000 | 25106102 |
| Palmer Square CLO Ltd Series 2026-1A Class A, CME Term SOFR 3 month Index + 1.19%, 0% 4/20/2039 (b)(d)(e)(p) | 20173000 | 20182159 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 4.6122% 7/15/2033 (d)(e)(p) | 20638181 | 20650791 |
| Palmer Square Loan Funding 2025-2 Ltd Series 2025-2A Class D, CME Term SOFR 3 month Index + 4.5%, 8.1722% 7/15/2033 (d)(e)(p) | 253000 | 240515 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 4.6722% 1/15/2033 (d)(e)(p) | 10002505 | 10002505 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 4.4525% 2/15/2033 (d)(e)(p) | 20919721 | 20906039 |
| Peace Park Clo Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/20/2038 (d)(e)(p) | 21089000 | 21068059 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (p) | 10784635 | 10728662 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0222% 10/15/2039 (d)(e)(p) | 11991000 | 11991000 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.0122% 1/15/2037 (d)(e)(p) | 31230000 | 31277313 |
| RR Ltd Series 2026-44A Class A1A, CME Term SOFR 3 month Index + 1.17%, 0% 4/15/2041 (b)(d)(e)(p) | 26176000 | 26177283 |
| Sixth Street Clo Xix Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 4.9476% 7/17/2038 (d)(e)(p) | 14870000 | 14926357 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/17/2038 (d)(e)(p) | 22864000 | 22945144 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/17/2038 (d)(e)(p) | 18963000 | 19033675 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (d)(e)(p) | 19181000 | 19207259 |
| Taberna Preferred Funding VI Ltd Series 2006-6A Class F1, CME Term SOFR 3 month Index + 4.7616%, 8.4248% (d)(e)(j)(k)(p) | 1032891 | 0 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (d)(p) | 1692301 | 1693130 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (p) | 10016027 | 9942499 |
| Tpg Clo Ltd Series 2025-2A Class D1, CME Term SOFR 3 month Index + 3.25%, 7.0673% 1/21/2039 (d)(e)(p) | 250000 | 252795 |
| Trapeza Cdo Xii Ltd Series 2007-12A Class B, CME Term SOFR 3 month Index + 0.8216%, 4.4714% 4/6/2042 (d)(e)(p) | 1639000 | 1297237 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (d)(e)(p) | 18502000 | 18552455 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (d)(e)(p) | 7846000 | 7859095 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 1890167014 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (p) | 6228412 | 6347252 |
| MULTI-NATIONAL - 0.2%  |  |  |
| Aimco Clo 21 Ltd / Aimco Clo 21 LLC Series 2024-21A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/18/2037 (d)(e)(p) | 18984000 | 19018228 |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 4.8476% 4/20/2038 (d)(e)(p) | 18066000 | 18086884 |
| Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.168% 7/27/2037 (d)(e)(p) | 25309000 | 25366528 |
| Ocp Clo 2018-15 Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 1/20/2038 (d)(e)(p) | 15110000 | 15157989 |
| TOTAL MULTI-NATIONAL |  | 77629629 |
| UNITED STATES - 2.8%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (p) | 16093508 | 16583425 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (p) | 14736050 | 15184643 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (p) | 13537022 | 13932066 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (p) | 8549967 | 8323293 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (p) | 27844553 | 26717712 |
| Affirm Asset Securitization Trust Series 2025-X1 Class B, 5.19% 4/15/2030 (p) | 1600000 | 1603131 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (p) | 7300000 | 7354308 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (p) | 18471422 | 18994535 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (p) | 1557789 | 1547209 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (p) | 331047 | 329417 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (p) | 2721417 | 2739029 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (p) | 6098671 | 6119308 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (p) | 2220000 | 2259053 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (p) | 4953402 | 5032787 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (p) | 20982996 | 20130324 |
| Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (o)(p) | 1016414 | 1018854 |
| BMW Vehicle Owner Trust Series 2024-A Class A3, 5.18% 2/26/2029  | 1450911 | 1463843 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 3100000 | 3133208 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 11143466 | 11176890 |
| CarMax Select Receivables Trust Series 2025-A Class A3, 4.77% 9/17/2029  | 17440000 | 17617698 |
| Carvana Auto Receivables Trust Series 2025-P1 Class A2, 4.5% 6/12/2028  | 5634530 | 5638966 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (p) | 2109842 | 2099315 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (p) | 2959207 | 2929665 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (p) | 7616545 | 7521386 |
| CNSL Series 2025-4A Class C, 8.098% 12/20/2055 (p) | 2500000 | 2614320 |
| Consolidated Communications LLC / Fidium Fiber Fin Holdco LLC Series 2025-1A Class C, 9.408% 5/20/2055 (p) | 2705000 | 2861971 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (p) | 17245400 | 17181978 |
| DB Master Finance LLC Series 2019-1A Class A23, 4.352% 5/20/2049 (p) | 23121615 | 23099573 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (p) | 9278175 | 9137651 |
| DB Master Finance LLC Series 2025-1A Class A2I, 4.891% 8/20/2055 (p) | 19147013 | 19345330 |
| DB Master Finance LLC Series 2025-1A Class A2II, 5.165% 8/20/2055 (p) | 15526088 | 15745796 |
| Dext Abs LLC Series 2025-2 Class A3, 4.23% 4/15/2036 (p) | 4020000 | 4033319 |
| Diameter Capital Clo 1 Ltd Series 2024-1A Class DR, CME Term SOFR 3 month Index + 6.15%, 9.8222% 10/15/2037 (d)(e)(p) | 250000 | 241257 |
| Digitalbridge Issuer LLC / Digitalbridge Co-Issuer LLC Series 2021-1A Class A2, 3.933% 9/25/2051 (p) | 994000 | 986446 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (p) | 3438116 | 3473771 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (p) | 3079082 | 3090823 |
| Domino's Pizza Master Issuer LLC Series 2017-1A Class A23, 4.118% 7/25/2047 (p) | 29755700 | 29682707 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2I, 2.662% 4/25/2051 (p) | 10565240 | 10145770 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.1822% 7/15/2037 (d)(e)(p) | 24041000 | 24085067 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A3, 4.29% 7/20/2029 (p) | 16860000 | 16869179 |
| Enterprise Fleet Financing LLC Series 2023-1 Class A2, 5.51% 1/22/2029 (p) | 348466 | 348839 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (p) | 1887022 | 1891705 |
| Exeter Automobile Receivables Trust Series 2025-2A Class A3, 4.74% 1/16/2029  | 17095479 | 17141062 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 1524966 | 1528824 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 3055000 | 3086120 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (p) | 29640000 | 29699191 |
| Ggam Master Tr Internationa Ltd / LLC Series 2025-1A Class A, 5.923% 9/30/2060 (p) | 49817768 | 50933483 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (p) | 31723463 | 32609436 |
| GM Financial Consumer Automobile Receivables Trust Series 2024-1 Class A3, 4.85% 12/18/2028  | 4123036 | 4148838 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (p) | 18730000 | 19025820 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class A1, 4.59% 3/15/2029 (p) | 12650000 | 12748670 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class B, 4.79% 3/15/2029 (p) | 2800000 | 2819639 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 4.848% 1/25/2038 (d)(e)(p) | 22967000 | 22932550 |
| Home Partners of America Trust Series 2019-2 Class F, 3.866% 10/19/2039 (p) | 884712 | 862689 |
| Home Partners of America Trust Series 2021-2 Class G, 4.505% 12/17/2026 (p) | 3984786 | 3932215 |
| Home Partners of America Trust Series 2021-3 Class F, 4.242% 1/17/2041 (p) | 571151 | 533898 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (p) | 5520647 | 5465463 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (p) | 32778900 | 33711106 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (p) | 14323025 | 14852504 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 6468468 | 6479215 |
| Lmdv Issuer CO LLC Series 2025-1A Class C, 7.88% 12/15/2055 (p) | 1540000 | 1577002 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (p) | 3113114 | 3123230 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (p) | 9262716 | 9314704 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (p) | 5000000 | 5041904 |
| MetroNet Infrastructure Issuer LLC Series 2025-2A Class C, 7.83% 8/20/2055 (p) | 460000 | 475105 |
| MetroNet Infrastructure Issuer LLC Series 2025-4A Class C, 7.112% 12/20/2055 (p) | 1160000 | 1184033 |
| Navigator Aircraft Abs Ltd Series 2025-1 Class A, 5.107% 10/15/2050 (p) | 34866042 | 35246329 |
| OCP CLO Ltd Series 2025-8RA Class AR2, CME Term SOFR 3 month Index + 1.22%, 4.8876% 10/17/2038 (d)(e)(p) | 23001000 | 23028923 |
| Optn Series 2026-A Class A, 4.32% 1/9/2034 (p) | 8250000 | 8276400 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (p) | 11806708 | 11876869 |
| Phantom Aviation Series 2026-1A Class A, 5.24% 1/15/2051 (p) | 17250000 | 17554456 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (p) | 3599697 | 3694364 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (p) | 16765840 | 16241343 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (p) | 16127650 | 15433239 |
| Planet Fitness Master Issuer LLC Series 2025-1A Class A2I, 5.274% 12/6/2055 (p) | 15955000 | 16210045 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (p) | 6097727 | 6151474 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.1313% 7/25/2054 (d)(e)(p) | 7364428 | 7343303 |
| Progress Residential Trust Series 2022-SFR3 Class F, 6.6% 4/17/2039 (p) | 1450000 | 1454659 |
| Progress Residential Trust Series 2022-SFR4 Class E1, 6.121% 5/17/2041 (p) | 1423000 | 1439666 |
| Progress Residential Trust Series 2022-SFR5 Class E2, 6.863% 6/17/2039 (p) | 1544000 | 1547231 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (d)(p) | 4691657 | 4662994 |
| Retained Vantage Data Ctrs Issuer LLC / Vantage Data Ctrs CDA Qc4 Ltd Partnership Series 2024-1A Class B, 5.775% 9/15/2049 (p) | 1286000 | 1276998 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 10000000 | 10061959 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class B, 4.87% 5/15/2031  | 3800000 | 3848490 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (p) | 6959000 | 6724201 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A2A, 3.91% 8/20/2029 (p) | 2900000 | 2902028 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A3, 3.96% 7/21/2031 (p) | 3300000 | 3310208 |
| SG Commercial Mortgage Securities Trust Series 2019-PREZ Class F, 3.4771% 9/15/2039 (d)(p) | 1360000 | 1147102 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (p) | 15540400 | 16060397 |
| Starwood Mortgage Residential Trust Series 2022-SFR3 Class F, CME Term SOFR 1 month Index + 4.5%, 8.1597% 5/17/2039 (d)(e)(p) | 1370219 | 1374160 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (p) | 20466925 | 21198830 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (p) | 39256088 | 39697983 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (p) | 23337588 | 23907400 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (p) | 29797813 | 29797214 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (p) | 39037850 | 38946013 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (p) | 22447850 | 22420345 |
| Switch Abs Issuer LLC Series 2024-2A Class C, 10.033% 6/25/2054 (p) | 2160000 | 2239721 |
| Taco Bell Fdg LLC Series 2018-1A Class A2II, 4.94% 11/25/2048 (p) | 9210675 | 9219024 |
| Taco Bell Fdg LLC Series 2025-1A Class A2I, 4.821% 8/25/2055 (p) | 33002288 | 33376343 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 4.6482% 9/25/2034 (d)(e) | 11775 | 12669 |
| TOWD Point Mortgage Trust Series 2018-1 Class A1, 3% 1/25/2058 (p) | 126670 | 126021 |
| Toyota Lease Owner Trust Series 2024-B Class A3, 4.21% 9/20/2027 (p) | 15408159 | 15427609 |
| Tricon American Homes Series 2019-SFR1 Class F, 3.745% 3/17/2038 (p) | 924000 | 921662 |
| Tricon Residential Trust Series 2021-SFR1 Class G, 4.133% 7/17/2038 (p) | 315000 | 312530 |
| Tricon Residential Trust Series 2022-SFR1 Class E1, 5.344% 4/17/2039 (p) | 1931000 | 1920986 |
| Tricon Residential Trust Series 2022-SFR1 Class E2, 5.739% 4/17/2039 (p) | 2399000 | 2389354 |
| Tricon Residential Trust Series 2023-SFR1 Class E, 7.977% 7/17/2040 (p) | 476000 | 483516 |
| VB-S1 Issuer LLC Series 2022-1A Class F, 5.268% 2/15/2052 (p) | 1435000 | 1426177 |
| VB-S1 Issuer LLC Series 2024-1A Class D, 6.644% 5/15/2054 (p) | 1980000 | 2019117 |
| VB-S1 Issuer LLC Series 2024-1A Class F, 8.871% 5/15/2054 (p) | 5806000 | 5987850 |
| VB-S1 Issuer LLC Series 2026-1A Class F, 6.843% 3/15/2056 (p) | 1150000 | 1177717 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (p) | 8802372 | 8840187 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (p) | 3984848 | 3992047 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (p) | 18711326 | 19159082 |
| Wheels Fleet Lease Funding LLC Series 2023-1A Class A, 5.8% 4/18/2038 (p) | 2659464 | 2674406 |
| Wheels Fleet Lease Funding LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (p) | 10935857 | 11049043 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (p) | 3804994 | 3900664 |
| Willis Engine Structured Trust VII Series 2025-B Class A, 5.159% 12/15/2050 (p) | 7346481 | 7427120 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 3253913 | 3271623 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 5494137 | 5503967 |
| TOTAL UNITED STATES |  | 1203205326 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $3,507,263,773) |  | <br> **3521398433** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 4.7%** | &nbsp;&nbsp;**Bank Loan Obligations - 4.7%** | &nbsp;&nbsp;**Bank Loan Obligations - 4.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.1%  |  |  |
| Consumer Discretionary - 0.1% |  |  |
| Automobiles - 0.0% |  |  |
| Bombardier Recreational Products Inc Tranche B3 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 12/13/2029 (d)(e)(i) | 2913038 | 2921049 |
| Bombardier Recreational Products Inc Tranche B4 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 1/22/2031 (d)(e)(i) | 344003 | 344110 |
|  |  | 3265159 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| 1011778 BC ULC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 9/20/2030 (d)(e)(i) | 4566248 | 4558622 |
| Four Seasons Hotels Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 9/22/2032 (d)(e)(i) | 5075817 | 5103328 |
|  |  | 9661950 |
| TOTAL CONSUMER DISCRETIONARY |  | 12927109 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Rockpoint Gas Storage Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1719% 9/18/2031 (d)(e)(i) | 3848861 | 3852248 |
| Financials - 0.0% |  |  |
| Insurance - 0.0% |  |  |
| Jones Deslauriers Insurance Management Inc 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6636% 1/31/2033 (d)(e)(i) | 2140759 | 2052453 |
| Health Care - 0.0% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| VetStrategy Canada Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4219% 12/12/2028 (d)(e)(i) | 3732910 | 3717978 |
| Industrials - 0.0% |  |  |
| Passenger Airlines - 0.0% |  |  |
| Air Canada Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4168% 3/21/2031 (d)(e)(i) | 1846213 | 1842059 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Open Text Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 1/31/2030 (d)(e)(i) | 4298924 | 4176233 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Groupe Solmax Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.616% 5/29/2028 (d)(e)(i) | 2176565 | 1798387 |
| TOTAL CANADA |  | 30366467 |
| COLOMBIA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Canacol Energy Ltd Tranche DIP 1LN, term loan CME Term SOFR 3 month Index + 9%, 13% 6/30/2026 (d)(e)(i)(k) | 532548 | 532548 |
| DENMARK - 0.0%  |  |  |
| Health Care - 0.0% |  |  |
| Biotechnology - 0.0% |  |  |
| Genmab A/S Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.733% 12/10/2032 (d)(e)(i) | 4860000 | 4877447 |
| FINLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Paper & Forest Products - 0.0% |  |  |
| Ahlstrom Holding 3 Oy Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.1836% 5/23/2030 (d)(e)(i) | 1179680 | 1179043 |
| Ahlstrom-Munksjo Oyj 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9336% 2/4/2028 (d)(e)(i) | 2221780 | 2216226 |
| TOTAL FINLAND |  | 3395269 |
| FRANCE - 0.1%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| Altice France SA Tranche B13 1LN, term loan CME Term SOFR 1 month Index + 5.375%, 9.0472% 5/14/2029 (d)(e)(i) | 356128 | 354259 |
| Altice France SA Tranche B14 1LN, term loan CME Term SOFR 1 month Index + 6.875%, 10.5472% 5/31/2031 (d)(e)(i) | 20432400 | 20452833 |
| TOTAL COMMUNICATION SERVICES |  | 20807092 |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Betclic Everest Group SAS Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 0% 12/10/2031 (d)(e)(i)(m) | 1315000 | 1315552 |
| TOTAL FRANCE |  | 22122644 |
| GERMANY - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Machinery - 0.0% |  |  |
| TK Elevator US Newco Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 0% 4/30/2030 (d)(e)(i)(m) | 3540000 | 3540000 |
| TK Elevator US Newco Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.3773% 4/30/2030 (d)(e)(i) | 3666215 | 3664565 |
| TOTAL GERMANY |  | 7204565 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Azorra Soar Tlb Finance Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1393% 10/18/2029 (d)(e)(i) | 2424511 | 2424511 |
| HONG KONG - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Diversified Consumer Services - 0.0% |  |  |
| Fugue Finance BV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.9211% 1/9/2032 (d)(e)(i) | 3138389 | 3110928 |
| INDIA - 0.0%  |  |  |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| BYJU's Alpha Inc Tranche B 1LN, term loan 3 month U.S. LIBOR + 8%, 0% 11/24/2026 (d)(e)(i)(j) | 3386224 | 186242 |
| BYJU's Alpha Inc Tranche BRIDGE TERM LOAN 1LN, term loan CME Term SOFR 3 month Index + 8%, 11.7161% 4/9/2026 (d)(e)(i)(k) | 20043 | 19041 |
| BYJU's Alpha Inc Tranche DIP TERM 1LN, term loan CME Term SOFR 1 month Index + 8%, 11.7161% 4/9/2026 (d)(e)(i)(k) | 80779 | 76740 |
| BYJU's Alpha Inc Tranche DIP TERM 1LN, term loan CME Term SOFR 1 month Index + 8%, 6.1466% 4/9/2026 (d)(e)(i)(k)(l) | 61193 | 58134 |
| BYJU's Alpha Inc Tranche PREPETITION REIMBURSEMENT TL 1LN, term loan CME Term SOFR 3 month Index + 8%, 11.7161% 4/9/2026 (d)(e)(i)(k) | 92527 | 87901 |
| TOTAL INDIA |  | 428058 |
| IRELAND - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Flutter Financing BV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6719% 6/4/2032 (d)(e)(i) | 3184000 | 3136240 |
| LUXEMBOURG - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice Financing SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.6722% 10/31/2027 (d)(e)(i) | 194000 | 142590 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Accelya Lux Finco Sarl Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.25%, 8.9219% 10/1/2032 (d)(e)(i) | 3540000 | 3424951 |
| SK Neptune Husky Finance Sarl Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 0% 1/3/2029 (d)(e)(i)(j) | 1442974 | 28859 |
| TOTAL FINANCIALS |  | 3453810 |
| Materials - 0.0% |  |  |
| Containers & Packaging - 0.0% |  |  |
| Kleopatra Finco Sarl Tranche EXIT LOAN 1LN, term loan CME Term SOFR 1 month Index + 7%, 10.6668% 1/30/2031 (d)(e)(i) | 2063551 | 1823663 |
| TOTAL LUXEMBOURG |  | 5420063 |
| NETHERLANDS - 0.1%  |  |  |
| Industrials - 0.1% |  |  |
| Building Products - 0.1% |  |  |
| Hunter Douglas Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.6719% 1/17/2032 (d)(e)(i) | 13226766 | 13213010 |
| Information Technology - 0.0% |  |  |
| IT Services - 0.0% |  |  |
| Cyberswift BV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.6464% 10/8/2032 (d)(e)(i) | 1290000 | 1266353 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Nouryon Finance BV Tranche B-1 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0358% 4/3/2028 (d)(e)(i) | 2807346 | 2803837 |
| Nouryon Finance BV Tranche B-2 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9169% 4/3/2028 (d)(e)(i) | 1617196 | 1605067 |
| TOTAL MATERIALS |  | 4408904 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.9336% 8/30/2028 (d)(e)(i) | 7078316 | 2972893 |
| TOTAL NETHERLANDS |  | 21861160 |
| PUERTO RICO - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Coral-US Co-Borrower LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.7741% 10/15/2029 (d)(e)(i) | 1200000 | 1193856 |
| Coral-US Co-Borrower LLC Tranche B7 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.9222% 1/31/2032 (d)(e)(i) | 2322000 | 2283617 |
| TOTAL PUERTO RICO |  | 3477473 |
| SWEDEN - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Commercial Services & Supplies - 0.0% |  |  |
| Anticimex Global AB Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.56% 11/17/2031 (d)(e)(i) | 4263251 | 4265937 |
| SWITZERLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Consolidated Energy Finance SA 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 0% 11/18/2030 (d)(e)(i)(m) | 3140000 | 2810300 |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 11/15/2030 (d)(e)(i) | 7156502 | 6398342 |
| TOTAL SWITZERLAND |  | 9208642 |
| UNITED KINGDOM - 0.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Entertainment - 0.0% |  |  |
| Crown Finance US Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1708% 12/2/2031 (d)(e)(i) | 10474050 | 10161714 |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| City Football Group Ltd Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.1836% 7/18/2030 (d)(e)(i) | 9446709 | 9384739 |
| Entain Holdings Gibraltar Ltd Tranche B5 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 7/31/2032 (d)(e)(i) | 2447865 | 2436017 |
| Entain Holdings Gibraltar Ltd Tranche B6 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 10/31/2029 (d)(e)(i) | 2560575 | 2549590 |
| TOTAL CONSUMER DISCRETIONARY |  | 14370346 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Boots Group Finco LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.9563% 8/30/2032 (d)(e)(i) | 2180000 | 2180916 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| EG America LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 2/10/2031 (d)(e)(i)(m) | 15230000 | 15195733 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Loire Finco Luxembourg Sarl Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 1/21/2030 (d)(e)(i) | 1424264 | 1421771 |
| Industrials - 0.0% |  |  |
| Construction & Engineering - 0.0% |  |  |
| Red SPV LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.927% 3/15/2032 (d)(e)(i) | 5581950 | 5557557 |
| TOTAL UNITED KINGDOM |  | 48888037 |
| UNITED STATES - 4.3%  |  |  |
| Communication Services - 0.2% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| Aventiv Technologies LLC 1LN, term loan CME Term SOFR 3 month Index + 5.09%, 9.0236% 3/25/2026 (d)(e)(i) | 7128179 | 4080883 |
| Aventiv Technologies LLC 2LN, term loan CME Term SOFR 3 month Index + 8.65%, 0% 3/25/2027 (d)(e)(i)(j) | 4605367 | 11513 |
| Aventiv Technologies LLC Tranche DEC FLSO 1LN, term loan CME Term SOFR 3 month Index + 10%, 13.9562% 3/25/2026 (d)(e)(i)(k) | 302290 | 314632 |
| Aventiv Technologies LLC Tranche FLSO 1LN, term loan CME Term SOFR 1 month Index + 10%, 13.9327% 3/25/2026 (d)(e)(i) | 2112292 | 2198537 |
| Aventiv Technologies LLC Tranche FLSO 1LN, term loan CME Term SOFR 3 month Index + 7.5%, 11.4336% 3/25/2026 (d)(e)(i)(k) | 190167 | 190167 |
| Connect Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.677% 10/3/2031 (d)(e)(i) | 650320 | 461727 |
| Connect Holdings LLC Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.9224% 4/3/2031 (d)(e)(i) | 5485000 | 4963925 |
| Level 3 Financing Inc Tranche B4 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 3/29/2032 (d)(e)(i) | 7265000 | 7275898 |
| Uniti Services LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 10/6/2032 (d)(e)(i) | 4265000 | 4265000 |
|  |  | 23762282 |
| Entertainment - 0.0% |  |  |
| Allen Media LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 9.3219% 2/10/2027 (d)(e)(i) | 7149836 | 4225553 |
| AP Core Holdings II LLC Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.4285% 9/1/2027 (d)(e)(i) | 3614544 | 3486517 |
| AP Core Holdings II LLC Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.4285% 9/1/2027 (d)(e)(i) | 6210000 | 5979361 |
| ECL Entertainment LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 8/30/2030 (d)(e)(i) | 1570209 | 1558433 |
| Live Nation Entertainment Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.677% 10/21/2032 (d)(e)(i) | 1195000 | 1193506 |
| Sweetwater Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.6597% 2/17/2033 (d)(e)(i) | 3233901 | 3237943 |
|  |  | 19681313 |
| Interactive Media & Services - 0.0% |  |  |
| TripAdvisor Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 7/8/2031 (d)(e)(i) | 1838198 | 1662043 |
| Media - 0.1% |  |  |
| Acosta Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 9.2194% 8/21/2031 (d)(e)(i) | 1933296 | 1880943 |
| Advantage Sales & Marketing Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.1633% 10/28/2027 (d)(e)(i) | 3344700 | 2738473 |
| Charter Comm Operating LLC Tranche B5 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9108% 12/15/2031 (d)(e)(i) | 7035704 | 7028668 |
| CMG Media Corp Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.2719% 6/18/2029 (d)(e)(i) | 12737937 | 12018244 |
| Dotdash Meredith Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1713% 6/16/2032 (d)(e)(i) | 2932650 | 2690706 |
| Nexstar Media Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 6/28/2032 (d)(e)(i) | 3751150 | 3746461 |
| Sinclair Television Group Inc Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3.3%, 7.0875% 12/31/2029 (d)(e)(i) | 499472 | 424552 |
| Sinclair Television Group Inc Tranche B7 1LN, term loan CME Term SOFR 1 month Index + 4.1%, 7.873% 12/31/2030 (d)(e)(i) | 2670930 | 2232443 |
| Townsquare Media Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.5865% 2/19/2030 (d)(e)(i) | 1064487 | 787720 |
| Univision Communications Inc 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 7.9219% 6/24/2029 (d)(e)(i) | 2801946 | 2766922 |
| Univision Communications Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0375% 1/31/2029 (d)(e)(i) | 6221724 | 6182838 |
| Univision Communications Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.2875% 1/31/2029 (d)(e)(i) | 1635100 | 1629655 |
| Versant Media Group Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1608% 1/30/2031 (d)(e)(i) | 6305000 | 6297119 |
| Virgin Media Bristol LLC Tranche Y 1LN, term loan CME Term SOFR 6 month Index + 3.175%, 7.0523% 3/31/2031 (d)(e)(i) | 2356000 | 2195015 |
|  |  | 52619759 |
| Wireless Telecommunication Services - 0.0% |  |  |
| Crown Subsea Communications Holding Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 4/27/2028 (d)(e)(i) | 7756242 | 7761129 |
| SBA Senior Finance II LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.43% 1/25/2031 (d)(e)(i) | 891370 | 893598 |
|  |  | 8654727 |
| TOTAL COMMUNICATION SERVICES |  | 106380124 |
| Consumer Discretionary - 0.9% |  |  |
| Automobile Components - 0.1% |  |  |
| American Axle & Manufacturing Inc Tranche C 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.9105% 2/3/2033 (d)(e)(i) | 2105000 | 2093170 |
| American Trailer World Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.523% 3/3/2028 (d)(e)(i) | 4575623 | 4020829 |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 5/6/2030 (d)(e)(i) | 4626555 | 4609205 |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 1/28/2032 (d)(e)(i) | 6563550 | 6541694 |
| LCI Industries Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 3/25/2032 (d)(e)(i) | 2173602 | 2179036 |
| Novae LLC 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.8219% 12/22/2028 (d)(e)(i) | 2590280 | 2374432 |
|  |  | 21818366 |
| Automobiles - 0.0% |  |  |
| CWGS Group LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.2875% 6/3/2028 (d)(e)(i) | 4437761 | 4328681 |
| HarbourVest Partners LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 5.6498% 4/19/2030 (d)(e)(i) | 2430000 | 2426963 |
|  |  | 6755644 |
| Broadline Retail - 0.1% |  |  |
| CNT Holdings I Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 6.1668% 11/8/2032 (d)(e)(i) | 3868481 | 3863027 |
| Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 1/23/2032 (d)(e)(i) | 53679113 | 53544916 |
| Saks Global Enterprises LLC Tranche SECOND OUT ROLL-UP DIP 1LN, term loan CME Term SOFR 1 month Index + 12.5%, 16.1556% 7/15/2026 (d)(e)(i) | 484947 | 145484 |
|  |  | 57553427 |
| Distributors - 0.0% |  |  |
| BCPE Empire Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 12/11/2030 (d)(e)(i) | 6376197 | 6343168 |
| Gloves Buyer Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 5/24/2032 (d)(e)(i) | 4039875 | 4019676 |
| Windsor Holdings III LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 8/1/2030 (d)(e)(i) | 3985847 | 3977118 |
|  |  | 14339962 |
| Diversified Consumer Services - 0.0% |  |  |
| AI Aqua Merger Sub Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4159% 7/30/2028 (d)(e)(i) | 11538162 | 11475279 |
| KUEHG Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4219% 6/12/2030 (d)(e)(i) | 226 | 215 |
| TKC Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1597% 8/19/2030 (d)(e)(i) | 2348942 | 2340134 |
|  |  | 13815628 |
| Hotels, Restaurants & Leisure - 0.5% |  |  |
| 19th Holdings Golf LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0231% 2/7/2029 (d)(e)(i) | 4783203 | 4762300 |
| Aramark Services Inc Tranche B10 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 6/24/2030 (d)(e)(i) | 2190511 | 2192329 |
| Arcis Golf LLC 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 11/24/2028 (d)(e)(i) | 2056257 | 2062035 |
| Caesars Entertainment Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 2/6/2030 (d)(e)(i) | 12746226 | 12642727 |
| Caesars Entertainment Inc Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 2/6/2031 (d)(e)(i) | 4607023 | 4558649 |
| Dave & Buster's Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9375% 11/1/2031 (d)(e)(i) | 4146722 | 3700949 |
| Dave & Buster's Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9375% 6/29/2029 (d)(e)(i) | 2434925 | 2249871 |
| Eagle Parent Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 7.9219% 4/2/2029 (d)(e)(i) | 3536160 | 3532482 |
| Fertitta Entertainment LLC/NV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 1/29/2029 (d)(e)(i) | 28113956 | 27930091 |
| Fitness International LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.173% 2/12/2029 (d)(e)(i) | 1719375 | 1723140 |
| Flutter Entertainment PLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.4219% 11/30/2030 (d)(e)(i) | 5679856 | 5580459 |
| Flynn Restaurant Group LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 1/28/2032 (d)(e)(i) | 6233456 | 6120506 |
| Golden Entertainment Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 5/26/2030 (d)(e)(i) | 3895921 | 3893505 |
| Golden State Foods LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1706% 12/4/2031 (d)(e)(i) | 2472605 | 2471270 |
| Herschend Entertainment Co LLC 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 5/27/2032 (d)(e)(i) | 1606925 | 1610942 |
| Hilton Grand Vacations Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 1/17/2031 (d)(e)(i) | 1580916 | 1573864 |
| Hilton Grand Vacations Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 8/2/2028 (d)(e)(i) | 9209319 | 9187770 |
| Hilton Worldwide Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4237% 11/8/2030 (d)(e)(i) | 2008852 | 2015340 |
| Horizon US Finco LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 10/31/2031 (d)(e)(i) | 8028177 | 7827473 |
| J&J Ventures Gaming LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 4/26/2030 (d)(e)(i) | 5257990 | 5177490 |
| Life Time Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6708% 11/5/2031 (d)(e)(i) | 3925449 | 3927922 |
| Light & Wonder International Inc Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.677% 4/16/2029 (d)(e)(i) | 3309767 | 3305630 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9336% 6/1/2028 (d)(e)(i) | 4113488 | 3819909 |
| Marriott Ownership Resorts Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 4/1/2031 (d)(e)(i) | 3171700 | 3165103 |
| PCI Gaming Authority Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 7/18/2031 (d)(e)(i) | 2221980 | 2215981 |
| Sgh2 LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1719% 8/18/2032 (d)(e)(i) | 1860338 | 1860338 |
| Sizzling Platter LLC 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.673% 7/2/2032 (d)(e)(i) | 5099582 | 4615122 |
| Sizzling Platter LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 5% 7/2/2032 (d)(e)(i)(l) | 217418 | 196763 |
| Station Casinos LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 3/14/2031 (d)(e)(i) | 6150825 | 6148734 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9285% 12/30/2026 (d)(e)(i) | 15543190 | 14937006 |
| United PF Holdings LLC 2LN, term loan CME Term SOFR 3 month Index + 8.5%, 12.4285% 12/30/2027 (d)(e)(i) | 550000 | 412500 |
| United PF Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 8.5%, 12.4285% 12/30/2026 (d)(e)(i) | 2626004 | 2540659 |
| Whatabrands LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 8/3/2028 (d)(e)(i) | 6064584 | 6047907 |
| Wok Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 6.25%, 9.9169% 9/3/2029 (d)(e)(i) | 2195982 | 1554580 |
|  |  | 165561346 |
| Household Durables - 0.0% |  |  |
| Madison Safety & Flow LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 9/26/2031 (d)(e)(i) | 793592 | 792798 |
| Somnigroup International Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.91% 10/24/2031 (d)(e)(i) | 4354059 | 4366294 |
| TGP Holdings III LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.023% 6/29/2028 (d)(e)(i) | 3944310 | 3649394 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.4108% 10/1/2032 (d)(e)(i) | 7180000 | 7178206 |
|  |  | 15986692 |
| Specialty Retail - 0.2% |  |  |
| Academy Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.5358% 11/5/2027 (d)(e)(i) | 1385527 | 1385527 |
| Belron Finance 2019 LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 5.6599% 10/16/2031 (d)(e)(i) | 5421570 | 5419293 |
| Empire Today LLC Tranche EXCH 1ST OUT TLB 1LN, term loan 9.4285% 8/3/2029 (d)(i) | 172408 | 85630 |
| Empire Today LLC Tranche EXCH FLSO TL 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.9285% 8/3/2029 (d)(e)(i)(k) | 1048818 | 26220 |
| Empire Today LLC Tranche NEW $1ST OUT TLA 1LN, term loan 9.4285% 8/3/2029 (d)(i) | 327181 | 162502 |
| Johnstone Supply LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.9208% 6/9/2031 (d)(e)(i) | 2834125 | 2821371 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.527% 6/6/2031 (d)(e)(i) | 8008679 | 6591143 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.677% 6/6/2031 (d)(e)(i) | 2583525 | 2229375 |
| Michaels Cos Inc/The 1LN, term loan CME Term SOFR 1 month Index + 5%, 0% 2/19/2033 (d)(e)(i)(m) | 1060000 | 1008654 |
| Needle Holdings LLC Tranche EXIT 1LN, term loan CME Term SOFR 3 month Index + 9.5%, 0% 4/28/2028 (d)(e)(i)(j)(k) | 103227 | 80279 |
| Park River Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1608% 3/15/2031 (d)(e)(i) | 3025000 | 3007455 |
| Peer USA LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.9219% 9/29/2032 (d)(e)(i) | 2520000 | 2512919 |
| RH Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.2875% 10/20/2028 (d)(e)(i) | 5018216 | 4925379 |
| RH Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.023% 10/20/2028 (d)(e)(i) | 1354500 | 1346522 |
| RVR Dealership Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 0% 2/4/2033 (d)(e)(i)(m) | 4485000 | 4428938 |
| SGUS LLC 1LN, term loan 16.1597% 7/15/2026 (d)(i) | 494512 | 148354 |
| SGUS LLC Tranche FIRST OUT DIP FINAL 1LN, term loan CME Term SOFR 1 month Index + 10%, 14.6597% 7/15/2026 (d)(e)(i) | 1346128 | 1238438 |
| SGUS LLC Tranche FIRST OUT DIP FINAL, term loan 14.677% 7/7/2026 (d)(i) | 561510 | 516589 |
| SGUS LLC Tranche THIRD OUT 1LN, term loan CME Term SOFR 1 month Index + 8%, 13.6597% 7/15/2026 (d)(e)(i)(k) | 1158600 | 117795 |
| Staples Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.75%, 9.4136% 9/4/2029 (d)(e)(i) | 12110360 | 10808496 |
| Tory Burch LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0375% 4/16/2028 (d)(e)(i) | 3877583 | 3865951 |
| Wand NewCo 3 Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 1/30/2031 (d)(e)(i) | 3301036 | 3279943 |
| White Cap Supply Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 10/31/2029 (d)(e)(i) | 5918145 | 5842925 |
| White Cap Supply Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 2/10/2033 (d)(e)(i)(m) | 2160000 | 2134361 |
|  |  | 63984059 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Varsity Brands Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6719% 8/26/2031 (d)(e)(i) | 5679828 | 5662107 |
| TOTAL CONSUMER DISCRETIONARY |  | 365477231 |
| Consumer Staples - 0.1% |  |  |
| Beverages - 0.0% |  |  |
| Celsius Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.1719% 4/1/2032 (d)(e)(i) | 2118025 | 2128086 |
| Naked Juice LLC Tranche EXCH FLSO FL20 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.0219% 1/24/2029 (d)(e)(i) | 3966121 | 2420563 |
| Naked Juice LLC Tranche EXCH FLTO FL30 PIK 1LN, term loan CME Term SOFR 1 month Index + 6%, 9.7719% 1/24/2030 (d)(e)(i) | 1126228 | 237138 |
| Naked Juice LLC Tranche NEW $$ FLFO 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.1719% 1/24/2029 (d)(e)(i) | 2569230 | 2553969 |
| Primo Brands Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 3/31/2028 (d)(e)(i) | 10989845 | 10978086 |
|  |  | 18317842 |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| BJ's Wholesale Club Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4099% 2/5/2029 (d)(e)(i) | 1895078 | 1904155 |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6719% 9/20/2030 (d)(e)(i) | 5741125 | 5626303 |
| Cardenas Merger Sub LLC 1LN, term loan CME Term SOFR 3 month Index + 6.75%, 10.5219% 8/1/2029 (d)(e)(i) | 5911811 | 4640772 |
| JP Intermediate B LLC Tranche TAKEBK TL A 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.1719% 1/31/2031 (d)(e)(i)(k) | 1473612 | 1083105 |
| JP Intermediate B LLC Tranche NEW $1ST L TL 1LN, term loan CME Term SOFR 1 month Index + 7%, 10.6719% 9/30/2030 (d)(e)(i)(k) | 390985 | 380740 |
| Primary Products Finance LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.8964% 4/1/2029 (d)(e)(i) | 2988584 | 2947491 |
|  |  | 16582566 |
| Food Products - 0.1% |  |  |
| Aspire Bakeries Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 12/23/2030 (d)(e)(i) | 2549399 | 2552585 |
| Chobani LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 10/28/2032 (d)(e)(i) | 4235000 | 4245588 |
| Del Monte Foods Corp II Inc 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 0% (d)(e)(i)(j)(k) | 6726537 | 1 |
| Del Monte Foods Corp II Inc 1LN, term loan CME Term SOFR 3 month Index + 8.15%, 0% (d)(e)(i)(j)(k) | 1139735 | 0 |
| Del Monte Foods Corp II Inc Tranche FLFO B 1LN, term loan CME Term SOFR 3 month Index + 8%, 0% (d)(e)(i)(j)(k) | 1014876 | 0 |
| Del Monte Foods Corp II Inc Tranche TLA DIP, term loan CME Term SOFR 3 month Index + 1%, 13.2597% 3/30/2026 (d)(e)(i)(k) | 4231905 | 4231905 |
| Del Monte Foods Corp II Inc Tranche TLB DIP ROLLUP, term loan CME Term SOFR 3 month Index + 9.5%, 13.2643% 3/30/2026 (d)(e)(i)(k) | 5640221 | 2791909 |
| Fiesta Purchaser Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 2/12/2031 (d)(e)(i) | 4233407 | 4101113 |
| Nourish Buyer I Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.6692% 7/9/2032 (d)(e)(i) | 4514863 | 4537437 |
|  |  | 22460538 |
| Personal Care Products - 0.0% |  |  |
| Conair Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.5375% 5/17/2028 (d)(e)(i) | 3676800 | 1985472 |
| Olaplex Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.2727% 2/23/2029 (d)(e)(i) | 919146 | 898851 |
|  |  | 2884323 |
| TOTAL CONSUMER STAPLES |  | 60245269 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Apro LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.41% 7/9/2031 (d)(e)(i) | 3100750 | 3109277 |
| CQP Holdco LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.423% 12/31/2032 (d)(e)(i) | 9924370 | 9885268 |
| Delek US Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.273% 11/19/2029 (d)(e)(i) | 3220806 | 3206441 |
| EMG Utica Midstream Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.6719% 4/1/2030 (d)(e)(i) | 2203811 | 2214830 |
| Hamilton Projects Acquiror LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 5/30/2031 (d)(e)(i) | 1464606 | 1467579 |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 0% (d)(e)(i)(j) | 34937032 | 16581815 |
| Par Petroleum LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9547% 2/28/2030 (d)(e)(i) | 2289040 | 2289520 |
| Prairie Acquiror LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 8/1/2029 (d)(e)(i) | 1405118 | 1405469 |
| Stonepeak Bayou Holdings LP 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4219% 10/1/2032 (d)(e)(i) | 2035000 | 1947251 |
| Venture Global Plaquemines LNG LLC 1LN, term loan CME Term SOFR 1 month Index + 2.225%, 5.898% 5/25/2029 (d)(e)(i) | 2941477 | 2932888 |
| Venture Global Plaquemines LNG LLC 1LN, term loan CME Term SOFR 1 month Index + 2.225%, 5.898% 5/25/2029 (d)(e)(i) | 367932 | 367932 |
| TOTAL ENERGY |  | 45408270 |
| Financials - 0.5% |  |  |
| Capital Markets - 0.1% |  |  |
| Broadstreet Partners Group LLC Tranche B4 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 6/13/2031 (d)(e)(i) | 4825365 | 4607741 |
| Citadel Securities Global Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6719% 10/31/2031 (d)(e)(i) | 7573159 | 7547940 |
| CPI Holdco B LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 5/17/2031 (d)(e)(i) | 2680440 | 2649320 |
| Focus Financial Partners LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 9/15/2031 (d)(e)(i) | 5409040 | 5091259 |
| GTCR Everest Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1602% 9/5/2031 (d)(e)(i) | 4804631 | 4707530 |
| Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4132% 2/3/2032 (d)(e)(i) | 5023935 | 4945461 |
| Jane Street Group LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 5.6727% 12/15/2031 (d)(e)(i) | 10033750 | 9704042 |
| PEX Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4219% 11/26/2031 (d)(e)(i) | 2709525 | 2635013 |
| Superannuation & Investments US LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 12/1/2028 (d)(e)(i) | 2266685 | 2251815 |
|  |  | 44140121 |
| Financial Services - 0.1% |  |  |
| ACNR Holdings Inc term loan 13% (d)(i)(k)(n) | 564772 | 561948 |
| CFC USA 2025 LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1608% 7/1/2032 (d)(e)(i) | 3300000 | 3139125 |
| Corpay Technologies Operating Co LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 11/5/2032 (d)(e)(i) | 2935000 | 2925843 |
| Dragon Buyer Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4219% 9/30/2031 (d)(e)(i) | 747550 | 654106 |
| Heubach Holding USA LLC Tranche TL, term loan CME Term SOFR 1 month Index + 10%, 0% (d)(e)(i)(j)(k) | 160254 | 0 |
| Kingpin Intermediate Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 9/22/2032 (d)(e)(i) | 3350000 | 3137275 |
| MHP Commercial Mortgage Trust U.S. SOFR Index + 5%, 8.6597% 1/9/2027 (d)(e)(i)(k) | 3063925 | 2987326 |
| NCR Atleos Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.7007% 4/16/2029 (d)(e)(i) | 1946535 | 1941668 |
| Neon Maple US Debt Mergersub Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 11/17/2031 (d)(e)(i) | 6082485 | 5917102 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 7/31/2031 (d)(e)(i) | 7363613 | 6891900 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 7/31/2031 (d)(e)(i) | 1461338 | 1394847 |
| Nexus Buyer LLC Tranche B 2LN, term loan CME Term SOFR 1 month Index + 5.75%, 9.423% 2/16/2032 (d)(e)(i) | 1875000 | 1821094 |
| Orion US Finco Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1497% 10/8/2032 (d)(e)(i) | 2020000 | 1981499 |
| Priority Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 7/30/2032 (d)(e)(i) | 1989547 | 1940643 |
| Recess Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.418% 2/20/2030 (d)(e)(i) | 2746840 | 2751427 |
| Shift4 Payments LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6517% 7/6/2032 (d)(e)(i) | 683288 | 682433 |
| TKO Worldwide Holdings LLC Tranche B5 1LN, term loan CME Term SOFR 3 month Index + 2%, 5.664% 11/21/2031 (d)(e)(i) | 2900574 | 2901183 |
| Trans Union LLC Tranche B8 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 6/24/2031 (d)(e)(i) | 2796505 | 2768037 |
| Trans Union LLC Tranche B9 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 6/24/2031 (d)(e)(i) | 1825522 | 1807504 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 0% 2/20/2032 (d)(e)(i)(m) | 2195000 | 2189513 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1556% 2/20/2032 (d)(e)(i) | 13482761 | 13449055 |
|  |  | 61843528 |
| Insurance - 0.3% |  |  |
| Acrisure LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 6/21/2032 (d)(e)(i) | 7464750 | 7234612 |
| Acrisure LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 11/6/2030 (d)(e)(i) | 24508735 | 23693819 |
| Alera Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 5/28/2032 (d)(e)(i) | 5037375 | 4784801 |
| Alliant Hldgs Intermediate LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 9/19/2031 (d)(e)(i) | 1080000 | 1053745 |
| AmWINS Group Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 1/30/2032 (d)(e)(i) | 4222215 | 4173280 |
| Amynta Agency Borrower Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 12/29/2031 (d)(e)(i) | 2424199 | 2344540 |
| Asurion LLC Tranche B12 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.923% 9/19/2030 (d)(e)(i) | 15791912 | 15744536 |
| Asurion LLC Tranche B13 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.923% 9/19/2030 (d)(e)(i) | 4218800 | 4205089 |
| Asurion LLC Tranche B14 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.427% 2/23/2033 (d)(e)(i) | 16523847 | 16220965 |
| Asurion LLC Tranche B4 2LN, term loan CME Term SOFR 1 month Index + 5.25%, 9.0375% 1/20/2029 (d)(e)(i) | 4753065 | 4750119 |
| CRC Insurance Group LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4219% 5/6/2031 (d)(e)(i) | 6401371 | 6271743 |
| HUB International Ltd Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9197% 6/20/2030 (d)(e)(i) | 11570061 | 11430295 |
| Ryan Specialty LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 9/15/2031 (d)(e)(i) | 3580568 | 3571616 |
| USI Inc/NY Tranche C 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 9/29/2030 (d)(e)(i) | 1368710 | 1360155 |
| USI Inc/NY Tranche D 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 11/21/2029 (d)(e)(i) | 5975653 | 5945775 |
|  |  | 112785090 |
| TOTAL FINANCIALS |  | 218768739 |
| Health Care - 0.4% |  |  |
| Biotechnology - 0.0% |  |  |
| Alkermes Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 8/12/2031 (d)(e)(i) | 1390000 | 1386524 |
| BioMarin Pharmaceutical Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 0% 1/28/2033 (d)(e)(i)(m) | 2450000 | 2444904 |
|  |  | 3831428 |
| Health Care Equipment & Supplies - 0.1% |  |  |
| Bausch + Lomb Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 1/15/2031 (d)(e)(i) | 5009825 | 5007320 |
| Embecta Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 3/30/2029 (d)(e)(i) | 2775656 | 2775933 |
| Hopper Merger Sub Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 0% 1/14/2033 (d)(e)(i)(m) | 8915000 | 8803563 |
| Insulet Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 8/1/2031 (d)(e)(i) | 7041074 | 7092122 |
| Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.423% 10/23/2028 (d)(e)(i) | 3118340 | 3121708 |
| QuidelOrtho Corp Tranche A 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 0% 8/21/2030 (d)(e)(i)(m) | 1681897 | 1599904 |
| QuidelOrtho Corp Tranche A-DD 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 0% 8/21/2030 (d)(e)(i)(m) | 148103 | 140883 |
| QuidelOrtho Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 8/23/2032 (d)(e)(i) | 6254325 | 6246508 |
| Sotera Health Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 5/30/2031 (d)(e)(i) | 2255245 | 2253846 |
|  |  | 37041787 |
| Health Care Providers & Services - 0.1% |  |  |
| Accelerated Health Systems LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.0668% 2/15/2029 (d)(e)(i) | 2470204 | 1271735 |
| Aveanna Healthcare LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.423% 9/17/2032 (d)(e)(i) | 1276800 | 1271131 |
| Cano Health LLC Tranche INITIAL EXCHANGE TERM LOANS 1LN, term loan CME Term SOFR 3 month Index + 10%, 13.6719% 6/28/2029 (d)(e)(i)(k) | 1348558 | 1051876 |
| Charlotte Buyer Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.9105% 2/11/2028 (d)(e)(i) | 3399473 | 3249522 |
| DaVita Inc Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 5/9/2031 (d)(e)(i) | 4281709 | 4289073 |
| Examworks Bidco Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 2/6/2033 (d)(e)(i) | 2118988 | 2114580 |
| Global Medical Response Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1697% 10/1/2032 (d)(e)(i) | 2370000 | 2368175 |
| HAH Group Holding Co LLC 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.673% 9/24/2031 (d)(e)(i) | 5686872 | 4906690 |
| Hanger Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 10/23/2031 (d)(e)(i) | 1719006 | 1722582 |
| Hanger Inc Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 5.6637% 10/23/2031 (d)(e)(i)(l) | 222508 | 222970 |
| Heartland Dental LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 8/25/2032 (d)(e)(i) | 1652697 | 1647624 |
| ICON Luxembourg Sarl Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 5.6719% 7/3/2028 (d)(e)(i) | 1745199 | 1740522 |
| ICON Luxembourg Sarl Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 5.6719% 7/3/2028 (d)(e)(i) | 434817 | 433652 |
| Lumexa Imaging Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.7047% 12/17/2032 (d)(e)(i) | 970000 | 971213 |
| MED ParentCo LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 4/15/2031 (d)(e)(i) | 3661358 | 3655976 |
| ModivCare Inc Tranche EXIT 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6898% 12/29/2030 (d)(e)(i) | 682888 | 628256 |
| National Mentor Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 6%, 9.673% 12/12/2030 (d)(e)(i) | 5159000 | 5060670 |
| National Mentor Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6%, 9.673% 12/12/2030 (d)(e)(i) | 1255000 | 1231080 |
| National Mentor Holdings Inc Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 6%, 1% 12/12/2030 (d)(e)(i)(l) | 2211000 | 2168858 |
| Phoenix Guarantor Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 2/21/2031 (d)(e)(i) | 2608703 | 2603303 |
| Southern Veterinary Partners LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.1764% 12/4/2031 (d)(e)(i) | 7278845 | 7260211 |
| Team Public Choices LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.25%, 0% 1/31/2033 (d)(e)(i)(m) | 1905000 | 1782756 |
| US Fertility Enterprises LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1668% 12/30/2032 (d)(e)(i) | 1280921 | 1282202 |
| US Fertility Enterprises LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 12/30/2032 (d)(e)(i)(l)(m) | 194079 | 194273 |
|  |  | 53128930 |
| Health Care Technology - 0.1% |  |  |
| AthenaHealth Group Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 2/15/2029 (d)(e)(i) | 11442554 | 11127885 |
| Cotiviti Inc 1LN, term loan 7.625% 5/1/2031 (i) | 1300000 | 1186250 |
| Cotiviti Inc 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4213% 3/26/2032 (d)(e)(i) | 1930300 | 1705304 |
| Cotiviti Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4213% 5/1/2031 (d)(e)(i) | 6549878 | 5790485 |
| Zelis Payments Buyer Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 9/28/2029 (d)(e)(i) | 3993863 | 3758224 |
| Zelis Payments Buyer Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 11/26/2031 (d)(e)(i) | 7146677 | 6735743 |
|  |  | 30303891 |
| Life Sciences Tools & Services - 0.0% |  |  |
| PAREXEL International Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 12/12/2031 (d)(e)(i) | 8013667 | 7913496 |
| Pharmaceuticals - 0.1% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 9.923% 10/8/2030 (d)(e)(i) | 24444497 | 23779118 |
| Amneal Pharmaceuticals LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 8/2/2032 (d)(e)(i) | 3241875 | 3240513 |
| Elanco Animal Health Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4213% 10/31/2032 (d)(e)(i) | 1380000 | 1379710 |
| Endo Finance Holdings LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 4/23/2031 (d)(e)(i) | 4267580 | 4268646 |
| Jazz Financing Lux Sarl Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 5/5/2028 (d)(e)(i) | 4871033 | 4883893 |
| Organon & Co Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 5/19/2031 (d)(e)(i) | 4213007 | 4062940 |
|  |  | 41614820 |
| TOTAL HEALTH CARE |  | 173834352 |
| Industrials - 0.8% |  |  |
| Aerospace & Defense - 0.1% |  |  |
| Bleriot US Bidco Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.1719% 10/31/2030 (d)(e)(i) | 1635411 | 1634822 |
| Goat Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 1/27/2032 (d)(e)(i) | 2123117 | 2114709 |
| Kaman Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.173% 2/26/2032 (d)(e)(i) | 6523683 | 6511875 |
| Kaman Corp Tranche B-DD 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 2.007% 2/26/2032 (d)(e)(i)(l) | 618238 | 617119 |
| Karman Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 4/1/2032 (d)(e)(i) | 1400000 | 1401750 |
| OneSky Flight LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4097% 2/4/2033 (d)(e)(i) | 3210000 | 3197963 |
| Signia Aerospace LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.423% 12/11/2031 (d)(e)(i) | 3526758 | 3523832 |
| Signia Aerospace LLC Tranche B-DD 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 1% 12/11/2031 (d)(e)(i)(l) | 171923 | 171780 |
| TransDigm Group Inc Tranche M 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 8/19/2032 (d)(e)(i) | 438900 | 438645 |
| TransDigm Inc Tranche K 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.923% 3/22/2030 (d)(e)(i) | 16007281 | 15988553 |
| TransDigm Inc Tranche L 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.173% 1/19/2032 (d)(e)(i) | 852583 | 851910 |
| TransDigm Inc Tranche N 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1596% 2/13/2033 (d)(e)(i) | 1990000 | 1991512 |
|  |  | 38444470 |
| Air Freight & Logistics - 0.0% |  |  |
| Dynasty Acquisition Co Inc Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 10/31/2031 (d)(e)(i) | 2716746 | 2723538 |
| Dynasty Acquisition Co Inc Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 10/31/2031 (d)(e)(i) | 1033364 | 1035947 |
| Echo Global Logistics Inc 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.523% 11/23/2028 (d)(e)(i) | 2511951 | 2474674 |
| Echo Global Logistics Inc 2LN, term loan CME Term SOFR 3 month Index + 7.25%, 11.023% 11/23/2029 (d)(e)(i)(k) | 1525000 | 1525000 |
| STG Distribution LLC 1LN, term loan 8% 7/13/2026 (d)(i)(k) | 1026169 | 1026169 |
| STG Distribution LLC Tranche DIP FLFO ROLLUP 1LN, term loan 8% 7/13/2026 (d)(i)(k) | 386766 | 386766 |
| STG Distribution LLC Tranche DIP FLSO ROLLUP 1LN, term loan CME Term SOFR 3 month Index + 0%, 8% 7/13/2026 (d)(e)(i)(k) | 30785 | 30785 |
| STG Distribution LLC Tranche EXCHANGE FLFO 1LN, term loan CME Term SOFR 1 month Index + 8.35%, 0% 10/3/2029 (d)(e)(i)(j)(k) | 426750 | 426750 |
| STG Distribution LLC Tranche EXCHANGE FLSO 1LN, term loan CME Term SOFR 1 month Index + 7.6%, 0% 10/3/2029 (d)(e)(i)(j)(k) | 1698151 | 15283 |
| STG Distribution LLC Tranche NEW MONEY DIP 1LN, term loan 8% 7/13/2026 (d)(i)(k) | 427706 | 427706 |
|  |  | 10072618 |
| Building Products - 0.1% |  |  |
| APi Group DE Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 1/3/2029 (d)(e)(i) | 3629370 | 3635359 |
| AZZ Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 5/14/2029 (d)(e)(i) | 1068322 | 1069924 |
| Chariot Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 9/8/2032 (d)(e)(i) | 3349789 | 3336088 |
| Cornerstone Building Brands Inc 1LN, term loan CME Term SOFR 1 month Index + 5.625%, 9.2847% 8/1/2028 (d)(e)(i) | 1025357 | 738257 |
| Cornerstone Building Brands Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0097% 4/12/2028 (d)(e)(i) | 12465856 | 9104563 |
| Cornerstone Building Brands Inc Tranche C 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1597% 5/15/2031 (d)(e)(i) | 1508687 | 971217 |
| Emrld Borrower LP Tranche B 1LN, term loan CME Term SOFR 6 month Index + 2.25%, 5.9227% 5/31/2030 (d)(e)(i) | 661675 | 658605 |
| Emrld Borrower LP Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 6.1219% 8/4/2031 (d)(e)(i) | 2821459 | 2808170 |
| Griffon Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6719% 1/24/2029 (d)(e)(i) | 2625390 | 2631954 |
| HP PHRG Borrower LLC Tranche B 1LN, term loan CME Term SOFR 6 month Index + 4%, 7.6719% 2/20/2032 (d)(e)(i) | 5260620 | 5199228 |
|  |  | 30153365 |
| Commercial Services & Supplies - 0.4% |  |  |
| ABG Intermediate Holdings 2 LLC Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 12/21/2028 (d)(e)(i) | 16167384 | 16106757 |
| Allied Universal Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 8/20/2032 (d)(e)(i) | 15206888 | 15197459 |
| Artera Services LLC 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1719% 2/15/2031 (d)(e)(i) | 5841795 | 4766554 |
| Bifm CA Buyer Inc 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 5/31/2028 (d)(e)(i) | 3088856 | 3095621 |
| Brand Industrial Services Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1636% 8/1/2030 (d)(e)(i) | 14315831 | 12204246 |
| Congruex Group LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.75%, 10.273% 5/3/2029 (d)(e)(i) | 4017380 | 2780027 |
| Core & Main LP Tranche E 1LN, term loan CME Term SOFR 6 month Index + 2%, 5.6898% 2/9/2031 (d)(e)(i) | 1181013 | 1182489 |
| CSC ServiceWorks East LLC Tranche EXCHANGE FLSO TL 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.671% 9/4/2030 (d)(e)(i) | 29635744 | 22893612 |
| CSC ServiceWorks East LLC Tranche INITIAL FL1O 1LN, term loan CME Term SOFR 1 month Index + 5.43%, 9.101% 9/4/2030 (d)(e)(i)(k) | 5383836 | 5489252 |
| Ensemble RCM LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6599% 2/9/2033 (d)(e)(i) | 9275000 | 8911698 |
| Filtration Group Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 10/21/2028 (d)(e)(i) | 3441829 | 3443997 |
| GFL ES US LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.2728% 3/3/2032 (d)(e)(i) | 4897725 | 4899782 |
| HNI Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6653% 9/6/2032 (d)(e)(i) | 1480000 | 1488022 |
| Jupiter Buyer Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.9219% 11/1/2031 (d)(e)(i) | 3806099 | 3809258 |
| Jupiter Buyer Inc Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 4.25% 11/1/2031 (d)(e)(i)(l) | 347149 | 347437 |
| Madison IAQ LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.3776% 11/8/2032 (d)(e)(i) | 3790742 | 3795973 |
| Madison IAQ LLC Tranche B 1LN, term loan CME Term SOFR 6 month Index + 2.5%, 6.1276% 6/21/2028 (d)(e)(i) | 4107385 | 4108165 |
| Neptune Bidco US Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.7602% 2/3/2033 (d)(e)(i) | 21000000 | 19745250 |
| OMNIA Partners LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4547% 12/31/2032 (d)(e)(i) | 4682117 | 4665214 |
| OPENLANE Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1399% 10/8/2032 (d)(e)(i) | 890000 | 888336 |
| Sabert Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.7875% 12/10/2026 (d)(e)(i) | 2027107 | 2024573 |
| Wash Bidco Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 9/10/2032 (d)(e)(i) | 2140000 | 2150700 |
| Wellful Inc Tranche BOOTSTRAP FLSO TL 1LN, term loan CME Term SOFR 3 month Index + 6.25%, 10.0375% 10/19/2030 (d)(e)(i) | 1842754 | 1658479 |
| Wellful Inc Tranche PRIMING TL 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.7875% 4/19/2030 (d)(e)(i) | 1921215 | 1897200 |
| WMB Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 11/2/2029 (d)(e)(i) | 4290171 | 4233327 |
|  |  | 151783428 |
| Construction & Engineering - 0.0% |  |  |
| Chromalloy Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.9108% 3/27/2031 (d)(e)(i) | 2168099 | 2170028 |
| Construction Partners Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 11/3/2031 (d)(e)(i) | 2776950 | 2787364 |
| Dycom Industries Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4201% 1/27/2033 (d)(e)(i) | 2020000 | 2027575 |
| Traverse Midstream Partners LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.1668% 2/16/2028 (d)(e)(i) | 1345896 | 1348843 |
|  |  | 8333810 |
| Electrical Equipment - 0.0% |  |  |
| Vertiv Group Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4213% 8/12/2032 (d)(e)(i) | 4801764 | 4801764 |
| Ground Transportation - 0.0% |  |  |
| Avis Budget Car Rental LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 7/16/2032 (d)(e)(i) | 2129300 | 2087608 |
| Genesee & Wyoming Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.4219% 4/10/2031 (d)(e)(i) | 3772250 | 3765875 |
|  |  | 5853483 |
| Machinery - 0.1% |  |  |
| Allison Transmission Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.41% 1/2/2033 (d)(e)(i) | 1315000 | 1321102 |
| Astro Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.1219% 8/30/2032 (d)(e)(i) | 1925175 | 1931201 |
| Beach Acquisition Bidco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 9/13/2032 (d)(e)(i) | 3080000 | 3083850 |
| Chart Industries Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.1608% 3/15/2030 (d)(e)(i) | 3353205 | 3352166 |
| Columbus McKinnon Corp/NY Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1602% 2/3/2033 (d)(e)(i) | 4395000 | 4378519 |
| CPM Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1713% 9/28/2028 (d)(e)(i) | 2323506 | 2275943 |
| Crown Equipment Corp Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6711% 10/10/2031 (d)(e)(i) | 1927076 | 1930294 |
| Indicor LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.173% 11/22/2029 (d)(e)(i) | 3148694 | 3141263 |
| JBT Marel Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 1/2/2032 (d)(e)(i) | 1181075 | 1181075 |
| STS Operating Inc 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.773% 3/25/2031 (d)(e)(i) | 7587607 | 7574328 |
| TNT Crane & Rigging Inc 2LN, term loan CME Term SOFR 1 month Index + 8.75%, 16.6724% 12/3/2026 (d)(e)(i)(k) | 1224876 | 734925 |
|  |  | 30904666 |
| Passenger Airlines - 0.0% |  |  |
| AAdvantage Loyalty IP Ltd Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9176% 4/20/2028 (d)(e)(i) | 4678242 | 4668184 |
| AAdvantage Loyalty IP Ltd Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4176% 5/28/2032 (d)(e)(i) | 1975075 | 1974463 |
| American Airlines 2016-3 Class A Pass Through Trust Tranche B 1LN, term loan CME Term SOFR 6 month Index + 2.25%, 6.258% 6/4/2029 (d)(e)(i) | 2151100 | 2147077 |
| United Airlines Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.4264% 2/24/2031 (d)(e)(i) | 3500045 | 3497140 |
| Vista Management Holding Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4108% 4/1/2031 (d)(e)(i) | 3923700 | 3926172 |
|  |  | 16213036 |
| Professional Services - 0.1% |  |  |
| AlixPartners LLP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 8/12/2032 (d)(e)(i) | 3993757 | 3930536 |
| Amentum Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 9/29/2031 (d)(e)(i) | 6657784 | 6632818 |
| CACI International Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 10/30/2031 (d)(e)(i) | 1960200 | 1957750 |
| CACI International Inc Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 0% 2/26/2033 (d)(e)(i)(m) | 980000 | 978775 |
| Cast & Crew LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.4168% 12/29/2028 (d)(e)(i) | 5933013 | 2536363 |
| CHG Healthcare Services Inc Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4169% 9/29/2028 (d)(e)(i) | 3078135 | 3073087 |
| Maximus Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 5/30/2031 (d)(e)(i) | 1103200 | 1103662 |
| Sedgwick Claims Management Services Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 7/31/2031 (d)(e)(i) | 8816458 | 8521107 |
|  |  | 28734098 |
| Transportation Infrastructure - 0.0% |  |  |
| AIT Worldwide Logistics Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.6731% 4/8/2030 (d)(e)(i) | 3876962 | 3861803 |
| Beacon Mobility Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4099% 8/6/2030 (d)(e)(i) | 1782133 | 1785483 |
| Beacon Mobility Corp Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 2.75% 8/6/2030 (d)(e)(i)(l) | 87867 | 88033 |
| Lasership Inc Tranche A 1LN, term loan CME Term SOFR 3 month Index + 6.25%, 9.9219% 1/2/2029 (d)(e)(i) | 843178 | 852664 |
| Lasership Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 9.4336% 8/10/2029 (d)(e)(i) | 2172892 | 1650724 |
| Lasership Inc Tranche C 1LN, term loan CME Term SOFR 1 month Index + 7%, 7.6719% 1/2/2029 (d)(e)(i) | 196188 | 149789 |
| Lasership Inc Tranche E 1LN, term loan CME Term SOFR 1 month Index + 7.5%, 12.4336% 8/10/2029 (d)(e)(i) | 388467 | 112100 |
| WWEX Uni Topco Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.6719% 7/26/2028 (d)(e)(i) | 2638256 | 2629101 |
|  |  | 11129697 |
| TOTAL INDUSTRIALS |  | 336424435 |
| Information Technology - 0.8% |  |  |
| Communications Equipment - 0.0% |  |  |
| Ciena Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4172% 10/24/2030 (d)(e)(i) | 1089469 | 1092193 |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Coherent Corp Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 7/2/2029 (d)(e)(i) | 2323121 | 2323121 |
| DG Investment Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 7/9/2032 (d)(e)(i) | 4867430 | 4858328 |
| DG Investment Intermediate Holdings Inc Tranche B 2LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.173% 7/29/2033 (d)(e)(i) | 760000 | 753350 |
| Go Daddy Operating Co LLC Tranche B7 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 5/30/2031 (d)(e)(i) | 4639891 | 4470396 |
| Go Daddy Operating Co LLC Tranche B8 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 11/9/2029 (d)(e)(i) | 2397125 | 2317923 |
| Lightning Power LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.923% 8/18/2031 (d)(e)(i) | 4168830 | 4167537 |
| MX Holdings US Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 3/17/2032 (d)(e)(i) | 2049713 | 2049713 |
| Pinnacle Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1608% 10/1/2032 (d)(e)(i) | 2723175 | 2724319 |
| Pinnacle Buyer LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 1.25%, 1.25% 10/1/2032 (d)(e)(i)(l) | 525000 | 525220 |
| Pye-Barker Fire & Safety LLC 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 1% 12/16/2032 (d)(e)(i)(l) | 306800 | 306910 |
| Pye-Barker Fire & Safety LLC 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.2063% 12/16/2032 (d)(e)(i) | 2053200 | 2053940 |
| Resilience Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 0% 1/21/2033 (d)(e)(i)(m) | 3175000 | 3167063 |
| TCP Sunbelt Acquisition Co Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 7.9227% 10/24/2031 (d)(e)(i) | 2578950 | 2574127 |
| TTM Technologies Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.9213% 5/30/2030 (d)(e)(i) | 1794880 | 1801611 |
|  |  | 34093558 |
| IT Services - 0.2% |  |  |
| Ahead DB Holdings LLC Tranche B4 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.1719% 2/3/2031 (d)(e)(i) | 3064151 | 2977007 |
| Constant Contact Inc 2LN, term loan CME Term SOFR 3 month Index + 7.5%, 11.4338% 2/12/2029 (d)(e)(i) | 290000 | 236263 |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9338% 2/10/2028 (d)(e)(i) | 7357070 | 6350108 |
| GTT Communications Inc Tranche NEW $ HOLDCO 1LN, term loan 14% 7/15/2031 (d)(i) | 941450 | 771988 |
| Indy US Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 5.923% 10/31/2030 (d)(e)(i) | 3106732 | 2997997 |
| Kaseya Inc 2LN, term loan CME Term SOFR 1 month Index + 5%, 8.673% 3/21/2033 (d)(e)(i) | 4415000 | 3561448 |
| Kaseya Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 3/22/2032 (d)(e)(i) | 9644199 | 8700418 |
| Mitchell International Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 0% 6/17/2031 (d)(e)(i)(m) | 840000 | 772279 |
| Mitchell International Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 6/17/2031 (d)(e)(i) | 5515648 | 5070976 |
| Peraton Corp 2LN, term loan CME Term SOFR 3 month Index + 7.75%, 11.5227% 2/1/2029 (d)(e)(i) | 1615000 | 1195100 |
| Peraton Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.5168% 2/1/2028 (d)(e)(i) | 16019427 | 13671620 |
| VFH Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 6/20/2031 (d)(e)(i) | 3564000 | 3552132 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (i) | 18755000 | 19664618 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.4475% 10/26/2029 (d)(e)(i) | 14403046 | 14433004 |
|  |  | 83954958 |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| MKS Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4211% 2/4/2033 (d)(e)(i) | 1635000 | 1637453 |
| Qnity Electronics Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6975% 11/1/2032 (d)(e)(i) | 4645000 | 4658052 |
|  |  | 6295505 |
| Software - 0.5% |  |  |
| Applied Systems Inc Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 2/24/2031 (d)(e)(i) | 5340479 | 5226246 |
| Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 12/11/2028 (d)(e)(i) | 8963509 | 8515334 |
| Central Parent LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 7/6/2029 (d)(e)(i) | 2979912 | 1862445 |
| Cloud Software Group Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 8/13/2032 (d)(e)(i) | 6636650 | 6142219 |
| Cloud Software Group Inc Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 3/21/2031 (d)(e)(i) | 7415287 | 6870264 |
| Darktrace Finco US LLC 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.8981% 10/9/2031 (d)(e)(i) | 7229918 | 6850348 |
| Darktrace Finco US LLC 2LN, term loan CME Term SOFR 3 month Index + 5.25%, 8.8981% 10/9/2032 (d)(e)(i) | 1630000 | 1498589 |
| Dayforce Bidco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6608% 2/4/2033 (d)(e)(i) | 11575000 | 10640782 |
| Dcert Buyer Inc Tranche B 2LN, term loan CME Term SOFR 1 month Index + 7%, 10.673% 2/19/2029 (d)(e)(i) | 2493409 | 1998891 |
| Disco Parent Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6727% 8/6/2032 (d)(e)(i) | 2114700 | 2056546 |
| Eagle Parent Canada Inc Tranche INCR B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.9219% 4/2/2029 (d)(e)(i)(k) | 5306400 | 5169808 |
| Ellucian Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 10/9/2029 (d)(e)(i) | 5271061 | 5088472 |
| EP Purchaser LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.2872% 11/6/2028 (d)(e)(i) | 485340 | 248494 |
| Epicor Software Corp 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 5/30/2031 (d)(e)(i) | 4332587 | 4195980 |
| Gen Digital Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 4/16/2032 (d)(e)(i) | 731325 | 708931 |
| Gen Digital Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 9/12/2029 (d)(e)(i) | 7801806 | 7587257 |
| Genesys Cloud Services Holdings II LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 1/30/2032 (d)(e)(i) | 2443584 | 2241988 |
| KnowBe4 Inc 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.4168% 7/26/2032 (d)(e)(i) | 5800000 | 4988000 |
| MH Sub I LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.923% 12/31/2031 (d)(e)(i) | 10221827 | 6925288 |
| MH Sub I LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.923% 5/3/2028 (d)(e)(i) | 11067190 | 8955238 |
| MH Sub I LLC Tranche B 2LN, term loan CME Term SOFR 1 month Index + 6.25%, 9.923% 2/23/2029 (d)(e)(i) | 2390000 | 1709591 |
| Modena Buyer LLC 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 7.9168% 7/1/2031 (d)(e)(i) | 10057717 | 8832787 |
| Optiv Parent Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.25%, 8.9213% 7/31/2026 (d)(e)(i) | 3466883 | 2005002 |
| Ping Identity Holding Corp 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4096% 11/15/2032 (d)(e)(i) | 2455000 | 2396694 |
| Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.6785% 6/2/2028 (d)(e)(i) | 21546157 | 18298936 |
| Polaris Newco LLC Tranche PIK TERM 2LN, term loan CME Term SOFR 1 month Index + 9%, 12.7727% 6/4/2029 (d)(e)(i) | 1655000 | 1241250 |
| Project Alpha Intermediate Holding Inc 2LN, term loan CME Term SOFR 3 month Index + 5%, 8.6719% 5/9/2033 (d)(e)(i) | 2785000 | 2074825 |
| Project Alpha Intermediate Holding Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 10/26/2030 (d)(e)(i) | 3149102 | 2554709 |
| Project Boost Purchaser LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4219% 7/16/2031 (d)(e)(i) | 3216816 | 3059996 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6719% 8/31/2028 (d)(e)(i) | 8449933 | 8076277 |
| Rackspace Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.5285% 5/15/2028 (d)(e)(i) | 5978303 | 2446142 |
| Rackspace Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 10.0285% 5/15/2028 (d)(e)(i) | 1393005 | 1382558 |
| RealPage Inc 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4219% 4/24/2028 (d)(e)(i) | 1498675 | 1395371 |
| RealPage Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.9336% 4/24/2028 (d)(e)(i) | 2695538 | 2484397 |
| Red Planet Borrower LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 9/8/2032 (d)(e)(i) | 7480000 | 7232262 |
| Renaissance Holdings Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.6668% 4/5/2030 (d)(e)(i) | 8795009 | 6569872 |
| SonarSource Financing LLC 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1676% 12/19/2030 (d)(e)(i) | 2365000 | 2199450 |
| Sovos Compliance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 8/13/2029 (d)(e)(i) | 1329619 | 1194171 |
| SS&C Technologies Inc Tranche B8 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 5/9/2031 (d)(e)(i) | 5942880 | 5887551 |
| UKG Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1668% 2/10/2031 (d)(e)(i) | 18458582 | 17434131 |
| VS Buyer LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9168% 4/14/2031 (d)(e)(i) | 5205595 | 5027719 |
| X.AI LLC 1LN, term loan 12.5% 6/28/2030 (i) | 1200534 | 1359352 |
| X.AI LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 7.25%, 11.1219% 6/28/2030 (d)(e)(i) | 8176706 | 8470168 |
|  |  | 211104331 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Sandisk Corp/DE Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 0% 2/20/2032 (d)(e)(i)(m) | 325349 | 325349 |
| TOTAL INFORMATION TECHNOLOGY |  | 336865894 |
| Materials - 0.4% |  |  |
| Chemicals - 0.3% |  |  |
| Advancion Holdings LLC 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 8.4227% 11/24/2027 (d)(e)(i)(k) | 1746000 | 1671795 |
| Advancion Holdings LLC 2LN, term loan CME Term SOFR 1 month Index + 7.75%, 11.5227% 11/24/2028 (d)(e)(i) | 1310000 | 1172450 |
| Advancion Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.7727% 11/24/2027 (d)(e)(i) | 3225359 | 3088281 |
| American Rock Salt Co LLC 1LN, term loan 2% 6/12/2028 (d)(i)(l) | 93898 | 94075 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.7875% 6/9/2028 (d)(e)(i) | 739513 | 664637 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 7%, 10.7875% 6/12/2028 (d)(e)(i) | 357166 | 357838 |
| Arc Falcon I Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.273% 9/30/2028 (d)(e)(i) | 6396838 | 6374641 |
| Arthur US Finco Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.25%, 8.9219% 12/14/2029 (d)(e)(i) | 4078967 | 3630281 |
| Bakelite US Holdco Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4219% 12/23/2031 (d)(e)(i) | 3851100 | 3689854 |
| Chemours Co/The Tranche B3 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 10/15/2032 (d)(e)(i) | 6320000 | 6297880 |
| CompoSecure Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.9097% 1/14/2033 (d)(e)(i) | 4320000 | 4293000 |
| CoorsTek Inc 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.6713% 10/28/2032 (d)(e)(i) | 2065000 | 2071876 |
| Derby Buyer LLC 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6641% 11/1/2030 (d)(e)(i) | 2869083 | 2867877 |
| Discovery Purchaser Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4192% 10/4/2029 (d)(e)(i) | 14479761 | 14184810 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.925%, 7.6969% 7/3/2028 (d)(e)(i) | 13020727 | 11597692 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.677% 3/15/2029 (d)(e)(i) | 12176295 | 11930577 |
| Hexion Inc 2LN, term loan CME Term SOFR 1 month Index + 7.4375%, 11.2105% 3/15/2030 (d)(e)(i) | 1368088 | 1283718 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.4168% 8/25/2031 (d)(e)(i) | 9871377 | 9731499 |
| Scih Salt Hldgs Inc Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.5218% 1/31/2029 (d)(e)(i) | 2678083 | 2670558 |
| Solstice Advanced Materials Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4168% 10/29/2032 (d)(e)(i) | 2145000 | 2150363 |
| TPC Group Inc 1LN, term loan CME Term SOFR 1 month Index + 5.75%, 9.3856% 12/16/2031 (d)(e)(i) | 2198570 | 1963147 |
| Tronox Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1724% 9/30/2031 (d)(e)(i) | 4022695 | 3127646 |
| USALCO LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.173% 9/30/2031 (d)(e)(i) | 1799588 | 1799588 |
| USALCO LLC Tranche B-DD 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 1% 9/30/2031 (d)(e)(i)(l) | 187280 | 187280 |
| WR Grace Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6719% 8/9/2032 (d)(e)(i) | 2758088 | 2753481 |
|  |  | 99654844 |
| Construction Materials - 0.0% |  |  |
| Quikrete Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 2/10/2032 (d)(e)(i) | 7674873 | 7667045 |
| Smyrna Ready Mix Concrete LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 4/2/2029 (d)(e)(i) | 1619046 | 1620390 |
| VM Consolidated Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 10/15/2032 (d)(e)(i) | 3247978 | 3257462 |
|  |  | 12544897 |
| Containers & Packaging - 0.1% |  |  |
| AOT Packaging Products Acquisition Co LLC 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 3/3/2031 (d)(e)(i) | 5729666 | 5473894 |
| Berlin Packaging LLC Tranche B7 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.912% 6/9/2031 (d)(e)(i) | 7679593 | 7633515 |
| BradyPlus Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1898% 12/29/2032 (d)(e)(i) | 13808000 | 13678619 |
| Charter Next Generation Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1708% 11/29/2030 (d)(e)(i) | 3978260 | 3973287 |
| Clydesdale Acquisition Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 3.175%, 6.848% 4/13/2029 (d)(e)(i) | 13962355 | 13836974 |
| Clydesdale Acquisition Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 4/1/2032 (d)(e)(i) | 8140888 | 8050768 |
| Graham Packaging Co Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 1/26/2033 (d)(e)(i) | 2330000 | 2324292 |
| LC Ahab US Bidco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 5/1/2031 (d)(e)(i) | 2729175 | 2722352 |
| Proampac PG Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 0% 2/18/2033 (d)(e)(i)(m) | 3315000 | 3269419 |
| SupplyOne Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 4/21/2031 (d)(e)(i) | 1142844 | 1146775 |
|  |  | 62109895 |
| Metals & Mining - 0.0% |  |  |
| Tiger Acquisition LLC 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1764% 8/23/2032 (d)(e)(i) | 2895450 | 2890615 |
| Paper & Forest Products - 0.0% |  |  |
| Asplundh Tree Expert LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 5/23/2031 (d)(e)(i) | 2543640 | 2546284 |
| TOTAL MATERIALS |  | 179746535 |
| Real Estate - 0.0% |  |  |
| Real Estate Management & Development - 0.0% |  |  |
| Greystar Real Estate Partners LLC Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1727% 8/21/2030 (d)(e)(i) | 2372576 | 2372576 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.0% |  |  |
| NRG Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.5203% 4/16/2031 (d)(e)(i) | 4757085 | 4765267 |
| Vistra Operations Co LLC Tranche B-3 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 12/20/2030 (d)(e)(i) | 4429295 | 4437312 |
| WEC US Holdings Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6713% 1/27/2031 (d)(e)(i) | 7516576 | 7491772 |
|  |  | 16694351 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| Alpha Generation LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 9/30/2031 (d)(e)(i) | 3734678 | 3719515 |
| Calpine Construction Finance Co LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 7/31/2030 (d)(e)(i) | 3175000 | 3177731 |
| Cogentrix Finance Holdco I LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 2/26/2032 (d)(e)(i) | 2241727 | 2235428 |
| MRP Buyer LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 6/4/2032 (d)(e)(i) | 5876682 | 5871804 |
| MRP Buyer LLC Tranche DD 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 5.4615% 6/4/2032 (d)(e)(i)(l) | 748686 | 748064 |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.173% 3/29/2030 (d)(e)(i) | 6114321 | 6137250 |
| Talen Energy Supply LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6719% 11/25/2032 (d)(e)(i) | 3150000 | 3155513 |
| Talen Energy Supply LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1525% 12/15/2031 (d)(e)(i) | 1366200 | 1368590 |
|  |  | 26413895 |
| Multi-Utilities - 0.0% |  |  |
| Osmose Utilities Services Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0375% 6/23/2028 (d)(e)(i) | 3014365 | 2912630 |
| TOTAL UTILITIES |  | 46020876 |
| TOTAL UNITED STATES |  | 1871544301 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $2,146,970,601) |  | <br> **2042264290** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Capital One NA ICE IBA - USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (d)(e) | 8844000 | 9224004 |
| Keybank National Association 6.95% 2/1/2028  | 1259000 | 1320927 |
| Regions Banks 6.45% 6/26/2037  | 15683000 | 17194245 |
| TOTAL UNITED STATES |  | 27739176 |
| <br> **TOTAL BANK NOTES**<br> (Cost $25,774,148) |  | <br> **27739176** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 2.1%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (p) | 8848663 | 7990188 |
| Angel Oak Mortgage Trust 2026-2 Series 2026-2 Class A1, 4.694% 2/25/2071 (p) | 2400000 | 2400000 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (d)(p) | 5008288 | 5062813 |
| Bravo Residential Funding Trust Series 2023-RPL1 Class A1, 5% 5/25/2063 (p) | 10126690 | 10241877 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (d)(p) | 6147801 | 6091503 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (d)(p) | 3220572 | 3212704 |
| CFMT Series 2025-HB16 Class A, 3% 3/25/2035 (d)(p) | 3883554 | 3822892 |
| CIM Trust Series 2025-NR1 Class A1, 5% 6/25/2064 (p) | 12359959 | 12165607 |
| CIM Trust Series 2025-R1 Class A1, 5% 2/25/2099 (p) | 18770854 | 18720782 |
| CSMC Trust Series 2014-3R Class 2A1, CME Term SOFR 1 month Index + 0.8145%, 0% 5/27/2037 (d)(e)(k)(p) | 153098 | 15 |
| CSMC Trust Series 2015-1R Class 6A1, CME Term SOFR 1 month Index + 0.3945%, 4.3031% 5/27/2037 (d)(e)(p) | 165851 | 165244 |
| CSMC Trust Series 2021-RPL7 Class A1, 4.2168% 7/27/2061 (d)(p) | 3981352 | 3979431 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 12873 | 13061 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 15703 | 15840 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 19326 | 19686 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 14508 | 14769 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 20533 | 20928 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 8383 | 8508 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 3442 | 3567 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 11938 | 12440 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5817% 2/25/2032 (d)(e) | 2385 | 2398 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7727% 3/18/2032 (d)(e) | 4377 | 4422 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 4/25/2032 (d)(e) | 4562 | 4603 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 10/25/2032 (d)(e) | 5469 | 5523 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 4.5317% 1/25/2032 (d)(e) | 2164 | 2171 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.7683% 11/25/2032 (d)(t) | 3109 | 66 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 12/25/2033 (d)(t) | 99292 | 12291 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 3/25/2033 (d)(t) | 5340 | 564 |
| Fannie Mae Guaranteed REMIC Series 2005-102 Class CO, 0% 11/25/2035 (u) | 12394 | 10929 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.9383% 6/25/2035 (d)(t) | 115633 | 7950 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 371429 | 386857 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index x 17.2524%, 7.7176% 8/25/2035 (d)(e) | 2167 | 2312 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 323662 | 328906 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 47517 | 49053 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.8983% 11/25/2036 (d)(t) | 72573 | 6297 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.8583% 12/25/2036 (d)(t) | 41892 | 4281 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (u) | 53274 | 48553 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (u) | 93888 | 82600 |
| Fannie Mae Guaranteed REMIC Series 2006-37 Class OW, 0% 5/25/2036 (u) | 10702 | 9078 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.6583% 5/25/2037 (d)(t) | 26777 | 2556 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index x 39.9331%, 17.9299% 6/25/2037 (d)(e) | 18722 | 25614 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index x 38.9131%, 16.9099% 7/25/2037 (d)(e) | 28647 | 38726 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index x 38.9131%, 16.9099% 7/25/2037 (d)(e) | 3848 | 4435 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 1003131 | 972610 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 1368315 | 1358727 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 108132 | 112364 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 599615 | 599055 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (t) | 143303 | 2093 |
| Fannie Mae Guaranteed REMIC Series 2012-134 Class MX, 3.5% 5/25/2042  | 435959 | 432818 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 692759 | 651997 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 958216 | 909929 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (t) | 102 | 0 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 2.2683% 1/25/2044 (d)(t) | 184692 | 21437 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (t) | 826187 | 114331 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 778236 | 753882 |
| Fannie Mae Guaranteed REMIC Series 2016-104 Class B, 4% 12/25/2044  | 610695 | 608325 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 8238338 | 7358212 |
| Fannie Mae Guaranteed REMIC Series 2016-99 Class KA, 4% 11/25/2042  | 679882 | 676695 |
| Fannie Mae Guaranteed REMIC Series 2017-22 Class ED, 3.5% 6/25/2044  | 212466 | 211352 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (t) | 524707 | 68372 |
| Fannie Mae Guaranteed REMIC Series 2020-45 Class JC, 1.5% 7/25/2040  | 12362039 | 10859313 |
| Fannie Mae Guaranteed REMIC Series 2020-51 Class BA, 2% 6/25/2046  | 6653611 | 6179608 |
| Fannie Mae Guaranteed REMIC Series 2021-21 Class HG, 2% 11/25/2047  | 2890160 | 2639888 |
| Fannie Mae Guaranteed REMIC Series 2021-45 Class DA, 3% 7/25/2051  | 4056301 | 3705147 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 2560237 | 2239883 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 2720798 | 2380354 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 2312063 | 2020396 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 2248910 | 2055418 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 9963043 | 9076505 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 6583216 | 6037403 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 23677751 | 21643127 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 3537751 | 3218371 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 2093474 | 1993305 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 2841478 | 2691435 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class GD, 2.25% 3/25/2052  | 2560169 | 2392426 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 2172284 | 2095874 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 3926898 | 3742529 |
| Fannie Mae Guaranteed REMIC Series 2022-15 Class GC, 3% 1/25/2047  | 3236542 | 3119034 |
| Fannie Mae Guaranteed REMIC Series 2022-17 Class BH, 3% 5/25/2047  | 3516364 | 3397043 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 1256359 | 1182052 |
| Fannie Mae Guaranteed REMIC Series 2022-25 Class AB, 4% 9/25/2047  | 3502416 | 3483639 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 9449977 | 8684529 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 24341093 | 22284340 |
| Fannie Mae Guaranteed REMIC Series 2022-35 Class CK, 4% 3/25/2047  | 7615155 | 7556768 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 2568162 | 2341777 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class YT, 2% 2/25/2052  | 2808901 | 2594749 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 1581060 | 1572628 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 3299775 | 2930372 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 8294653 | 7644094 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 8/25/2052 (d)(e) | 9169370 | 9140269 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 9/25/2052 (d)(e) | 19458019 | 19396265 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (d)(e) | 6393125 | 6370629 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (d)(e) | 22751162 | 22678899 |
| Fannie Mae Guaranteed REMIC Series 2022-69 Class AB, 4.5% 1/25/2044  | 5796968 | 5767729 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 2959167 | 2818241 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 9442126 | 8799983 |
| Fannie Mae Guaranteed REMIC Series 2023-13 Class CK, 1.5% 11/25/2050  | 7450931 | 6397654 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (d)(e) | 6063234 | 6136473 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (d)(e) | 16486871 | 16687924 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (d)(e) | 2329944 | 2357906 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.1972% 7/25/2054 (d)(e) | 2798592 | 2835740 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 12/25/2054 (d)(e) | 19279824 | 19421153 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 12/25/2054 (d)(e) | 6144986 | 6180159 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 1184 | 1200 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (u) | 30820 | 26760 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (u) | 49818 | 43134 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (t) | 383687 | 11377 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-55 Class A, 2% 5/25/2043  | 3902589 | 3679322 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-63 Class DA, 2% 9/25/2045  | 2009377 | 1883332 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (d)(e) | 8687380 | 8758172 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-12 Class CF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 3/25/2055 (d)(e) | 13342405 | 13471369 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2054 (d)(e) | 4700868 | 4734306 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (d)(e) | 6173926 | 6239455 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 9/25/2054 (d)(e) | 7143542 | 7217083 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (d)(e) | 10511797 | 10611097 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (d)(e) | 4778151 | 4817845 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 2816789 | 2785034 |
| Fannie Mae Series 2022-28 Class A, 2.5% 2/25/2052  | 6577739 | 6352608 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 5186748 | 5221798 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 3098647 | 2950296 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (t) | 23770 | 3076 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (t) | 22458 | 2988 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (d)(t) | 14853 | 2477 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (d)(t) | 9086 | 1278 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (t) | 14201 | 2243 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (d)(t) | 8375 | 1403 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (t) | 98192 | 14896 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 3940 | 4003 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 15098 | 15347 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 1211674 | 1212752 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 2155275 | 1971536 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 2017570 | 1834059 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 2201241 | 2015495 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 2870835 | 2530417 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 7472 | 7630 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 57736 | 58744 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 3060 | 3113 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 8077 | 8235 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 15888 | 16233 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 9449 | 9651 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 5055 | 5134 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 6128 | 6255 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 64911 | 67486 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5727% 1/15/2032 (d)(e) | 1905 | 1915 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 3/15/2032 (d)(e) | 2578 | 2596 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7727% 3/15/2032 (d)(e) | 2495 | 2519 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 6/15/2031 (d)(e) | 3656 | 3679 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 3/15/2032 (d)(e) | 1342 | 1350 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 16747 | 17389 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 25721 | 26400 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 44690 | 46398 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 446704 | 459972 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 21637 | 22321 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 650405 | 664262 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 205873 | 214876 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 403152 | 409645 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 107146 | 110620 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.8273% 2/15/2036 (d)(t) | 33737 | 3204 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (u) | 114812 | 97069 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3121 Class KO, 0% 3/15/2036 (u) | 16097 | 14458 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (u) | 62769 | 53779 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3145 Class GO, 0% 4/15/2036 (u) | 72836 | 62628 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 111904 | 117668 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 496974 | 511549 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.8873% 11/15/2036 (d)(t) | 142742 | 13526 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 30732 | 31803 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.8073% 6/15/2037 (d)(t) | 105552 | 10773 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.0227% 5/15/2037 (d)(e) | 121021 | 119685 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 51992 | 53101 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 524975 | 539276 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 76075 | 76683 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4026 Class MQ, 4% 4/15/2042  | 98151 | 98016 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 752922 | 716976 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (t) | 259696 | 15838 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (t) | 12 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (t) | 235527 | 5719 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 192581 | 192284 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4516 Class A, 4% 8/15/2041  | 83905 | 83759 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4646 Class LA, 4% 9/15/2045  | 339972 | 339364 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 1132951 | 1106420 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4692 Class KB, 4% 10/15/2046  | 1843629 | 1821715 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4744 Class JA, 3% 9/15/2047  | 853983 | 801976 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4746 Class PA, 4% 2/15/2047  | 894918 | 893216 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-4954 Class KE, 1.5% 2/25/2050  | 2436407 | 2026960 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 2074169 | 1982658 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5050 Class KP, 1% 12/25/2050  | 1543446 | 1346430 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5058 Class BE, 3% 11/25/2050  | 5225045 | 4656167 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5059 Class GA, 1% 1/25/2051  | 3932000 | 3127385 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5066 Class A, 1.5% 11/25/2044  | 1619213 | 1488526 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5115 Class A, 2% 3/25/2040  | 5728549 | 5283958 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5139 Class JC, 2% 8/25/2040  | 5569575 | 5096163 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 1744059 | 1526396 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5147 Class WN, 2% 1/25/2040  | 5839267 | 5385882 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 2289920 | 2013506 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 2253960 | 1966018 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class BA, 2.5% 5/25/2049  | 5808417 | 5290436 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 2187078 | 1987641 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 12784422 | 11498527 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5178 Class CT, 2% 11/25/2040  | 6062794 | 5531054 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5178 Class TP, 2.5% 4/25/2049  | 5063458 | 4614037 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 2516963 | 2339756 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 17194832 | 15754484 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 1690155 | 1538457 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 3498722 | 3184639 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 1580512 | 1467800 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 2938244 | 2673759 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 2980127 | 2678047 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 2938259 | 2673765 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 1198526 | 1113793 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 5267789 | 4912333 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5199 Class PH, 2.25% 3/25/2052  | 2121257 | 1920612 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5200 Class C, 3% 5/25/2048  | 6871328 | 6564696 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 1575832 | 1497134 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class BC, 3% 5/25/2048  | 6568947 | 6254490 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 1284535 | 1195011 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 2321735 | 2174709 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class TA, 3.5% 11/25/2046  | 2220020 | 2158667 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5213 Class AH, 2.25% 4/25/2037  | 4853617 | 4660137 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CG, 3.5% 4/25/2052  | 2974680 | 2897597 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5220 Class PK, 3.5% 1/25/2051  | 4297459 | 4155136 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 2277249 | 2309992 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5248 Class A, 4% 4/15/2048  | 6013736 | 5999911 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5250 Class FA, U.S. 30-Day Avg. SOFR Index + 0.67%, 4.3372% 8/25/2052 (d)(e) | 3692792 | 3665483 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5255 Class FA, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3672% 9/25/2052 (d)(e) | 3976577 | 3928567 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 5068710 | 5092702 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 8/25/2053 (d)(e) | 8937223 | 8998179 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 10/25/2053 (d)(e) | 6921376 | 7022511 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (d)(e) | 6297913 | 6356007 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 4.6672% 10/25/2054 (d)(e) | 4612999 | 4631826 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (d)(e) | 11712250 | 11796286 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (d)(e) | 3932353 | 3953211 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9172% 10/25/2054 (d)(e) | 7195547 | 7253680 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (d)(e) | 19877065 | 20043895 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5517 Class HF, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 3/25/2055 (d)(e) | 13570070 | 13677711 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 4/25/2055 (d)(e) | 8056544 | 8102127 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 17306 | 17638 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 1617 | 1647 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 2642 | 2686 |
| Freddie Mac Non Gold Pool Series 2006-3225 Class EO, 0% 10/15/2036 (u) | 35533 | 30135 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.1159% 5/20/2060 (d)(e)(s) | 83296 | 83137 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.0969% 8/20/2060 (d)(e)(s) | 32942 | 32836 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.1769% 12/20/2060 (d)(e)(s) | 117653 | 116803 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 12/20/2060 (d)(e)(s) | 81883 | 81902 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 2/20/2061 (d)(e)(s) | 91457 | 91478 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.2869% 2/20/2061 (d)(e)(s) | 113164 | 113173 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 4/20/2061 (d)(e)(s) | 73609 | 73630 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 5/20/2061 (d)(e)(s) | 94342 | 94366 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 5/20/2061 (d)(e)(s) | 81907 | 81924 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.3269% 6/20/2061 (d)(e)(s) | 81630 | 81684 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 10/20/2061 (d)(e)(s) | 167707 | 168023 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4969% 11/20/2061 (d)(e)(s) | 93872 | 94112 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4969% 1/20/2062 (d)(e)(s) | 60461 | 60634 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4269% 1/20/2062 (d)(e)(s) | 126966 | 127242 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4269% 3/20/2062 (d)(e)(s) | 74363 | 74473 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 4.4469% 5/20/2061 (d)(e)(s) | 657 | 658 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H23 Class WA, CME Term SOFR 1 month Index + 0.6345%, 4.3169% 10/20/2062 (d)(e)(s) | 50955 | 50985 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H07 Class BA, CME Term SOFR 1 month Index + 0.36%, 4.1569% 3/20/2063 (d)(e)(s) | 97246 | 97045 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 1/20/2064 (d)(e)(s) | 53261 | 53361 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 12/20/2063 (d)(e)(s) | 121938 | 122134 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 6/20/2064 (d)(e)(s) | 312946 | 313025 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H20 Class BF, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 9/20/2064 (d)(e)(s) | 1292479 | 1292793 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (s) | 4354 | 4135 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.1969% 12/20/2062 (d)(e)(s) | 20674 | 20640 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 1188286 | 1113637 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 3.83% 8/20/2066 (d)(e)(s) | 361262 | 360864 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 163208 | 166569 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.7259% 5/16/2034 (d)(t) | 32373 | 1889 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 3.4259% 8/17/2034 (d)(t) | 33772 | 3358 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-35 Class SC, CME Term SOFR 1 month Index x 39.5131%, 17.5552% 6/16/2037 (d)(e) | 1463 | 1681 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.9159% 6/16/2037 (d)(t) | 61614 | 5550 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 4619612 | 4599753 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 2064939 | 2055506 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 457398 | 455302 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3359% 3/20/2060 (d)(e)(s) | 201900 | 202095 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (t) | 10657 | 289 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 2.3183% 7/20/2041 (d)(t) | 176851 | 18788 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 504937 | 500531 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 2458539 | 2326314 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 948952 | 898747 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 1602047 | 1503085 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 1290883 | 1221284 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 822100 | 783328 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 4038686 | 3753882 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 2301980 | 2179547 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-11 Class F, CME Term SOFR 1 month Index + 0.5145%, 4.1817% 1/20/2049 (d)(e) | 2641400 | 2638141 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.2817% 10/20/2049 (d)(e) | 909984 | 903882 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.2317% 2/20/2049 (d)(e) | 1773320 | 1764750 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (p) | 7348124 | 7225209 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (o)(p) | 1366412 | 1352922 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (d)(p) | 5316421 | 5383012 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (p) | 5573070 | 5345180 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (d)(p) | 3748943 | 3628667 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (d)(p) | 4975297 | 5034776 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-Nqm4 Series 2025-NQM4 Class A1, 5.588% 6/25/2070 (p) | 16027827 | 16239432 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (p) | 1997534 | 1899892 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (p) | 4260871 | 4093134 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (p) | 179874 | 179633 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (p) | 767462 | 757578 |
| Ocwen Loan Investment Trust Series 2025-HB2 Class A, 3% 11/25/2038 (d)(p) | 6563608 | 6362105 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (p) | 2119523 | 2119522 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (o)(p) | 7444078 | 7341305 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (p) | 7088342 | 6892735 |
| PRET Trust Series 2025-RPL2 Class A1, 4% 8/25/2064 (p) | 19369692 | 19031076 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (p) | 7186478 | 7131840 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (p) | 2179487 | 2163213 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (d)(p) | 1266910 | 1255345 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (d)(p) | 8714962 | 8537548 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (p) | 1840515 | 1747462 |
| Santander Mtg Asset Receivables Tr 2025-Nqm3 Series 2025-NQM3 Class A1, 5.599% 5/25/2065 (p) | 16275251 | 16486328 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 4.9277% 7/20/2034 (d)(e) | 1897 | 1783 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 4.4282% 9/25/2043 (d)(e) | 732193 | 711918 |
| TOWD Point Mortgage Trust Series 2018-1 Class A2, 3.25% 1/25/2058 (p) | 7000000 | 6883519 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (p) | 5635483 | 5492652 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (d)(p) | 3841090 | 3880451 |
| TOTAL UNITED STATES |  | 902456498 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $878,981,402) |  | <br> **902456498** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 5.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |
| Prima Capital CRE Securitization Ltd/Llc Series 2019-RK1 Class BT, 4.45% 4/15/2038 (p) | 2215000 | 2120352 |
| UNITED STATES - 5.2%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4026% 6/15/2040 (d)(e)(p) | 19850000 | 19949587 |
| Ares Commercial Mortgage Trust Series 2026-GCP Class D, CME Term SOFR 1 month Index + 2.35%, 6.05% 2/15/2043 (d)(e)(p) | 1650000 | 1657205 |
| Ares Tr 2 Series 2025-IND3 Class E, CME Term SOFR 1 month Index + 3.55%, 7.2097% 4/15/2042 (d)(e)(p) | 3501000 | 3496626 |
| Ares Trust Series 2024-IND2 Class F, CME Term SOFR 1 month Index + 4.039%, 7.6987% 10/15/2034 (d)(e)(p) | 2069000 | 2070162 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (p) | 10392684 | 10055205 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (p) | 2422000 | 2311404 |
| BAMLL Commercial Mortgage Securities Trust Series 2021-JACX Class E, CME Term SOFR 1 month Index + 3.8645%, 7.5245% 9/15/2038 (d)(e)(p) | 1120000 | 1023544 |
| Bank of America Merrill Lynch Commercial Mortgage Trust Series 2016-UB10 Class C, 4.8745% 7/15/2049 (d) | 845000 | 819765 |
| Bank of America Merrill Lynch Commercial Mortgage Trust Series 2016-UB10 Class XA, 1.7045% 7/15/2049 (d)(t) | 5550939 | 1052 |
| BANK Series 2017-BNK4 Class C, 4.372% 5/15/2050  | 1415000 | 1259507 |
| BANK Series 2017-BNK4 Class D, 3.357% 5/15/2050 (p) | 1426000 | 951727 |
| BANK Series 2017-BNK6 Class ASB, 3.289% 7/15/2060  | 325858 | 324733 |
| BANK Series 2017-BNK8 Class D, 2.6% 11/15/2050 (p) | 1738000 | 930897 |
| BANK Series 2017-BNK8 Class E, 2.8% 11/15/2050 (p) | 1092000 | 492070 |
| BANK Series 2018-BN10 Class ASB, 3.641% 2/15/2061  | 1565997 | 1559087 |
| BANK Series 2018-BN10 Class C, 4.163% 2/15/2061 (d) | 2308000 | 2136296 |
| BANK Series 2018-BN15 Class D, 3% 11/15/2061 (p) | 735000 | 613241 |
| BANK Series 2018-BN15 Class E, 3% 11/15/2061 (k)(p) | 735000 | 580190 |
| BANK Series 2019-BN20 Class ASB, 2.933% 9/15/2062  | 502463 | 492829 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 2606000 | 2496149 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 1377881 | 1349995 |
| BANK Series 2020-BN27 Class D, 2.5% 4/15/2063 (p) | 430000 | 337598 |
| BANK Series 2020-BN28 Class A4, 1.844% 3/15/2063  | 1473000 | 1332486 |
| BANK Series 2020-BN28 Class AS, 2.14% 3/15/2063  | 639000 | 574811 |
| BANK Series 2020-BN28 Class E, 2.5% 3/15/2063 (p) | 441000 | 334678 |
| BANK Series 2020-BN30 Class MCDG, 2.9182% 12/15/2053 (d)(k)(p) | 3731000 | 2285247 |
| BANK Series 2021-BN32 Class A5, 2.643% 4/15/2054  | 630000 | 584903 |
| BANK Series 2021-BN33 Class A5, 2.556% 5/15/2064  | 1238000 | 1136454 |
| BANK Series 2021-BN33 Class B, 2.893% 5/15/2064  | 1016000 | 893682 |
| BANK Series 2021-BN33 Class XA, 1.0239% 5/15/2064 (d)(t) | 10029088 | 360357 |
| BANK Series 2021-BN35 Class A5, 2.285% 6/15/2064  | 1860000 | 1679154 |
| BANK Series 2021-BN38 Class C, 3.2181% 12/15/2064 (d) | 260000 | 221707 |
| BANK Series 2022-BNK39 Class A4, 2.928% 2/15/2055  | 1626000 | 1505840 |
| BANK Series 2022-BNK40 Class A4, 3.3895% 3/15/2064 (d) | 522000 | 496325 |
| BANK Series 2022-BNK42 Class A5, 4.493% 6/15/2055 (d) | 1746000 | 1742007 |
| BANK Series 2022-BNK42 Class D, 2.5% 6/15/2055 (p) | 943000 | 703812 |
| BANK Series 2022-BNK42 Class E, 2.5% 6/15/2055 (p) | 738000 | 518782 |
| BANK Series 2022-BNK43 Class D, 3% 8/15/2055 (p) | 1759000 | 1315676 |
| BANK Series 2022-BNK44 Class AS, 5.7433% 11/15/2055 (d) | 1097000 | 1161200 |
| BANK Series 2022-BNK44 Class C, 5.7433% 11/15/2055 (d) | 2063000 | 2030296 |
| BANK Series 2023-BNK45 Class B, 6.148% 2/15/2056 (d) | 1465000 | 1558358 |
| BANK Series 2023-BNK46 Class A4, 5.745% 8/15/2056  | 2191000 | 2358825 |
| BANK Series 2023-BNK46 Class B, 6.7741% 8/15/2056 (d) | 1491000 | 1595515 |
| BANK Series 2025-BNK51 Class C, 5.946% 12/25/2067 (d) | 1440000 | 1459089 |
| BANK5 Series 2024-5YR12 Class C, 6.3021% 12/15/2057 (d) | 1461000 | 1508789 |
| BANK5 Series 2025-5YR16 Class XB, 0.3468% 8/15/2063 (d)(t) | 41405000 | 733018 |
| BANK5 Series 2025-5YR19 Class D, 4.5% 12/15/2058 (d)(p) | 2520000 | 2179810 |
| BANK5 Series 2025-5YR19 Class XB, 0.5998% 12/15/2058 (d)(t) | 19900000 | 569243 |
| Barings Issuer LLC Series 2026-SBP Class A, 4.82% 2/25/2059 (p) | 27173000 | 27210249 |
| BBCMS Mortgage Trust Series 2016-ETC Class D, 3.6089% 8/14/2036 (d)(p) | 868000 | 837348 |
| BBCMS Mortgage Trust Series 2016-ETC Class E, 3.6089% 8/14/2036 (d)(p) | 637000 | 609460 |
| BBCMS Mortgage Trust Series 2019-C3 Class C, 4.178% 5/15/2052  | 477000 | 433067 |
| BBCMS Mortgage Trust Series 2019-C5 Class D, 2.5% 11/15/2052 (p) | 333000 | 268860 |
| BBCMS Mortgage Trust Series 2020-C7 Class B, 3.152% 4/15/2053  | 851000 | 755328 |
| BBCMS Mortgage Trust Series 2020-C7 Class C, 3.5863% 4/15/2053 (d) | 1147000 | 996446 |
| BBCMS Mortgage Trust Series 2020-C8 Class E, 2.25% 10/15/2053 (p) | 1476000 | 1021183 |
| BBCMS Mortgage Trust Series 2021-C12 Class A5, 2.689% 11/15/2054  | 501000 | 455653 |
| BBCMS Mortgage Trust Series 2022-C14 Class A5, 2.946% 2/15/2055 (d) | 2455000 | 2260881 |
| BBCMS Mortgage Trust Series 2022-C15 Class A5, 3.662% 4/15/2055  | 2126000 | 2008481 |
| BBCMS Mortgage Trust Series 2022-C16 Class A5, 4.6% 6/15/2055  | 3210000 | 3230201 |
| BBCMS Mortgage Trust Series 2022-C16 Class B, 4.6% 6/15/2055  | 791000 | 743993 |
| BBCMS Mortgage Trust Series 2022-C17 Class A5, 4.441% 9/15/2055  | 2520000 | 2529515 |
| BBCMS Mortgage Trust Series 2022-C17 Class B, 4.889% 9/15/2055 (d) | 1050000 | 1024791 |
| BBCMS Mortgage Trust Series 2022-C17 Class D, 2.5% 9/15/2055 (p) | 3429000 | 2614645 |
| BBCMS Mortgage Trust Series 2022-C18 Class A5, 5.71% 12/15/2055  | 2816000 | 3020813 |
| BBCMS Mortgage Trust Series 2022-C18 Class B, 6.1683% 12/15/2055 (d) | 1323000 | 1386827 |
| BBCMS Mortgage Trust Series 2023-C19 Class A5, 5.451% 4/15/2056  | 1796000 | 1884984 |
| BBCMS Mortgage Trust Series 2023-C20 Class A5, 5.576% 7/15/2056  | 1566000 | 1666153 |
| BBCMS Mortgage Trust Series 2023-C21 Class AS, 6.2961% 9/15/2056 (d) | 1105000 | 1208641 |
| BBCMS Mortgage Trust Series 2023-C21 Class C, 6.2961% 9/15/2056 (d) | 1661000 | 1701804 |
| BBCMS Mortgage Trust Series 2023-C22 Class C, 7.1347% 11/15/2056 (d) | 1757000 | 1806767 |
| BBCMS Mortgage Trust Series 2024-C24 Class B, 5.718% 2/15/2057  | 790000 | 820161 |
| BBCMS Mortgage Trust Series 2024-C26 Class A5, 5.829% 5/15/2057  | 4769500 | 5175991 |
| BBCMS Mortgage Trust Series 2024-C26 Class C, 6% 5/15/2057  | 520000 | 536601 |
| BBCMS Mortgage Trust Series 2024-C30 Class C, 5.98% 11/15/2057  | 2390000 | 2446732 |
| BBCMS Mortgage Trust Series 2025-5C33 Class C, 5.981% 3/15/2058  | 948000 | 970939 |
| BBCMS Mortgage Trust Series 2025-5C33 Class D, 6.6265% 3/15/2058 (d)(p) | 1385000 | 1355707 |
| BBCMS Mortgage Trust Series 2025-C32 Class C, 6.125% 2/15/2062 (d) | 1183000 | 1228113 |
| BBCMS Mortgage Trust Series 2025-C32 Class D, 4.5% 2/15/2062 (p) | 713000 | 600561 |
| BBCMS Mortgage Trust Series 2025-C35 Class C, 6.1139% 7/15/2058 (d) | 1450000 | 1506832 |
| BBCMS Mortgage Trust Series 2025-C39 Class C, 5.9066% 12/15/2058 (d) | 570000 | 583904 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 2953000 | 2951746 |
| Benchmark Mortgage Trust Series 2018-B6 Class D, 3.086% 10/10/2051 (d)(p) | 1089000 | 827380 |
| Benchmark Mortgage Trust Series 2018-B7 Class D, 3% 5/15/2053 (d)(p) | 614000 | 494158 |
| Benchmark Mortgage Trust Series 2019-B12 Class B, 3.5702% 8/15/2052  | 840000 | 739343 |
| Benchmark Mortgage Trust Series 2019-B13 Class D, 2.5% 8/15/2057 (k)(p) | 1197000 | 734211 |
| Benchmark Mortgage Trust Series 2019-B14 Class 225D, 3.4041% 12/15/2062 (d)(k)(p) | 719000 | 3595 |
| Benchmark Mortgage Trust Series 2019-B14 Class 225E, 3.4041% 12/15/2062 (d)(k)(p) | 485000 | 1212 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7596% 12/15/2062 (d)(t) | 28685051 | 545263 |
| Benchmark Mortgage Trust Series 2020-B18 Class D, 2.25% 7/15/2053 (k)(p) | 1365000 | 807492 |
| Benchmark Mortgage Trust Series 2020-B20 Class E, 2% 10/15/2053 (p) | 1029000 | 613371 |
| Benchmark Mortgage Trust Series 2020-B21 Class AS, 2.2543% 12/17/2053  | 592000 | 528926 |
| Benchmark Mortgage Trust Series 2020-B21 Class D, 2% 12/17/2053 (p) | 798000 | 565466 |
| Benchmark Mortgage Trust Series 2020-IG2 Class C, 3.2524% 9/15/2048 (d)(k)(p) | 546000 | 280428 |
| Benchmark Mortgage Trust Series 2020-IG2 Class D, 3.2524% 9/15/2048 (d)(k)(p) | 2679000 | 976741 |
| Benchmark Mortgage Trust Series 2020-IG3 Class 825C, 3.0763% 9/15/2048 (d)(p) | 1570000 | 1500498 |
| Benchmark Mortgage Trust Series 2020-IG3 Class 825D, 3.0763% 9/15/2048 (d)(p) | 1720000 | 1629271 |
| Benchmark Mortgage Trust Series 2020-IG3 Class 825E, 3.0763% 9/15/2048 (d)(p) | 1400000 | 1315987 |
| Benchmark Mortgage Trust Series 2021-B25 Class 300E, 2.9942% 4/15/2054 (d)(k)(p) | 504000 | 231228 |
| Benchmark Mortgage Trust Series 2021-B29 Class A5, 2.3879% 9/15/2054  | 3032000 | 2738814 |
| Benchmark Mortgage Trust Series 2022-B34 Class A5, 3.786% 4/15/2055  | 942000 | 893724 |
| Benchmark Mortgage Trust Series 2022-B35 Class D, 2.5% 5/15/2055 (k)(p) | 1701000 | 1037003 |
| Benchmark Mortgage Trust Series 2022-B36 Class A5, 4.4699% 7/15/2055  | 1094000 | 1087235 |
| Benchmark Mortgage Trust Series 2022-B36 Class AS, 4.9505% 7/15/2055  | 1092000 | 1096489 |
| Benchmark Mortgage Trust Series 2022-B36 Class D, 2.5% 7/15/2055 (p) | 1259000 | 918995 |
| Benchmark Mortgage Trust Series 2022-B37 Class A5, 5.7459% 11/15/2055 (d) | 1270000 | 1371052 |
| Benchmark Mortgage Trust Series 2022-B37 Class B, 5.7458% 11/15/2055 (d) | 767000 | 775527 |
| Benchmark Mortgage Trust Series 2022-B37 Class C, 5.7459% 11/15/2055 (d) | 1456000 | 1428610 |
| Benchmark Mortgage Trust Series 2023-B38 Class A4, 5.5246% 4/15/2056  | 1084000 | 1148936 |
| Benchmark Mortgage Trust Series 2023-B38 Class B, 6.2444% 4/15/2056 (d) | 1058000 | 1108105 |
| Benchmark Mortgage Trust Series 2023-B38 Class C, 6.2444% 4/15/2056 (d) | 1415000 | 1430771 |
| Benchmark Mortgage Trust Series 2023-B39 Class A5, 5.7536% 7/15/2056  | 2406000 | 2590646 |
| Benchmark Mortgage Trust Series 2023-B39 Class C, 6.5726% 7/15/2056 (d) | 1638000 | 1691962 |
| Benchmark Mortgage Trust Series 2025-B41 Class C, 6.1365% 7/15/2068  | 765000 | 794242 |
| Benchmark Mortgage Trust Series 2026-V20 Class A3, 5.184% 2/15/2059  | 8000000 | 8345323 |
| BFLD Commercial Mortgage Trust Series 2024-UNIV Class E, CME Term SOFR 1 month Index + 3.6395%, 7.2992% 11/15/2041 (d)(e)(p) | 2720000 | 2726800 |
| BFLD Trust Series 2024-WRHS Class E, CME Term SOFR 1 month Index + 3.6889%, 7.3486% 7/15/2039 (d)(e)(p) | 2781918 | 2785395 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.0018% 3/15/2041 (d)(e)(p) | 10837553 | 10837553 |
| BMO Mortgage Trust Series 2022-C1 Class 360D, 3.9387% 2/17/2055 (d)(k)(p) | 798000 | 650188 |
| BMO Mortgage Trust Series 2022-C1 Class 360E, 3.9387% 2/17/2055 (d)(p) | 966000 | 750057 |
| BMO Mortgage Trust Series 2022-C1 Class A5, 3.374% 2/15/2055  | 2917000 | 2758262 |
| BMO Mortgage Trust Series 2022-C3 Class D, 2.5% 9/15/2054 (p) | 639000 | 427069 |
| BMO Mortgage Trust Series 2023-C4 Class B, 5.3953% 2/15/2056 (d) | 835000 | 856651 |
| BMO Mortgage Trust Series 2023-C4 Class C, 5.8624% 2/15/2056 (d) | 2333000 | 2381702 |
| BMO Mortgage Trust Series 2023-C4 Class D, 5.8624% 2/15/2056 (d)(p) | 520000 | 482959 |
| BMO Mortgage Trust Series 2023-C5 Class A5, 5.7653% 6/15/2056  | 1355000 | 1438338 |
| BMO Mortgage Trust Series 2023-C6 Class A5, 5.9562% 9/15/2056  | 1107000 | 1188742 |
| BMO Mortgage Trust Series 2023-C7 Class B, 6.6738% 12/15/2056 (d) | 2200000 | 2369340 |
| BMO Mortgage Trust Series 2024-C10 Class C, 5.979% 11/15/2057 (d) | 1000000 | 1015516 |
| BMO Mortgage Trust Series 2025-5C10 Class C, 6.485% 5/15/2058 (d) | 262000 | 271446 |
| BMO Mortgage Trust Series 2025-5C13 Class A2, 4.7355% 12/15/2058  | 7200000 | 7350855 |
| BMO Mortgage Trust Series 2025-5C9 Class XA, 0.7069% 4/15/2058 (d)(t) | 39518432 | 1041623 |
| BMO Mortgage Trust Series 2025-C13 Class C, 6.1337% 10/15/2058 (d) | 1975000 | 1977147 |
| BMO Mortgage Trust Series 2026-C14 Class C, 5.9255% 2/15/2059 (p) | 1035000 | 1056451 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.0316% 6/15/2041 (d)(e)(p) | 17666000 | 17671521 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.3012% 6/15/2041 (d)(e)(p) | 8722000 | 8727451 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 5.5009% 6/15/2041 (d)(e)(p) | 6167000 | 6172782 |
| BMP Series 2024-MF23 Class E, CME Term SOFR 1 month Index + 3.3891%, 7.0487% 6/15/2041 (d)(e)(p) | 565000 | 565706 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class C, 6.3894% 11/5/2039 (d)(p) | 1704000 | 1771880 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class D, 7.2343% 11/5/2039 (d)(p) | 2332000 | 2446443 |
| BPR Trust Series 2023-BRK2 Class C, 8.335% 10/5/2038 (d)(p) | 1624000 | 1677940 |
| BPR Trust Series 2024-PMDW Class B, 5.85% 11/5/2041 (d)(p) | 1264000 | 1306746 |
| BPR Trust Series 2024-PMDW Class E, 5.85% 11/5/2041 (d)(p) | 738000 | 718620 |
| Bres Coml Mtg Trust Series 2025-ATCAP Class E, CME Term SOFR 1 month Index + 3.6408%, 7.3004% 11/15/2042 (d)(e)(p) | 2588000 | 2592169 |
| Bres Coml Mtg Trust Series 2025-ATCAP Class F, CME Term SOFR 1 month Index + 5.1885%, 8.8482% 11/15/2042 (d)(e)(p) | 2837000 | 2841262 |
| Bway Trust Series 2025-1535 Class B, 7.7102% 5/5/2042 (d)(p) | 3697000 | 3903785 |
| BX Commercial Mortgage Trust 2020-VIVA Series 2020-VIVA Class D, 3.5488% 3/11/2044 (d)(p) | 5861000 | 5507352 |
| BX Commercial Mortgage Trust 2020-VIVA Series 2020-VIVA Class E, 3.5488% 3/11/2044 (d)(p) | 5065000 | 4620903 |
| BX Commercial Mortgage Trust 2021-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.1507% 4/15/2037 (d)(e)(p) | 11899090 | 11899090 |
| BX Commercial Mortgage Trust 2022-LP2 Series 2022-LP2 Class G, CME Term SOFR 1 month Index + 4.1058%, 7.7655% 2/15/2039 (d)(e)(p) | 3502800 | 3504368 |
| BX Commercial Mortgage Trust 2024-KING Series 2024-KING Class E, CME Term SOFR 1 month Index + 3.688%, 7.3476% 5/15/2034 (d)(e)(p) | 6784681 | 6801643 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class A, 5.5908% 11/13/2046 (d)(p) | 2095000 | 2163653 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class B, 5.9949% 11/13/2046 (d)(p) | 513000 | 534887 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class C, 6.3984% 11/13/2046 (d)(p) | 1935000 | 2016657 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class E, 8.1339% 11/13/2046 (d)(p) | 6680000 | 7237338 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.0513% 3/15/2041 (d)(e)(p) | 43219735 | 43233241 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class E, CME Term SOFR 1 month Index + 3.6884%, 7.348% 3/15/2041 (d)(e)(p) | 4302900 | 4305541 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.103% 4/15/2040 (d)(e)(p) | 46578738 | 46636962 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class E, CME Term SOFR 1 month Index + 3.6902%, 7.3498% 4/15/2040 (d)(e)(p) | 6080849 | 6111252 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.301% 5/15/2041 (d)(p) | 26911826 | 26928646 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class E, CME Term SOFR 1 month Index + 3.6883%, 7.348% 5/15/2041 (d)(e)(p) | 2404500 | 2400257 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 4.7063% 4/15/2034 (d)(e)(p) | 10114868 | 10064293 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.0063% 4/15/2034 (d)(e)(p) | 11328000 | 11228880 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.3063% 4/15/2034 (d)(e)(p) | 7490000 | 7415100 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 5.6063% 4/15/2034 (d)(e)(p) | 7862000 | 7773553 |
| BX Commercial Mortgage Trust Series 2019-IMC Class G, CME Term SOFR 1 month Index + 3.6463%, 7.3063% 4/15/2034 (d)(e)(p) | 1533000 | 1480141 |
| BX Commercial Mortgage Trust Series 2021-IRON Class D, CME Term SOFR 1 month Index + 2.2645%, 5.9245% 2/15/2038 (d)(e)(p) | 1554325 | 1551325 |
| BX Commercial Mortgage Trust Series 2021-IRON Class E, CME Term SOFR 1 month Index + 2.7145%, 6.3745% 2/15/2038 (d)(e)(p) | 2351080 | 2346547 |
| BX Commercial Mortgage Trust Series 2021-MC Class G, CME Term SOFR 1 month Index + 3.2013%, 6.8613% 4/15/2034 (d)(e)(p) | 709000 | 695875 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.4636% 10/15/2036 (d)(e)(p) | 37565000 | 37494566 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 4.6733% 10/15/2036 (d)(e)(p) | 4838000 | 4825920 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 4.8731% 10/15/2036 (d)(e)(p) | 6475000 | 6454792 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.0728% 10/15/2036 (d)(e)(p) | 6286000 | 6266381 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 5.722% 10/15/2036 (d)(e)(p) | 21856000 | 21801428 |
| BX Commercial Mortgage Trust Series 2021-PAC Class G, CME Term SOFR 1 month Index + 3.0606%, 6.7206% 10/15/2036 (d)(e)(p) | 1428000 | 1426216 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 4.6726% 2/15/2039 (d)(e)(p) | 5167616 | 5166000 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 4.972% 2/15/2039 (d)(e)(p) | 10531500 | 10528209 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.2214% 2/15/2039 (d)(e)(p) | 8991500 | 8988690 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 5.6205% 2/15/2039 (d)(e)(p) | 8991500 | 8988690 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.4211% 12/9/2040 (d)(e)(p) | 7220260 | 7220260 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 5.8505% 12/9/2040 (d)(e)(p) | 2843400 | 2843400 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.2998% 12/9/2040 (d)(e)(p) | 1540000 | 1540000 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class D, CME Term SOFR 1 month Index + 3.5888%, 7.2485% 12/9/2040 (d)(e)(p) | 1923600 | 1923600 |
| BX Commercial Mortgage Trust Series 2024-GPA2 Class D, CME Term SOFR 1 month Index + 2.5909%, 6.2505% 11/15/2041 (d)(e)(p) | 425000 | 425236 |
| BX Commercial Mortgage Trust Series 2024-GPA2 Class E, CME Term SOFR 1 month Index + 3.5395%, 7.1992% 11/15/2041 (d)(e)(p) | 1801000 | 1800547 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 4.9525% 12/15/2039 (d)(e)(p) | 7027329 | 7029525 |
| BX Commercial Mortgage Trust Series 2024-MF Class E, CME Term SOFR 1 month Index + 3.7383%, 7.398% 2/15/2039 (d)(e)(p) | 1869195 | 1871531 |
| BX Commercial Mortgage Trust Series 2024-WPT Class E, CME Term SOFR 1 month Index + 3.5884%, 7.2481% 3/15/2034 (d)(e)(p) | 1524700 | 1510657 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class B, CME Term SOFR 1 month Index + 1.743%, 5.4026% 4/15/2040 (d)(e)(p) | 16718480 | 16744603 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 3/15/2043 (d)(e)(p) | 39114000 | 39138603 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class B, CME Term SOFR 1 month Index + 1.45%, 5.12% 3/15/2043 (d)(e)(p) | 5166000 | 5172484 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class E, CME Term SOFR 1 month Index + 3%, 6.67% 3/15/2043 (d)(e)(p) | 1080000 | 1083386 |
| BX Trust 2019-OC11 Series 2019-OC11 Class A, 3.202% 12/9/2041 (p) | 3131000 | 3009530 |
| BX Trust 2019-OC11 Series 2019-OC11 Class D, 3.944% 12/9/2041 (d)(p) | 168000 | 162153 |
| BX Trust 2019-OC11 Series 2019-OC11 Class E, 3.944% 12/9/2041 (d)(p) | 10841000 | 10150182 |
| BX Trust 2021 Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8245% 2/15/2036 (d)(e)(p) | 5800000 | 5796424 |
| BX Trust 2021 Series 2021-LBA Class FJV, CME Term SOFR 1 month Index + 2.7645%, 6.4245% 2/15/2036 (d)(e)(p) | 947000 | 946708 |
| BX Trust 2021 Series 2021-LBA Class FV, CME Term SOFR 1 month Index + 2.7645%, 6.4245% 2/15/2036 (d)(e)(p) | 270457 | 270374 |
| BX Trust 2021 Series 2021-LBA Class GJV, CME Term SOFR 1 month Index + 3.3645%, 7.0245% 2/15/2036 (d)(e)(p) | 2779000 | 2778143 |
| BX Trust 2021 Series 2021-LBA Class GV, CME Term SOFR 1 month Index + 3.3645%, 7.0245% 2/15/2036 (d)(e)(p) | 1144302 | 1143949 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class E, CME Term SOFR 1 month Index + 2.8894%, 6.5696% 6/15/2041 (d)(e)(p) | 1227000 | 1213963 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class F, CME Term SOFR 1 month Index + 3.9379%, 7.5975% 6/15/2041 (d)(e)(p) | 6050000 | 6042544 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.1015% 4/15/2041 (d)(e)(p) | 32340655 | 32350762 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 5.3512% 4/15/2041 (d)(e)(p) | 5154713 | 5157935 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 5.6008% 4/15/2041 (d)(e)(p) | 4279196 | 4281871 |
| BX Trust 2024-CNY Series 2024-CNYN Class E, CME Term SOFR 1 month Index + 3.6886%, 7.3483% 4/15/2041 (d)(e)(p) | 3676743 | 3665236 |
| BX Trust 2024-FNX Series 2024-FNX Class D, CME Term SOFR 1 month Index + 2.9402%, 6.5998% 11/15/2041 (d)(e)(p) | 900690 | 901815 |
| BX Trust 2024-FNX Series 2024-FNX Class E, CME Term SOFR 1 month Index + 3.9387%, 7.5984% 11/15/2041 (d)(e)(p) | 4322448 | 4305673 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.8035% 3/15/2030 (d)(e)(p) | 83586957 | 83482473 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.0531% 3/15/2030 (d)(e)(p) | 9590330 | 9566354 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.2029% 3/15/2030 (d)(e)(p) | 13510985 | 13477276 |
| BX Trust 2025-ROIC Series 2025-ROIC Class E, CME Term SOFR 1 month Index + 2.9413%, 6.6009% 3/15/2030 (d)(e)(p) | 5402247 | 5402247 |
| BX Trust Series 2021-ACNT Class G, CME Term SOFR 1 month Index + 3.4095%, 7.0695% 11/15/2038 (d)(e)(p) | 1210178 | 1204902 |
| BX Trust Series 2021-RISE Class G, CME Term SOFR 1 month Index + 3.0645%, 6.7245% 11/15/2036 (d)(e)(p) | 1612043 | 1611539 |
| BX Trust Series 2021-SDMF Class F, CME Term SOFR 1 month Index + 2.0515%, 5.7115% 9/15/2034 (d)(e)(p) | 1256480 | 1255302 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.6885%, 4.463% 10/15/2038 (d)(e)(p) | 503588 | 503431 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 5.5997% 4/15/2037 (d)(e)(p) | 11697700 | 11701356 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 5.9497% 4/15/2037 (d)(e)(p) | 2324000 | 2326898 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 6.4987% 4/15/2037 (d)(e)(p) | 1945300 | 1948947 |
| BX Trust Series 2022-IND Class F, CME Term SOFR 1 month Index + 4.786%, 8.4457% 4/15/2037 (d)(e)(p) | 2916200 | 2933789 |
| BX Trust Series 2022-LBA6 Class E, CME Term SOFR 1 month Index + 2.7%, 6.3597% 1/15/2039 (d)(e)(p) | 3667000 | 3665854 |
| BX Trust Series 2022-LBA6 Class F, CME Term SOFR 1 month Index + 3.35%, 7.0097% 1/15/2039 (d)(e)(p) | 2072000 | 2069410 |
| BX Trust Series 2022-LBA6 Class G, CME Term SOFR 1 month Index + 4.2%, 7.8597% 1/15/2039 (d)(e)(p) | 651000 | 651645 |
| BX Trust Series 2022-VAMF Class F, CME Term SOFR 1 month Index + 3.299%, 6.9587% 1/15/2039 (d)(e)(p) | 595883 | 593870 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.1017% 2/15/2039 (d)(e)(p) | 30762956 | 30762956 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.4512% 2/15/2039 (d)(e)(p) | 2911424 | 2911424 |
| BX Trust Series 2024-XL4 Class D, CME Term SOFR 1 month Index + 3.1396%, 6.7993% 2/15/2039 (d)(e)(p) | 443547 | 443546 |
| BX Trust Series 2024-XL4 Class E, CME Term SOFR 1 month Index + 4.1881%, 7.8477% 2/15/2039 (d)(e)(p) | 2789948 | 2789322 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.3509% 3/15/2041 (d)(e)(p) | 8455300 | 8455300 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 5.6005% 3/15/2041 (d)(e)(p) | 11225200 | 11225200 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.8097% 2/15/2035 (d)(e)(p) | 29466000 | 29426174 |
| BX Trust Series 2025-DIME Class E, 6.6597% 2/15/2035 (d)(p) | 2846000 | 2842442 |
| BX Trust Series 2025-DIME Class F, CME Term SOFR 1 month Index + 3.7%, 7.3597% 2/15/2035 (d)(e)(p) | 4495000 | 4476861 |
| BX Trust Series 2025-LUNR Class E, CME Term SOFR 1 month Index + 3.95%, 7.6097% 6/15/2040 (d)(e)(p) | 538808 | 542849 |
| BX Trust Series 2025-OMG Class F, CME Term SOFR 1 month Index + 3.6%, 7.26% 10/15/2042 (d)(e)(k)(p) | 3260000 | 3261304 |
| BX Trust Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.0597% 6/15/2035 (d)(e)(p) | 9063000 | 9063000 |
| BX Trust Series 2025-TAIL Class E, CME Term SOFR 1 month Index + 3.3%, 6.9597% 6/15/2035 (d)(e)(p) | 1734000 | 1732928 |
| BX Trust Series 2025-VLT6 Class E, CME Term SOFR 1 month Index + 3.1907%, 6.8504% 3/15/2042 (d)(e)(p) | 4256000 | 4232060 |
| BX Trust Series 2025-VLT6 Class F, CME Term SOFR 1 month Index + 3.9397%, 7.5993% 3/15/2042 (d)(e)(p) | 3573000 | 3531113 |
| BX Trust Series 2025-VLT7 Class D, CME Term SOFR 1 month Index + 3.25%, 6.9097% 7/15/2044 (d)(e)(p) | 1900000 | 1905795 |
| BX Trust Series 2025-VOLT Class D, CME Term SOFR 1 month Index + 2.75%, 6.4097% 12/15/2044 (d)(e)(p) | 3375000 | 3381313 |
| BXP Trust Series 2021-601L Class E, 2.7755% 1/15/2044 (d)(p) | 336000 | 272800 |
| BXSC Commercial Mortgage Trust Series 2022-WSS Class F, 8.989% 3/15/2035 (d)(p) | 2631789 | 2630889 |
| CALI Mortgage Trust Series 2019-101C Class F, 4.3244% 3/10/2039 (d)(p) | 1743000 | 1322781 |
| CD Mortgage Trust Series 2017-CD3 Class C, 4.5829% 2/10/2050 (d) | 1482000 | 529171 |
| CD Mortgage Trust Series 2017-CD3 Class D, 3.25% 2/10/2050 (k)(p) | 1228005 | 70444 |
| CEDR Commercial Mortgage Trust Series 2022-SNAI Class F, CME Term SOFR 1 month Index + 3.6135%, 7.2732% 2/15/2039 (d)(e)(p) | 3948000 | 3699119 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (d)(p) | 19541000 | 20032263 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (p) | 35834419 | 29304803 |
| CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2, 3.5853% 12/10/2054  | 4691805 | 4661050 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A3, 3.197% 8/15/2050  | 3140254 | 3106537 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A4, 3.458% 8/15/2050  | 1400000 | 1388157 |
| Cip Commercial Mortgage Trust Series 2025-SBAY Class E, CME Term SOFR 1 month Index + 3.75%, 7.4097% 10/15/2037 (d)(e)(p) | 1540000 | 1541848 |
| Citigroup Commercial Mortgage Trust Series 2016-C1 Class A4, 3.209% 5/10/2049  | 3539305 | 3532257 |
| Citigroup Commercial Mortgage Trust Series 2016-P4 Class C, 3.9198% 7/10/2049 (d) | 538000 | 502085 |
| Citigroup Commercial Mortgage Trust Series 2016-P4 Class D, 3.9075% 7/10/2049 (d)(p) | 1707000 | 1053719 |
| Citigroup Commercial Mortgage Trust Series 2016-P6 Class XA, 0.5388% 12/10/2049 (d)(t) | 35233714 | 71743 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class D, 3% 8/10/2056 (p) | 378000 | 300067 |
| Citigroup Commercial Mortgage Trust Series 2020-420K Class D, 3.3118% 11/10/2042 (d)(p) | 496000 | 453097 |
| Citigroup Commercial Mortgage Trust Series 2020-420K Class E, 3.3118% 11/10/2042 (d)(p) | 2374000 | 2118955 |
| Citigroup Commercial Mortgage Trust Series 2022-GC48 Class D, 2.5% 6/15/2055 (p) | 1806000 | 1298800 |
| Citigroup Commercial Mortgage Trust Series 2023-PRM3 Class C, 6.3597% 7/10/2028 (d)(p) | 1225000 | 1262092 |
| Citigroup Commercial Mortgage Trust Series 2023-PRM3 Class D, 6.3597% 7/10/2028 (d)(p) | 1195000 | 1219315 |
| Citigroup Commercial Mortgage Trust Series 2023-SMRT Class D, 5.8524% 10/12/2040 (d)(p) | 2143000 | 2163615 |
| Citigroup Commercial Mortgage Trust Series 2023-SMRT Class E, 5.8524% 10/12/2040 (d)(p) | 5722000 | 5732589 |
| COMM Mortgage Trust Series 2012-CR1 Class D, 5.1034% 5/15/2045 (d)(p) | 1197805 | 1109193 |
| COMM Mortgage Trust Series 2013-LC6 Class D, 3.7356% 1/10/2046 (d)(p) | 82060 | 79393 |
| COMM Mortgage Trust Series 2014-CR15 Class D, 3.9342% 2/10/2047 (d)(p) | 298000 | 279627 |
| COMM Mortgage Trust Series 2014-CR17 Class E, 4.9297% 5/10/2047 (d)(p) | 255000 | 192868 |
| COMM Mortgage Trust Series 2014-CR20 Class C, 4.7343% 11/10/2047 (d) | 340192 | 329132 |
| COMM Mortgage Trust Series 2014-UBS2 Class D, 4.624% 3/10/2047 (d)(k)(p) | 134579 | 59412 |
| COMM Mortgage Trust Series 2015-DC1 Class B, 4.035% 2/10/2048 (d) | 2526000 | 2413846 |
| COMM Mortgage Trust Series 2015-DC1 Class C, 4.1805% 2/10/2048 (d) | 3558000 | 3139579 |
| COMM Mortgage Trust Series 2015-LC19 Class C, 4.4255% 2/10/2048 (d) | 1131484 | 1078357 |
| COMM Mortgage Trust Series 2017-CD4 Class C, 4.3497% 5/10/2050 (d) | 1316000 | 1239130 |
| COMM Mortgage Trust Series 2017-CD4 Class D, 3.3% 5/10/2050 (k)(p) | 312000 | 276394 |
| COMM Mortgage Trust Series 2017-COR2 Class C, 4.5868% 9/10/2050 (d) | 1148000 | 1102128 |
| COMM Mortgage Trust Series 2017-COR2 Class D, 3% 9/10/2050 (p) | 368000 | 336439 |
| COMM Mortgage Trust Series 2018-HCLV Class F, CME Term SOFR 1 month Index + 3.346%, 7.006% 9/15/2033 (d)(e)(p) | 468000 | 27513 |
| COMM Mortgage Trust Series 2018-HCLV Class G, CME Term SOFR 1 month Index + 5.3523%, 9.0123% 9/15/2033 (d)(e)(p) | 544000 | 12940 |
| COMM Mortgage Trust Series 2025-180W Class E, 7.3635% 8/10/2042 (d)(p) | 2330000 | 2418324 |
| COMM Mortgage Trust Series 2025-180W Class F, 7.3635% 8/10/2042 (d)(p) | 965000 | 959521 |
| Commercial Mortgage Trust Series 2016-CD2 Class D, 2.7219% 11/10/2049 (d)(k)(p) | 539036 | 130214 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 6748000 | 6790755 |
| Cone Trust Series 2024-DFW1 Class E, CME Term SOFR 1 month Index + 3.8885%, 7.5481% 8/15/2041 (d)(e)(p) | 4145000 | 4142045 |
| CPT Mortgage Trust Series 2019-CPT Class E, 2.9968% 11/13/2039 (d)(p) | 1687000 | 1504208 |
| CPT Mortgage Trust Series 2019-CPT Class F, 2.9968% 11/13/2039 (d)(p) | 1196000 | 983564 |
| Credit Suisse Commercial Mortgage Trust Series 2021-SOP2 Class F, CME Term SOFR 1 month Index + 4.4314%, 8.091% 6/15/2034 (e)(p) | 1135200 | 458285 |
| CSAIL Commercial Mortgage Trust Series 2017-C8 Class C, 4.2536% 6/15/2050 (d) | 2305000 | 2056055 |
| CSAIL Commercial Mortgage Trust Series 2018-CX11 Class C, 4.7854% 4/15/2051 (d) | 495000 | 466110 |
| CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A3, 3.9585% 8/15/2051  | 3580000 | 3571306 |
| CSAIL Commercial Mortgage Trust Series 2019-C16 Class C, 4.2371% 6/15/2052 (d) | 1113000 | 1069052 |
| CSMC Trust Series 2019-UVIL Class E, 3.2833% 12/15/2041 (d)(p) | 4421000 | 3986852 |
| Cstl Coml Mtg Trust Series 2025-GATE2 Class E, 6.3548% 11/10/2042 (d)(p) | 3090000 | 3132642 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class A, 4.6945% 2/10/2043 (d)(p) | 3000000 | 3036513 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class E, 6.3428% 2/10/2043 (d)(p) | 770000 | 780304 |
| DBGS Mortgage Trust Series 2018-C1 Class C, 4.6356% 10/15/2051 (d) | 355000 | 328092 |
| DBGS Mortgage Trust Series 2019-1735 Class F, 4.1946% 4/10/2037 (d)(k)(p) | 1188000 | 831771 |
| DBJPM Mortgage Trust Series 2020-C9 Class AM, 2.34% 8/15/2053  | 639000 | 578163 |
| DBJPM Mortgage Trust Series 2020-C9 Class D, 2.25% 9/15/2053 (p) | 377000 | 229237 |
| DBUBS Mortgage Trust Series 2011-LC3A Class D, 5.3822% 8/10/2044 (d)(p) | 641156 | 625121 |
| DC Office Trust Series 2019-MTC Class E, 3.072% 9/15/2045 (d)(p) | 449000 | 378133 |
| Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.4824% 8/10/2049 (d) | 382000 | 328342 |
| DK Trust Series 2024-SPBX Class E, CME Term SOFR 1 month Index + 4%, 7.6597% 3/15/2034 (d)(e)(p) | 2848000 | 2854069 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (d)(p) | 5523000 | 5696509 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class C, 6.6891% 1/15/2041 (d)(p) | 621000 | 638413 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class D, 6.9552% 1/15/2041 (d)(p) | 5078000 | 5188335 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class E, 5.9685% 1/15/2041 (d)(p) | 810000 | 793679 |
| ELP Series 2025-ELP Class A, 4.7573% 11/13/2042 (p) | 15760000 | 15884211 |
| ELP Series 2025-ELP Class D, 5.6124% 11/13/2042 (d)(p) | 975000 | 982529 |
| ELP Series 2025-ELP Class E, 6.665% 11/13/2042 (d)(p) | 3700000 | 3810000 |
| EQT Trust Series 2024-EXTR Class B, 5.6546% 7/5/2041 (d)(p) | 1911000 | 1954729 |
| EQT Trust Series 2024-EXTR Class C, 6.0464% 7/5/2041 (d)(p) | 1614000 | 1652126 |
| EQT Trust Series 2024-EXTR Class D, 6.6819% 7/5/2041 (d)(p) | 341000 | 348946 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 4.9597% 10/15/2042 (d)(e)(p) | 47305000 | 47364131 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.2597% 10/15/2042 (d)(e)(p) | 8410000 | 8425754 |
| Extended Stay America Trust Series 2025-ESH Class C, CME Term SOFR 1 month Index + 1.85%, 5.5097% 10/15/2042 (d)(e)(p) | 4110000 | 4120302 |
| Extended Stay America Trust Series 2025-ESH Class E, CME Term SOFR 1 month Index + 3.35%, 7.0097% 10/15/2042 (d)(e)(p) | 1871000 | 1885067 |
| Extended Stay America Trust Series 2025-ESH Class F, CME Term SOFR 1 month Index + 4.1%, 7.7597% 10/15/2042 (d)(e)(p) | 1870000 | 1884059 |
| Extended Stay America Trust Series 2026-ESH2 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 2/15/2043 (d)(e)(p) | 42869000 | 42882397 |
| Extended Stay America Trust Series 2026-ESH2 Class B, CME Term SOFR 1 month Index + 1.4%, 5.0597% 2/15/2043 (d)(e)(p) | 4400000 | 4408250 |
| Extended Stay America Trust Series 2026-ESH2 Class C, CME Term SOFR 1 month Index + 1.6%, 5.2597% 2/15/2043 (d)(e)(p) | 2986000 | 2993465 |
| Extended Stay America Trust Series 2026-ESH2 Class E, CME Term SOFR 1 month Index + 2.9%, 6.5597% 2/15/2043 (d)(e)(p) | 1970000 | 1981420 |
| Extended Stay America Trust Series 2026-ESH2 Class F, 7.4097% 2/15/2043 (p) | 2990000 | 3011083 |
| Fontainebleau Miami Beach Beach Mtg Tr Series 2024-FBLU Class G, CME Term SOFR 1 month Index + 5.65%, 9.3097% 12/15/2039 (d)(e)(p) | 2997000 | 3021815 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 8660289 | 8639887 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K735 Class A2, 2.862% 5/25/2026  | 2178497 | 2170101 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K135 Class A2, 2.154% 10/25/2031  | 3540000 | 3237019 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K521 Class AS, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.1992% 3/25/2029 (d)(e) | 14456566 | 14432053 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K543 Class A2, 4.329% 6/25/2030 (d) | 7600000 | 7758439 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class A2, 4.266% 7/25/2030 (d) | 5200000 | 5296726 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (d) | 6500000 | 6641526 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  | 8600000 | 8802741 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (d) | 14100000 | 14396856 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K549 Class A2, 4.34% 9/25/2030 (d) | 2200000 | 2248036 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class A2, 4.165% 11/25/2030 (d) | 4800000 | 4871699 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class AS, 4.2292% 10/25/2030 (d) | 44692781 | 44674162 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K552 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (d)(e) | 26494017 | 26493999 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K763 Class A2, 4.17% 10/25/2032 (d) | 11200000 | 11305362 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K553 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (d)(e) | 9799057 | 9799050 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K554 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 10/25/2030 (d)(e) | 12798783 | 12798774 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K555 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 11/25/2030 (d)(e) | 26100000 | 26103912 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K556 Class AS, U.S. 30-Day Avg. SOFR Index + 0.49%, 4.1692% 12/25/2030 (d)(e) | 8300000 | 8302591 |
| GS Mortgage Securities Trust Series 2011-GC5 Class C, 5.143% 8/10/2044 (d)(p) | 697184 | 686426 |
| GS Mortgage Securities Trust Series 2011-GC5 Class D, 5.143% 8/10/2044 (d)(p) | 623936 | 496409 |
| GS Mortgage Securities Trust Series 2011-GC5 Class E, 5.143% 8/10/2044 (d)(p) | 773957 | 267386 |
| GS Mortgage Securities Trust Series 2011-GC5 Class F, 4.5% 8/10/2044 (k)(p) | 1339218 | 4017 |
| GS Mortgage Securities Trust Series 2012-GCJ9 Class E, 4.6643% 11/10/2045 (d)(p) | 677252 | 650162 |
| GS Mortgage Securities Trust Series 2015-GC34 Class XA, 0.839% 10/10/2048 (d)(t) | 1198772 | 43 |
| GS Mortgage Securities Trust Series 2016-GS4 Class C, 3.908% 11/10/2049 (d) | 464000 | 433703 |
| GS Mortgage Securities Trust Series 2017-GS5 Class C, 4.299% 3/10/2050 (d)(k) | 1155000 | 641014 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 1755354 | 1735383 |
| GS Mortgage Securities Trust Series 2018-GS9 Class D, 3% 3/10/2051 (k)(p) | 835000 | 493520 |
| GS Mortgage Securities Trust Series 2019-GC38 Class D, 3% 2/10/2052 (p) | 1000000 | 868434 |
| GS Mortgage Securities Trust Series 2019-GC39 Class D, 3% 5/10/2052 (p) | 1176000 | 930110 |
| GS Mortgage Securities Trust Series 2019-GC42 Class C, 3.699% 9/10/2052 (d) | 3532000 | 3043827 |
| GS Mortgage Securities Trust Series 2019-GC42 Class D, 2.8% 9/10/2052 (p) | 408000 | 303658 |
| GS Mortgage Securities Trust Series 2020-GC45 Class D, 2.85% 2/13/2053 (p) | 952000 | 720205 |
| GS Mortgage Securities Trust Series 2020-GC45 Class SWD, 3.2185% 12/13/2039 (d)(p) | 735000 | 603432 |
| GS Mortgage Securities Trust Series 2020-GC47 Class D, 3.4510% 5/12/2053 (d)(p) | 336000 | 264380 |
| GS Mortgage Securities Trust Series 2023-SHIP Class E, 7.4336% 9/10/2038 (d)(p) | 4514000 | 4526349 |
| GS Mortgage Securities Trust Series 2024-RVR Class B, 5.7226% 8/10/2041 (d)(p) | 989000 | 1011151 |
| GS Mortgage Securities Trust Series 2025-800D Class B, CME Term SOFR 1 month Index + 3.45%, 7.1141% 11/25/2041 (d)(e)(p) | 1168000 | 1167491 |
| GSAT Trust Series 2025-BMF Class F, CME Term SOFR 1 month Index + 4.15%, 7.8097% 7/15/2040 (d)(e)(p) | 2821000 | 2813595 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.3597% 10/15/2035 (d)(e)(p) | 5105000 | 5095428 |
| Hilton USA Trust Series 2016-HHV Class E, 4.1935% 11/5/2038 (d)(p) | 5051000 | 5011734 |
| Hilton USA Trust Series 2016-HHV Class F, 4.1935% 11/5/2038 (d)(p) | 3760000 | 3698881 |
| Home Partners of America Trust Series 2019-1 Class E, 3.604% 9/17/2039 (p) | 543435 | 530681 |
| Home Partners of America Trust Series 2019-1 Class F, 4.101% 9/17/2039 (p) | 88413 | 85329 |
| Hudson Yards Mortgage Trust Series 2019-30HY Class E, 3.4431% 7/10/2039 (d)(p) | 861000 | 802465 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 5.0415% 11/5/2037 (d)(p) | 13778000 | 14063269 |
| Intown Mortgage Trust Series 2025-STAY Class E, CME Term SOFR 1 month Index + 3.85%, 7.51% 3/15/2042 (d)(e)(p) | 1417000 | 1425325 |
| Ip 2025-Ip Mtg Tr Series 2025-IP Class F, 7.7123% 6/10/2042 (d)(p) | 1260000 | 1286353 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C23 Class UH5, 4.7094% 9/15/2047 (p) | 188814 | 187168 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C26 Class D, 3.6083% 1/15/2048 (d)(p) | 3811000 | 3381272 |
| JPMBB Commercial Mortgage Securities Trust Series 2015-C30 Class XA, 0% 7/15/2048 (d)(k)(t) | 4724034 | 46 |
| JPMBB Commercial Mortgage Securities Trust Series 2015-C32 Class C, 4.8209% 11/15/2048 (d)(k) | 1942000 | 407626 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class C, 3.3970% 12/15/2049 (d) | 695000 | 623316 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.3970% 12/15/2049 (d)(p) | 1251000 | 947278 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class A2, 2.8822% 12/15/2049  | 2577445 | 2562655 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class ASB, 2.9941% 12/15/2049  | 157347 | 156793 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class C, 3.0208% 12/15/2049 (d) | 603000 | 514065 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class D, 3.0208% 12/15/2049 (d)(k)(p) | 1242000 | 861466 |
| JPMDB Commercial Mortgage Securities Trust Series 2018-C8 Class D, 3.2552% 6/15/2051 (d)(p) | 406000 | 328365 |
| JPMDB Commercial Mortgage Securities Trust Series 2019-COR6 Class D, 2.5% 11/13/2052 (p) | 567000 | 275657 |
| JPMDB Commercial Mortgage Securities Trust Series 2020-COR7 Class A5, 2.1798% 5/13/2053  | 1000000 | 880041 |
| JPMDB Commercial Mortgage Securities Trust Series 2020-COR7 Class D, 1.75% 5/13/2053 (p) | 714000 | 359935 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2011-C3 Class J, 4.409% 2/15/2046 (d)(k)(p) | 106000 | 321 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2012-CBX Class E, 4.6895% 6/15/2045 (d)(p) | 1096423 | 1072564 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2012-CBX Class F, 4% 6/15/2045 (p) | 1124000 | 973547 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2012-CBX Class G, 4% 6/15/2045 (p) | 1233000 | 844032 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 Class C, 3.9582% 4/15/2046 (d)(k) | 1025000 | 358730 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 Class D, 4.3311% 4/15/2046 (d)(k) | 349837 | 3491 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class D, 3.8046% 6/10/2027 (d)(k)(p) | 945000 | 2376 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class E, 3.8046% 6/10/2027 (d)(p) | 1519000 | 3798 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-AON Class F, 4.6132% 7/5/2031 (d)(p) | 743000 | 111496 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (p) | 8593000 | 8195574 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (p) | 2322000 | 1580005 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (k)(p) | 4241000 | 2445726 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX, 1.116% 7/5/2033 (d)(p)(t) | 35039000 | 769144 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-OSB Class A, 3.3973% 6/5/2039 (p) | 1569000 | 1492762 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-OSB Class D, 3.7828% 6/5/2039 (d)(p) | 876000 | 804974 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-OSB Class E, 3.7828% 6/5/2039 (d)(p) | 1690000 | 1523328 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2020-NNN Class EFX, 3.972% 1/16/2037 (p) | 723000 | 253043 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2020-NNN Class FFX, 4.6254% 1/16/2037 (k)(p) | 1145000 | 274789 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2020-NNN Class GFX, 4.6882% 1/16/2037 (d)(p) | 441000 | 44095 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-OMNI Class E, 5.7972% 10/5/2039 (d)(p) | 3083000 | 3045056 |
| KNDR Trust Series 2021-KIND Class C, CME Term SOFR 1 month Index + 1.8645%, 5.53% 8/15/2038 (d)(e)(p) | 512789 | 507661 |
| KNDR Trust Series 2021-KIND Class D, CME Term SOFR 1 month Index + 2.4145%, 6.08% 8/15/2038 (d)(e)(p) | 2729584 | 2695465 |
| KNDR Trust Series 2021-KIND Class F, CME Term SOFR 1 month Index + 4.0645%, 7.73% 8/15/2038 (d)(e)(p) | 1968832 | 1947053 |
| KRE COML Mortgage Trust Series 2025-AIP4 Class E, CME Term SOFR 1 month Index + 3%, 6.6597% 3/15/2042 (d)(e)(p) | 2079919 | 2076475 |
| LCCM Mortgage Trust Series 2017-LC26 Class A3, 3.289% 7/12/2050 (p) | 2795563 | 2763318 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 4.9549% 5/15/2039 (d)(e)(p) | 41422000 | 40024008 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.4536% 5/15/2039 (d)(e)(p) | 24765000 | 23282379 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 5.7528% 5/15/2039 (d)(e)(p) | 13877000 | 12635393 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.2016% 5/15/2039 (d)(e)(p) | 12332000 | 10433181 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 4.8745% 3/15/2038 (d)(e)(p) | 451123 | 447739 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.1745% 3/15/2038 (d)(e)(p) | 4112500 | 4071376 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 5.5245% 3/15/2038 (d)(e)(p) | 3593100 | 3525729 |
| LV Trust Series 2024-SHOW Class C, 6.2763% 10/10/2041 (d)(p) | 1563000 | 1582674 |
| Market Mortgage Trust Series 2020-525M Class F, 2.9406% 2/12/2040 (d)(p) | 819000 | 633089 |
| Mft Trust Series 2020-B6 Class C, 3.2828% 8/10/2040 (d)(k)(p) | 707000 | 454600 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class F, CME Term SOFR 1 month Index + 2.7154%, 6.3754% 4/15/2038 (d)(e)(p) | 1937600 | 1937599 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class G, CME Term SOFR 1 month Index + 3.3154%, 6.9754% 4/15/2038 (d)(e)(p) | 5853600 | 5853599 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.4745% 7/15/2038 (d)(e)(p) | 3100000 | 3097670 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class G, CME Term SOFR 1 month Index + 2.8645%, 6.5245% 7/15/2038 (d)(e)(p) | 1752000 | 1749810 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class J, CME Term SOFR 1 month Index + 4.0645%, 7.7245% 7/15/2038 (d)(e)(p) | 1281000 | 1275951 |
| MHP Commercial Mortgage Trust Series 2022-MHIL Class F, CME Term SOFR 1 month Index + 3.2592%, 6.9189% 1/15/2039 (d)(e)(p) | 1688000 | 1686945 |
| MHP Commercial Mortgage Trust Series 2022-MHIL Class G, CME Term SOFR 1 month Index + 3.9575%, 7.6172% 1/15/2027 (d)(e)(p) | 907200 | 908367 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 9/15/2040 (d)(e)(p) | 11300000 | 11309385 |
| MHP Series 2025-MHIL2 Class D, CME Term SOFR 1 month Index + 2.65%, 6.3097% 9/15/2040 (d)(e)(p) | 1896000 | 1898775 |
| MHP Series 2025-MHIL2 Class E, CME Term SOFR 1 month Index + 3.5%, 7.1597% 9/15/2040 (d)(e)(p) | 2970000 | 2978068 |
| MHP Series 2025-MHIL2 Class F, CME Term SOFR 1 month Index + 4.25%, 7.9097% 9/15/2040 (d)(e)(p) | 2535000 | 2544866 |
| MIRA Trust Series 2023-MILE Class B, 7.2026% 6/10/2038 (p) | 867000 | 885753 |
| Morgan Stanley Bank Amer Trust Series 2025-C35 Class C, 6.349% 8/15/2058  | 940000 | 992981 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C6 Class F, 4.3446% 11/15/2045 (d)(p) | 693000 | 97048 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2013 Class C, 4.1591% 2/15/2046 (d) | 39382 | 36821 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C12 Class D, 4.7459% 10/15/2046 (d)(p) | 1299000 | 1208083 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C9 Class D, 3.7927% 5/15/2046 (d)(p) | 1155000 | 1074692 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class C, 3.9693% 9/15/2049 (d) | 266000 | 247561 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31 Class C, 4.2441% 11/15/2049 (d) | 603000 | 561429 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 Class C, 4.2605% 12/15/2049 (d) | 415000 | 400038 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C33 Class D, 3.356% 5/15/2050 (p) | 947000 | 852055 |
| Morgan Stanley Cap I Tr 2020-L4 Series 2020-L4 Class C, 3.536% 2/15/2053  | 205000 | 186061 |
| Morgan Stanley Capital I Trust Series 2011-C2 Class D, 5.2113% 6/15/2044 (d)(p) | 482476 | 477747 |
| Morgan Stanley Capital I Trust Series 2011-C2 Class XB, 0.494% 6/15/2044 (d)(p)(t) | 2338035 | 8878 |
| Morgan Stanley Capital I Trust Series 2011-C3 Class E, 4.94% 7/15/2049 (d)(p) | 280399 | 277919 |
| Morgan Stanley Capital I Trust Series 2011-C3 Class F, 4.94% 7/15/2049 (d)(k)(p) | 332000 | 323688 |
| Morgan Stanley Capital I Trust Series 2011-C3 Class G, 4.94% 7/15/2049 (d)(p) | 1123200 | 1086177 |
| Morgan Stanley Capital I Trust Series 2014-150E Class C, 4.295% 9/9/2032 (d)(p) | 418000 | 353240 |
| Morgan Stanley Capital I Trust Series 2014-150E Class F, 4.295% 9/9/2032 (d)(k)(p) | 734000 | 455132 |
| Morgan Stanley Capital I Trust Series 2015-MS1 Class B, 4.0280% 5/15/2048 (d) | 254918 | 245205 |
| Morgan Stanley Capital I Trust Series 2015-MS1 Class C, 4.0280% 5/15/2048 (d) | 1173000 | 1055583 |
| Morgan Stanley Capital I Trust Series 2015-MS1 Class D, 4.0280% 5/15/2048 (d)(p) | 473000 | 385448 |
| Morgan Stanley Capital I Trust Series 2016-BNK2 Class C, 3.8794% 11/15/2049 (d) | 1208000 | 1047071 |
| Morgan Stanley Capital I Trust Series 2016-BNK2 Class D, 3% 11/15/2049 (k)(p) | 1456000 | 1058193 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class AS, 3.773% 6/15/2050  | 1125000 | 1108837 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class C, 4.281% 6/15/2050  | 1985000 | 1881861 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class D, 2.546% 6/15/2050 (p) | 3406000 | 2951078 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class D, 2.73% 12/15/2050  | 2054000 | 1879331 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 7706000 | 7758052 |
| Morgan Stanley Capital I Trust Series 2020-CNP Class D, 2.4276% 4/5/2042 (d)(p) | 462000 | 373048 |
| Morgan Stanley Capital I Trust Series 2020-HR8 Class D, 2.5% 7/15/2053 (p) | 756000 | 602129 |
| Morgan Stanley Capital I Trust Series 2021-L5 Class A4, 2.728% 5/15/2054  | 3345000 | 3091498 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.1406% 6/15/2054 (d)(t) | 24013083 | 885009 |
| Morgan Stanley Capital I Trust Series 2024-BPR2 Class A, 7.291% 5/5/2029 (p) | 1421056 | 1506058 |
| Morgan Stanley Capital I Trust Series 2024-BPR2 Class X, 0.8553% 5/5/2029 (d)(p)(t) | 64535489 | 1638963 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class B, 3.9% 9/24/2057 (d)(p) | 1713000 | 1660406 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class C, 4.1913% 9/24/2057 (d)(p) | 1849000 | 1786412 |
| MSJP Series 2015-HAUL Class E, 4.851% 9/5/2047 (d)(p) | 311000 | 273184 |
| MSWF Commercial Mortgage Trust Series 2023-1 Class A5, 5.752% 5/15/2056  | 1625000 | 1745630 |
| MSWF Commercial Mortgage Trust Series 2023-1 Class C, 6.6828% 5/15/2056 (d) | 1083000 | 1151507 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class B, 6.8763% 12/15/2056 (d) | 1126000 | 1240844 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class C, 7.0183% 12/15/2056 (d) | 878000 | 960199 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class D, 4% 12/15/2056 (p) | 369000 | 304536 |
| Natixis Commercial Mortgage Securities Trust Series 2019-10K Class E, 4.1346% 5/15/2039 (d)(p) | 1321000 | 1244202 |
| Natixis Commercial Mortgage Securities Trust Series 2019-10K Class F, 4.1346% 5/15/2039 (d)(p) | 1374000 | 1249704 |
| NCMF Trust Series 2025-MFS Class F, 8.437% 6/10/2033 (d)(p) | 1875000 | 1911465 |
| NXPT Commercial Mortgage Trust Series 2024-STOR Class E, 6.7033% 11/5/2041 (d)(p) | 7107000 | 7244996 |
| NYC Commercial Mortgage Trust Series 2025-77C Class E, 6.2628% 1/10/2036 (d)(p) | 4090000 | 4149208 |
| NYT Mortgage Trust Series 2019-NYT Class F, CME Term SOFR 1 month Index + 3.297%, 6.957% 12/15/2035 (d)(e)(p) | 1385000 | 1236431 |
| PKHL Commercial Mortgage Trust Series 2021-MF Class F, CME Term SOFR 1 month Index + 3.4645%, 7.1245% 7/15/2038 (d)(e)(k)(p) | 986000 | 269225 |
| PKHL Commercial Mortgage Trust Series 2021-MF Class NR, CME Term SOFR 1 month Index + 6.1145%, 9.7745% 7/15/2038 (d)(e)(p) | 280000 | 34116 |
| Plym Commercial Mortgage Trust Series 2026-IND Class A, CME Term SOFR 1 month Index + 1.25%, 4.9% 3/15/2043 (d)(e)(p) | 52845000 | 52845001 |
| Plym Commercial Mortgage Trust Series 2026-IND Class B, CME Term SOFR 1 month Index + 1.45%, 5.1% 3/15/2043 (d)(e)(p) | 6761000 | 6765232 |
| Plym Commercial Mortgage Trust Series 2026-IND Class C, CME Term SOFR 1 month Index + 1.65%, 5.3% 3/15/2043 (d)(e)(p) | 7503000 | 7507689 |
| Plym Commercial Mortgage Trust Series 2026-IND Class D, CME Term SOFR 1 month Index + 2.15%, 5.8% 3/15/2043 (d)(e)(p) | 3490000 | 3488464 |
| Prima Capital CRE Securitization Ltd Series 2019-7A Class D, 4.25% 12/25/2050 (p) | 1550000 | 1489409 |
| Prima Capital CRE Securitization Ltd Series 2020-8A Class C, 3% 12/26/2070 (p) | 6499000 | 5624885 |
| PRM Trust Series 2025-PRM6 Class E, 6.5831% 7/5/2033 (d)(p) | 1254000 | 1263688 |
| PRM Trust Series 2025-PRM6 Class F, 7.0585% 7/5/2033 (d)(p) | 2822000 | 2820652 |
| PRM5 Trust Series 2025-PRM5 Class E, 7.0967% 3/10/2033 (d)(p) | 3907000 | 3931581 |
| Providence Place Group LP Series 2000-C1 Class A2, 7.75% 7/20/2028 (p) | 435406 | 444657 |
| ROCK Trust Series 2024-CNTR Class E, 8.8191% 11/13/2041 (p) | 3425500 | 3666507 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 4.9097% 8/15/2042 (d)(e)(p) | 6200000 | 6215465 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class E, CME Term SOFR 1 month Index + 4.1885%, 7.8481% 11/15/2034 (d)(e)(p) | 1770300 | 1770300 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class F, CME Term SOFR 1 month Index + 5.187%, 8.8467% 11/15/2034 (d)(e)(p) | 1474900 | 1470040 |
| SG Commercial Mortgage Securities Trust Series 2020-COVE Class F, 3.7276% 3/15/2037 (d)(p) | 2364000 | 2140305 |
| SHR Trust Series 2024-LXRY Class D, CME Term SOFR 1 month Index + 3.6%, 7.2597% 10/15/2041 (d)(e)(p) | 3314000 | 3344426 |
| SHR Trust Series 2024-LXRY Class E, CME Term SOFR 1 month Index + 4.45%, 8.1097% 10/15/2041 (d)(e)(p) | 1166000 | 1174981 |
| SMRT Trust Series 2022-MINI Class E, CME Term SOFR 1 month Index + 2.7%, 6.36% 1/15/2039 (d)(e)(p) | 6144000 | 6136320 |
| SMRT Trust Series 2022-MINI Class F, CME Term SOFR 1 month Index + 3.35%, 7.01% 1/15/2039 (d)(e)(p) | 2355000 | 2352132 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.5049% 11/15/2038 (d)(e)(p) | 28188430 | 28179621 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 4.8539% 11/15/2038 (d)(e)(p) | 14313152 | 14308680 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.1031% 11/15/2038 (d)(e)(p) | 8889204 | 8886426 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 5.3523% 11/15/2038 (d)(e)(p) | 5841693 | 5843870 |
| SREIT Trust Series 2021-MFP Class G, CME Term SOFR 1 month Index + 3.0883%, 6.7479% 11/15/2038 (d)(e)(p) | 4791463 | 4788756 |
| SREIT Trust Series 2021-MFP2 Class G, CME Term SOFR 1 month Index + 3.082%, 6.742% 11/15/2036 (d)(e)(p) | 1090000 | 1089321 |
| SREIT Trust Series 2021-MFP2 Class J, CME Term SOFR 1 month Index + 4.03%, 7.69% 11/15/2036 (d)(e)(p) | 3205000 | 3199065 |
| SREIT Trust Series 2021-PALM Class G, CME Term SOFR 1 month Index + 3.7306%, 7.3906% 10/15/2034 (d)(e)(p) | 2033000 | 2035096 |
| STWD Trust Series 2021-LIH Class E, CME Term SOFR 1 month Index + 3.0175%, 6.677% 11/15/2036 (d)(e)(p) | 2268000 | 2259526 |
| STWD Trust Series 2021-LIH Class F, CME Term SOFR 1 month Index + 3.6655%, 7.325% 11/15/2036 (d)(e)(p) | 2492000 | 2479585 |
| STWD Trust Series 2021-LIH Class G, CME Term SOFR 1 month Index + 4.3145%, 7.974% 11/15/2036 (d)(e)(p) | 525000 | 520792 |
| SUMIT Mortgage Trust Series 2022-BVUE Class F, 2.8925% 2/12/2041 (d)(p) | 185000 | 138365 |
| SWCH Commercial Mortgage Trust Series 2025-DATA Class F, CME Term SOFR 1 month Index + 4.2389%, 7.8986% 2/15/2042 (d)(e)(p) | 6936000 | 6873457 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.9026% 12/15/2039 (d)(e)(p) | 31288000 | 31327135 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.2521% 12/15/2039 (d)(e)(p) | 6820000 | 6837051 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 5.6515% 12/15/2039 (d)(e)(p) | 5027000 | 5052143 |
| Tricon Residential Trust Series 2022-SFR2 Class E, 7.507% 7/17/2040 (p) | 2499000 | 2530416 |
| UBS Commercial Mortgage Trust Series 2012-C1 Class E, 5% 5/10/2045 (d)(p) | 446067 | 423764 |
| UBS Commercial Mortgage Trust Series 2012-C1 Class F, 5% 5/10/2045 (d)(k)(p) | 762700 | 227510 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 0.9635% 12/15/2050 (d)(t) | 39279626 | 559935 |
| UBS Commercial Mortgage Trust Series 2018-C8 Class C, 4.6817% 2/15/2051 (d) | 336000 | 309955 |
| UBS Commercial Mortgage Trust Series 2018-C9 Class A4, 4.117% 3/15/2051  | 2000000 | 1986335 |
| VASA Trust Series 2021-VASA Class B, CME Term SOFR 1 month Index + 1.3645%, 5.0245% 7/15/2039 (d)(e)(p) | 1019000 | 987922 |
| VASA Trust Series 2021-VASA Class F, CME Term SOFR 1 month Index + 4.0145%, 7.6745% 7/15/2039 (d)(e)(p) | 1383000 | 1184279 |
| VASA Trust Series 2021-VASA Class G, CME Term SOFR 1 month Index + 5.1145%, 8.7745% 7/15/2039 (d)(e)(k)(p) | 315000 | 225638 |
| VDCM Commercial Mortgage Trust Series 2025-AZ Class C, 6.0329% 7/13/2044 (d)(p) | 1945000 | 1995033 |
| VDCM Commercial Mortgage Trust Series 2025-AZ Class D, 6.4337% 7/13/2044 (d)(p) | 1355000 | 1392102 |
| VDCM Commercial Mortgage Trust Series 2025-AZ Class E, 7.9314% 7/13/2044 (d)(p) | 960000 | 999023 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (p) | 25554000 | 22200702 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (p) | 1600000 | 1330074 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.4294% 10/10/2042 (d)(p) | 35000000 | 592634 |
| VTR Commercial Mortgage Trust Series 2025-STEM Class C, 6.0567% 10/13/2039 (d)(p) | 665000 | 667969 |
| VTR Commercial Mortgage Trust Series 2025-STEM Class D, 6.7089% 10/13/2039 (d)(p) | 1915000 | 1920419 |
| Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 Class C, 3.071% 8/15/2049  | 446000 | 316212 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C34 Class XA, 1.9941% 6/15/2049 (d)(t) | 6968676 | 1507 |
| Wells Fargo Commercial Mortgage Trust Series 2016-LC25 Class C, 4.311% 12/15/2059 (d) | 575000 | 561987 |
| Wells Fargo Commercial Mortgage Trust Series 2016-NXS6 Class C, 4.3425% 11/15/2049 (d) | 1323000 | 1284889 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C43 Class C, 4.514% 3/15/2051  | 401000 | 375467 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C44 Class D, 3% 5/15/2051 (p) | 1266000 | 934540 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9038% 8/15/2051 (d)(t) | 39595521 | 584367 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C49 Class C, 4.866% 3/15/2052 (d) | 2887000 | 2788522 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C51 Class ASB, 3.16% 6/15/2052  | 1647549 | 1624894 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C55 Class ASB, 2.651% 2/15/2053  | 3378844 | 3298103 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C57 Class D, 2.5% 8/15/2053 (p) | 1034000 | 841727 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C60 Class A4, 2.342% 8/15/2054  | 2113000 | 1920338 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C60 Class D, 2.5% 8/15/2054 (p) | 880000 | 689938 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C61 Class A4, 2.658% 11/15/2054  | 1095000 | 1001419 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 4.9745% 5/15/2031 (d)(e)(p) | 17572000 | 17563894 |
| Wells Fargo Commercial Mortgage Trust Series 2021-SAVE Class D, CME Term SOFR 1 month Index + 2.9645%, 6.6245% 2/15/2040 (d)(e)(p) | 310400 | 309622 |
| Wells Fargo Commercial Mortgage Trust Series 2021-SAVE Class E, CME Term SOFR 1 month Index + 4.1145%, 7.7745% 2/15/2040 (d)(e)(p) | 220800 | 220265 |
| Wells Fargo Commercial Mortgage Trust Series 2024-1CHI Class E, 7.8268% 7/15/2035 (d)(p) | 2784000 | 2827648 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C2 Class C, 6.3328% 11/15/2057 (d) | 2408000 | 2484382 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 5.451% 10/15/2041 (d)(e)(p) | 24500000 | 24468103 |
| Wells Fargo Commercial Mortgage Trust Series 2025-5C7 Class C, 5.798% 12/15/2058  | 720000 | 724920 |
| Wells Fargo Commercial Mortgage Trust Series 2025-C65 Class C, 6.014% 10/15/2058 (d) | 2130000 | 2156003 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (d)(p) | 18363000 | 18538003 |
| WF-RBS Commercial Mortgage Trust Series 2011-C3 Class D, 6.0497% 3/15/2044 (d)(p) | 439833 | 158340 |
| WF-RBS Commercial Mortgage Trust Series 2011-C4 Class D, 4.9965% 6/15/2044 (d)(p) | 286367 | 281556 |
| WF-RBS Commercial Mortgage Trust Series 2011-C4 Class E, 4.9965% 6/15/2044 (d)(p) | 335432 | 320640 |
| WF-RBS Commercial Mortgage Trust Series 2011-C4I Class G, 5% 6/15/2044 (d)(k) | 372000 | 117765 |
| WF-RBS Commercial Mortgage Trust Series 2013-C11 Class D, 4.0678% 3/15/2045 (d)(p) | 731791 | 658597 |
| WF-RBS Commercial Mortgage Trust Series 2013-C11 Class E, 4.0678% 3/15/2045 (d)(k)(p) | 1774872 | 1260124 |
| WF-RBS Commercial Mortgage Trust Series 2013-C13 Class D, 3.9683% 5/15/2045 (d)(p) | 434383 | 406678 |
| WFCM Series 2022-C62 Class A4, 4% 4/15/2055  | 1461000 | 1418212 |
| WFCM Series 2022-C62 Class C, 4.3448% 4/15/2055 (d) | 1923000 | 1663300 |
| WHARF Series 2025-DC Class E, 7.9816% 7/15/2040 (d)(p) | 1548000 | 1592141 |
| Worldwide Plaza Trust Series 2017-WWP Class E, 3.5955% 11/10/2036 (d)(p) | 348000 | 3532 |
| Worldwide Plaza Trust Series 2017-WWP Class F, 3.5955% 11/10/2036 (d)(p) | 1960000 | 10075 |
| WP Glimcher Mall Trust Series 2015-WPG Class PR1, 3.516% 6/5/2035 (d)(p) | 528000 | 264000 |
| WP Glimcher Mall Trust Series 2015-WPG Class PR2, 3.516% 6/5/2035 (d)(k)(p) | 1378000 | 303160 |
| TOTAL UNITED STATES |  | 2243857865 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $2,273,113,291) |  | <br> **2245978217** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.1%** | &nbsp;&nbsp;**Common Stocks - 0.1%** | &nbsp;&nbsp;**Common Stocks - 0.1%** |
|  | Shares | Value ($)<br>|
| BRAZIL - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Passenger Airlines - 0.0% |  |  |
| Azul SA ADR  | 112040 | 1876670 |
| Azul SA ADR  | 2720850 | 831492 |
| TOTAL BRAZIL |  | 2708162 |
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice France Holding SA (k) | 283284 | 5148122 |
| Altice France Holding SA rights (k)(p)(v) | 4537 | 51036 |
| TOTAL FRANCE |  | 5199158 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Entertainment - 0.0% |  |  |
| New Cineworld Ltd (k)(v) | 137267 | 2742595 |
| LUXEMBOURG - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Containers & Packaging - 0.0% |  |  |
| Klockner Pentaplast of America Inc (k) | 269370 | 3 |
| UNITED STATES - 0.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Main Street Sports Group (k)(v) | 4677 | 879 |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Old Claimco LLC (k)(v) | 65301 | 799937 |
| Specialty Retail - 0.0% |  |  |
| White Iris LLC (k) | 18732 | 282291 |
| TOTAL CONSUMER DISCRETIONARY |  | 1082228 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| JP Intermediate B LLC (k)(x) | 14821 | 57356 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| California Resources Corp  | 73002 | 4295438 |
| EP Energy Corp (k)(v) | 6556 | 10686 |
| Expand Energy Corp  | 84408 | 9109312 |
| Expand Energy Corp (w) | 619 | 66802 |
| Exxon Mobil Corp  | 22714 | 3463885 |
| Mesquite Energy Inc (k)(v) | 274222 | 23432237 |
| New Fortress Energy Inc  | 51317 | 55936 |
| TOTAL ENERGY |  | 40434296 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| ACNR Holdings Inc (k) | 30405 | 4171566 |
| Carnelian Point Holdings LP warrants 6/30/2027 (k)(v) | 1766 | 5157 |
| Limetree Bay Cayman Ltd (k)(v) | 809 | 0 |
| TOTAL FINANCIALS |  | 4176723 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC (k)(v) | 196812 | 1661093 |
| Cano Health LLC warrants 6/28/2029 (k)(v) | 10520 | 14623 |
| ModivCare Inc (k) | 88589 | 498313 |
| TOTAL HEALTH CARE |  | 2174029 |
| Information Technology - 0.0% |  |  |
| IT Services - 0.0% |  |  |
| GTT Communications Inc (k)(v) | 80353 | 3158676 |
| TOTAL UNITED STATES |  | 51084187 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $31,579,867) |  | <br> **61734105** |

---

---

| | | |
|:---|:---|:---|
| &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>|
| CAMEROON - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Golar LNG Ltd 2.75% 12/15/2030 (p) | 2461000 | 2592664 |
| GHANA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Kosmos Energy Ltd 3.125% 3/15/2030  | 3240000 | 2165939 |
| UNITED STATES - 0.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| EchoStar Corp 3.875% 11/30/2030 pay-in-kind (d) | 4502601 | 15905438 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Redfin Corp 0.5% 4/1/2027  | 9116000 | 8705780 |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| MKS Inc 1.25% 6/1/2030  | 1164000 | 2024778 |
| ON Semiconductor Corp 0% 5/1/2027 (r) | 2162000 | 2911133 |
| Wolfspeed Inc 2.5% 6/15/2031  | 911000 | 1540159 |
| Wolfspeed Inc 2.5% 6/15/2031 (p) | 201000 | 339816 |
|  |  | 6815886 |
| Software - 0.1% |  |  |
| Riot Platforms Inc 0.75% 1/15/2030  | 4319000 | 5858724 |
| Terawulf Inc 0% 5/1/2032 (p)(r) | 3595000 | 3942277 |
|  |  | 9801001 |
| TOTAL INFORMATION TECHNOLOGY |  | 16616887 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| PG&E Corp 4.25% 12/1/2027  | 3319000 | 3547347 |
| TOTAL UNITED STATES |  | 44775452 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $33,880,876) |  | <br> **49534055** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Household Durables - 0.0% |  |  |
| Whirlpool Corp Series A, 8.5%  | 65037 | 3193967 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Acrisure Holdings Inc Series A-2 (k) | 157072 | 4426289 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |
| AGNC Investment Corp CME Term SOFR 3 month Index + 4.993%, 0% (d)(e) | 66700 | 1689511 |
| Dynex Capital Inc Series C, CME Term SOFR 3 month Index + 5.7226%, 9.9787% (d)(e) | 20200 | 523180 |
|  |  | 2212691 |
| TOTAL FINANCIALS |  | 6638980 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Oracle Corp Series D 6.5%  | 84222 | 3863263 |
| Real Estate - 0.0% |  |  |
| Hotel & Resort REITs - 0.0% |  |  |
| RLJ Lodging Trust Series A,1.95%  | 20725 | 524343 |
| TOTAL UNITED STATES |  | 14220553 |
| <br> **TOTAL CONVERTIBLE PREFERRED STOCKS**<br> (Cost $13,621,703) |  | <br> **14220553** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.3%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.3%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.3%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.3%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ANGOLA - 0.0%  |  |  |  |
| Angola Republic 8.25% 5/9/2028 (p) |  | 2170000 | 2188310 |
| Angola Republic 8.75% 4/14/2032 (p) |  | 795000 | 779940 |
| Angola Republic 9.244% 1/15/2031 (p) |  | 640000 | 649626 |
| Angola Republic 9.375% 5/8/2048 (p) |  | 1840000 | 1658300 |
| Angola Republic 9.875% 10/15/2035 (p) |  | 685000 | 697450 |
| TOTAL ANGOLA |  |  | 5973626 |
| ARGENTINA - 0.2%  |  |  |  |
| Argentine Republic 0.75% 7/9/2030 (o) |  | 16132094 | 13656515 |
| Argentine Republic 1% 7/9/2029  |  | 2470299 | 2179273 |
| Argentine Republic 3.5% 7/9/2041 (o) |  | 3950000 | 2759213 |
| Argentine Republic 4.125% 7/9/2035 (o) |  | 15818323 | 11897356 |
| Argentine Republic 5% 1/9/2038 (o) |  | 7772281 | 6110218 |
| TOTAL ARGENTINA |  |  | 36602575 |
| ARMENIA - 0.0%  |  |  |  |
| Republic of Armenia 3.6% 2/2/2031 (p) |  | 1030000 | 948888 |
| Republic of Armenia 6.75% 3/12/2035 (p) |  | 2280000 | 2415386 |
| TOTAL ARMENIA |  |  | 3364274 |
| BAHAMAS (NASSAU) - 0.0%  |  |  |  |
| Commonwealth of the Bahamas 8.25% 6/24/2036 (p) |  | 1720000 | 1924904 |
| BAHRAIN - 0.0%  |  |  |  |
| Bahrain Kingdom 5.625% 5/18/2034 (p) |  | 790000 | 745989 |
| Bahrain Kingdom 5.875% 2/6/2034 (p) |  | 915000 | 910425 |
| Bahrain Kingdom 6.625% 10/6/2037 (p) |  | 685000 | 667872 |
| Bahrain Kingdom 7.1% 2/3/2038 (p) |  | 1325000 | 1330300 |
| Bahrain Kingdom 7.5% 2/12/2036 (p) |  | 580000 | 611320 |
| TOTAL BAHRAIN |  |  | 4265906 |
| BENIN - 0.0%  |  |  |  |
| Republic of Benin 7.96% 2/13/2038 (p) |  | 2655000 | 2783793 |
| Republic of Benin 8.375% 1/23/2041 (p) |  | 430000 | 457111 |
| TOTAL BENIN |  |  | 3240904 |
| BERMUDA - 0.0%  |  |  |  |
| Republic of Bermuda 2.375% 8/20/2030 (p) |  | 385000 | 353358 |
| Republic of Bermuda 3.375% 8/20/2050 (p) |  | 630000 | 445133 |
| Republic of Bermuda 3.717% 1/25/2027 (p) |  | 2220000 | 2213063 |
| Republic of Bermuda 4.75% 2/15/2029 (p) |  | 965000 | 978857 |
| Republic of Bermuda 5% 7/15/2032 (p) |  | 1040000 | 1061918 |
| TOTAL BERMUDA |  |  | 5052329 |
| BRAZIL - 0.0%  |  |  |  |
| Federative Republic of Brazil 3.875% 6/12/2030  |  | 2310000 | 2226840 |
| Federative Republic of Brazil 5.625% 2/21/2047  |  | 1700000 | 1481431 |
| Federative Republic of Brazil 6% 10/20/2033  |  | 1900000 | 1942275 |
| Federative Republic of Brazil 6.25% 5/22/2036  |  | 1320000 | 1332540 |
| Federative Republic of Brazil 6.625% 3/15/2035  |  | 1010000 | 1060499 |
| Federative Republic of Brazil 7.125% 1/20/2037  |  | 2250000 | 2498738 |
| Federative Republic of Brazil 7.250% 1/12/2056  |  | 1345000 | 1366520 |
| Federative Republic of Brazil 8.25% 1/20/2034  |  | 2809000 | 3276699 |
| TOTAL BRAZIL |  |  | 15185542 |
| CANADA - 0.0%  |  |  |  |
| Canadian Government 1.5% 12/1/2031  | CAD | 1600000 | 1092099 |
| Canadian Government 2% 6/1/2032  | CAD | 1150000 | 802123 |
| Canadian Government 2.75% 6/1/2033  | CAD | 2150000 | 1556823 |
| Canadian Government 3% 6/1/2034  | CAD | 700000 | 512665 |
| TOTAL CANADA |  |  | 3963710 |
| CHILE - 0.0%  |  |  |  |
| Chilean Republic 2.45% 1/31/2031  |  | 4855000 | 4471455 |
| Chilean Republic 2.75% 1/31/2027  |  | 790000 | 779730 |
| Chilean Republic 3.1% 1/22/2061  |  | 3325000 | 2150610 |
| Chilean Republic 3.5% 1/31/2034  |  | 520000 | 485160 |
| Chilean Republic 4% 1/31/2052  |  | 455000 | 371394 |
| Chilean Republic 4.34% 3/7/2042  |  | 915000 | 835166 |
| Chilean Republic 5.33% 1/5/2054  |  | 1440000 | 1432440 |
| TOTAL CHILE |  |  | 10525955 |
| COLOMBIA - 0.1%  |  |  |  |
| Colombian Republic 3% 1/30/2030  |  | 2720000 | 2447456 |
| Colombian Republic 3.125% 4/15/2031  |  | 1455000 | 1262576 |
| Colombian Republic 3.25% 4/22/2032  |  | 1245000 | 1052648 |
| Colombian Republic 4.125% 5/15/2051  |  | 600000 | 376980 |
| Colombian Republic 5% 6/15/2045  |  | 2580000 | 1902750 |
| Colombian Republic 5.2% 5/15/2049  |  | 1660000 | 1224250 |
| Colombian Republic 5.375% 1/21/2029  |  | 1380000 | 1377240 |
| Colombian Republic 6.125% 1/18/2041  |  | 105000 | 93239 |
| Colombian Republic 6.125% 1/21/2031  |  | 500000 | 498750 |
| Colombian Republic 6.5% 1/21/2033  |  | 800000 | 795200 |
| Colombian Republic 7.375% 4/25/2030  |  | 935000 | 982124 |
| Colombian Republic 7.375% 9/18/2037  |  | 630000 | 641727 |
| Colombian Republic 7.5% 2/2/2034  |  | 630000 | 654255 |
| Colombian Republic 8% 11/14/2035  |  | 6825000 | 7283981 |
| Colombian Republic 8% 4/20/2033  |  | 1040000 | 1113320 |
| Colombian Republic 8.5% 4/25/2035  |  | 1050000 | 1152638 |
| Colombian Republic 8.75% 11/14/2053  |  | 1455000 | 1598027 |
| TOTAL COLOMBIA |  |  | 24457161 |
| COSTA RICA - 0.0%  |  |  |  |
| Republic of Costa Rica 5.625% 4/30/2043 (p) |  | 785000 | 767958 |
| Republic of Costa Rica 6.125% 2/19/2031 (p) |  | 530000 | 556235 |
| Republic of Costa Rica 6.55% 4/3/2034 (p) |  | 435000 | 472301 |
| Republic of Costa Rica 7.3% 11/13/2054 (p) |  | 1245000 | 1422152 |
| TOTAL COSTA RICA |  |  | 3218646 |
| COTE D'IVOIRE - 0.0%  |  |  |  |
| Cote d'Ivoire Treasury Bill 6.125% 6/15/2033 (p) |  | 2990000 | 2961595 |
| Cote d'Ivoire Treasury Bill 6.375% 3/3/2028 (p) |  | 1772000 | 1792272 |
| Cote d'Ivoire Treasury Bill 6.75% 2/25/2041 (p) |  | 1275000 | 1216350 |
| Cote d'Ivoire Treasury Bill 8.075% 4/1/2036 (p) |  | 1060000 | 1142828 |
| TOTAL COTE D'IVOIRE |  |  | 7113045 |
| DOMINICAN REPUBLIC - 0.0%  |  |  |  |
| Dominican Republic 4.5% 1/30/2030 (p) |  | 1125000 | 1100250 |
| Dominican Republic 4.875% 9/23/2032 (p) |  | 5535000 | 5313600 |
| Dominican Republic 5.75% 3/17/2034 (p) |  | 785000 | 783427 |
| Dominican Republic 5.95% 1/25/2027 (p) |  | 1881000 | 1900329 |
| Dominican Republic 6% 7/19/2028 (p) |  | 1011000 | 1039308 |
| Dominican Republic 6.5% 2/15/2048 (p) |  | 635000 | 640199 |
| Dominican Republic 6.6% 6/1/2036 (p) |  | 816000 | 858432 |
| Dominican Republic 6.85% 1/27/2045 (p) |  | 1143000 | 1194435 |
| Dominican Republic 7.05% 2/3/2031 (p) |  | 1725000 | 1852219 |
| Dominican Republic 7.15% 2/24/2055 (p) |  | 1395000 | 1512180 |
| Dominican Republic 7.45% 4/30/2044 (p) |  | 794000 | 882134 |
| TOTAL DOMINICAN REPUBLIC |  |  | 17076513 |
| ECUADOR - 0.0%  |  |  |  |
| Republic of Ecuador 6.9% 7/31/2030 (o)(p) |  | 2831450 | 2795856 |
| Republic of Ecuador 6.9% 7/31/2035 (o)(p) |  | 3915000 | 3552265 |
| Republic of Ecuador 8.75% 1/29/2034 (p) |  | 1615000 | 1629535 |
| Republic of Ecuador 9.25% 1/29/2039 (p) |  | 620000 | 630540 |
| TOTAL ECUADOR |  |  | 8608196 |
| EGYPT - 0.0%  |  |  |  |
| Arab Republic of Egypt 7.0529% 1/15/2032 (p) |  | 45000 | 45292 |
| Arab Republic of Egypt 7.5% 1/31/2027 (p) |  | 2427000 | 2470225 |
| Arab Republic of Egypt 7.5% 2/16/2061 (p) |  | 3225000 | 2741250 |
| Arab Republic of Egypt 7.6003% 3/1/2029 (p) |  | 1765000 | 1850497 |
| Arab Republic of Egypt 7.625% 5/29/2032 (p) |  | 1110000 | 1138028 |
| Arab Republic of Egypt 7.903% 2/21/2048 (p) |  | 1891000 | 1705682 |
| Arab Republic of Egypt 8.5% 1/31/2047 (p) |  | 1586000 | 1514630 |
| Arab Republic of Egypt 8.7002% 3/1/2049 (p) |  | 1420000 | 1379615 |
| Egyptian Financial Co for Sovereign Taskeek/The 7.95% 10/7/2032 (p) |  | 670000 | 701470 |
| TOTAL EGYPT |  |  | 13546689 |
| EL SALVADOR - 0.0%  |  |  |  |
| El Salvador Republic 0.25% 4/17/2030 (p) |  | 1055000 | 37188 |
| El Salvador Republic 7.1246% 1/20/2050 (p) |  | 1000000 | 905750 |
| El Salvador Republic 7.625% 2/1/2041 (p) |  | 230000 | 229902 |
| El Salvador Republic 7.65% 6/15/2035 (p) |  | 855000 | 882360 |
| El Salvador Republic 9.25% 4/17/2030 (p) |  | 1055000 | 1142038 |
| El Salvador Republic 9.65% 11/21/2054 (p) |  | 640000 | 727288 |
| TOTAL EL SALVADOR |  |  | 3924526 |
| GABON - 0.0%  |  |  |  |
| Gabonese Republic 6.625% 2/6/2031 (p) |  | 830000 | 686045 |
| Gabonese Republic 7% 11/24/2031 (p) |  | 620000 | 505845 |
| TOTAL GABON |  |  | 1191890 |
| GERMANY - 0.0%  |  |  |  |
| German Federal Republic 3.25% 7/4/2042 (q) | EUR | 3140000 | 3795537 |
| GHANA - 0.0%  |  |  |  |
| Ghana Republic 0% 1/3/2030 (p)(r) |  | 79207 | 68316 |
| Ghana Republic 0% 7/3/2026 (p)(r) |  | 29000 | 28529 |
| Ghana Republic 5% 7/3/2029 (o)(p) |  | 876969 | 858544 |
| Ghana Republic 5% 7/3/2035 (o)(p) |  | 1136500 | 1028319 |
| TOTAL GHANA |  |  | 1983708 |
| GUATEMALA - 0.0%  |  |  |  |
| Republic of Guatemala 4.875% 2/13/2028 (p) |  | 305000 | 307440 |
| Republic of Guatemala 4.9% 6/1/2030 (p) |  | 890000 | 893894 |
| Republic of Guatemala 6.125% 6/1/2050 (p) |  | 1335000 | 1338471 |
| Republic of Guatemala 6.25% 8/15/2036 (p) |  | 1725000 | 1827961 |
| Republic of Guatemala 6.6% 6/13/2036 (p) |  | 835000 | 906497 |
| Republic of Guatemala 6.875% 8/15/2055 (p) |  | 1055000 | 1151891 |
| TOTAL GUATEMALA |  |  | 6426154 |
| HUNGARY - 0.0%  |  |  |  |
| Hungary Government 2.125% 9/22/2031 (p) |  | 880000 | 769120 |
| Hungary Government 3.125% 9/21/2051 (p) |  | 1660000 | 1051635 |
| Hungary Government 5.25% 6/16/2029 (p) |  | 1305000 | 1335935 |
| Hungary Government 5.5% 6/16/2034 (p) |  | 1745000 | 1788625 |
| Hungary Government 6.125% 5/22/2028 (p) |  | 610000 | 634019 |
| Hungary Government 6.25% 9/22/2032 (p) |  | 615000 | 660578 |
| Hungary Government 6.75% 9/23/2055 (p) |  | 1400000 | 1498000 |
| Hungary Government 6.75% 9/25/2052 (p) |  | 430000 | 468226 |
| TOTAL HUNGARY |  |  | 8206138 |
| INDONESIA - 0.2%  |  |  |  |
| Indonesia Government 3.2% 9/23/2061  |  | 1380000 | 871470 |
| Indonesia Government 3.5% 2/14/2050  |  | 1165000 | 844043 |
| Indonesia Government 3.85% 10/15/2030  |  | 855000 | 842261 |
| Indonesia Government 4.1% 4/24/2028  |  | 1955000 | 1965264 |
| Indonesia Government 4.2% 10/15/2050  |  | 44910000 | 36657788 |
| Indonesia Government 4.35% 1/11/2048  |  | 1225000 | 1051050 |
| Indonesia Government 5.25% 1/17/2042 (p) |  | 660000 | 658877 |
| Indonesia Government 5.95% 1/8/2046 (p) |  | 985000 | 1042561 |
| Indonesia Government 6.75% 1/15/2044 (p) |  | 690000 | 792292 |
| Indonesia Government 7.75% 1/17/2038 (p) |  | 2648000 | 3286830 |
| Indonesia Government 8.5% 10/12/2035 (p) |  | 4030000 | 5107018 |
| TOTAL INDONESIA |  |  | 53119454 |
| ISRAEL - 0.0%  |  |  |  |
| Israel Government 3.375% 1/15/2050  |  | 2760000 | 1896346 |
| Israel Government 5% 1/13/2036  |  | 1680000 | 1673599 |
| Israel Government 5.75% 3/12/2054  |  | 955000 | 933453 |
| Israel Government 5.875% 1/13/2056  |  | 1705000 | 1693917 |
| TOTAL ISRAEL |  |  | 6197315 |
| JAMAICA - 0.0%  |  |  |  |
| Jamaican Government 7.875% 7/28/2045  |  | 430000 | 519655 |
| JAPAN - 0.0%  |  |  |  |
| Japan Government 0.1% 9/20/2028  | JPY | 1442250000 | 8963626 |
| Japan Government Treasury Bills 0% 5/18/2026 (r) | JPY | 996100000 | 6368299 |
| TOTAL JAPAN |  |  | 15331925 |
| JORDAN - 0.0%  |  |  |  |
| Jordan Government 7.375% 10/10/2047 (p) |  | 640000 | 632320 |
| Jordan Government 7.5% 1/13/2029 (p) |  | 755000 | 791572 |
| Jordan Government 7.75% 1/15/2028 (p) |  | 825000 | 862125 |
| TOTAL JORDAN |  |  | 2286017 |
| KENYA - 0.0%  |  |  |  |
| Republic of Kenya 6.3% 1/23/2034 (p) |  | 605000 | 544092 |
| Republic of Kenya 7.875% 2/26/2034 (p) |  | 550000 | 541749 |
| Republic of Kenya 8.7% 2/26/2039 (p) |  | 645000 | 629578 |
| Republic of Kenya 8.8% 10/9/2038 (p) |  | 625000 | 618438 |
| Republic of Kenya 9.5% 3/5/2036 (p) |  | 445000 | 467583 |
| Republic of Kenya 9.75% 2/16/2031 (p) |  | 1485000 | 1626075 |
| TOTAL KENYA |  |  | 4427515 |
| LEBANON - 0.0%  |  |  |  |
| Lebanon Republic 5.8% (j)(q) |  | 1814000 | 528781 |
| Lebanon Republic 6.375% (j)(q) |  | 961000 | 280131 |
| Lebanon Republic 8.25% (j)(q) |  | 2625000 | 770438 |
| TOTAL LEBANON |  |  | 1579350 |
| MEXICO - 0.2%  |  |  |  |
| United Mexican States 2.659% 5/24/2031  |  | 1235000 | 1112735 |
| United Mexican States 3.25% 4/16/2030  |  | 2460000 | 2341613 |
| United Mexican States 3.5% 2/12/2034  |  | 2315000 | 2026783 |
| United Mexican States 3.75% 1/11/2028  |  | 2265000 | 2249428 |
| United Mexican States 3.75% 4/19/2071  |  | 3325000 | 2001650 |
| United Mexican States 3.771% 5/24/2061  |  | 800000 | 500799 |
| United Mexican States 4.5% 4/22/2029  |  | 905000 | 910860 |
| United Mexican States 4.875% 5/19/2033  |  | 895000 | 870835 |
| United Mexican States 5.375% 3/22/2033  |  | 1240000 | 1244464 |
| United Mexican States 5.625% 2/9/2034  |  | 1395000 | 1409508 |
| United Mexican States 5.75% 10/12/2110  |  | 1615000 | 1371620 |
| United Mexican States 6% 5/7/2036  |  | 2400000 | 2463000 |
| United Mexican States 6.05% 1/11/2040  |  | 1810000 | 1821602 |
| United Mexican States 6.125% 2/9/2038  |  | 995000 | 1008184 |
| United Mexican States 6.338% 5/4/2053  |  | 1260000 | 1222137 |
| United Mexican States 6.35% 2/9/2035  |  | 1240000 | 1308820 |
| United Mexican States 6.4% 5/7/2054  |  | 770000 | 752597 |
| United Mexican States 6.75% 2/9/2056  |  | 1160000 | 1175602 |
| United Mexican States 6.875% 5/13/2037  |  | 910000 | 985530 |
| United Mexican States 7.375% 5/13/2055  |  | 1675000 | 1834963 |
| TOTAL MEXICO |  |  | 28612730 |
| MONGOLIA - 0.0%  |  |  |  |
| Mongolia Government 6.625% 2/25/2030 (p) |  | 1405000 | 1459444 |
| Mongolia Government 7.875% 6/5/2029 (p) |  | 245000 | 262762 |
| TOTAL MONGOLIA |  |  | 1722206 |
| MONTENEGRO - 0.0%  |  |  |  |
| Republic of Montenegro 7.25% 3/12/2031 (p) |  | 3700000 | 3962478 |
| MOROCCO - 0.0%  |  |  |  |
| Moroccan Kingdom 6.5% 9/8/2033 (p) |  | 1735000 | 1892885 |
| MULTI-NATIONAL - 0.2%  |  |  |  |
| European Union 3.375% 12/12/2035 (q) | EUR | 17148000 | 20961321 |
| European Union 3.75% 10/12/2045 (q) | EUR | 2690000 | 3219545 |
| European Union 4% 4/4/2044 (q) | EUR | 4905000 | 6106997 |
| TOTAL MULTI-NATIONAL |  |  | 30287863 |
| NIGERIA - 0.0%  |  |  |  |
| Republic of Nigeria 6.125% 9/28/2028 (p) |  | 4410000 | 4445853 |
| Republic of Nigeria 6.5% 11/28/2027 (p) |  | 600000 | 609186 |
| Republic of Nigeria 7.143% 2/23/2030 (p) |  | 1650000 | 1701051 |
| Republic of Nigeria 7.696% 2/23/2038 (p) |  | 1110000 | 1108268 |
| Republic of Nigeria 7.875% 2/16/2032 (p) |  | 1840000 | 1926830 |
| Republic of Nigeria 9.1297% 1/13/2046 (p) |  | 760000 | 826880 |
| TOTAL NIGERIA |  |  | 10618068 |
| OMAN - 0.0%  |  |  |  |
| Oman Sultanate 5.625% 1/17/2028 (p) |  | 2185000 | 2239996 |
| Oman Sultanate 6% 8/1/2029 (p) |  | 1185000 | 1244250 |
| Oman Sultanate 6.25% 1/25/2031 (p) |  | 895000 | 960335 |
| Oman Sultanate 6.5% 3/8/2047 (p) |  | 1060000 | 1146920 |
| Oman Sultanate 6.75% 1/17/2048 (p) |  | 2034000 | 2240695 |
| Oman Sultanate 7% 1/25/2051 (p) |  | 685000 | 782051 |
| TOTAL OMAN |  |  | 8614247 |
| PAKISTAN - 0.0%  |  |  |  |
| Islamic Republic of Pakistan 6% 4/8/2026 (p) |  | 2270000 | 2267730 |
| Islamic Republic of Pakistan 6.875% 12/5/2027 (p) |  | 1525000 | 1536590 |
| Islamic Republic of Pakistan 7.375% 4/8/2031 (p) |  | 2260000 | 2231750 |
| TOTAL PAKISTAN |  |  | 6036070 |
| PANAMA - 0.0%  |  |  |  |
| Panamanian Republic 3.298% 1/19/2033  |  | 1135000 | 1016960 |
| Panamanian Republic 5.227% 2/23/2034  |  | 1845000 | 1843878 |
| Panamanian Republic 5.662% 2/23/2038  |  | 2985000 | 2997761 |
| Panamanian Republic 6.4% 2/14/2035  |  | 1005000 | 1076099 |
| Panamanian Republic 7.875% 3/1/2057  |  | 865000 | 1043190 |
| Panamanian Republic 8% 3/1/2038  |  | 915000 | 1090451 |
| TOTAL PANAMA |  |  | 9068339 |
| PARAGUAY - 0.0%  |  |  |  |
| Republic of Paraguay 2.739% 1/29/2033 (p) |  | 1045000 | 943531 |
| Republic of Paraguay 4.95% 4/28/2031 (p) |  | 793000 | 808662 |
| Republic of Paraguay 5.4% 3/30/2050 (p) |  | 930000 | 877920 |
| Republic of Paraguay 6% 2/9/2036 (p) |  | 560000 | 601999 |
| Republic of Paraguay 6.65% 3/4/2055 (p) |  | 650000 | 713050 |
| TOTAL PARAGUAY |  |  | 3945162 |
| PERU - 0.0%  |  |  |  |
| Peruvian Republic 2.783% 1/23/2031  |  | 2035000 | 1888480 |
| Peruvian Republic 3% 1/15/2034  |  | 1130000 | 992988 |
| Peruvian Republic 3.3% 3/11/2041  |  | 1735000 | 1363762 |
| TOTAL PERU |  |  | 4245230 |
| PHILIPPINES - 0.0%  |  |  |  |
| Philippine Republic 2.65% 12/10/2045  |  | 1655000 | 1106781 |
| Philippine Republic 2.95% 5/5/2045  |  | 430000 | 306160 |
| Philippine Republic 5% 7/17/2033  |  | 920000 | 947600 |
| Philippine Republic 5.5% 1/17/2048  |  | 805000 | 810031 |
| Philippine Republic 5.6% 5/14/2049  |  | 1075000 | 1092738 |
| Philippine Republic 5.609% 4/13/2033  |  | 825000 | 877594 |
| Philippine Republic 5.95% 10/13/2047  |  | 1320000 | 1398364 |
| TOTAL PHILIPPINES |  |  | 6539268 |
| POLAND - 0.0%  |  |  |  |
| Bank Gospodarstwa Krajowego 5.375% 5/22/2033 (p) |  | 780000 | 815061 |
| Bank Gospodarstwa Krajowego 6.25% 7/9/2054 (p) |  | 1805000 | 1908788 |
| Republic of Poland 5.5% 3/18/2054  |  | 1110000 | 1086290 |
| Republic of Poland 5.5% 4/4/2053  |  | 585000 | 571855 |
| Republic of Poland 5.75% 11/16/2032  |  | 1500000 | 1618125 |
| TOTAL POLAND |  |  | 6000119 |
| QATAR - 0.0%  |  |  |  |
| State of Qatar 4.4% 4/16/2050 (p) |  | 2090000 | 1873622 |
| State of Qatar 4.625% 6/2/2046 (p) |  | 3535000 | 3327319 |
| State of Qatar 4.817% 3/14/2049 (p) |  | 3480000 | 3334292 |
| State of Qatar 5.103% 4/23/2048 (p) |  | 3255000 | 3248685 |
| State of Qatar 9.75% 6/15/2030 (p) |  | 722000 | 888739 |
| TOTAL QATAR |  |  | 12672657 |
| ROMANIA - 0.1%  |  |  |  |
| Romanian Republic 2.124% 7/16/2031 (q) | EUR | 875000 | 934387 |
| Romanian Republic 3% 2/27/2027 (p) |  | 1076000 | 1062550 |
| Romanian Republic 3.625% 3/27/2032 (p) |  | 1206000 | 1121580 |
| Romanian Republic 4% 2/14/2051 (p) |  | 1365000 | 986172 |
| Romanian Republic 4.625% 3/4/2033 (p) | EUR | 2570000 | 3029120 |
| Romanian Republic 5.75% 7/4/2036 (p) |  | 1995000 | 1989015 |
| Romanian Republic 5.75% 9/16/2030 (p) |  | 1396000 | 1449481 |
| Romanian Republic 5.875% 7/11/2032 (q) | EUR | 3450000 | 4363915 |
| Romanian Republic 6% 5/25/2034 (p) |  | 1020000 | 1051875 |
| Romanian Republic 6.375% 1/30/2034 (q) |  | 1670000 | 1763762 |
| Romanian Republic 6.375% 9/18/2033 (q) | EUR | 1010000 | 1307207 |
| Romanian Republic 6.625% 2/17/2028 (p) |  | 610000 | 635602 |
| Romanian Republic 7.125% 1/17/2033 (p) |  | 780000 | 861845 |
| Romanian Republic 7.5% 2/10/2037 (p) |  | 2112000 | 2392495 |
| TOTAL ROMANIA |  |  | 22949006 |
| RWANDA - 0.0%  |  |  |  |
| Rwanda Republic 5.5% 8/9/2031 (p) |  | 1800000 | 1688058 |
| SAUDI ARABIA - 0.1%  |  |  |  |
| Kingdom of Saudi Arabia 2.25% 2/2/2033 (p) |  | 2285000 | 1978422 |
| Kingdom of Saudi Arabia 3.25% 10/22/2030 (p) |  | 10790000 | 10346315 |
| Kingdom of Saudi Arabia 3.45% 2/2/2061 (p) |  | 4585000 | 2994005 |
| Kingdom of Saudi Arabia 3.75% 1/21/2055 (p) |  | 1250000 | 901172 |
| Kingdom of Saudi Arabia 4.375% 1/12/2031 (p) |  | 985000 | 986359 |
| Kingdom of Saudi Arabia 4.5% 10/26/2046 (p) |  | 2465000 | 2120516 |
| Kingdom of Saudi Arabia 4.5% 4/22/2060 (p) |  | 7675000 | 6174682 |
| Kingdom of Saudi Arabia 4.625% 10/4/2047 (p) |  | 1355000 | 1179189 |
| Kingdom of Saudi Arabia 4.875% 1/12/2036 (p) |  | 1025000 | 1029100 |
| TOTAL SAUDI ARABIA |  |  | 27709760 |
| SENEGAL - 0.0%  |  |  |  |
| Republic of Senegal 6.25% 5/23/2033 (p) |  | 1150000 | 709481 |
| Republic of Senegal 6.75% 3/13/2048 (p) |  | 735000 | 413901 |
| TOTAL SENEGAL |  |  | 1123382 |
| SERBIA - 0.0%  |  |  |  |
| Republic of Serbia 2.125% 12/1/2030 (p) |  | 2015000 | 1790532 |
| Republic of Serbia 6% 6/12/2034 (p) |  | 750000 | 789685 |
| Republic of Serbia 6.5% 9/26/2033 (p) |  | 1650000 | 1796412 |
| TOTAL SERBIA |  |  | 4376629 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| South African Republic 4.85% 9/27/2027  |  | 1010000 | 1018585 |
| South African Republic 4.85% 9/30/2029  |  | 620000 | 622015 |
| South African Republic 5% 10/12/2046  |  | 1415000 | 1103700 |
| South African Republic 5.65% 9/27/2047  |  | 760000 | 641440 |
| South African Republic 5.75% 9/30/2049  |  | 2045000 | 1720356 |
| South African Republic 5.875% 4/20/2032  |  | 1415000 | 1461872 |
| South African Republic 6.125% 12/11/2037 (p) |  | 505000 | 497930 |
| South African Republic 7.1% 11/19/2036 (p) |  | 1755000 | 1887064 |
| South African Republic 7.25% 12/11/2055 (p) |  | 670000 | 670000 |
| TOTAL SOUTH AFRICA |  |  | 9622962 |
| SRI LANKA - 0.0%  |  |  |  |
| Democratic Socialist Republic of Sri Lanka 3.1% 1/15/2030 (o)(p) |  | 822214 | 819747 |
| Democratic Socialist Republic of Sri Lanka 3.35% 3/15/2033 (o)(p) |  | 3005850 | 2805023 |
| Democratic Socialist Republic of Sri Lanka 3.6% 2/15/2038 (o)(p) |  | 1125971 | 1119350 |
| Democratic Socialist Republic of Sri Lanka 3.6% 5/15/2036 (o)(p) |  | 562748 | 560497 |
| Democratic Socialist Republic of Sri Lanka 3.6% 6/15/2035 (o)(p) |  | 310852 | 253966 |
| Democratic Socialist Republic of Sri Lanka 4% 4/15/2028 (p) |  | 592955 | 575907 |
| TOTAL SRI LANKA |  |  | 6134490 |
| TRINIDAD & TOBAGO - 0.0%  |  |  |  |
| Republic of Trinidad & Tobago 6.5% 1/28/2036 (p) |  | 980000 | 991515 |
| TURKEY - 0.2%  |  |  |  |
| Turkish Republic 4.25% 4/14/2026  |  | 2035000 | 2032456 |
| Turkish Republic 4.875% 10/9/2026  |  | 3940000 | 3952354 |
| Turkish Republic 4.875% 4/16/2043  |  | 2105000 | 1601063 |
| Turkish Republic 5.125% 2/17/2028  |  | 1445000 | 1450867 |
| Turkish Republic 5.25% 3/13/2030  |  | 1055000 | 1041707 |
| Turkish Republic 5.75% 5/11/2047  |  | 3093000 | 2527754 |
| Turkish Republic 5.875% 6/26/2031  |  | 1330000 | 1323350 |
| Turkish Republic 6% 1/14/2041  |  | 3615000 | 3243342 |
| Turkish Republic 6% 3/25/2027  |  | 440000 | 446172 |
| Turkish Republic 6.3% 3/14/2033  |  | 815000 | 805016 |
| Turkish Republic 6.625% 2/17/2045  |  | 1020000 | 936360 |
| Turkish Republic 6.8% 11/4/2036  |  | 1890000 | 1890000 |
| Turkish Republic 6.875% 1/14/2038  |  | 1705000 | 1698180 |
| Turkish Republic 7.125% 7/17/2032  |  | 880000 | 917673 |
| Turkish Republic 7.25% 5/29/2032  |  | 815000 | 856003 |
| Turkish Republic 7.625% 5/15/2034  |  | 990000 | 1060290 |
| Turkish Republic 9.125% 7/13/2030  |  | 1120000 | 1268747 |
| Turkish Republic 9.375% 1/19/2033  |  | 3315000 | 3858661 |
| Turkish Republic 9.375% 3/14/2029  |  | 2840000 | 3160380 |
| Turkish Republic 9.875% 1/15/2028  |  | 3115000 | 3387967 |
| TOTAL TURKEY |  |  | 37458342 |
| UKRAINE - 0.0%  |  |  |  |
| Ukraine Government 0% 2/1/2030 (o)(p) |  | 425061 | 272888 |
| Ukraine Government 0% 2/1/2034 (o)(p) |  | 1588395 | 778314 |
| Ukraine Government 0% 2/1/2035 (o)(p) |  | 1822305 | 1032336 |
| Ukraine Government 0% 2/1/2036 (o)(p) |  | 1118587 | 631442 |
| Ukraine Government 4% 2/1/2032 (o)(p) |  | 1306500 | 1012538 |
| Ukraine Government 4.5% 2/1/2029 (o)(p) |  | 2180999 | 1669555 |
| Ukraine Government 4.5% 2/1/2034 (o)(p) |  | 2515444 | 1562091 |
| Ukraine Government 4.5% 2/1/2035 (o)(p) |  | 1408878 | 855189 |
| Ukraine Government 4.5% 2/1/2036 (o)(p) |  | 946169 | 567701 |
| TOTAL UKRAINE |  |  | 8382054 |
| UNITED ARAB EMIRATES - 0.0%  |  |  |  |
| Emirate of Abu Dhabi 3% 9/15/2051 (p) |  | 3520000 | 2416550 |
| Emirate of Abu Dhabi 3.125% 9/30/2049 (p) |  | 5230000 | 3742171 |
| Emirate of Abu Dhabi 3.875% 4/16/2050 (p) |  | 2400000 | 1930104 |
| Emirate of Abu Dhabi 5.5% 4/30/2054 (p) |  | 1425000 | 1458844 |
| Emirate of Dubai 3.9% 9/9/2050 (q) |  | 3695000 | 2773559 |
| Emirate of Dubai 5.25% 1/30/2043 (q) |  | 890000 | 891388 |
| TOTAL UNITED ARAB EMIRATES |  |  | 13212616 |
| URUGUAY - 0.0%  |  |  |  |
| Uruguay Republic 5.1% 6/18/2050  |  | 2260000 | 2171860 |
| Uruguay Republic 5.75% 10/28/2034  |  | 1080000 | 1160244 |
| TOTAL URUGUAY |  |  | 3332104 |
| UZBEKISTAN - 0.0%  |  |  |  |
| Republic of Uzbekistan 3.7% 11/25/2030 (p) |  | 725000 | 683197 |
| Republic of Uzbekistan 3.9% 10/19/2031 (p) |  | 495000 | 465145 |
| TOTAL UZBEKISTAN |  |  | 1148342 |
| VENEZUELA - 0.0%  |  |  |  |
| Venezuela Republic 11.95% (j)(q) |  | 1641700 | 750257 |
| Venezuela Republic 12.75% (j)(q) |  | 450400 | 208535 |
| Venezuela Republic 9.25% (j) |  | 10096000 | 4492720 |
| TOTAL VENEZUELA |  |  | 5451512 |
| ZAMBIA - 0.0%  |  |  |  |
| Republic of Zambia 0.5% 12/31/2053 (p) |  | 2047927 | 1498181 |
| Republic of Zambia 5.75% 6/30/2033 (o)(p) |  | 153970 | 149736 |
| TOTAL ZAMBIA |  |  | 1647917 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $542,841,708) |  |  | <br> **552555170** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.6%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.6%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.6%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.6%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ANGOLA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Azule Energy Finance Plc 8.25% 1/22/2031 (p) |  | 1050000 | 1058549 |
| ARGENTINA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Tecpetrol SA 7.625% 1/22/2033 (p) |  | 945000 | 971280 |
| Tecpetrol SA 7.625% 11/3/2030 (p) |  | 1015000 | 1030047 |
| YPF SA 8.25% 1/17/2034 (p) |  | 945000 | 973161 |
| TOTAL ARGENTINA |  |  | 2974488 |
| AUSTRALIA - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Australia & New Zealand Banking Group Ltd 5.1454% 8/18/2036 (d)(q) | GBP | 3500000 | 4758943 |
| Commonwealth Bank of Australia 2.688% 3/11/2031 (p) |  | 1856000 | 1716330 |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (d)(p) |  | 9644000 | 9398721 |
| Commonwealth Bank of Australia 3.788% 8/26/2037 (d)(q) | EUR | 3000000 | 3565608 |
| National Australia Bank Ltd 3.612% 1/22/2036 (d)(q) | EUR | 2700000 | 3207892 |
| Westpac Banking Corp 4.11% 7/24/2034 (d) |  | 13519000 | 13402758 |
|  |  |  | 36050252 |
| Financial Services - 0.0% |  |  |  |
| Cimic Finance Ltd 1.5% 5/28/2029 (q) | EUR | 985000 | 1105977 |
| Insurance - 0.0% |  |  |  |
| QBE Insurance Group Ltd 2.5% 9/13/2038 (d)(q) | GBP | 3020000 | 3876665 |
| TOTAL FINANCIALS |  |  | 41032894 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Mineral Resources Ltd 7% 4/1/2031 (p) |  | 1115000 | 1172991 |
| Mineral Resources Ltd 8% 11/1/2027 (p) |  | 3177000 | 3246784 |
| Mineral Resources Ltd 8.5% 5/1/2030 (p) |  | 2475000 | 2560429 |
| Mineral Resources Ltd 9.25% 10/1/2028 (p) |  | 1630000 | 1707184 |
| TOTAL MATERIALS |  |  | 8687388 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| AusNet Services Holdings Pty Ltd 6.134% 5/31/2033  | AUD | 3540000 | 2616484 |
| TOTAL AUSTRALIA |  |  | 52336766 |
| AUSTRIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Mondi Finance PLC 3.375% 5/23/2031 (q) | EUR | 1160000 | 1373953 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Supernova Invest GmbH 5% 6/24/2030 (q) | EUR | 850000 | 1041438 |
| TOTAL AUSTRIA |  |  | 2415391 |
| AZERBAIJAN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Southern Gas Corridor CJSC 6.875% 3/24/2026 (p) |  | 3096000 | 3101418 |
| State Oil Co of the Azerbaijan Republic 6.95% 3/18/2030 (q) |  | 950000 | 1026323 |
| TOTAL AZERBAIJAN |  |  | 4127741 |
| BAHRAIN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Bapco Energies BSC Closed 7.5% 10/25/2027 (p) |  | 2177000 | 2234952 |
| Bapco Energies BSC Closed 8.375% 11/7/2028 (p) |  | 910000 | 968131 |
| TOTAL BAHRAIN |  |  | 3203083 |
| BAILIWICK OF JERSEY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Aston Martin Capital Holdings Ltd 10% 3/31/2029 (p) |  | 3373000 | 2723698 |
| BELGIUM - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Barry Callebaut Services NV 4.25% 8/19/2031 (q) | EUR | 3500000 | 4306948 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Fluxys SA 4% 11/28/2030 (q) | EUR | 4200000 | 5098188 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Shurgard Luxembourg Sarl 4% 5/27/2035 (q) | EUR | 2100000 | 2508063 |
| TOTAL BELGIUM |  |  | 11913199 |
| BRAZIL - 0.1%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| MercadoLibre Inc 4.9% 1/15/2033  |  | 1380000 | 1374480 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Minerva Luxembourg SA 4.375% 3/18/2031 (p) |  | 685000 | 636511 |
| Minerva Luxembourg SA 8.875% 9/13/2033 (p) |  | 1890000 | 2064466 |
| NBM US Holdings Inc 6.625% 8/6/2029 (p) |  | 2015000 | 2035996 |
|  |  |  | 4736973 |
| Food Products - 0.0% |  |  |  |
| Marb Bondco PLC 3.95% 1/29/2031 (p) |  | 3005000 | 2735301 |
| TOTAL CONSUMER STAPLES |  |  | 7472274 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Guara Norte Sarl 5.198% 6/15/2034 (p) |  | 1233889 | 1209067 |
| Yinson Boronia Production BV 8.947% 7/31/2042 (p) |  | 2423793 | 2665905 |
|  |  |  | 3874972 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| MC Brazil Downstream Trading SARL 7.25% 6/30/2031 (p) |  | 2587111 | 2223299 |
| PRIO Luxembourg Holding Sarl 6.75% 10/15/2030 (p) |  | 1680000 | 1651062 |
|  |  |  | 3874361 |
| TOTAL ENERGY |  |  | 7749333 |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Ambipar Lux Sarl 9.875% (j)(p) |  | 8835000 | 1656563 |
| Marine Transportation - 0.0% |  |  |  |
| Yinson Bergenia Production BV 8.498% 1/31/2045 (p) |  | 631488 | 671824 |
| Passenger Airlines - 0.0% |  |  |  |
| Azul Secured Finance LLP 9.875% 2/15/2031 (p) |  | 1730000 | 1737976 |
| TOTAL INDUSTRIALS |  |  | 4066363 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Braskem Netherlands Finance BV 5.875% 1/31/2050 (p) |  | 895000 | 339590 |
| Braskem Netherlands Finance BV 7.25% 2/13/2033 (p) |  | 3230000 | 1332375 |
| Braskem Netherlands Finance BV 8% 10/15/2034 (p) |  | 815000 | 334663 |
| Braskem Netherlands Finance BV 8.5% 1/12/2031 (p) |  | 1285000 | 545354 |
|  |  |  | 2551982 |
| Metals & Mining - 0.1% |  |  |  |
| CSN Inova Ventures 6.75% 1/28/2028 (p) |  | 1710000 | 1465898 |
| CSN Resources SA 5.875% 4/8/2032 (p) |  | 970000 | 691125 |
| CSN Resources SA 8.875% 12/5/2030 (p) |  | 1185000 | 984735 |
| ERO Copper Corp 6.5% 2/15/2030 (p) |  | 3221000 | 3237105 |
| Nexa Resources SA 6.6% 4/8/2037 (p) |  | 865000 | 924537 |
| Nexa Resources SA 6.75% 4/9/2034 (p) |  | 885000 | 958013 |
| Samarco Mineracao SA 9% 6/30/2031 pay-in-kind (d)(p) |  | 9691706 | 9737072 |
| Usiminas International Sarl 7.5% 1/27/2032 (p) |  | 2120000 | 2183600 |
| Vale Overseas Ltd 6% 2/25/2056 (d)(p) |  | 1155000 | 1177593 |
| Vale Overseas Ltd 6.4% 6/28/2054  |  | 1870000 | 1950092 |
|  |  |  | 23309770 |
| Paper & Forest Products - 0.0% |  |  |  |
| LD Celulose International GmbH 7.95% 1/26/2032 (p) |  | 1620000 | 1707796 |
| Suzano Austria GmbH 3.75% 1/15/2031  |  | 930000 | 886529 |
| Suzano Austria GmbH 5% 1/15/2030  |  | 2685000 | 2706826 |
| Suzano Netherlands BV 5.5% 1/15/2036  |  | 1725000 | 1743113 |
|  |  |  | 7044264 |
| TOTAL MATERIALS |  |  | 32906016 |
| TOTAL BRAZIL |  |  | 53568466 |
| CAMEROON - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Golar LNG Ltd 7.5% 10/2/2030 (p) |  | 3825000 | 3830049 |
| Golar LNG Ltd 7.75% 9/19/2029 (p)(q) |  | 3000000 | 3023940 |
| TOTAL CAMEROON |  |  | 6853989 |
| CANADA - 0.3%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| TELUS Corp 6.625% 10/15/2055 (d) |  | 2080000 | 2147846 |
| TELUS Corp 7% 10/15/2055 (d) |  | 1040000 | 1097465 |
|  |  |  | 3245311 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Rogers Communications Inc 7% 4/15/2055 (d) |  | 1162000 | 1215245 |
| Rogers Communications Inc 7.125% 4/15/2055 (d) |  | 1162000 | 1230999 |
|  |  |  | 2446244 |
| TOTAL COMMUNICATION SERVICES |  |  | 5691555 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (p) |  | 790000 | 758642 |
| 1011778 BC ULC / New Red Finance Inc 4.375% 1/15/2028 (p) |  | 2540000 | 2528969 |
| 1011778 BC ULC / New Red Finance Inc 5.625% 9/15/2029 (p) |  | 3420000 | 3480445 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (p) |  | 1985000 | 2041499 |
|  |  |  | 8809555 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Gildan Activewear Inc 4.7% 10/7/2030 (p) |  | 2891000 | 2909534 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 11719089 |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Canadian Natural Resources Ltd 2.95% 7/15/2030  |  | 23000000 | 21983401 |
| Canadian Natural Resources Ltd 5.85% 2/1/2035  |  | 6942000 | 7429022 |
| Cenovus Energy Inc 3.75% 2/15/2052  |  | 3670000 | 2659018 |
| Cenovus Energy Inc 4.65% 3/20/2031  |  | 7070000 | 7159713 |
| Cenovus Energy Inc 5.25% 6/15/2037  |  | 9640000 | 9608322 |
| Cenovus Energy Inc 5.4% 3/20/2036  |  | 5441000 | 5542278 |
| Cenovus Energy Inc 5.4% 6/15/2047  |  | 2422000 | 2277545 |
| Cenovus Energy Inc 6.75% 11/15/2039  |  | 969000 | 1083249 |
| South Bow Canadian Infrastructure Holdings Ltd 7.5% 3/1/2055 (d) |  | 2250000 | 2388236 |
| South Bow Canadian Infrastructure Holdings Ltd 7.625% 3/1/2055 (d) |  | 349000 | 363677 |
| TOTAL ENERGY |  |  | 60494461 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of Nova Scotia/The 3.375% 3/5/2033 (d)(q) | EUR | 7535000 | 8978655 |
| Bank of Nova Scotia/The 4.338% 9/15/2031 (d) |  | 1100000 | 1103917 |
| Royal Bank of Canada 3.125% 9/27/2031 (d)(q) | EUR | 3540000 | 4210764 |
| Toronto Dominion Bank 3.357% 9/22/2032 (q) | EUR | 3585000 | 4242483 |
|  |  |  | 18535819 |
| Insurance - 0.0% |  |  |  |
| Sagicor Financial Co Ltd 5.3% 5/13/2028 (p) |  | 1590000 | 1583958 |
| TOTAL FINANCIALS |  |  | 20119777 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Bausch Health Cos Inc 11% 9/30/2028 (p) |  | 815000 | 852172 |
| Bausch Health Cos Inc 4.875% 6/1/2028 (p) |  | 844000 | 785452 |
| Bausch Health Cos Inc 5.25% 1/30/2030 (p) |  | 1130000 | 791000 |
| TOTAL HEALTH CARE |  |  | 2428624 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| Bombardier Inc 6.75% 6/15/2033 (p) |  | 1615000 | 1701795 |
| Bombardier Inc 7% 6/1/2032 (p) |  | 595000 | 626768 |
| Bombardier Inc 7.25% 7/1/2031 (p) |  | 2360000 | 2510835 |
|  |  |  | 4839398 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Wrangler Holdco Corp 6.625% 4/1/2032 (p) |  | 2880000 | 3000128 |
| TOTAL INDUSTRIALS |  |  | 7839526 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Methanex Corp 5.125% 10/15/2027  |  | 5342000 | 5362922 |
| Methanex Corp 5.25% 12/15/2029  |  | 510000 | 514313 |
| Methanex Corp 5.65% 12/1/2044  |  | 3657000 | 3329197 |
|  |  |  | 9206432 |
| Metals & Mining - 0.0% |  |  |  |
| Capstone Copper Corp 6.75% 3/31/2033 (p) |  | 2120000 | 2190884 |
| Champion Iron Canada Inc 7.875% 7/15/2032 (p) |  | 830000 | 882776 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (p) |  | 1780000 | 1778844 |
|  |  |  | 4852504 |
| TOTAL MATERIALS |  |  | 14058936 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Emera US Finance LP 3.55% 6/15/2026  |  | 5152000 | 5141561 |
| TransAlta Corp 5.875% 2/1/2034  |  | 3175000 | 3194844 |
| TransAlta Corp 6.5% 3/15/2040  |  | 2115000 | 2135566 |
| TOTAL UTILITIES |  |  | 10471971 |
| TOTAL CANADA |  |  | 132823939 |
| CHILE - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| VTR Comunicaciones SpA 4.375% 4/15/2029 (p) |  | 565000 | 558175 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Empresa Nacional del Petroleo 5.95% 7/30/2034 (p) |  | 730000 | 766292 |
| Empresa Nacional del Petroleo 6.15% 5/10/2033 (p) |  | 1065000 | 1129693 |
| TOTAL ENERGY |  |  | 1895985 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Sociedad Quimica y Minera de Chile SA 5.625% 4/22/2056 (d)(p) |  | 1585000 | 1604416 |
| Metals & Mining - 0.1% |  |  |  |
| Antofagasta PLC 2.375% 10/14/2030 (p) |  | 2510000 | 2280109 |
| Antofagasta PLC 5.625% 9/9/2035 (p) |  | 1400000 | 1453129 |
| Antofagasta PLC 5.625% 5/13/2032 (p) |  | 665000 | 695637 |
| Corp Nacional del Cobre de Chile 3% 9/30/2029 (p) |  | 290000 | 277765 |
| Corp Nacional del Cobre de Chile 3.15% 1/14/2030 (p) |  | 1100000 | 1056578 |
| Corp Nacional del Cobre de Chile 3.7% 1/30/2050 (p) |  | 3820000 | 2771658 |
| Corp Nacional del Cobre de Chile 5.125% 2/2/2033 (p) |  | 790000 | 807076 |
| Corp Nacional del Cobre de Chile 5.529% 1/30/2037 (p) |  | 970000 | 995201 |
| Corp Nacional del Cobre de Chile 5.95% 1/8/2034 (p) |  | 900000 | 953222 |
| Corp Nacional del Cobre de Chile 6.3% 9/8/2053 (p) |  | 1150000 | 1208127 |
| Corp Nacional del Cobre de Chile 6.33% 1/13/2035 (p) |  | 700000 | 756305 |
| Corp Nacional del Cobre de Chile 6.44% 1/26/2036 (p) |  | 930000 | 1015855 |
| Corp Nacional del Cobre de Chile 6.78% 1/13/2055 (p) |  | 865000 | 951954 |
|  |  |  | 15222616 |
| Paper & Forest Products - 0.0% |  |  |  |
| Celulosa Arauco y Constitucion SA 6.18% 5/5/2032 (p) |  | 835000 | 853253 |
| Inversiones CMPC SA 3% 4/6/2031 (p) |  | 1080000 | 962550 |
| Inversiones CMPC SA 6.125% 2/26/2034 (p) |  | 700000 | 713395 |
|  |  |  | 2529198 |
| TOTAL MATERIALS |  |  | 19356230 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Chile Electricity Lux Mpc II Sarl 5.58% 10/20/2035 (p) |  | 664703 | 687303 |
| Chile Electricity Lux MPC Sarl 6.01% 1/20/2033 (p) |  | 623500 | 654482 |
| TOTAL UTILITIES |  |  | 1341785 |
| TOTAL CHILE |  |  | 23152175 |
| CHINA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| Prosus NV 3.061% 7/13/2031 (p) |  | 1585000 | 1457772 |
| Prosus NV 3.68% 1/21/2030 (p) |  | 1370000 | 1326338 |
| Prosus NV 4.027% 8/3/2050 (p) |  | 2355000 | 1673522 |
| Prosus NV 4.193% 1/19/2032 (p) |  | 720000 | 697050 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 5154682 |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| ENN Energy Holdings Ltd 4.625% 5/17/2027 (p) |  | 2045000 | 2053609 |
| TOTAL CHINA |  |  | 7208291 |
| COLOMBIA - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Colombia Telecomunicaciones SA ESP 4.95% 7/17/2030 (p) |  | 3125000 | 2921094 |
| Energy - 0.1% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Oleoducto Central SA 4% 7/14/2027 (p) |  | 1503000 | 1487939 |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Canacol Energy Ltd 5.75% (j)(p) |  | 14684000 | 4331780 |
| Ecopetrol SA 4.625% 11/2/2031  |  | 950000 | 851438 |
| Ecopetrol SA 8.375% 1/19/2036  |  | 870000 | 893925 |
| Ecopetrol SA 8.875% 1/13/2033  |  | 5560000 | 5904164 |
| Geopark Ltd 5.5% 1/17/2027 (p) |  | 1720000 | 1646900 |
| Geopark Ltd 8.75% 1/31/2030 (p) |  | 1590000 | 1510182 |
| Gran Tierra Energy Inc 9.75% 4/15/2031 (p) |  | 3469000 | 2792545 |
|  |  |  | 17930934 |
| TOTAL ENERGY |  |  | 19418873 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bancolombia SA 8.625% 12/24/2034 (d) |  | 1080000 | 1153855 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Aris Mining Corp 8% 10/31/2029 (p) |  | 2150000 | 2250658 |
| 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 (p) |  | 7608000 | 7151520 |
| EnfraGen Energia Sur SAU/ EnfraGen Chile SpA/ EnfraGen Spain SAU 8.499% 6/30/2032 (p) |  | 785000 | 819512 |
| Termocandelaria Power SA 7.75% 9/17/2031 (p) |  | 1490000 | 1546814 |
| TOTAL UTILITIES |  |  | 9517846 |
| TOTAL COLOMBIA |  |  | 35262326 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Ivanhoe Mines Ltd 7.875% 1/23/2030 (p) |  | 1445000 | 1504381 |
| COSTA RICA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Liberty Costa Rica Senior Secured Finance 10.875% 1/15/2031 (p) |  | 1395000 | 1482620 |
| COTE D'IVOIRE - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Endeavour Mining PLC 7% 5/28/2030 (p) |  | 2350000 | 2428091 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| Czechoslovak Group AS 6.5% 1/10/2031 (p) |  | 1785000 | 1870055 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 1.5% 1/27/2031 (q) | EUR | 1600000 | 1567274 |
| TOTAL CZECH REPUBLIC |  |  | 3437329 |
| DENMARK - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Carlsberg Breweries A/S 3.25% 2/28/2032 (q) | EUR | 1930000 | 2296202 |
| Tobacco - 0.0% |  |  |  |
| Scandinavian Tobacco Group A/S 4.875% 9/12/2029 (q) | EUR | 1325000 | 1637583 |
| TOTAL CONSUMER STAPLES |  |  | 3933785 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Danske Bank A/S 3.875% 1/9/2032 (d)(q) | EUR | 6730000 | 8244009 |
| Jyske Bank A/S 5.125% 5/1/2035 (d)(q) | EUR | 1323000 | 1652806 |
| TOTAL FINANCIALS |  |  | 9896815 |
| TOTAL DENMARK |  |  | 13830600 |
| DOMINICAN REPUBLIC - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Aeropuertos Dominicanos Siglo XXI SA 7% 6/30/2034 (p) |  | 1095000 | 1149181 |
| FINLAND - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Leisure Products - 0.0% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (p) |  | 3317000 | 3460945 |
| Materials - 0.0% |  |  |  |
| Paper & Forest Products - 0.0% |  |  |  |
| Ahlstrom Holding 3 Oy 4.875% 2/4/2028 (p) |  | 830000 | 825468 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (q) | EUR | 1000000 | 1148242 |
| Citycon Treasury BV 5.375% 7/8/2031 (q) | EUR | 1000000 | 1143249 |
| TOTAL REAL ESTATE |  |  | 2291491 |
| TOTAL FINLAND |  |  | 6577904 |
| FRANCE - 0.4%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| Altice France SA 6.5% 10/15/2031 (p) |  | 4935217 | 4744055 |
| Altice France SA 6.5% 4/15/2032 (p) |  | 8222567 | 7874803 |
| Altice France SA 6.875% 10/15/2030 (p) |  | 3571649 | 3462414 |
| Altice France SA 6.875% 7/15/2032 (p) |  | 1596799 | 1532965 |
| Orange SA 4.75% 1/13/2033 (p) |  | 2135000 | 2159897 |
| Orange SA 5% 1/13/2036 (p) |  | 2135000 | 2144387 |
|  |  |  | 21918521 |
| Media - 0.0% |  |  |  |
| Publicis Groupe SA 3.375% 6/12/2032 (q) | EUR | 1800000 | 2129967 |
| TOTAL COMMUNICATION SERVICES |  |  | 24048488 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Forvia SE 6.75% 9/15/2033 (p) |  | 2025000 | 2080896 |
| Valeo SE 4.625% 3/23/2032 (q) | EUR | 1100000 | 1321838 |
|  |  |  | 3402734 |
| Automobiles - 0.0% |  |  |  |
| RCI Banque SA 4.75% 3/24/2037 (d)(q) | EUR | 1300000 | 1584365 |
| RCI Banque SA 5.5% 10/9/2034 (d)(q) | EUR | 1900000 | 2374247 |
|  |  |  | 3958612 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 7361346 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Pernod Ricard SA 3.75% 2/4/2037 (q) | EUR | 2500000 | 2943292 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vallourec SACA 7.5% 4/15/2032 (p) |  | 5106000 | 5421444 |
| Viridien 10% 10/15/2030 (p) |  | 1800000 | 1930170 |
| TOTAL ENERGY |  |  | 7351614 |
| Financials - 0.3% |  |  |  |
| Banks - 0.3% |  |  |  |
| BNP Paribas SA 3.945% 2/18/2037 (d)(q) | EUR | 6300000 | 7500244 |
| BNP Paribas SA 5.786% 1/13/2033 (d)(p) |  | 32823000 | 34764393 |
| BPCE SA 5.716% 1/18/2030 (d)(p) |  | 2250000 | 2337544 |
| BPCE SA 7.003% 10/19/2034 (d)(p) |  | 1959000 | 2201616 |
| Societe Generale SA 5.5% 4/13/2029 (d)(p) |  | 22413000 | 22998548 |
| Societe Generale SA 6.691% 1/10/2034 (d)(p) |  | 1700000 | 1866815 |
|  |  |  | 71669160 |
| Financial Services - 0.0% |  |  |  |
| Iliad Holding SAS 7% 4/15/2032 (p) |  | 2375000 | 2437900 |
| Iliad Holding SAS 8.5% 4/15/2031 (p) |  | 2565000 | 2748339 |
|  |  |  | 5186239 |
| TOTAL FINANCIALS |  |  | 76855399 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Holding d'Infrastructures des Metiers de l'Environnement SAS 0.625% 9/16/2028 (q) | EUR | 1560000 | 1737119 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Electricite de France SA 5.5% 1/25/2035 (q) | GBP | 1700000 | 2296497 |
| Electricite de France SA 6.125% 6/2/2034 (q) | GBP | 2400000 | 3401283 |
|  |  |  | 5697780 |
| Multi-Utilities - 0.0% |  |  |  |
| Engie SA 3.875% 3/6/2036 (q) | EUR | 1400000 | 1689604 |
| Engie SA 4.25% 9/6/2034 (q) | EUR | 2000000 | 2499969 |
| Veolia Environnement SA 3.324% 6/17/2032 (q) | EUR | 3500000 | 4165661 |
|  |  |  | 8355234 |
| TOTAL UTILITIES |  |  | 14053014 |
| TOTAL FRANCE |  |  | 134350272 |
| GEORGIA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Silk Road Group Holding LLC 7.5% 9/15/2030 (p) |  | 1185000 | 1208700 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Georgian Railway JSC 4% 6/17/2028 (p) |  | 520000 | 497900 |
| TOTAL GEORGIA |  |  | 1706600 |
| GERMANY - 0.5%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Robert Bosch GmbH 4.375% 6/2/2043 (q) | EUR | 1200000 | 1424649 |
| Schaeffler AG 5.375% 4/1/2031 (q) | EUR | 1200000 | 1506392 |
| ZF Europe Finance BV 4.75% 1/31/2029 (q) | EUR | 1300000 | 1560796 |
| ZF Europe Finance BV 5.5% 2/17/2032 (q) | EUR | 1800000 | 2128260 |
| ZF Europe Finance BV 7% 6/12/2030 (q) | EUR | 1100000 | 1396543 |
| ZF North America Capital Inc 6.75% 4/23/2030 (p) |  | 2125000 | 2148703 |
| ZF North America Capital Inc 6.875% 4/23/2032 (p) |  | 1210000 | 1213990 |
| ZF North America Capital Inc 7.125% 4/14/2030 (p) |  | 1040000 | 1066649 |
| ZF North America Capital Inc 7.5% 3/24/2031 (p) |  | 820000 | 845103 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 13291085 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| METRO AG 4% 3/5/2030 (q) | EUR | 1360000 | 1687037 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vier Gas Transport GmbH 3.625% 9/8/2033 (q) | EUR | 2900000 | 3460824 |
| Financials - 0.3% |  |  |  |
| Banks - 0.0% |  |  |  |
| Commerzbank AG 3.625% 1/14/2032 (d)(q) | EUR | 1400000 | 1683596 |
| DZ Bank AG Deutsche Zentral-Genossenschaftsbank Frankfurt Am Main 3.706% 10/15/2035 (d)(q) | EUR | 1400000 | 1662511 |
| Volkswagen Bank GmbH 3.5% 6/19/2031 (q) | EUR | 2200000 | 2630303 |
|  |  |  | 5976410 |
| Capital Markets - 0.3% |  |  |  |
| Deutsche Bank AG/New York NY 3.729% 1/14/2032 (d) |  | 60841000 | 57884935 |
| Deutsche Bank AG/New York NY 5.882% 7/8/2031 (d) |  | 10000000 | 10424497 |
|  |  |  | 68309432 |
| Financial Services - 0.0% |  |  |  |
| KfW 0.375% 5/20/2036 (q) | EUR | 660000 | 610620 |
| KfW 0.75% 1/15/2029 (q) | EUR | 8640000 | 9801613 |
| KfW 2.625% 11/15/2032 (q) | EUR | 1170000 | 1388198 |
|  |  |  | 11800431 |
| TOTAL FINANCIALS |  |  | 86086273 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Bayer US Finance LLC 6.375% 11/21/2030 (p) |  | 3850000 | 4146804 |
| Bayer US Finance LLC 6.5% 11/21/2033 (p) |  | 7640000 | 8373778 |
| TOTAL HEALTH CARE |  |  | 12520582 |
| Industrials - 0.0% |  |  |  |
| Machinery - 0.0% |  |  |  |
| TK Elevator US Newco Inc 5.25% 7/15/2027 (p) |  | 5360000 | 5357824 |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| Infineon Technologies AG 3.5% 2/16/2034 (q) | EUR | 2300000 | 2737385 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| ACCENTRO East Holding GMBH 6% 6/30/2027 pay-in-kind (k) | EUR | 400000 | 472640 |
| Accentro Real Estate AG 10% 12/30/2027 pay-in-kind  | EUR | 1423207 | 1800672 |
| Accentro Real Estate AG 5.625% 12/30/2034 pay-in-kind (d)(q) | EUR | 4488713 | 1432043 |
| Sirius Real Estate Ltd 4% 1/22/2032 (q) | EUR | 2100000 | 2507710 |
| TOTAL REAL ESTATE |  |  | 6213065 |
| Utilities - 0.2% |  |  |  |
| Electric Utilities - 0.1% |  |  |  |
| Amprion GmbH 3.125% 8/27/2030 (q) | EUR | 2500000 | 2978582 |
| Amprion GmbH 3.625% 5/21/2031 (q) | EUR | 1000000 | 1214281 |
| Amprion GmbH 3.875% 6/5/2036 (q) | EUR | 2700000 | 3239064 |
| EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/2081 (d)(q) | EUR | 3400000 | 3844871 |
| EnBW International Finance BV 3.75% 11/20/2035 (q) | EUR | 4845000 | 5828605 |
| EnBW International Finance BV 5.7923% 2/26/2036 (q) | AUD | 3140000 | 2228257 |
|  |  |  | 19333660 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |  |
| RWE Finance US LLC 5.125% 9/18/2035 (p) |  | 4265000 | 4275718 |
| RWE Finance US LLC 5.875% 4/16/2034 (p) |  | 4881000 | 5181633 |
|  |  |  | 9457351 |
| TOTAL UTILITIES |  |  | 28791011 |
| TOTAL GERMANY |  |  | 160145086 |
| GHANA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Kosmos Energy Gta Holdings 11.25% 1/29/2031 (p)(q) |  | 800000 | 814250 |
| Kosmos Energy Ltd 7.5% 3/1/2028 (p) |  | 1740000 | 1502925 |
| Kosmos Energy Ltd 8.75% 10/1/2031 (p) |  | 6035000 | 4526250 |
| Tullow Oil PLC 10.25% 5/15/2026 (p) |  | 5308000 | 4705011 |
| TOTAL GHANA |  |  | 11548436 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (p) |  | 5450000 | 5617320 |
| GREECE - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| Danaos Corp 6.875% 10/15/2032 (p) |  | 2070000 | 2134688 |
| GUATEMALA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| CT Trust 5.125% 2/3/2032 (p) |  | 2520000 | 2419805 |
| Millicom International Cellular SA 4.5% 4/27/2031 (p) |  | 3085000 | 2870729 |
| Millicom International Cellular SA 5.125% 1/15/2028 (p) |  | 549000 | 546090 |
| Millicom International Cellular SA 7.375% 4/2/2032 (p) |  | 2850000 | 2941367 |
| TOTAL COMMUNICATION SERVICES |  |  | 8777991 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Cntl Amr Bottling Corp 5.25% 4/27/2029 (p) |  | 1700000 | 1679770 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Energuate Trust 2 0 6.35% 9/15/2035 (p) |  | 1295000 | 1312797 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Investment Energy Resources Ltd 6.25% 4/26/2029 (p) |  | 1919000 | 1925601 |
| TOTAL UTILITIES |  |  | 3238398 |
| TOTAL GUATEMALA |  |  | 13696159 |
| HONG KONG - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| Prudential Funding Asia PLC 2.95% 11/3/2033 (d)(q) |  | 6560000 | 6337132 |
| HUNGARY - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Magyar Export-Import Bank Zrt 6.125% 12/4/2027 (p) |  | 540000 | 555525 |
| OTP Bank Nyrt 8.75% 5/15/2033 (d)(q) |  | 650000 | 695299 |
| TOTAL FINANCIALS |  |  | 1250824 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| MVM Energetika Zrt 6.5% 3/13/2031 (q) |  | 520000 | 553800 |
| TOTAL HUNGARY |  |  | 1804624 |
| INDIA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Consumer Finance - 0.0% |  |  |  |
| Shriram Finance Ltd 6.625% 4/22/2027 (p) |  | 1235000 | 1259700 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Biocon Biologics Global PLC 6.67% 10/9/2029 (p) |  | 950000 | 959991 |
| TOTAL INDIA |  |  | 2219691 |
| INDONESIA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Medco Laurel Tree Pte Ltd 6.95% 11/12/2028 (p) |  | 2195000 | 2204614 |
| Medco Maple Tree Pte Ltd 8.96% 4/27/2029 (p) |  | 1995000 | 2072306 |
| Pertamina Persero PT 4.175% 1/21/2050 (p) |  | 1425000 | 1100813 |
| TOTAL ENERGY |  |  | 5377733 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Freeport Indonesia PT 4.763% 4/14/2027 (p) |  | 580000 | 582552 |
| Freeport Indonesia PT 5.315% 4/14/2032 (p) |  | 2305000 | 2352310 |
| Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT 5.45% 5/15/2030 (p) |  | 3310000 | 3408503 |
| TOTAL MATERIALS |  |  | 6343365 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Pertamina Geothermal Energy PT 5.15% 4/27/2028 (p) |  | 775000 | 785943 |
| TOTAL INDONESIA |  |  | 12507041 |
| IRELAND - 0.6%  |  |  |  |
| Financials - 0.4% |  |  |  |
| Consumer Finance - 0.3% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  |  | 15103000 | 14956836 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  |  | 15819000 | 15389026 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  |  | 26922000 | 25158623 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  |  | 49188000 | 50425847 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 1/31/2056 (d) |  | 1991000 | 2064032 |
|  |  |  | 107994364 |
| Financial Services - 0.1% |  |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (p) |  | 2470000 | 2509075 |
| GGAM Finance Ltd 6.875% 4/15/2029 (p) |  | 765000 | 788007 |
| GGAM Finance Ltd 8% 6/15/2028 (p) |  | 4664000 | 4903460 |
|  |  |  | 8200542 |
| TOTAL FINANCIALS |  |  | 116194906 |
| Industrials - 0.2% |  |  |  |
| Transportation Infrastructure - 0.2% |  |  |  |
| Avolon Holdings Funding Ltd 4.25% 4/15/2026 (p) |  | 5430000 | 5429275 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (p) |  | 16881000 | 16882046 |
| Avolon Holdings Funding Ltd 4.7% 1/30/2031 (p) |  | 25200000 | 25287983 |
| Avolon Holdings Funding Ltd 4.85% 4/1/2033 (p) |  | 1059000 | 1049648 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (p) |  | 2440000 | 2498691 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (p) |  | 13121000 | 13571100 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (p) |  | 26728000 | 27857113 |
| TOTAL INDUSTRIALS |  |  | 92575856 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Smurfit Kappa Treasury ULC 3.489% 11/24/2031  | EUR | 620000 | 742259 |
| TOTAL IRELAND |  |  | 209513021 |
| ISRAEL - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Energean Israel Finance Ltd 5.375% 3/30/2028 (p)(q) |  | 805000 | 795763 |
| Energean Israel Finance Ltd 5.875% 3/30/2031 (p)(q) |  | 600000 | 576799 |
| Energean Israel Finance Ltd 8.5% 9/30/2033 (p)(q) |  | 800000 | 844012 |
| Leviathan Bond Ltd 6.5% 6/30/2027 (p)(q) |  | 1885000 | 1896310 |
| Leviathan Bond Ltd 6.75% 6/30/2030 (p)(q) |  | 760000 | 783177 |
| TOTAL ENERGY |  |  | 4896061 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank Hapoalim BM 5.252% 1/14/2033 (p)(q) |  | 1025000 | 1036138 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Teva Pharmaceutical Finance Netherlands III BV 3.15% 10/1/2026  |  | 1451000 | 1440365 |
| Teva Pharmaceutical Finance Netherlands III BV 4.75% 5/9/2027  |  | 1320000 | 1320380 |
| Teva Pharmaceutical Finance Netherlands III BV 6% 12/1/2032  |  | 2180000 | 2313312 |
| Teva Pharmaceutical Finance Netherlands III BV 7.875% 9/15/2029  |  | 1535000 | 1678636 |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  |  | 1585000 | 1644693 |
| TOTAL HEALTH CARE |  |  | 8397386 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Israel Electric Corp Ltd 3.75% 2/22/2032 (p)(q) |  | 925000 | 873275 |
| TOTAL ISRAEL |  |  | 15202860 |
| ITALY - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Intesa Sanpaolo SpA 3.875% 7/14/2027 (p) |  | 5666000 | 5658264 |
| Intesa Sanpaolo SpA 4.198% 6/1/2032 (d)(p) |  | 4469000 | 4318761 |
| TOTAL FINANCIALS |  |  | 9977025 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Enel Finance International NV 4.375% 9/30/2030 (p) |  | 1042000 | 1047324 |
| Enel Finance International NV 5.5% 6/26/2034 (p) |  | 1600000 | 1669211 |
| Enel Finance International NV 7.5% 10/14/2032 (p) |  | 712000 | 824223 |
| Enel SpA 3.375% (d)(n)(q) | EUR | 1386000 | 1640607 |
|  |  |  | 5181365 |
| Gas Utilities - 0.0% |  |  |  |
| Snam SpA 5.75% 5/28/2035 (p) |  | 2449000 | 2588092 |
| TOTAL UTILITIES |  |  | 7769457 |
| TOTAL ITALY |  |  | 17746482 |
| JAMAICA - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Kingston Airport Revenue Finance Ltd 6.75% 12/15/2036 (p) |  | 785000 | 804468 |
| Montego Bay Airport Revenue Finance Ltd 6.6% 6/15/2035 (p) |  | 635000 | 641350 |
| TOTAL JAMAICA |  |  | 1445818 |
| JAPAN - 0.1%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| NTT Finance Corp 3.678% 7/16/2033 (q) | EUR | 1400000 | 1684729 |
| NTT Finance Corp 4.567% 7/16/2027 (p) |  | 4566000 | 4607420 |
| NTT Finance Corp 4.62% 7/16/2028 (p) |  | 4618000 | 4687766 |
| NTT Finance Corp 4.876% 7/16/2030 (p) |  | 11656000 | 11958164 |
| TOTAL COMMUNICATION SERVICES |  |  | 22938079 |
| Consumer Staples - 0.0% |  |  |  |
| Tobacco - 0.0% |  |  |  |
| Japan Tobacco Inc 5.856% 6/15/2035 (p) |  | 2970000 | 3214111 |
| TOTAL JAPAN |  |  | 26152190 |
| KAZAKHSTAN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| KazMunayGas National Co JSC 3.5% 4/14/2033 (p) |  | 1415000 | 1296932 |
| KazMunayGas National Co JSC 5.375% 4/24/2030 (p) |  | 520000 | 533302 |
| KazMunayGas National Co JSC 5.75% 4/19/2047 (p) |  | 460000 | 440036 |
| Tengizchevroil Finance Co International Ltd 3.25% 8/15/2030 (p) |  | 1507000 | 1403017 |
| TOTAL KAZAKHSTAN |  |  | 3673287 |
| KOREA (SOUTH) - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| POSCO 5.75% 1/17/2028 (p) |  | 1535000 | 1581888 |
| POSCO 5.875% 1/17/2033 (p) |  | 490000 | 529223 |
| TOTAL KOREA (SOUTH) |  |  | 2111111 |
| KUWAIT - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| MEGlobal BV 2.625% 4/28/2028 (p) |  | 1085000 | 1045940 |
| LUXEMBOURG - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Altice Financing SA 5.75% 8/15/2029 (p) |  | 9015000 | 6253846 |
| Altice Financing SA 9.625% 7/15/2027 (p) |  | 1910000 | 1428108 |
|  |  |  | 7681954 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Altice France Lux 3 / Altice Holdings 1 10% 1/15/2033 (p) |  | 1100000 | 1033684 |
| TOTAL COMMUNICATION SERVICES |  |  | 8715638 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Breakwater Energy Holdings Sarl 9.25% 11/15/2030 (p) |  | 1970000 | 2098642 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Titanium 2l Bondco Sarl 6.25% 1/14/2031 pay-in-kind  | EUR | 19337400 | 4261697 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Herens Holdco Sarl 4.75% 5/15/2028 (p) |  | 8435000 | 7422953 |
| Real Estate - 0.1% |  |  |  |
| Diversified REITs - 0.0% |  |  |  |
| Stoneweg Ereit Lux Finco Sarl 4.125% 2/22/2033 (q) | EUR | 4300000 | 5105414 |
| Industrial REITs - 0.0% |  |  |  |
| Prologis International Funding II SA 4.375% 7/1/2036 (q) | EUR | 1300000 | 1605037 |
| Real Estate Management & Development - 0.1% |  |  |  |
| AXA Logistics Europe Master SCA 3.375% 5/13/2031 (q) | EUR | 1100000 | 1311032 |
| Blackstone Property Partners Europe Holdings Sarl 1.75% 3/12/2029 (q) | EUR | 4975000 | 5682359 |
| CBRE Europe Logistics Partners SCA SICAV-SIF 3.5% 9/22/2032 (q) | EUR | 2885000 | 3391524 |
| CBRE Open-Ended Funds SCA SICAV-SIF 4.75% 3/27/2034 (q) | EUR | 1450000 | 1816564 |
| Logicor Financing Sarl 0.875% 1/14/2031 (q) | EUR | 2100000 | 2209123 |
| Logicor Financing Sarl 3.75% 7/14/2032 (q) | EUR | 715000 | 852010 |
| Logicor Financing Sarl 4.25% 7/18/2029 (q) | EUR | 2670000 | 3277465 |
| P3 Group Sarl 3.75% 4/2/2033 (q) | EUR | 1400000 | 1658099 |
| P3 Group Sarl 4% 4/19/2032 (q) | EUR | 2400000 | 2906576 |
|  |  |  | 23104752 |
| TOTAL REAL ESTATE |  |  | 29815203 |
| TOTAL LUXEMBOURG |  |  | 52314133 |
| MALAYSIA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| GENM Capital Labuan Ltd 3.882% 4/19/2031 (p) |  | 1985000 | 1833644 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Petronas Capital Ltd 3.404% 4/28/2061 (p) |  | 2425000 | 1676314 |
| Petronas Capital Ltd 3.5% 4/21/2030 (p) |  | 625000 | 613287 |
| TOTAL ENERGY |  |  | 2289601 |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| MISC Capital Two Labuan Ltd 3.75% 4/6/2027 (p) |  | 2601000 | 2590986 |
| TOTAL MALAYSIA |  |  | 6714231 |
| MAURITIUS - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Axian Telecom Holding & Management PLC 7.25% 7/11/2030 (p) |  | 3065000 | 3105765 |
| MEXICO - 0.9%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| TV Azteca SAB de CV 8.25% (j)(q) |  | 4321000 | 1469140 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Metalsa Sapi De Cv 3.75% 5/4/2031 (p) |  | 1525000 | 1326270 |
| Energy - 0.9% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.9% |  |  |  |
| FEL Energy VI SARL 5.75% 12/1/2040 (p) |  | 1252481 | 1228381 |
| Petroleos Mexicanos 5.35% 2/12/2028  |  | 650000 | 652510 |
| Petroleos Mexicanos 5.95% 1/28/2031  |  | 121917000 | 119356743 |
| Petroleos Mexicanos 6.35% 2/12/2048  |  | 43373000 | 34802495 |
| Petroleos Mexicanos 6.5% 6/2/2041  |  | 380000 | 338264 |
| Petroleos Mexicanos 6.625% 6/15/2035  |  | 6753000 | 6461946 |
| Petroleos Mexicanos 6.7% 2/16/2032  |  | 64277000 | 64463403 |
| Petroleos Mexicanos 6.75% 9/21/2047  |  | 33853000 | 28148770 |
| Petroleos Mexicanos 6.95% 1/28/2060  |  | 24897000 | 20496082 |
| Petroleos Mexicanos 7.69% 1/23/2050  |  | 56080000 | 50931856 |
| TOTAL ENERGY |  |  | 326880450 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX 5.25% 9/10/2029 (p) |  | 1605000 | 1650282 |
| Capital Markets - 0.0% |  |  |  |
| Eagle Funding Luxco Sarl 5.5% 8/17/2030 (p) |  | 3755000 | 3830100 |
| TOTAL FINANCIALS |  |  | 5480382 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Orbia Advance Corp SAB de CV 2.875% 5/11/2031 (p) |  | 1525000 | 1264835 |
| Orbia Advance Corp SAB de CV 6.8% 5/13/2030 (p) |  | 2500000 | 2514481 |
|  |  |  | 3779316 |
| Metals & Mining - 0.0% |  |  |  |
| Fresnillo PLC 4.25% 10/2/2050 (p) |  | 1545000 | 1225571 |
| TOTAL MATERIALS |  |  | 5004887 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Corp Inmobiliaria Vesta SAB de CV 5.5% 1/30/2033 (p) |  | 1335000 | 1339779 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Buffalo Energy Mexico Holdings / Buffalo Energy Infrastructure / Buffalo Energy 7.875% 2/15/2039 (p) |  | 1833978 | 2004882 |
| Saavi Energia Sarl 8.875% 2/10/2035 (p) |  | 2735000 | 3004436 |
| TOTAL UTILITIES |  |  | 5009318 |
| TOTAL MEXICO |  |  | 346510226 |
| MOROCCO - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| OCP SA 3.75% 6/23/2031 (p) |  | 1405000 | 1324915 |
| OCP SA 5.125% 6/23/2051 (p) |  | 880000 | 732327 |
| OCP SA 6.1% 4/30/2030 (p) |  | 1045000 | 1092025 |
| OCP SA 6.75% 5/2/2034 (p) |  | 935000 | 1014821 |
| OCP SA 6.875% 4/25/2044 (p) |  | 1515000 | 1596204 |
| OCP SA 7.5% 5/2/2054 (p) |  | 710000 | 796593 |
| TOTAL MOROCCO |  |  | 6556885 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| European Investment Bank 2.875% 1/12/2033 (q) | EUR | 920000 | 1105791 |
| European Investment Bank 2.875% 6/18/2035 (q) | EUR | 3585000 | 4258568 |
| TOTAL MULTI-NATIONAL |  |  | 5364359 |
| NETHERLANDS - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Koninklijke KPN NV 3.875% 2/16/2036 (q) | EUR | 800000 | 961066 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| REWE International Finance BV 4.875% 9/13/2030 (q) | EUR | 1100000 | 1393696 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Cooperatieve Rabobank UA 5.71% 1/21/2033 (d)(p) |  | 4348000 | 4624554 |
| ING Groep NV 3% 8/17/2031 (d)(q) | EUR | 4300000 | 5061059 |
|  |  |  | 9685613 |
| Insurance - 0.0% |  |  |  |
| Argentum Netherlands BV 5.625% 8/15/2052 (d)(q) |  | 4156000 | 4211807 |
| TOTAL FINANCIALS |  |  | 13897420 |
| Information Technology - 0.1% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  |  | 10103000 | 10278078 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  |  | 29133000 | 29759314 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 40037392 |
| TOTAL NETHERLANDS |  |  | 56289574 |
| NIGERIA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| IHS Holding Ltd 5.625% 11/29/2026 (p) |  | 3260000 | 3243929 |
| IHS Holding Ltd 6.25% 11/29/2028 (p) |  | 730000 | 732051 |
| IHS Holding Ltd 7.875% 5/29/2030 (p) |  | 3095000 | 3230406 |
| IHS Holding Ltd 8.25% 11/29/2031 (p) |  | 1975000 | 2103513 |
| TOTAL COMMUNICATION SERVICES |  |  | 9309899 |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| IHS Netherlands Holdco BV 8% 9/18/2027 (p) |  | 546543 | 548729 |
| TOTAL NIGERIA |  |  | 9858628 |
| NORWAY - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| TGS ASA 8.5% 1/15/2030 (p) |  | 2050000 | 2165366 |
| PANAMA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (p) |  | 5150000 | 5211832 |
| Media - 0.0% |  |  |  |
| Telecomunicaciones Digitales SA 4.5% 1/30/2030 (p) |  | 3155000 | 3032744 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (p) |  | 6795000 | 7017723 |
| TOTAL COMMUNICATION SERVICES |  |  | 15262299 |
| Industrials - 0.0% |  |  |  |
| Air Freight & Logistics - 0.0% |  |  |  |
| Aeropuerto Internacional de Tocumen SA 5.125% 8/11/2061 (p) |  | 545000 | 449009 |
| TOTAL PANAMA |  |  | 15711308 |
| PARAGUAY - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Telefonica Celular del Paraguay SA 5.875% 4/15/2027 (p) |  | 348000 | 346106 |
| PERU - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| InRetail Shopping Malls 5.65% 10/16/2032 (p) |  | 1370000 | 1376508 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco de Credito del Peru S.A. 5.8% 3/10/2035 (d)(p) |  | 1760000 | 1795200 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Cia de Minas Buenaventura SAA 6.8% 2/4/2032 (p) |  | 1900000 | 1981842 |
| Volcan Cia Minera SAA 8.5% 10/28/2032 (p) |  | 4410000 | 4614106 |
| TOTAL MATERIALS |  |  | 6595948 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Kallpa Generacion SA 5.5% 9/11/2035 (p) |  | 905000 | 915091 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Niagara Energy SAC 5.746% 10/3/2034 (p) |  | 1805000 | 1868348 |
| TOTAL UTILITIES |  |  | 2783439 |
| TOTAL PERU |  |  | 12551095 |
| POLAND - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| ORLEN SA 6% 1/30/2035 (p) |  | 2355000 | 2501881 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GTC Aurora Luxembourg SA 2.25% 6/23/2026 (q) | EUR | 4850000 | 5696777 |
| GTC Finance DAC 6.5% 10/15/2030 (q) | EUR | 3900000 | 4308704 |
| TOTAL REAL ESTATE |  |  | 10005481 |
| TOTAL POLAND |  |  | 12507362 |
| PORTUGAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Espirito Santo SA 4% (j)(q) | EUR | 1300000 | 153607 |
| QATAR - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Ooredoo International Finance Ltd 2.625% 4/8/2031 (p) |  | 1280000 | 1189312 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| QatarEnergy 1.375% 9/12/2026 (p) |  | 2965000 | 2921859 |
| QatarEnergy 2.25% 7/12/2031 (p) |  | 4935000 | 4479796 |
| QatarEnergy 3.125% 7/12/2041 (p) |  | 3545000 | 2781584 |
| QatarEnergy 3.3% 7/12/2051 (p) |  | 5580000 | 3976141 |
| TOTAL ENERGY |  |  | 14159380 |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| Nakilat Inc 6.067% 12/31/2033 (p) |  | 884777 | 933448 |
| TOTAL QATAR |  |  | 16282140 |
| RUSSIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| TMK OAO Via TMK Capital SA loan participation 4.3% (j)(k)(q) |  | 990000 | 49499 |
| SAUDI ARABIA - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| EIG Pearl Holdings Sarl 3.545% 8/31/2036 (p) |  | 4917474 | 4553581 |
| Saudi Arabian Oil Co 2.25% 11/24/2030 (p) |  | 5210000 | 4741204 |
| Saudi Arabian Oil Co 3.25% 11/24/2050 (p) |  | 2170000 | 1450320 |
| Saudi Arabian Oil Co 3.5% 11/24/2070 (p) |  | 1580000 | 993804 |
| Saudi Arabian Oil Co 3.5% 4/16/2029 (p) |  | 3740000 | 3675074 |
| Saudi Arabian Oil Co 4.25% 4/16/2039 (p) |  | 5435000 | 4964546 |
| Saudi Arabian Oil Co 4.375% 2/2/2031 (p) |  | 1620000 | 1617408 |
| Saudi Arabian Oil Co 4.375% 4/16/2049 (p) |  | 640000 | 534003 |
| Saudi Arabian Oil Co 5% 2/2/2036 (p) |  | 635000 | 634279 |
| Saudi Arabian Oil Co 5.875% 7/17/2064 (p) |  | 615000 | 596550 |
| Saudi Arabian Oil Co 6.375% 6/2/2055 (p) |  | 3455000 | 3645060 |
| TOTAL ENERGY |  |  | 27405829 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Gaci First Investment Co 5% 10/13/2027 (q) |  | 2375000 | 2403797 |
| Gaci First Investment Co 5.25% 10/13/2032 (q) |  | 1230000 | 1269776 |
| TOTAL FINANCIALS |  |  | 3673573 |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| Greensaif Pipelines Bidco Sarl 5.8528% 2/23/2036 (p) |  | 1860000 | 1945672 |
| Greensaif Pipelines Bidco Sarl 6.1027% 8/23/2042 (p) |  | 1390000 | 1455276 |
| Greensaif Pipelines Bidco Sarl 6.129% 2/23/2038 (p) |  | 4065000 | 4316258 |
| Greensaif Pipelines Bidco Sarl 6.51% 2/23/2042 (p) |  | 850000 | 929156 |
| TOTAL INDUSTRIALS |  |  | 8646362 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Ma'aden Sukuk Ltd 5.25% 1/29/2036 (p) |  | 1095000 | 1107209 |
| Ma'aden Sukuk Ltd 5.25% 2/13/2030 (p) |  | 2155000 | 2213551 |
| TOTAL MATERIALS |  |  | 3320760 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Dar Al-Arkan Sukuk Co Ltd 7.25% 7/2/2030 (q) |  | 1405000 | 1443637 |
| TOTAL SAUDI ARABIA |  |  | 44490161 |
| SERBIA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Distributors - 0.0% |  |  |  |
| Telecommunications co Telekom Srbija AD Belgrade 7% 10/28/2029 (p) |  | 1710000 | 1735052 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Liquid Telecommunications Financing Plc 5.5% 9/4/2026 (p) |  | 9721000 | 9382223 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| MTN Mauritius Investments Ltd 6.5% 10/13/2026 (p) |  | 1019000 | 1027152 |
| TOTAL COMMUNICATION SERVICES |  |  | 10409375 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Transnet/South Africa 8.25% 2/6/2028 (p) |  | 875000 | 923124 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Sasol Financing USA LLC 4.375% 9/18/2026  |  | 1895000 | 1879158 |
| Sasol Financing USA LLC 5.5% 3/18/2031  |  | 690000 | 605475 |
| Sasol Financing USA LLC 6.5% 9/27/2028  |  | 870000 | 863783 |
| Sasol Financing USA LLC 8.75% 5/3/2029 (p) |  | 930000 | 953538 |
|  |  |  | 4301954 |
| Metals & Mining - 0.0% |  |  |  |
| Windfall Mining Group Inc / Groupe Minier Windfall Inc 5.854% 5/13/2032 (p) |  | 1240000 | 1300018 |
| TOTAL MATERIALS |  |  | 5601972 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Eskom Holdings 6.35% 8/10/2028 (p) |  | 2630000 | 2713845 |
| Eskom Holdings 8.45% 8/10/2028 (p) |  | 1470000 | 1576119 |
| TOTAL UTILITIES |  |  | 4289964 |
| TOTAL SOUTH AFRICA |  |  | 21224435 |
| SPAIN - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/2035 (d) |  | 4800000 | 5133681 |
| CaixaBank SA 3.625% 9/19/2032 (d)(q) | EUR | 2600000 | 3129497 |
| TOTAL SPAIN |  |  | 8263178 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Samhallsbyggnadsbolaget I Norden Holding AB 2.25% 7/12/2027 (q) | EUR | 2000000 | 2259049 |
| SWITZERLAND - 0.5%  |  |  |  |
| Financials - 0.5% |  |  |  |
| Capital Markets - 0.5% |  |  |  |
| UBS Group AG 1.494% 8/10/2027 (d)(p) |  | 21621000 | 21378951 |
| UBS Group AG 3.869% 1/12/2029 (d)(p) |  | 11793000 | 11755256 |
| UBS Group AG 4.125% 6/9/2033 (d)(q) | EUR | 3230000 | 3979895 |
| UBS Group AG 4.194% 4/1/2031 (d)(p) |  | 36361000 | 36257222 |
| UBS Group AG 4.75% 3/17/2032 (d)(q) | EUR | 9810000 | 12422112 |
| UBS Group AG 5.428% 2/8/2030 (d)(p) |  | 65000000 | 67372576 |
|  |  |  | 153166012 |
| Insurance - 0.0% |  |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (d)(p) |  | 2600000 | 2626680 |
| Zurich Finance Ireland Designated Activity Co 3.5% 5/2/2052 (d)(q) |  | 3670000 | 3359243 |
|  |  |  | 5985923 |
| TOTAL FINANCIALS |  |  | 159151935 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 6.375% 2/1/2030 (p) |  | 3310000 | 3079246 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 7.875% 5/1/2027 (p) |  | 2772000 | 2778905 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 9.5% 6/1/2028 (p) |  | 1494000 | 1540635 |
| TOTAL INDUSTRIALS |  |  | 7398786 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Consolidated Energy Finance SA 12% 2/15/2031 (p) |  | 2294000 | 1984310 |
| Consolidated Energy Finance SA 5.625% 10/15/2028 (p) |  | 1335000 | 1121400 |
| Consolidated Energy Finance SA 6.5% 5/15/2026 (p) |  | 8299000 | 8240140 |
|  |  |  | 11345850 |
| Containers & Packaging - 0.0% |  |  |  |
| SIG Combibloc PurchaseCo Sarl 3.75% 3/19/2030 (q) | EUR | 895000 | 1076448 |
| TOTAL MATERIALS |  |  | 12422298 |
| TOTAL SWITZERLAND |  |  | 178973019 |
| TANZANIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (p) |  | 1431000 | 1478784 |
| THAILAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| PTT Treasury Center Co Ltd 3.7% 7/16/2070 (p) |  | 1375000 | 976758 |
| TURKEY - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Turk Telekomunikasyon AS 6.95% 10/7/2032 (p) |  | 945000 | 968142 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Turkiye Garanti Bankasi AS 8.125% 1/8/2036 (d)(p) |  | 1420000 | 1477893 |
| Turkiye Ihracat Kredi Bankasi AS 6.375% 1/15/2031 (p) |  | 1670000 | 1673340 |
| Turkiye Ihracat Kredi Bankasi AS 6.375% 10/3/2030 (p) |  | 1775000 | 1783875 |
| TOTAL FINANCIALS |  |  | 4935108 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| TAV Havalimanlari Holding AS 8.5% 12/7/2028 (p) |  | 700000 | 730240 |
| TOTAL TURKEY |  |  | 6633490 |
| UKRAINE - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| NAK Naftogaz Ukraine via Kondor Finance PLC loan participation 7.625% 11/8/2028 pay-in-kind (p) |  | 1360207 | 1084085 |
| UNITED ARAB EMIRATES - 0.1%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Adnoc Murban Rsc Ltd 5.125% 9/11/2054 (p) |  | 1370000 | 1286950 |
| Galaxy Pipeline Assets Bidco Ltd 2.16% 3/31/2034 (p) |  | 1244558 | 1132859 |
| Galaxy Pipeline Assets Bidco Ltd 2.625% 3/31/2036 (p) |  | 5030000 | 4470350 |
| TOTAL ENERGY |  |  | 6890159 |
| Financials - 0.1% |  |  |  |
| Financial Services - 0.1% |  |  |  |
| Abu Dhabi Developmental Holding Co PJSC 5.25% 10/2/2054 (p) |  | 1720000 | 1667334 |
| Abu Dhabi Developmental Holding Co PJSC 5.5% 5/8/2034 (p) |  | 835000 | 881718 |
| MDGH GMTN RSC Ltd 2.875% 11/7/2029 (p) |  | 1925000 | 1844400 |
| MDGH GMTN RSC Ltd 4.375% 11/22/2033 (p) |  | 870000 | 859517 |
| MDGH GMTN RSC Ltd 5.084% 5/22/2053 (p) |  | 2140000 | 2043700 |
| MDGH GMTN RSC Ltd Series 1, 5.5% 4/28/2033 (p) |  | 810000 | 856980 |
| TOTAL FINANCIALS |  |  | 8153649 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| DP World Crescent Ltd 3.7495% 1/30/2030 (p) |  | 2070000 | 2009194 |
| DP World Ltd/United Arab Emirates 5.625% 9/25/2048 (p) |  | 1480000 | 1445219 |
| TOTAL INDUSTRIALS |  |  | 3454413 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Aldar Properties PJSC 5.875% 4/14/2056 (d)(p) |  | 980000 | 973238 |
| Aldar Properties PJSC 6.6227% 4/15/2055 (d)(q) |  | 2355000 | 2441405 |
| Alpha Star Holding IX Ltd 7% 8/26/2028 (q) |  | 1395000 | 1429875 |
| Alpha Star Holding VIII Ltd 8.375% 4/12/2027 (q) |  | 1360000 | 1397400 |
| Sobha Sukuk Ltd 8.75% 7/17/2028 (q) |  | 865000 | 907792 |
| TOTAL REAL ESTATE |  |  | 7149710 |
| Utilities - 0.0% |  |  |  |
| Multi-Utilities - 0.0% |  |  |  |
| Abu Dhabi National Energy Co PJSC 4% 10/3/2049 (p) |  | 1960000 | 1592128 |
| Abu Dhabi National Energy Co PJSC 4.375% 1/24/2029 (p) |  | 880000 | 887150 |
| Abu Dhabi National Energy Co PJSC 4.696% 4/24/2033 (p) |  | 985000 | 994889 |
| Abu Dhabi National Energy Co PJSC 4.75% 3/9/2037 (p) |  | 1720000 | 1697434 |
| Abu Dhabi National Energy Co PJSC 4.875% 4/23/2030 (p) |  | 520000 | 534690 |
| TOTAL UTILITIES |  |  | 5706291 |
| TOTAL UNITED ARAB EMIRATES |  |  | 31354222 |
| UNITED KINGDOM - 1.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| BT Finance PLC 3.375% 11/17/2032 (q) | EUR | 2300000 | 2721217 |
| Virgin Media Finance PLC 5% 7/15/2030 (p) |  | 805000 | 669680 |
|  |  |  | 3390897 |
| Media - 0.0% |  |  |  |
| Virgin Media Secured Finance PLC 4.5% 8/15/2030 (p) |  | 3775000 | 3441145 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Vmed O2 UK Financing I PLC 4.25% 1/31/2031 (p) |  | 2325000 | 2049849 |
| Vmed O2 UK Financing I PLC 6.75% 1/15/2033 (p) |  | 1030000 | 976432 |
| Vmed O2 UK Financing I PLC 7.75% 4/15/2032 (p) |  | 240000 | 239932 |
|  |  |  | 3266213 |
| TOTAL COMMUNICATION SERVICES |  |  | 10098255 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Macquarie Airfinance Holdings Ltd 6.4% 3/26/2029 (p) |  | 2525000 | 2662898 |
| Macquarie Airfinance Holdings Ltd 6.5% 3/26/2031 (p) |  | 2185000 | 2358001 |
|  |  |  | 5020899 |
| Broadline Retail - 0.0% |  |  |  |
| John Lewis PLC 4.25% 12/18/2034 (q) | GBP | 2757000 | 3218924 |
| Marks & Spencer PLC 5.125% 8/18/2032 (q) | GBP | 1600000 | 2185330 |
|  |  |  | 5404254 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| IHG Finance LLC 3.375% 9/10/2030 (q) | EUR | 1350000 | 1613171 |
| Whitbread Group PLC 2.375% 5/31/2027 (q) | GBP | 1850000 | 2428244 |
|  |  |  | 4041415 |
| Household Durables - 0.0% |  |  |  |
| Berkeley Group PLC/The 2.5% 8/11/2031 (q) | GBP | 3350000 | 3955426 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 18421994 |
| Consumer Staples - 0.3% |  |  |  |
| Tobacco - 0.3% |  |  |  |
| BAT Capital Corp 6.421% 8/2/2033  |  | 21453000 | 23861349 |
| BAT International Finance PLC 4.125% 4/12/2032 (q) | EUR | 5095000 | 6239847 |
| Imperial Brands Finance PLC 3.875% 2/12/2034 (q) | EUR | 7075000 | 8369612 |
| Imperial Brands Finance PLC 6.125% 7/27/2027 (p) |  | 12116000 | 12447612 |
| Reynolds American Inc 5.7% 8/15/2035  |  | 2699000 | 2848026 |
| Reynolds American Inc 5.85% 8/15/2045  |  | 22737000 | 22839951 |
| Reynolds American Inc 6.15% 9/15/2043  |  | 2874000 | 2990954 |
| Reynolds American Inc 7.25% 6/15/2037  |  | 3221000 | 3770903 |
| TOTAL CONSUMER STAPLES |  |  | 83368254 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| EG Global Finance PLC 12% 11/30/2028 (p) |  | 10813000 | 11624480 |
| Financials - 0.7% |  |  |  |
| Banks - 0.6% |  |  |  |
| Barclays PLC 3.543% 8/14/2031 (d)(q) | EUR | 4648000 | 5565996 |
| Barclays PLC 5.088% 6/20/2030 (d) |  | 26155000 | 26676057 |
| Barclays PLC 5.2% 5/12/2026  |  | 12530000 | 12557417 |
| Barclays PLC 5.69% 3/12/2030 (d) |  | 28747000 | 29968787 |
| Barclays PLC 5.829% 5/9/2027 (d) |  | 27350000 | 27438092 |
| Barclays PLC 6.224% 5/9/2034 (d) |  | 20610000 | 22299052 |
| Barclays PLC 6.49% 9/13/2029 (d) |  | 36156000 | 38185159 |
| HSBC Holdings PLC 3.608% 12/1/2033 (d)(q) | EUR | 1100000 | 1310091 |
| HSBC Holdings PLC 4.787% 3/10/2032 (d)(q) | EUR | 1620000 | 2053219 |
| HSBC Holdings PLC 4.856% 5/23/2033 (d)(q) | EUR | 3240000 | 4133892 |
| HSBC Holdings PLC 8.201% 11/16/2034 (d)(q) | GBP | 2665000 | 3974115 |
| Lloyds Banking Group PLC 4.75% 9/21/2031 (d)(q) | EUR | 4800000 | 6067255 |
| NatWest Group PLC 2.105% 11/28/2031 (d)(q) | GBP | 2330000 | 3101226 |
| NatWest Group PLC 3.073% 5/22/2028 (d) |  | 17464000 | 17286173 |
| NatWest Group PLC 4.8% 4/5/2026  |  | 15141000 | 15150521 |
| NatWest Group PLC 7.416% 6/6/2033 (d)(q) | GBP | 5593000 | 7942028 |
| Standard Chartered PLC 3.864% 3/17/2033 (d)(q) | EUR | 2065000 | 2484387 |
| Virgin Money UK PLC 7.625% 8/23/2029 (d)(q) | GBP | 2980000 | 4333713 |
|  |  |  | 230527180 |
| Consumer Finance - 0.0% |  |  |  |
| Motability Operations Group PLC 3.625% 1/22/2033 (q) | EUR | 3200000 | 3822717 |
| Financial Services - 0.0% |  |  |  |
| Nationwide Building Society 4% 7/30/2035 (d)(q) | EUR | 1365000 | 1647568 |
| Insurance - 0.1% |  |  |  |
| Admiral Group PLC 8.5% 1/6/2034 (q) | GBP | 2600000 | 4071144 |
| TOTAL FINANCIALS |  |  | 240068609 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.875% 9/26/2031 (q) | EUR | 4150000 | 4184470 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Heathrow Funding Ltd 6% 3/5/2032 (q) | GBP | 3850000 | 5401662 |
| TOTAL INDUSTRIALS |  |  | 9586132 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Celtic Resources Holdings DAC 4.125% (j)(k)(p) |  | 1205000 | 172748 |
| Real Estate - 0.0% |  |  |  |
| Office REITs - 0.0% |  |  |  |
| Great Portland Estates PLC 5.375% 9/25/2031 (q) | GBP | 1600000 | 2196767 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Titanium Ruth Holdco Ltd 0.95% 6/2/2026 (q) | EUR | 1580000 | 1857683 |
| TOTAL REAL ESTATE |  |  | 4054450 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| London Power Networks PLC 3.837% 6/11/2037 (q) | EUR | 1770000 | 2112451 |
| NGG Finance PLC 2.125% 9/5/2082 (d)(q) | EUR | 3500000 | 4077705 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/2032 (q) | EUR | 3275000 | 3915802 |
|  |  |  | 10105958 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (p) |  | 6170000 | 6151842 |
| ContourGlobal Power Holdings SA 6.75% 2/28/2030 (p) |  | 2370000 | 2441100 |
|  |  |  | 8592942 |
| Water Utilities - 0.1% |  |  |  |
| Anglian Water Osprey Financing PLC 6.375% 8/18/2033 (q) | GBP | 1300000 | 1767924 |
| Anglian Water Services Financing PLC 5.875% 6/20/2031 (q) | GBP | 3103000 | 4358820 |
| Anglian Water Services Financing PLC 6.293% 7/30/2030 (q) | GBP | 2044000 | 2909265 |
| Northumbrian Water Finance PLC 5.375% 7/22/2032 (q) | GBP | 1725000 | 2356831 |
| Northumbrian Water Finance PLC 5.625% 4/29/2033 (q) | GBP | 2900000 | 3988262 |
| Severn Trent Utilities Finance PLC 3.875% 8/4/2035 (q) | EUR | 3525000 | 4227205 |
| South West Water Finance PLC 5.25% 9/15/2031 (q) | GBP | 2820000 | 3850548 |
| South West Water Finance PLC 5.75% 12/11/2032 (q) | GBP | 650000 | 911267 |
| SW Finance I PLC 6.875% 8/7/2032 (q) | GBP | 3350000 | 4764404 |
| SW Finance I PLC 7.375% 12/12/2041 (q) | GBP | 1194000 | 1693130 |
| Wessex Water Services Finance PLC 6.125% 9/19/2034 (q) | GBP | 2115000 | 2955661 |
| Yorkshire Water Finance PLC 5.5% 4/28/2035 (q) | GBP | 1324000 | 1746944 |
| Yorkshire Water Finance PLC 6% 7/22/2033 (q) | GBP | 2625000 | 3639566 |
|  |  |  | 39169827 |
| TOTAL UTILITIES |  |  | 57868727 |
| TOTAL UNITED KINGDOM |  |  | 435263649 |
| UNITED STATES - 16.4%  |  |  |  |
| Communication Services - 1.5% |  |  |  |
| Diversified Telecommunication Services - 0.3% |  |  |  |
| APLD ComputeCo LLC 9.25% 12/15/2030 (p) |  | 9420000 | 9887157 |
| AT&T Inc 4.3% 2/15/2030  |  | 10373000 | 10471441 |
| Black Pearl Compute LLC 6.125% 2/15/2031 (p)(y) |  | 2387000 | 2442980 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (p) |  | 975000 | 974231 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (p) |  | 2160000 | 2158404 |
| Cipher Compute LLC 7.125% 11/15/2030 (p)(y) |  | 2515000 | 2621495 |
| Comcast Corp 3.9% 3/1/2038  |  | 3341000 | 2971162 |
| Comcast Corp 4.65% 7/15/2042  |  | 7870000 | 7064431 |
| Comcast Corp 6.45% 3/15/2037  |  | 1399000 | 1561189 |
| Connect Holdings LLC 10.5% 4/3/2031 (p) |  | 1025000 | 991212 |
| Flash Compute LLC 7.25% 12/31/2030 (p) |  | 4230000 | 4329908 |
| Frontier Communications Holdings LLC 5% 5/1/2028 (p) |  | 927000 | 927534 |
| Frontier Communications Holdings LLC 8.75% 5/15/2030 (p) |  | 208000 | 214423 |
| Level 3 Financing Inc 3.625% 1/15/2029 (p) |  | 1323000 | 1243620 |
| Level 3 Financing Inc 3.75% 7/15/2029 (p) |  | 1805000 | 1673127 |
| Level 3 Financing Inc 4.25% 7/1/2028 (p) |  | 495000 | 477197 |
| Level 3 Financing Inc 6.875% 6/30/2033 (p) |  | 4495000 | 4655359 |
| Level 3 Financing Inc 7% 3/31/2034 (p) |  | 4095000 | 4256935 |
| Level 3 Financing Inc 8.5% 1/15/2036 (p) |  | 6220000 | 6476260 |
| Lumen Technologies Inc 4.5% 1/15/2029 (p) |  | 515000 | 490235 |
| Uniti Services LLC 7.5% 10/15/2033 (p) |  | 2330000 | 2424207 |
| Verizon Communications Inc 2.55% 3/21/2031  |  | 21181000 | 19597618 |
| Verizon Communications Inc 4.75% 1/15/2033  |  | 19384000 | 19658181 |
| Verizon Communications Inc 4.78% 2/15/2035  |  | 26362000 | 26248019 |
| WULF Compute LLC 7.75% 10/15/2030 (p)(y) |  | 5255000 | 5565119 |
|  |  |  | 139381444 |
| Interactive Media & Services - 0.0% |  |  |  |
| Snap Inc 6.875% 3/1/2033 (p) |  | 1665000 | 1658373 |
| Snap Inc 6.875% 3/15/2034 (p) |  | 1110000 | 1106612 |
|  |  |  | 2764985 |
| Media - 0.9% |  |  |  |
| Advantage Sales & Marketing Inc 6.5% 11/15/2028 (p) |  | 3295000 | 2701900 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 1/15/2034 (p) |  | 2715000 | 2365039 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 2/1/2031 (p) |  | 4085000 | 3807630 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 5/1/2032  |  | 3950000 | 3614860 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 6/1/2033 (p) |  | 2380000 | 2125620 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 2/1/2032 (p) |  | 1585000 | 1473933 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7% 2/1/2033 (p) |  | 1045000 | 1068456 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7.375% 2/1/2036 (p) |  | 835000 | 847559 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  |  | 4414000 | 3850991 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  |  | 21085000 | 20080025 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.8% 3/1/2050  |  | 5417000 | 4127001 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  |  | 17163000 | 13843150 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  |  | 47728000 | 39780807 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  |  | 36711000 | 29296106 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  |  | 9973000 | 8680386 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  |  | 16353000 | 17139258 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  |  | 22400000 | 21269429 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  |  | 14936000 | 15884829 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.65% 2/1/2034  |  | 37000000 | 39296577 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.834% 10/23/2055  |  | 3000000 | 2943284 |
| Clear Channel Outdoor Holdings Inc 7.125% 2/15/2031 (p) |  | 2900000 | 3065332 |
| Clear Channel Outdoor Holdings Inc 7.5% 3/15/2033 (p) |  | 2900000 | 3130611 |
| Clear Channel Outdoor Holdings Inc 7.5% 6/1/2029 (p) |  | 2292000 | 2308319 |
| Clear Channel Outdoor Holdings Inc 7.875% 4/1/2030 (p) |  | 2845000 | 2998072 |
| CMG Media Corp 8.875% 6/18/2029 (p) |  | 515000 | 449447 |
| CSC Holdings LLC 3.375% 2/15/2031 (p) |  | 8076000 | 4814022 |
| CSC Holdings LLC 4.125% 12/1/2030 (p) |  | 4315000 | 2632453 |
| CSC Holdings LLC 4.5% 11/15/2031 (p) |  | 3340000 | 2004505 |
| CSC Holdings LLC 4.625% 12/1/2030 (p) |  | 3078000 | 1139215 |
| Discovery Communications LLC 6.35% 6/1/2040  |  | 965000 | 785607 |
| Discovery Global Holdings Inc 5.05% 3/15/2042  |  | 760000 | 545300 |
| DISH DBS Corp 5.125% 6/1/2029  |  | 2945000 | 2629983 |
| DISH DBS Corp 5.25% 12/1/2026 (p) |  | 1745000 | 1694973 |
| DISH DBS Corp 7.375% 7/1/2028  |  | 1745000 | 1683652 |
| DISH DBS Corp 7.75% 7/1/2026  |  | 6446000 | 6366152 |
| DISH Network Corp 11.75% 11/15/2027 (p) |  | 3054000 | 3161733 |
| Dotdash Meredith Inc 7.625% 6/15/2032 (p) |  | 1715000 | 1586529 |
| EchoStar Corp 10.75% 11/30/2029  |  | 3934407 | 4297238 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (d) |  | 10129048 | 10258234 |
| EW Scripps Co/The 9.875% 8/15/2030 (p) |  | 2170000 | 2178988 |
| Lamar Media Corp 5.375% 11/1/2033 (p) |  | 3090000 | 3098071 |
| Outfront Media Capital LLC / Outfront Media Capital Corp 7.375% 2/15/2031 (p) |  | 975000 | 1025010 |
| Time Warner Cable LLC 4.5% 9/15/2042  |  | 18291000 | 14424525 |
| Time Warner Cable LLC 5.5% 9/1/2041  |  | 8265000 | 7392880 |
| Time Warner Cable LLC 5.875% 11/15/2040  |  | 10540000 | 9886614 |
| Time Warner Cable LLC 6.55% 5/1/2037  |  | 29622000 | 30493217 |
| Time Warner Cable LLC 7.3% 7/1/2038  |  | 24672000 | 26699974 |
| Univision Communications Inc 8% 8/15/2028 (p) |  | 1033000 | 1061100 |
| Univision Communications Inc 8.5% 7/31/2031 (p)(y) |  | 6856000 | 7016472 |
| Univision Communications Inc 9.375% 8/1/2032 (p) |  | 5020000 | 5311995 |
|  |  |  | 398337063 |
| Wireless Telecommunication Services - 0.3% |  |  |  |
| T-Mobile USA Inc 2.25% 11/15/2031  |  | 35000000 | 31431452 |
| T-Mobile USA Inc 3.75% 4/15/2027  |  | 23850000 | 23812265 |
| T-Mobile USA Inc 3.875% 4/15/2030  |  | 42000000 | 41677122 |
| T-Mobile USA Inc 5.05% 7/15/2033  |  | 29000000 | 29914322 |
|  |  |  | 126835161 |
| TOTAL COMMUNICATION SERVICES |  |  | 667318653 |
| Consumer Discretionary - 0.6% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| American Axle & Manufacturing Inc 6.375% 10/15/2032 (p) |  | 1570000 | 1597831 |
| American Axle & Manufacturing Inc 7.75% 10/15/2033 (p)(y) |  | 2960000 | 3008369 |
| Clarios Global LP / Clarios US Finance Co 6.75% 9/15/2032 (p) |  | 2930000 | 3041413 |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (p) |  | 1795000 | 1880191 |
| Cooper-Standard Automotive Inc 9.25% 3/1/2031 (b)(p) |  | 3375000 | 3384517 |
|  |  |  | 12912321 |
| Automobiles - 0.1% |  |  |  |
| Ford Motor Co 3.25% 2/12/2032  |  | 54000000 | 48605572 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (p) |  | 3580000 | 3386255 |
| Stellantis Finance US Inc 5.75% 3/18/2030 (p) |  | 3130000 | 3206586 |
|  |  |  | 55198413 |
| Broadline Retail - 0.0% |  |  |  |
| GrubHub Holdings Inc 13% 7/31/2030 pay-in-kind (p) |  | 700747 | 468673 |
| Saks Global Enterprises LLC 11% (j)(k)(p) |  | 1092918 | 0 |
| Wayfair LLC 6.75% 11/15/2032 (p) |  | 3705000 | 3776117 |
| Wayfair LLC 7.25% 10/31/2029 (p) |  | 5106000 | 5276755 |
| Wayfair LLC 7.75% 9/15/2030 (p) |  | 6540000 | 6877531 |
|  |  |  | 16399076 |
| Diversified Consumer Services - 0.1% |  |  |  |
| Service Corp International/US 5.75% 10/15/2032  |  | 895000 | 912461 |
| Sotheby's 7.375% 10/15/2027 (p) |  | 8058000 | 8008894 |
| Sotheby's/Bidfair Holdings Inc 5.875% 6/1/2029 (p) |  | 225000 | 216479 |
| StoneMor Inc 8.5% 5/15/2029 (p) |  | 5599000 | 5431164 |
| TKC Holdings Inc 12% 2/15/2031 (p) |  | 3040000 | 3195286 |
| TKC Holdings Inc 8.5% 8/15/2030 (p) |  | 4035000 | 4128975 |
|  |  |  | 21893259 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |  |
| Acushnet Co 5.625% 12/1/2033 (p) |  | 1025000 | 1043210 |
| BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc 9.5% 7/1/2032 (p) |  | 1300000 | 1197463 |
| Caesars Entertainment Inc 7% 2/15/2030 (p) |  | 1126000 | 1154419 |
| Carnival Corp 5.75% 8/1/2032 (p) |  | 1110000 | 1151957 |
| Carnival Corp 5.875% 6/15/2031 (p) |  | 3575000 | 3735954 |
| Carnival Corp 6.125% 2/15/2033 (p) |  | 1990000 | 2060042 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (p) |  | 7367000 | 6947964 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (p) |  | 4810000 | 4481655 |
| Hilton Domestic Operating Co Inc 5.5% 3/31/2034 (p) |  | 1700000 | 1718144 |
| Hilton Domestic Operating Co Inc 5.75% 9/15/2033 (p) |  | 1910000 | 1955191 |
| Hilton Domestic Operating Co Inc 5.875% 3/15/2033 (p) |  | 1020000 | 1049818 |
| Hilton Domestic Operating Co Inc 6.125% 4/1/2032 (p)(y) |  | 1305000 | 1349174 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (p) |  | 2045000 | 2086368 |
| Life Time Inc 6% 11/15/2031 (p) |  | 3085000 | 3177578 |
| Light & Wonder International Inc 6.25% 10/1/2033 (p) |  | 3075000 | 3088284 |
| MajorDrive Holdings IV LLC 6.375% 6/1/2029 (p) |  | 3145000 | 2329550 |
| McDonald's Corp 3.5% 5/21/2032 (q) | EUR | 1740000 | 2089564 |
| McDonald's Corp 3.5% 7/1/2027  |  | 6642000 | 6615604 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 11.875% 4/15/2031 (p) |  | 1825000 | 1934705 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 8.25% 4/15/2030 (p)(y) |  | 990000 | 1031637 |
| NCL Corp Ltd 6.25% 9/15/2033 (p) |  | 2265000 | 2286243 |
| NCL Corp Ltd 6.75% 2/1/2032 (p) |  | 2300000 | 2368471 |
| Royal Caribbean Cruises Ltd 4.25% 7/1/2026 (p) |  | 2195000 | 2194540 |
| Royal Caribbean Cruises Ltd 5.375% 7/15/2027 (p) |  | 1680000 | 1692816 |
| Royal Caribbean Cruises Ltd 6% 2/1/2033 (p) |  | 1870000 | 1934395 |
| Times Square Hotel Trust 8.528% 8/1/2026 (p) |  | 112091 | 112302 |
| Viking Cruises Ltd 5.875% 10/15/2033 (p) |  | 5130000 | 5233421 |
| Viking Cruises Ltd 9.125% 7/15/2031 (p) |  | 665000 | 707523 |
| Viking Ocean Cruises Ship VII Ltd 5.625% 2/15/2029 (p) |  | 950000 | 949220 |
| Yum! Brands Inc 4.625% 1/31/2032 (y) |  | 2150000 | 2113790 |
|  |  |  | 69791002 |
| Household Durables - 0.1% |  |  |  |
| Ashton Woods USA LLC / Ashton Woods Finance Co 4.625% 8/1/2029 (p) |  | 1020000 | 993864 |
| Ashton Woods USA LLC / Ashton Woods Finance Co 6.875% 8/1/2033 (p) |  | 1110000 | 1120377 |
| Beazer Homes USA Inc 7.5% 3/15/2031 (p) |  | 1655000 | 1702786 |
| Century Communities Inc 6.625% 9/15/2033 (p) |  | 2250000 | 2286259 |
| Dream Finders Homes Inc 6.875% 9/15/2030 (p) |  | 2255000 | 2305699 |
| LGI Homes Inc 4% 7/15/2029 (p)(y) |  | 1068000 | 992206 |
| LGI Homes Inc 7% 11/15/2032 (p) |  | 7740000 | 7587839 |
| LGI Homes Inc 8.75% 12/15/2028 (p) |  | 1092000 | 1139351 |
| New Home Co Inc/The 8.5% 11/1/2030 (p) |  | 1890000 | 1968091 |
| TopBuild Corp 4.125% 2/15/2032 (p) |  | 1870000 | 1777252 |
| TopBuild Corp 5.625% 1/31/2034 (p) |  | 2050000 | 2067531 |
| Whirlpool Corp 5.75% 3/1/2034  |  | 450000 | 427297 |
| Whirlpool Corp 6.125% 6/15/2030  |  | 3765000 | 3781897 |
| Whirlpool Corp 6.5% 6/15/2033  |  | 8450000 | 8432641 |
|  |  |  | 36583090 |
| Specialty Retail - 0.1% |  |  |  |
| Advance Auto Parts Inc 7.375% 8/1/2033 (p) |  | 2067000 | 2118272 |
| AutoNation Inc 4.75% 6/1/2030  |  | 2958000 | 3000589 |
| Carvana Co 10.25% 5/1/2030 (p) |  | 220000 | 235400 |
| Carvana Co 4.875% 9/1/2029 (p) |  | 1147000 | 1043770 |
| Carvana Co 5.5% 4/15/2027 (p) |  | 1262000 | 1236760 |
| Carvana Co 5.875% 10/1/2028 (p) |  | 800000 | 768000 |
| Carvana Co 9% 6/1/2030 pay-in-kind (d)(p) |  | 999080 | 1040102 |
| Carvana Co 9% 6/1/2031 pay-in-kind (d)(p) |  | 4624536 | 5071881 |
| Champions Financing Inc 8.75% 2/15/2029 (p)(y) |  | 3549000 | 3364751 |
| LBM Acquisition LLC 6.25% 1/15/2029 (p) |  | 1450000 | 1105512 |
| LBM Acquisition LLC 9.5% 6/15/2031 (p) |  | 2590000 | 2415693 |
| Lowe's Cos Inc 3.35% 4/1/2027  |  | 2389000 | 2376211 |
| Michaels Cos Inc/The 11% 3/15/2034 (b)(p) |  | 3180000 | 2972228 |
| Michaels Cos Inc/The 7.875% 5/1/2029 (p) |  | 2575000 | 2586590 |
| Michaels Cos Inc/The 8.5% 3/15/2033 (b)(p) |  | 3180000 | 3093202 |
| Staples Inc 10.75% 9/1/2029 (p) |  | 7596000 | 6969817 |
| Staples Inc 12.75% 1/15/2030 (p) |  | 3212485 | 2258220 |
| Wand NewCo 3 Inc 7.625% 1/30/2032 (p) |  | 865000 | 902594 |
|  |  |  | 42559592 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 255336753 |
| Consumer Staples - 0.4% |  |  |  |
| Consumer Staples Distribution & Retail - 0.2% |  |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.75% 3/31/2034 (p) |  | 1455000 | 1447765 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.25% 3/15/2033 (p) |  | 1940000 | 2000488 |
| Albertsons Cos Inc 5.625% 3/31/2032 (p) |  | 2105000 | 2113286 |
| C&S Group Enterprises LLC 5% 12/15/2028 (p) |  | 2236000 | 2113872 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (p) |  | 3895000 | 4086981 |
| Kroger Co/The 5% 9/15/2034  |  | 19550000 | 19878019 |
| Mars Inc 4.8% 3/1/2030 (p) |  | 23196000 | 23845364 |
| Mars Inc 5% 3/1/2032 (p) |  | 17414000 | 18038538 |
| Performance Food Group Inc 5.625% 3/1/2034 (p) |  | 2440000 | 2448164 |
| Performance Food Group Inc 6.125% 9/15/2032 (p) |  | 1025000 | 1052159 |
| US Foods Inc 4.75% 2/15/2029 (p) |  | 2565000 | 2554209 |
| US Foods Inc 5.75% 4/15/2033 (p) |  | 1445000 | 1473939 |
| US Foods Inc 6.875% 9/15/2028 (p) |  | 1025000 | 1056818 |
|  |  |  | 82109602 |
| Food Products - 0.0% |  |  |  |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 3% 5/15/2032  |  | 14732000 | 13414287 |
| Lamb Weston Holdings Inc 4.125% 1/31/2030 (p) |  | 4500000 | 4361971 |
| Lamb Weston Holdings Inc 4.375% 1/31/2032 (p)(y) |  | 850000 | 811426 |
| Post Holdings Inc 4.625% 4/15/2030 (p)(y) |  | 2230000 | 2182834 |
| Post Holdings Inc 6.25% 10/15/2034 (p) |  | 1080000 | 1103036 |
| Post Holdings Inc 6.25% 2/15/2032 (p) |  | 1930000 | 1985385 |
| Post Holdings Inc 6.375% 3/1/2033 (p) |  | 1640000 | 1669326 |
| Post Holdings Inc 6.5% 3/15/2036 (p) |  | 1035000 | 1052891 |
|  |  |  | 26581156 |
| Household Products - 0.0% |  |  |  |
| Resideo Funding Inc 6.5% 7/15/2032 (p) |  | 1039000 | 1060736 |
| Tobacco - 0.2% |  |  |  |
| Altria Group Inc 3.875% 9/16/2046  |  | 28850000 | 22207783 |
| Altria Group Inc 4.25% 8/9/2042  |  | 17795000 | 15106157 |
| Altria Group Inc 4.5% 5/2/2043  |  | 11887000 | 10314555 |
| Altria Group Inc 4.8% 2/14/2029  |  | 3305000 | 3376730 |
| Altria Group Inc 5.95% 2/14/2049  |  | 14275000 | 14463693 |
| Philip Morris International Inc 3.25% 6/6/2032  | EUR | 6405000 | 7570858 |
|  |  |  | 73039776 |
| TOTAL CONSUMER STAPLES |  |  | 182791270 |
| Energy - 1.7% |  |  |  |
| Energy Equipment & Services - 0.1% |  |  |  |
| Archrock Services LP / Archrock Partners Finance Corp 6% 2/1/2034 (p) |  | 4185000 | 4237246 |
| Halliburton Co 4.85% 11/15/2035  |  | 5447000 | 5446138 |
| Kodiak Gas Services LLC 6.5% 10/1/2033 (p) |  | 1380000 | 1423085 |
| Kodiak Gas Services LLC 6.75% 10/1/2035 (p) |  | 1580000 | 1650930 |
| Nabors Industries Inc 8.875% 8/15/2031 (p) |  | 1669000 | 1729051 |
| Nabors Industries Inc 9.125% 1/31/2030 (p) |  | 505000 | 531022 |
| Star Holding LLC 8.75% 8/1/2031 (p) |  | 1505000 | 1516081 |
| Transocean Aquila Ltd 8% 9/30/2028 (p) |  | 791769 | 812343 |
| Transocean International Ltd 7.875% 10/15/2032 (p) |  | 570000 | 612022 |
| Transocean International Ltd 8.25% 5/15/2029 (p) |  | 1485000 | 1546137 |
| Transocean International Ltd 8.5% 5/15/2031 (p) |  | 1915000 | 2025180 |
| Transocean International Ltd 8.75% 2/15/2030 (p) |  | 966000 | 1010678 |
| USA Compression Partners LP / USA Compression Finance Corp 6.25% 10/1/2033 (p) |  | 2050000 | 2084754 |
| WBI Operating LLC 6.25% 10/15/2030 (p) |  | 1645000 | 1676650 |
| WBI Operating LLC 6.5% 10/15/2033 (p) |  | 1645000 | 1671731 |
|  |  |  | 27973048 |
| Oil, Gas & Consumable Fuels - 1.6% |  |  |  |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 10/15/2033 (p) |  | 1135000 | 1152196 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 7/1/2034 (p) |  | 4145000 | 4209795 |
| Ascent Resources Utica Holdings LLC / ARU Finance Corp 6.625% 7/15/2033 (p) |  | 1175000 | 1219282 |
| California Resources Corp 7% 1/15/2034 (p) |  | 205000 | 208752 |
| California Resources Corp 8.25% 6/15/2029 (p) |  | 5045000 | 5296286 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 2/15/2031 (p) |  | 1905000 | 2029454 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 7/15/2028 (p) |  | 4655000 | 4837476 |
| CITGO Petroleum Corp 8.375% 1/15/2029 (p) |  | 980000 | 1016230 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (p) |  | 2435000 | 2374770 |
| CNX Resources Corp 5.875% 3/1/2034 (p) |  | 2255000 | 2259123 |
| CNX Resources Corp 7.25% 3/1/2032 (p) |  | 2245000 | 2354096 |
| CNX Resources Corp 7.375% 1/15/2031 (p)(y) |  | 1875000 | 1944638 |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (p) |  | 3692000 | 3943913 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (p) |  | 9954000 | 10784751 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (p) |  | 2975000 | 3214506 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (p) |  | 5356000 | 5841117 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (p) |  | 3206000 | 3557922 |
| Comstock Resources Inc 5.875% 1/15/2030 (p) |  | 3274000 | 3155298 |
| Comstock Resources Inc 6.75% 3/1/2029 (p) |  | 2380000 | 2370798 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/2031 (p) |  | 465000 | 463733 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/2033 (p) |  | 3220000 | 3473591 |
| CVR Energy Inc 7.5% 2/15/2031 (p) |  | 2110000 | 2102849 |
| CVR Energy Inc 7.875% 2/15/2034 (p) |  | 1055000 | 1033909 |
| DBR Land Holdings LLC 6.25% 12/1/2030 (p) |  | 2035000 | 2098899 |
| DCP Midstream Operating LP 6.45% 11/3/2036 (p) |  | 8754000 | 9538807 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.125% 6/1/2028 (p) |  | 5050000 | 5074745 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.375% 6/30/2033 (p) |  | 330000 | 341320 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (p) |  | 2435000 | 2542520 |
| Energy Transfer LP 3.75% 5/15/2030  |  | 18703000 | 18398047 |
| Energy Transfer LP 4.95% 6/15/2028  |  | 12566000 | 12817088 |
| Energy Transfer LP 5% 5/15/2050  |  | 7537000 | 6441994 |
| Energy Transfer LP 5.25% 4/15/2029  |  | 6576000 | 6791776 |
| Energy Transfer LP 5.8% 6/15/2038  |  | 7006000 | 7279336 |
| Energy Transfer LP 6.5% 2/15/2056 (d) |  | 1267000 | 1280222 |
| Energy Transfer LP 6.75% 2/15/2056 (d) |  | 222000 | 226915 |
| Energy Transfer LP 7.375% 2/1/2031 (p) |  | 1445000 | 1499934 |
| Genesis Energy LP / Genesis Energy Finance Corp 6.75% 3/15/2034 (b) |  | 1060000 | 1072227 |
| Genesis Energy LP / Genesis Energy Finance Corp 8% 5/15/2033  |  | 3925000 | 4149804 |
| Global Partners LP / GLP Finance Corp 6.875% 1/15/2029  |  | 1640000 | 1656128 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (p)(y) |  | 900000 | 931195 |
| Global Partners LP / GLP Finance Corp 8.25% 1/15/2032 (p)(y) |  | 1010000 | 1067045 |
| Harvest Midstream I LP 7.5% 5/15/2032 (p) |  | 1085000 | 1126212 |
| Harvest Midstream I LP 7.5% 9/1/2028 (p) |  | 3090000 | 3124435 |
| Hess Corp 5.8% 4/1/2047  |  | 15757000 | 16524675 |
| Hess Corp 7.125% 3/15/2033  |  | 3656000 | 4273283 |
| Hess Corp 7.3% 8/15/2031  |  | 8054000 | 9304435 |
| Hess Corp 7.875% 10/1/2029  |  | 13500000 | 15294716 |
| Hess Midstream Operations LP 4.25% 2/15/2030 (p) |  | 915000 | 896932 |
| Hess Midstream Operations LP 5.125% 6/15/2028 (p) |  | 3182000 | 3184565 |
| Hess Midstream Operations LP 5.5% 10/15/2030 (p) |  | 850000 | 856410 |
| Hess Midstream Operations LP 5.875% 3/1/2028 (p) |  | 1670000 | 1697704 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (p) |  | 910000 | 941630 |
| Howard Midstream Energy Partners LLC 6.625% 1/15/2034 (p) |  | 1110000 | 1147163 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (p) |  | 940000 | 991996 |
| Kinder Morgan Energy Partners LP 5.5% 3/1/2044  |  | 27364000 | 26833592 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  |  | 1203000 | 1335905 |
| Kinder Morgan Inc 5.05% 2/15/2046  |  | 3092000 | 2847140 |
| Kinder Morgan Inc 5.55% 6/1/2045  |  | 7786000 | 7698287 |
| Kinetik Holdings LP 5.875% 6/15/2030 (p) |  | 1775000 | 1794987 |
| Kinetik Holdings LP 6.625% 12/15/2028 (p) |  | 3520000 | 3628838 |
| Moss Creek Resources Holdings Inc 8.25% 9/1/2031 (p) |  | 3258000 | 3210580 |
| MPLX LP 4.8% 2/15/2029  |  | 3672000 | 3743023 |
| MPLX LP 4.95% 9/1/2032  |  | 22661000 | 23070873 |
| MPLX LP 5.5% 2/15/2049  |  | 11018000 | 10314024 |
| Occidental Petroleum Corp 6.45% 9/15/2036  |  | 16266000 | 17717806 |
| Occidental Petroleum Corp 6.6% 3/15/2046  |  | 18160000 | 19293329 |
| Occidental Petroleum Corp 6.625% 9/1/2030  |  | 27000000 | 29220102 |
| Occidental Petroleum Corp 7.5% 5/1/2031  |  | 21425000 | 24395576 |
| ONEOK Inc 4.25% 9/24/2027  |  | 8535000 | 8575826 |
| ONEOK Inc 4.4% 10/15/2029  |  | 8925000 | 9000359 |
| ONEOK Inc 4.75% 10/15/2031  |  | 17361000 | 17610167 |
| PBF Holding Co LLC / PBF Finance Corp 6% 2/15/2028  |  | 505000 | 502892 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (p) |  | 5080000 | 5097607 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (p)(y) |  | 2780000 | 2950634 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  |  | 4919000 | 4823938 |
| Prairie Acquiror LP 9% 8/1/2029 (p) |  | 645000 | 673048 |
| Rockies Express Pipeline LLC 4.8% 5/15/2030 (p) |  | 220000 | 216531 |
| Rockies Express Pipeline LLC 4.95% 7/15/2029 (p) |  | 1580000 | 1580125 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (p) |  | 2480000 | 2612492 |
| Rockies Express Pipeline LLC 6.875% 4/15/2040 (p) |  | 990000 | 1019642 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  |  | 31000000 | 31345785 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 2125000 | 2093735 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  |  | 2085000 | 2085790 |
| Sunoco LP 4.5% 10/1/2029 (p) |  | 1115000 | 1095491 |
| Sunoco LP 4.625% 5/1/2030 (p) |  | 5315000 | 5200457 |
| Sunoco LP 5.375% 7/15/2031 (b)(p) |  | 3185000 | 3192437 |
| Sunoco LP 5.625% 3/15/2031 (p) |  | 1125000 | 1134671 |
| Sunoco LP 5.625% 7/15/2034 (b)(p) |  | 14365000 | 14362770 |
| Sunoco LP 5.875% 3/15/2034 (p) |  | 1125000 | 1129493 |
| Sunoco LP 6.25% 7/1/2033 (p) |  | 2275000 | 2343082 |
| Sunoco LP 6.625% 8/15/2032 (p) |  | 1735000 | 1795892 |
| Sunoco LP 7% 5/1/2029 (p) |  | 950000 | 985265 |
| Sunoco LP 7.25% 5/1/2032 (p) |  | 970000 | 1024886 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 5.5% 1/15/2028 (p) |  | 2765000 | 2762305 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 12/31/2030 (p) |  | 6967000 | 7060365 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 9/1/2031 (p) |  | 4290000 | 4335607 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6.75% 3/15/2034 (p) |  | 1125000 | 1156167 |
| Talos Production Inc 9% 2/1/2029 (p)(y) |  | 885000 | 921685 |
| Talos Production Inc 9.375% 2/1/2031 (p)(y) |  | 1240000 | 1319376 |
| Targa Resources Corp 4.35% 1/15/2029  |  | 9015000 | 9088400 |
| Targa Resources Corp 4.35% 4/15/2031  |  | 10746000 | 10746863 |
| Targa Resources Corp 4.9% 9/15/2030  |  | 12135000 | 12461852 |
| Targa Resources Corp 5.65% 2/15/2036  |  | 29221000 | 30383182 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  |  | 3952000 | 3823983 |
| Venture Global Plaquemines LNG LLC 6.125% 12/15/2030 (p) |  | 2375000 | 2467169 |
| Venture Global Plaquemines LNG LLC 6.5% 1/15/2034 (p) |  | 3570000 | 3757136 |
| Venture Global Plaquemines LNG LLC 6.5% 6/15/2034 (p) |  | 1320000 | 1385948 |
| Venture Global Plaquemines LNG LLC 6.75% 1/15/2036 (p) |  | 4590000 | 4889318 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (p) |  | 1790000 | 1985699 |
| Venture Global Plaquemines LNG LLC 7.75% 5/1/2035 (p)(y) |  | 1840000 | 2086978 |
| Western Gas Partners LP 4.05% 2/1/2030 (o) |  | 19000000 | 18768992 |
| Western Gas Partners LP 4.65% 7/1/2026  |  | 5039000 | 5040353 |
| Western Gas Partners LP 4.75% 8/15/2028  |  | 3701000 | 3755330 |
| Williams Cos Inc/The 3.5% 11/15/2030  |  | 32834000 | 31815028 |
| Williams Cos Inc/The 4.65% 8/15/2032  |  | 23596000 | 23884802 |
|  |  |  | 692870258 |
| TOTAL ENERGY |  |  | 720843306 |
| Financials - 6.4% |  |  |  |
| Banks - 3.2% |  |  |  |
| Bank of America Corp 2.299% 7/21/2032 (d) |  | 34460000 | 31089526 |
| Bank of America Corp 2.496% 2/13/2031 (d) |  | 10000000 | 9392306 |
| Bank of America Corp 3.419% 12/20/2028 (d) |  | 14844000 | 14690482 |
| Bank of America Corp 3.705% 4/24/2028 (d) |  | 20736000 | 20669762 |
| Bank of America Corp 4.25% 10/22/2026  |  | 9380000 | 9394270 |
| Bank of America Corp 4.571% 4/27/2033 (d) |  | 10000000 | 10040687 |
| Bank of America Corp 5.015% 7/22/2033 (d) |  | 202394000 | 208341074 |
| Bank of America Corp 5.468% 1/23/2035 (d) |  | 31000000 | 32487884 |
| Citigroup Inc 2.666% 1/29/2031 (d) |  | 10000000 | 9434912 |
| Citigroup Inc 4.296% 7/23/2036 (d) | EUR | 2000000 | 2400917 |
| Citigroup Inc 4.3% 11/20/2026  |  | 5384000 | 5393160 |
| Citigroup Inc 4.412% 3/31/2031 (d) |  | 42031000 | 42250085 |
| Citigroup Inc 4.45% 9/29/2027  |  | 19254000 | 19370252 |
| Citigroup Inc 4.6% 3/9/2026  |  | 8567000 | 8567815 |
| Citigroup Inc 4.91% 5/24/2033 (d) |  | 98011000 | 100029053 |
| Citizens Financial Group Inc 2.638% 9/30/2032  |  | 10185000 | 8956247 |
| JPMorgan Chase & Co 2.739% 10/15/2030 (d) |  | 10000000 | 9560948 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (d) |  | 16800000 | 15986360 |
| JPMorgan Chase & Co 4.452% 12/5/2029 (d) |  | 40200000 | 40627623 |
| JPMorgan Chase & Co 4.493% 3/24/2031 (d) |  | 60900000 | 61739391 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (d) |  | 89633000 | 90572884 |
| JPMorgan Chase & Co 4.898% 1/22/2037 (d) |  | 1429000 | 1437561 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (d) |  | 89141000 | 91397659 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (d) |  | 24460000 | 25366673 |
| JPMorgan Chase & Co 5.299% 7/24/2029 (d) |  | 35000000 | 36025186 |
| JPMorgan Chase & Co 5.336% 1/23/2035 (d) |  | 45000000 | 46899865 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (d) |  | 29053000 | 30722322 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (d) |  | 39571000 | 41928157 |
| Synchrony Bank 5.625% 8/23/2027  |  | 19587000 | 19950934 |
| Wells Fargo & Co 2.572% 2/11/2031 (d) |  | 10000000 | 9411960 |
| Wells Fargo & Co 3.526% 3/24/2028 (d) |  | 33177000 | 33005529 |
| Wells Fargo & Co 4.478% 4/4/2031 (d) |  | 58414000 | 59017264 |
| Wells Fargo & Co 4.897% 7/25/2033 (d) |  | 54000000 | 55068806 |
| Wells Fargo & Co 5.15% 4/23/2031 (d) |  | 33112000 | 34278701 |
| Wells Fargo & Co 5.389% 4/24/2034 (d) |  | 29117000 | 30342964 |
| Wells Fargo & Co 5.499% 1/23/2035 (d) |  | 10279000 | 10767317 |
| Wells Fargo & Co 5.574% 7/25/2029 (d) |  | 33000000 | 34140224 |
| Wells Fargo & Co 5.605% 4/23/2036 (d) |  | 29243000 | 30755733 |
| Wells Fargo & Co 6.303% 10/23/2029 (d) |  | 20000000 | 21092434 |
| Western Alliance Bancorp 3% 6/15/2031 (d) |  | 3979000 | 3928785 |
|  |  |  | 1366533712 |
| Capital Markets - 1.9% |  |  |  |
| Ares Strategic Income Fund 5.45% 9/9/2028 (p) |  | 19771000 | 19769925 |
| Ares Strategic Income Fund 5.8% 9/9/2030 (p) |  | 15997000 | 15887982 |
| Athene Global Funding 5.339% 1/15/2027 (p) |  | 46561000 | 47043479 |
| Athene Global Funding 5.583% 1/9/2029 (p) |  | 27659000 | 28274296 |
| Blackstone Private Credit Fund 4.875% 4/14/2026 (q) | GBP | 2751000 | 3706236 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (d) |  | 34782000 | 31371753 |
| Goldman Sachs Group Inc/The 2.6% 2/7/2030  |  | 10000000 | 9457173 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (d) |  | 64036000 | 59416150 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (d) |  | 128004000 | 127403231 |
| Goldman Sachs Group Inc/The 3.8% 3/15/2030  |  | 70690000 | 70004814 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  |  | 6976000 | 7836062 |
| Hightower Holding LLC 6.75% 4/15/2029 (p) |  | 1030000 | 1021266 |
| Hightower Holding LLC 9.125% 1/31/2030 (p) |  | 2680000 | 2771895 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (p) |  | 3096000 | 3114486 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (p) |  | 4750000 | 4874375 |
| Jane Street Group / JSG Finance Inc 7.125% 4/30/2031 (p) |  | 820000 | 853121 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 5% 8/15/2028 (p) |  | 3285000 | 3123432 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (p) |  | 1515000 | 1475216 |
| Moody's Corp 3.25% 1/15/2028  |  | 7339000 | 7252376 |
| Morgan Stanley 2.699% 1/22/2031 (d) |  | 10000000 | 9462183 |
| Morgan Stanley 3.622% 4/1/2031 (d) |  | 39278000 | 38405762 |
| Morgan Stanley 3.955% 3/21/2035 (d) | EUR | 2550000 | 3074038 |
| Morgan Stanley 4.431% 1/23/2030 (d) |  | 14132000 | 14264075 |
| Morgan Stanley 4.889% 7/20/2033 (d) |  | 69805000 | 71200840 |
| Morgan Stanley 5.192% 4/17/2031 (d) |  | 22172000 | 22968283 |
| Morgan Stanley 5.25% 4/21/2034 (d) |  | 45000000 | 46623696 |
| Morgan Stanley 5.449% 7/20/2029 (d) |  | 16205000 | 16710162 |
| Morgan Stanley 5.664% 4/17/2036 (d) |  | 17585000 | 18583754 |
| Morgan Stanley 5.831% 4/19/2035 (d) |  | 32000000 | 34195596 |
| Morgan Stanley 6.407% 11/1/2029 (d) |  | 70000000 | 74116649 |
| MSCI Inc 5.15% 3/15/2036  |  | 7209000 | 7143520 |
| MSCI Inc 5.25% 9/1/2035  |  | 23921000 | 23951178 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (p) |  | 988000 | 1028330 |
|  |  |  | 826385334 |
| Consumer Finance - 0.7% |  |  |  |
| Ally Financial Inc 6.646% 1/17/2040 (d) |  | 3766000 | 3757174 |
| Ally Financial Inc 6.7% 2/14/2033  |  | 3950000 | 4119001 |
| Ally Financial Inc 7.1% 11/15/2027  |  | 32320000 | 33878599 |
| Capital One Financial Corp 3.273% 3/1/2030 (d) |  | 22490000 | 21935338 |
| Capital One Financial Corp 3.65% 5/11/2027  |  | 52443000 | 52258338 |
| Capital One Financial Corp 4.1% 2/9/2027  |  | 11988000 | 12004537 |
| Capital One Financial Corp 5.247% 7/26/2030 (d) |  | 35910000 | 37107079 |
| Capital One Financial Corp 6.377% 6/8/2034 (d) |  | 3572000 | 3872529 |
| Capital One Financial Corp 7.624% 10/30/2031 (d) |  | 47805000 | 53883365 |
| Encore Capital Group Inc 8.5% 5/15/2030 (p) |  | 2910000 | 3113100 |
| Ford Motor Credit Co LLC 4.445% 2/14/2030  | EUR | 2050000 | 2508297 |
| Ford Motor Credit Co LLC 4.97% 4/6/2029  |  | 7087000 | 7132197 |
| Ford Motor Credit Co LLC 6.184% 8/29/2031  | GBP | 2225000 | 3104093 |
| Ford Motor Credit Co LLC U.S. SOFR Index + 2.95%, 6.6623% 3/6/2026 (d)(e) |  | 2490000 | 2490632 |
| LFS Topco LLC 8.75% 7/15/2030 (p) |  | 4250000 | 4111722 |
| Navient Corp 4.875% 3/15/2028  |  | 505000 | 482594 |
| Navient Corp 5% 3/15/2027  |  | 1150000 | 1132596 |
| Navient Corp 5.5% 3/15/2029 (y) |  | 1150000 | 1074176 |
| Navient Corp 5.625% 8/1/2033  |  | 735000 | 603757 |
| Navient Corp 7.875% 6/15/2032 (y) |  | 1960000 | 1829108 |
| OneMain Finance Corp 6.125% 5/15/2030  |  | 1850000 | 1857265 |
| OneMain Finance Corp 6.5% 3/15/2033  |  | 1125000 | 1114751 |
| OneMain Finance Corp 6.625% 5/15/2029 (y) |  | 2410000 | 2460312 |
| OneMain Finance Corp 6.75% 3/15/2032  |  | 1015000 | 1022879 |
| OneMain Finance Corp 6.75% 9/15/2033  |  | 1450000 | 1439144 |
| OneMain Finance Corp 7.125% 11/15/2031  |  | 850000 | 869083 |
| OneMain Finance Corp 7.125% 9/15/2032  |  | 920000 | 940845 |
| PRA Group Inc 8.875% 1/31/2030 (p) |  | 1003000 | 1020552 |
| SLM Corp 6.5% 1/31/2030  |  | 2125000 | 2157924 |
| Stellantis Financial Services US Corp 5.4% 9/15/2030 (p) |  | 3171000 | 3206162 |
| Synchrony Financial 3.95% 12/1/2027  |  | 19808000 | 19717196 |
|  |  |  | 286204345 |
| Financial Services - 0.3% |  |  |  |
| Block Inc 3.5% 6/1/2031  |  | 4089000 | 3839541 |
| Block Inc 5.625% 8/15/2030 (p) |  | 1815000 | 1838796 |
| Block Inc 6% 8/15/2033 (p) |  | 1425000 | 1448065 |
| Block Inc 6.5% 5/15/2032  |  | 5110000 | 5256959 |
| Burford Capital Global Finance LLC 7.5% 7/15/2033 (p) |  | 1820000 | 1702282 |
| Clue Opco LLC 9.5% 10/15/2031 (p) |  | 1152000 | 1192954 |
| Corebridge Financial Inc 3.65% 4/5/2027  |  | 24155000 | 24028230 |
| Corebridge Financial Inc 3.85% 4/5/2029  |  | 9902000 | 9788708 |
| Corebridge Financial Inc 3.9% 4/5/2032  |  | 11788000 | 11194731 |
| Corebridge Financial Inc 4.35% 4/5/2042  |  | 2681000 | 2283601 |
| Equitable Holdings Inc 4.572% 2/15/2029 (p) |  | 4941000 | 4959153 |
| HA Sustainable Infrastructure Capital Inc 6% 3/15/2036 (b) |  | 2121000 | 2108200 |
| HA Sustainable Infrastructure Capital Inc 7.125% 11/15/2056 (d) |  | 1059000 | 1058709 |
| HA Sustainable Infrastructure Capital Inc 8% 6/1/2056 (d) |  | 3089000 | 3254447 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (p) |  | 1475000 | 1452875 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 4.375% 2/1/2029  |  | 5485000 | 4671067 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.25% 5/15/2027  |  | 5916000 | 5827078 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9% 6/15/2030  |  | 2350000 | 2235362 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9.75% 1/15/2029  |  | 395000 | 390398 |
| ION Platform Finance US Inc 7.875% 9/30/2032 (p) |  | 1760000 | 1408367 |
| Jackson Financial Inc 3.125% 11/23/2031  |  | 2681000 | 2442124 |
| Jackson Financial Inc 5.17% 6/8/2027  |  | 10301000 | 10426271 |
| Jackson Financial Inc 5.67% 6/8/2032  |  | 11039000 | 11288867 |
| Jefferson Capital Holdin 8.25% 5/15/2030 (p) |  | 990000 | 1037216 |
| NFE Financing LLC 12% (j)(p) |  | 13750797 | 4970913 |
| Pine Street Trust II 5.568% 2/15/2049 (p) |  | 19200000 | 18295063 |
| Rocket Cos Inc 6.375% 8/1/2033 (p) |  | 3365000 | 3477794 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (p) |  | 1755000 | 1734665 |
| WEX Inc 6.5% 3/15/2033 (p) |  | 915000 | 919609 |
| Windstream Services LLC / Windstream Escrow Finance Corp 8.25% 10/1/2031 (p) |  | 3055000 | 3216411 |
|  |  |  | 147748456 |
| Insurance - 0.3% |  |  |  |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.75% 4/15/2028 (p) |  | 2419000 | 2446838 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (p) |  | 3355000 | 3250391 |
| Asurion LLC and Asurion Co-Issuer Inc 8% 12/31/2032 (p) |  | 6075000 | 6380621 |
| Asurion LLC and Asurion Co-Issuer Inc 8.375% 2/1/2034 (p) |  | 19670000 | 19574928 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (p) |  | 42017000 | 39851954 |
| Liberty Mutual Group Inc 4.569% 2/1/2029 (p) |  | 8055000 | 8107035 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  |  | 12747000 | 12879606 |
| Unum Group 4% 6/15/2029  |  | 15636000 | 15510440 |
| Unum Group 4.046% 8/15/2041 (p) |  | 1112000 | 922583 |
| Unum Group 5.75% 8/15/2042  |  | 15440000 | 15248413 |
|  |  |  | 124172809 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |  |
| EF Holdco / EF Cayman Hold / Ellington Fin REIT Cayman/TRS / EF Cayman Non-MTM 7.375% 9/30/2030 (p) |  | 2055000 | 2075437 |
| Rithm Capital Corp 8% 4/1/2029 (p) |  | 1000000 | 1006344 |
| Rithm Capital Corp 8% 7/15/2030 (p) |  | 2035000 | 2044381 |
| Starwood Property Trust Inc 3.625% 7/15/2026 (p) |  | 490000 | 487023 |
| Starwood Property Trust Inc 5.25% 10/15/2028 (p) |  | 1030000 | 1034952 |
| Starwood Property Trust Inc 5.75% 1/15/2031 (p) |  | 1640000 | 1657140 |
| Starwood Property Trust Inc 6% 4/15/2030 (p) |  | 1495000 | 1529636 |
| Starwood Property Trust Inc 6.5% 10/15/2030 (p) |  | 700000 | 729511 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (p) |  | 1805000 | 1877245 |
| Starwood Property Trust Inc 7.25% 4/1/2029 (p) |  | 1045000 | 1095010 |
|  |  |  | 13536679 |
| TOTAL FINANCIALS |  |  | 2764581335 |
| Health Care - 1.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| BioMarin Pharmaceutical Inc5.5% 2/15/2034 (p) |  | 2110000 | 2128552 |
| Emergent BioSolutions Inc 3.875% 8/15/2028 (p) |  | 4305000 | 3764180 |
|  |  |  | 5892732 |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| AdaptHealth LLC 5.125% 3/1/2030 (p) |  | 2196000 | 2115995 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (p) |  | 7400000 | 7636593 |
| Sotera Health Holdings LLC 7.375% 6/1/2031 (p) |  | 987000 | 1038539 |
|  |  |  | 10791127 |
| Health Care Providers & Services - 0.9% |  |  |  |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (p) |  | 3190000 | 3293190 |
| Accendra Health Inc 6.625% 4/1/2030 (p) |  | 5130000 | 2468239 |
| Centene Corp 2.45% 7/15/2028  |  | 29620000 | 27917691 |
| Centene Corp 2.625% 8/1/2031  |  | 13830000 | 11981957 |
| Centene Corp 3.375% 2/15/2030  |  | 24530000 | 22746521 |
| Centene Corp 4.25% 12/15/2027  |  | 15485000 | 15391231 |
| Centene Corp 4.625% 12/15/2029  |  | 24065000 | 23481816 |
| CHS/Community Health Systems Inc 4.75% 2/15/2031 (p) |  | 8275000 | 7592240 |
| CHS/Community Health Systems Inc 5.25% 5/15/2030 (p) |  | 8970000 | 8618665 |
| CHS/Community Health Systems Inc 6.125% 4/1/2030 (p) |  | 4055000 | 3585069 |
| CHS/Community Health Systems Inc 9.75% 1/15/2034 (p) |  | 1925000 | 2028601 |
| Cigna Group/The 3.05% 10/15/2027  |  | 10400000 | 10286729 |
| CVS Health Corp 3% 8/15/2026  |  | 2303000 | 2292734 |
| CVS Health Corp 3.625% 4/1/2027  |  | 7027000 | 7005683 |
| CVS Health Corp 4.78% 3/25/2038  |  | 18481000 | 17658500 |
| CVS Health Corp 5% 1/30/2029  |  | 10678000 | 10959315 |
| CVS Health Corp 5.25% 1/30/2031  |  | 4378000 | 4562884 |
| CVS Health Corp 6.75% 12/10/2054 (d) |  | 3717000 | 3866330 |
| CVS Health Corp 7% 3/10/2055 (d) |  | 4731000 | 4976189 |
| DaVita Inc 3.75% 2/15/2031 (p) |  | 1165000 | 1088683 |
| DaVita Inc 4.625% 6/1/2030 (p) |  | 5420000 | 5305782 |
| DaVita Inc 6.75% 7/15/2033 (p) |  | 2790000 | 2896810 |
| DaVita Inc 6.875% 9/1/2032 (p) |  | 2880000 | 2992568 |
| Global Medical Response Inc 7.375% 10/1/2032 (p) |  | 991000 | 1037458 |
| HCA Inc 3.5% 9/1/2030  |  | 20891000 | 20238465 |
| HCA Inc 3.625% 3/15/2032  |  | 3086000 | 2940560 |
| HCA Inc 5.5% 6/1/2033  |  | 18000000 | 18865870 |
| HCA Inc 5.625% 9/1/2028  |  | 16701000 | 17233769 |
| HCA Inc 5.875% 2/1/2029  |  | 15195000 | 15837480 |
| Humana Inc 3.7% 3/23/2029  |  | 9378000 | 9220927 |
| LifePoint Health Inc 10% 6/1/2032 (p) |  | 1436000 | 1497754 |
| Molina Healthcare Inc 6.25% 1/15/2033 (p) |  | 6699000 | 6589914 |
| Molina Healthcare Inc 6.5% 2/15/2031 (p) |  | 3080000 | 3089841 |
| National Mentor Holdings Inc 10.5% 12/15/2030 (p) |  | 3085000 | 3073626 |
| Pediatrix Medical Group Inc 5.375% 2/15/2030 (p) |  | 2070000 | 2056610 |
| Radiology Partners Inc 8.5% 7/15/2032 (p) |  | 1195000 | 1230468 |
| Radiology Partners Inc 9.781% 2/15/2030 pay-in-kind (d)(p) |  | 282730 | 264352 |
| Sabra Health Care LP 3.2% 12/1/2031  |  | 36074000 | 33361491 |
| Surgery Center Holdings Inc 7.25% 4/15/2032 (p) |  | 2032000 | 2029535 |
| TEAM Services Holding Inc 9% 2/15/2033 (p) |  | 4280000 | 4186525 |
| Tenet Healthcare Corp 4.25% 6/1/2029  |  | 715000 | 703565 |
| Tenet Healthcare Corp 4.375% 1/15/2030  |  | 3385000 | 3323320 |
| Tenet Healthcare Corp 4.625% 6/15/2028 (y) |  | 3035000 | 3030843 |
| Tenet Healthcare Corp 5.5% 11/15/2032 (p) |  | 3090000 | 3128415 |
| Tenet Healthcare Corp 6% 11/15/2033 (p) |  | 1680000 | 1736162 |
| Tenet Healthcare Corp 6.125% 10/1/2028  |  | 2495000 | 2500758 |
| Tenet Healthcare Corp 6.125% 6/15/2030  |  | 2691000 | 2744694 |
| Tenet Healthcare Corp 6.75% 5/15/2031  |  | 665000 | 690453 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  |  | 6970000 | 7101298 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (p) |  | 5261000 | 5262641 |
|  |  |  | 375974221 |
| Health Care Technology - 0.0% |  |  |  |
| IQVIA Inc 6.25% 6/1/2032 (p) |  | 4145000 | 4263862 |
| IQVIA Inc 6.5% 5/15/2030 (p) |  | 1445000 | 1485768 |
|  |  |  | 5749630 |
| Pharmaceuticals - 0.1% |  |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (p) |  | 9864000 | 10200684 |
| Bausch Health Americas Inc 8.5% 1/31/2027 (p) |  | 1370000 | 1357673 |
| Elanco Animal Health Inc 6.65% 8/28/2028 (d) |  | 4279000 | 4448457 |
| Mylan Inc 4.55% 4/15/2028  |  | 13507000 | 13575730 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (p) |  | 3685000 | 3617438 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (p)(y) |  | 4465000 | 3967624 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 6.75% 5/15/2034 (p) |  | 895000 | 868149 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 7.875% 5/15/2034 (p)(y) |  | 3769000 | 3512566 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  |  | 4272000 | 4267162 |
|  |  |  | 45815483 |
| TOTAL HEALTH CARE |  |  | 444223193 |
| Industrials - 0.8% |  |  |  |
| Aerospace & Defense - 0.4% |  |  |  |
| Axon Enterprise Inc 6.125% 3/15/2030 (p) |  | 2440000 | 2514727 |
| Axon Enterprise Inc 6.25% 3/15/2033 (p) |  | 2425000 | 2513559 |
| Boeing Co 3.55% 3/1/2038  |  | 2570000 | 2209001 |
| Boeing Co 5.15% 5/1/2030  |  | 18842000 | 19515407 |
| Boeing Co 5.705% 5/1/2040  |  | 13710000 | 14264366 |
| Boeing Co 5.805% 5/1/2050  |  | 3812000 | 3827401 |
| Boeing Co 5.93% 5/1/2060  |  | 13710000 | 13750022 |
| Boeing Co 6.259% 5/1/2027  |  | 3585000 | 3672610 |
| Boeing Co 6.298% 5/1/2029  |  | 8683000 | 9253020 |
| Boeing Co 6.388% 5/1/2031  |  | 6576000 | 7188034 |
| Boeing Co 6.528% 5/1/2034  |  | 7038000 | 7890842 |
| Boeing Co 6.858% 5/1/2054  |  | 10596000 | 12151797 |
| Boeing Co 7.008% 5/1/2064  |  | 10000000 | 11594797 |
| BWX Technologies Inc 4.125% 6/30/2028 (p) |  | 3265000 | 3233675 |
| Carpenter Technology Corp 5.625% 3/1/2034 (p) |  | 2825000 | 2880593 |
| OneSky Flight LLC 8.875% 12/15/2029 (p) |  | 2005000 | 2133869 |
| TransDigm Inc 6% 1/15/2033 (p) |  | 1085000 | 1104193 |
| TransDigm Inc 6.125% 7/31/2034 (p)(y) |  | 2830000 | 2874533 |
| TransDigm Inc 6.25% 1/31/2034 (p) |  | 740000 | 765529 |
| TransDigm Inc 6.375% 3/1/2029 (p) |  | 4655000 | 4777194 |
| TransDigm Inc 6.375% 5/31/2033 (p) |  | 2785000 | 2842463 |
| TransDigm Inc 6.625% 3/1/2032 (p) |  | 1210000 | 1253550 |
| TransDigm Inc 6.75% 1/31/2034 (p) |  | 3270000 | 3393545 |
| TransDigm Inc 6.75% 8/15/2028 (p) |  | 1980000 | 2014650 |
| TransDigm Inc 7.125% 12/1/2031 (p) |  | 415000 | 434957 |
|  |  |  | 138054334 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (p)(y) |  | 4037000 | 4211079 |
| Stonepeak Nile Parent LLC 7.25% 3/15/2032 (p) |  | 1950000 | 2069385 |
|  |  |  | 6280464 |
| Building Products - 0.1% |  |  |  |
| Advanced Drainage Systems Inc 5.375% 3/1/2034 (p) |  | 2160000 | 2176459 |
| AmeriTex HoldCo Intermediate LLC 7.625% 8/15/2033 (p) |  | 2215000 | 2319156 |
| Builders FirstSource Inc 4.25% 2/1/2032 (p) |  | 2465000 | 2350919 |
| Builders FirstSource Inc 6.375% 3/1/2034 (p) |  | 1075000 | 1107267 |
| Builders FirstSource Inc 6.75% 5/15/2035 (p)(y) |  | 4590000 | 4789962 |
| Camelot Return Merger Sub Inc 8.75% 8/1/2028 (p) |  | 1880000 | 1419421 |
| Carrier Global Corp 5.9% 3/15/2034  |  | 2545000 | 2753456 |
| Cornerstone Building Brands Inc 6.125% 1/15/2029 (p) |  | 1195000 | 596422 |
| Cornerstone Building Brands Inc 9.5% 8/15/2029 (p) |  | 895000 | 650550 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.625% 12/15/2030 (p) |  | 5350000 | 5537223 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.75% 7/15/2031 (p) |  | 1050000 | 1094848 |
| JH North America Holdings Inc 6.125% 7/31/2032 (p) |  | 175000 | 179612 |
| Masterbrand Inc 7% 7/15/2032 (p) |  | 1135000 | 1142301 |
| Miter Brands Acquisition Holdco Inc / MIWD Borrower LLC 6.75% 4/1/2032 (p)(y) |  | 1055000 | 1063758 |
| Standard Building Solutions Inc 5.875% 3/15/2034 (p) |  | 2065000 | 2059967 |
| Standard Building Solutions Inc 6.25% 8/1/2033 (p) |  | 4040000 | 4115354 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (p) |  | 1955000 | 2012351 |
|  |  |  | 35369026 |
| Commercial Services & Supplies - 0.1% |  |  |  |
| ADT Security Corp/The 5.875% 10/15/2033 (p) |  | 2055000 | 2088630 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6% 6/1/2029 (p) |  | 2090000 | 2067907 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6.875% 6/15/2030 (p) |  | 2520000 | 2622947 |
| Allied Universal Holdco LLC 7.875% 2/15/2031 (p) |  | 3780000 | 3993602 |
| Artera Services LLC 8.5% 2/15/2031 (p)(y) |  | 12435000 | 10395261 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (p)(y) |  | 5117000 | 4778615 |
| Clean Harbors Inc 6.375% 2/1/2031 (p)(y) |  | 945000 | 970254 |
| CoreCivic Inc 4.75% 10/15/2027  |  | 4815000 | 4816183 |
| CoreCivic Inc 8.25% 4/15/2029  |  | 980000 | 1017690 |
| GEO Group Inc/The 10.25% 4/15/2031  |  | 2965000 | 3183482 |
| GEO Group Inc/The 8.625% 4/15/2029  |  | 3010000 | 3131953 |
| GFL Environmental Holdings US Inc 5.5% 2/1/2034 (p) |  | 1050000 | 1053777 |
| GFL Environmental Inc 3.5% 9/1/2028 (p) |  | 1685000 | 1647580 |
| GFL Environmental Inc 6.75% 1/15/2031 (p) |  | 405000 | 424784 |
| Neptune Bidco US Inc 9.5% 2/15/2033 (p) |  | 2150000 | 2104400 |
| OT Midco Inc 10% 2/15/2030 (p) |  | 4121000 | 1749651 |
| Reworld Holding Corp 4.875% 12/1/2029 (p) |  | 1093000 | 1053349 |
| Williams Scotsman Inc 6.625% 4/15/2030 (p) |  | 1210000 | 1253617 |
| Williams Scotsman Inc 6.625% 6/15/2029 (p) |  | 1755000 | 1812822 |
|  |  |  | 50166504 |
| Construction & Engineering - 0.0% |  |  |  |
| AECOM 6% 8/1/2033 (p) |  | 3845000 | 3928675 |
| Amsted Industries Inc 6.375% 3/15/2033 (p) |  | 1990000 | 2068085 |
| Railworks Holdings LP / Railworks Rally Inc 8.25% 11/15/2028 (p) |  | 4284000 | 4326502 |
|  |  |  | 10323262 |
| Electrical Equipment - 0.0% |  |  |  |
| Sensata Technologies BV 4% 4/15/2029 (p) |  | 902000 | 882887 |
| WESCO Distribution Inc 5.25% 4/15/2031 (p) |  | 2445000 | 2440672 |
| WESCO Distribution Inc 5.5% 4/15/2034 (p) |  | 3180000 | 3204678 |
| WESCO Distribution Inc 6.375% 3/15/2033 (p)(y) |  | 1010000 | 1053047 |
|  |  |  | 7581284 |
| Ground Transportation - 0.1% |  |  |  |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8.375% 6/15/2032 (p) |  | 1665000 | 1637299 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (p) |  | 3930000 | 4050792 |
| Uber Technologies Inc 4.15% 1/15/2031  |  | 16423000 | 16358686 |
| Uber Technologies Inc 4.8% 9/15/2035  |  | 12955000 | 12895808 |
| XPO Inc 7.125% 2/1/2032 (p)(y) |  | 2855000 | 2991992 |
| XPO Inc 7.125% 6/1/2031 (p) |  | 940000 | 976767 |
|  |  |  | 38911344 |
| Industrial Conglomerates - 0.0% |  |  |  |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 4.75% 6/15/2029 (p) |  | 1425000 | 1411173 |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 7% 7/15/2031 (p) |  | 1630000 | 1718749 |
|  |  |  | 3129922 |
| Machinery - 0.0% |  |  |  |
| Allison Transmission Inc 5.875% 12/1/2033 (p) |  | 2255000 | 2302850 |
| Beach Acquisition Bidco LLC 10% 7/15/2033 pay-in-kind (d)(p) |  | 4068627 | 4495844 |
| Chart Industries Inc 7.5% 1/1/2030 (p) |  | 256000 | 265935 |
| Columbus McKinnon Corp/NY 7.125% 2/1/2033 (p) |  | 2110000 | 2169207 |
| Enpro Inc 6.125% 6/1/2033 (p) |  | 2005000 | 2069256 |
|  |  |  | 11303092 |
| Passenger Airlines - 0.0% |  |  |  |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.5% 4/20/2026 (p) |  | 77751 | 77856 |
| JetBlue Airways Corp / JetBlue Loyalty LP 9.875% 9/20/2031 (p) |  | 2897000 | 2944064 |
| United Airlines Holdings Inc 4.875% 3/1/2029  |  | 3260000 | 3282421 |
| United Airlines Holdings Inc 5.375% 3/1/2031  |  | 2110000 | 2148174 |
|  |  |  | 8452515 |
| Professional Services - 0.0% |  |  |  |
| CACI International Inc 6.375% 6/15/2033 (p) |  | 3070000 | 3160541 |
| Paychex Inc 5.1% 4/15/2030  |  | 2986000 | 3049468 |
| Paychex Inc 5.35% 4/15/2032  |  | 4153000 | 4259122 |
| Paychex Inc 5.6% 4/15/2035  |  | 3253000 | 3334799 |
| Verisk Analytics Inc 4.45% 3/15/2031  |  | 4851000 | 4874628 |
|  |  |  | 18678558 |
| Trading Companies & Distributors - 0.1% |  |  |  |
| FTAI Aviation Investors LLC 7% 6/15/2032 (p) |  | 1005000 | 1054951 |
| FTAI Aviation Investors LLC 7.875% 12/1/2030 (p) |  | 1860000 | 1968120 |
| Herc Holdings Inc 5.75% 3/15/2031 (p) |  | 1380000 | 1398935 |
| Herc Holdings Inc 6% 3/15/2034 (p) |  | 1260000 | 1266720 |
| Herc Holdings Inc 7% 6/15/2030 (p) |  | 3605000 | 3777741 |
| Herc Holdings Inc 7.25% 6/15/2033 (p) |  | 2675000 | 2827654 |
| QXO Building Products Inc 6.75% 4/30/2032 (p) |  | 6110000 | 6328225 |
| Synergy Infrastructure Holdings LLC 7.875% 12/1/2030 (p) |  | 980000 | 1020843 |
| United Rentals North America Inc 5.375% 11/15/2033 (p) |  | 5130000 | 5171829 |
| United Rentals North America Inc 6.125% 3/15/2034 (p) |  | 3195000 | 3347024 |
|  |  |  | 28162042 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Beacon Mobility Corp 7.25% 8/1/2030 (p) |  | 980000 | 1026481 |
| TOTAL INDUSTRIALS |  |  | 357438828 |
| Information Technology - 1.0% |  |  |  |
| Electronic Equipment, Instruments & Components - 0.3% |  |  |  |
| Coherent Corp 5% 12/15/2029 (p)(y) |  | 2210000 | 2211191 |
| Dell International LLC / EMC Corp 4.15% 2/15/2029  |  | 16818000 | 16878193 |
| Dell International LLC / EMC Corp 4.5% 2/15/2031  |  | 33281000 | 33442594 |
| Dell International LLC / EMC Corp 4.75% 10/6/2032  |  | 22184000 | 22391520 |
| Dell International LLC / EMC Corp 5.1% 2/15/2036  |  | 40930000 | 41080572 |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  |  | 8040000 | 8638456 |
| Lightning Power LLC 7.25% 8/15/2032 (p) |  | 2020000 | 2144557 |
| Sensata Technologies Inc 3.75% 2/15/2031 (p) |  | 950000 | 895618 |
| Sensata Technologies Inc 6.625% 7/15/2032 (p) |  | 1780000 | 1863283 |
|  |  |  | 129545984 |
| IT Services - 0.0% |  |  |  |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (p) |  | 5661000 | 5564067 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (p) |  | 2651000 | 2602319 |
| CoreWeave Inc 9% 2/1/2031 (p) |  | 8423000 | 8127069 |
| CoreWeave Inc 9.25% 6/1/2030 (p) |  | 3505000 | 3432971 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (p) |  | 2440000 | 2282681 |
|  |  |  | 22009107 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |  |
| Amkor Technology Inc 5.875% 10/1/2033 (p) |  | 1010000 | 1030643 |
| Broadcom Inc 1.95% 2/15/2028  |  | 6532000 | 6314564 |
| Broadcom Inc 2.45% 2/15/2031  |  | 63710000 | 58889907 |
| Broadcom Inc 2.6% 2/15/2033  |  | 92472000 | 82317261 |
| Broadcom Inc 3.419% 4/15/2033  |  | 5015000 | 4697291 |
| Entegris Inc 3.625% 5/1/2029 (p) |  | 1325000 | 1271756 |
| Entegris Inc 4.75% 4/15/2029 (p) |  | 5435000 | 5439517 |
| Entegris Inc 5.95% 6/15/2030 (p) |  | 5300000 | 5404596 |
| ON Semiconductor Corp 3.875% 9/1/2028 (p) |  | 1660000 | 1624988 |
| Wolfspeed Inc 7% 6/15/2031 pay-in-kind (d) |  | 1182698 | 876278 |
| Wolfspeed Inc 9.875% 6/23/2030 pay-in-kind (d)(p) |  | 1110942 | 1187375 |
|  |  |  | 169054176 |
| Software - 0.3% |  |  |  |
| Cloud Software Group Inc 9% 9/30/2029 (p) |  | 6663000 | 6524737 |
| Fiserv Funding ULC 3.5% 6/15/2032  | EUR | 1855000 | 2162731 |
| Oracle Corp 3.6% 4/1/2040  |  | 12540000 | 9476421 |
| Oracle Corp 4.45% 9/26/2030  |  | 12655000 | 12411438 |
| Oracle Corp 4.55% 2/4/2029  |  | 1050000 | 1051993 |
| Oracle Corp 4.8% 9/26/2032  |  | 21108000 | 20625160 |
| Oracle Corp 4.95% 2/4/2031  |  | 1053000 | 1050843 |
| Oracle Corp 5.2% 9/26/2035  |  | 19216000 | 18569436 |
| Oracle Corp 5.35% 5/4/2033  |  | 1050000 | 1053540 |
| Oracle Corp 5.7% 2/4/2036  |  | 1053000 | 1053590 |
| Oracle Corp 5.875% 9/26/2045  |  | 11851000 | 10737779 |
| Oracle Corp 5.95% 9/26/2055  |  | 14857000 | 13074066 |
| Oracle Corp 6.1% 9/26/2065  |  | 15291000 | 13250023 |
| Oracle Corp 6.55% 2/4/2046  |  | 1478000 | 1440239 |
| Oracle Corp 6.7% 2/4/2056  |  | 1053000 | 1021157 |
| Oracle Corp 6.85% 2/4/2066  |  | 211000 | 202140 |
| Oracle Corp U.S. SOFR Averages Index + 1.11%, 4.777% 2/4/2029 (d)(e) |  | 1050000 | 1048499 |
| Rackspace Finance LLC 3.5% 5/15/2028 (p) |  | 3657300 | 1488063 |
| X.AI LLC / X.AI Co Issuer Corp 12.5% 6/30/2030 (p) |  | 6640000 | 7562376 |
|  |  |  | 123804231 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Seagate Data Storage Technology Pte Ltd 5.75% 12/1/2034 (p) |  | 1925000 | 1969323 |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (p) |  | 1265000 | 1301880 |
| Seagate Data Storage Technology Pte Ltd 8.25% 12/15/2029 (p) |  | 850000 | 896885 |
| Seagate Data Storage Technology Pte Ltd 8.5% 7/15/2031 (p) |  | 1045000 | 1099265 |
|  |  |  | 5267353 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 449680851 |
| Materials - 0.5% |  |  |  |
| Chemicals - 0.4% |  |  |  |
| Advancion Sciences Inc 9.25% 11/1/2026 pay-in-kind (d)(p) |  | 5228415 | 4522579 |
| Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/2031 (p) |  | 970000 | 1019732 |
| Celanese US Holdings LLC 6.5% 4/15/2030  |  | 1410000 | 1444645 |
| Celanese US Holdings LLC 6.75% 4/15/2033 (y) |  | 4490000 | 4603601 |
| Celanese US Holdings LLC 6.85% 11/15/2028 (d) |  | 8115000 | 8539780 |
| Celanese US Holdings LLC 6.879% 7/15/2032 (d)(y) |  | 17045000 | 17969129 |
| Celanese US Holdings LLC 7% 2/15/2031  |  | 3100000 | 3193319 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (d) |  | 15205000 | 16211206 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (d)(y) |  | 9108000 | 9785143 |
| Celanese US Holdings LLC 7.375% 2/15/2034 (y) |  | 5964000 | 6126907 |
| Chemours Co/The 4.625% 11/15/2029 (p) |  | 2805000 | 2656925 |
| Chemours Co/The 5.75% 11/15/2028 (p) |  | 3385000 | 3404681 |
| Chemours Co/The 7.875% 3/15/2034 (b)(p) |  | 2610000 | 2606741 |
| Chemours Co/The 8% 1/15/2033 (p) |  | 2570000 | 2613808 |
| CompoSecure Holdings LLC 5.625% 2/1/2033 (p) |  | 4190000 | 4169050 |
| GPD Cos Inc 12.5% 12/31/2029 pay-in-kind (p) |  | 2079833 | 1095500 |
| Mativ Holdings Inc 8% 10/1/2029 (p) |  | 2558000 | 2524522 |
| Methanex US Operations Inc 6.25% 3/15/2032 (p)(y) |  | 2745000 | 2841083 |
| Olin Corp 5% 2/1/2030 (y) |  | 5425000 | 5275649 |
| Olin Corp 6.625% 4/1/2033 (p) |  | 3780000 | 3691062 |
| Olympus Water US Holding Corp 6.25% 10/1/2029 (p)(y) |  | 3209000 | 3137108 |
| Olympus Water US Holding Corp 6.75% 8/1/2032 (p) |  | 3975000 | 3913031 |
| Olympus Water US Holding Corp 7.25% 2/15/2033 (p)(y) |  | 4105000 | 4086395 |
| Olympus Water US Holding Corp 7.25% 6/15/2031 (p) |  | 1255000 | 1284047 |
| Perimeter Holdings LLC 6.25% 1/15/2034 (p) |  | 3115000 | 3129203 |
| Solstice Advanced Materials Inc 5.625% 9/30/2033 (p) |  | 2090000 | 2112616 |
| Tronox Inc 4.625% 3/15/2029 (p)(y) |  | 5865000 | 4534717 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (p) |  | 4895000 | 4689099 |
| WR Grace Holdings LLC 6.625% 8/15/2032 (p) |  | 2860000 | 2893253 |
| WR Grace Holdings LLC 7% 8/1/2033 (p) |  | 1420000 | 1445773 |
| WR Grace Holdings LLC 7.375% 3/1/2031 (p) |  | 770000 | 790464 |
|  |  |  | 136310768 |
| Construction Materials - 0.0% |  |  |  |
| Quikrete Holdings Inc 6.375% 3/1/2032 (p) |  | 8185000 | 8506654 |
| Quikrete Holdings Inc 6.75% 3/1/2033 (p) |  | 2795000 | 2905280 |
| Smyrna Ready Mix Concrete LLC 6% 11/1/2028 (p) |  | 2800000 | 2803777 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (p) |  | 2540000 | 2698455 |
|  |  |  | 16914166 |
| Containers & Packaging - 0.0% |  |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (p) |  | 2765000 | 2639016 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6.25% 1/30/2031 (p) |  | 1520000 | 1555741 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (p) |  | 2705000 | 2725424 |
| Clydesdale Acquisition Holdings Inc 6.875% 1/15/2030 (p) |  | 1920000 | 1949434 |
| Clydesdale Acquisition Holdings Inc 8.75% 4/15/2030 (p)(y) |  | 2070000 | 2060875 |
| Crown Americas LLC / Crown Americas Capital Corp 5.875% 6/1/2033 (p) |  | 2920000 | 3000090 |
| Graphic Packaging International LLC 3.75% 2/1/2030 (p)(y) |  | 1190000 | 1126189 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (p) |  | 1645000 | 1666359 |
|  |  |  | 16723128 |
| Metals & Mining - 0.1% |  |  |  |
| Alcoa Nederland Holding BV 7.125% 3/15/2031 (p) |  | 6785000 | 7173285 |
| Alumina Pty Ltd 6.375% 9/15/2032 (p) |  | 3630000 | 3768808 |
| Century Aluminum Co 6.875% 8/1/2032 (p) |  | 1975000 | 2042856 |
| Cleveland-Cliffs Inc 7% 3/15/2032 (p) |  | 1850000 | 1878909 |
| Cleveland-Cliffs Inc 7.375% 5/1/2033 (p) |  | 1040000 | 1067281 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (p) |  | 960000 | 1001997 |
| Cleveland-Cliffs Inc 7.625% 1/15/2034 (p) |  | 1325000 | 1359809 |
| Commercial Metals Co 3.875% 2/15/2031  |  | 1150000 | 1093478 |
| Commercial Metals Co 4.125% 1/15/2030  |  | 1175000 | 1148550 |
| Commercial Metals Co 5.75% 11/15/2033 (p) |  | 2760000 | 2815987 |
| Commercial Metals Co 6% 12/15/2035 (p) |  | 2760000 | 2826925 |
| Kaiser Aluminum Corp 5.875% 3/1/2034 (p) |  | 2060000 | 2082944 |
| Novelis Corp 3.875% 8/15/2031 (p) |  | 955000 | 872773 |
| Novelis Corp 6.375% 8/15/2033 (p) |  | 1110000 | 1122081 |
| Novelis Corp 6.875% 1/30/2030 (p) |  | 3320000 | 3427163 |
|  |  |  | 33682846 |
| TOTAL MATERIALS |  |  | 203630908 |
| Real Estate - 1.8% |  |  |  |
| Diversified REITs - 0.4% |  |  |  |
| GLP Capital LP / GLP Financing II Inc 5.625% 9/15/2034  |  | 3794000 | 3862918 |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  |  | 5512000 | 4802063 |
| Safehold GL Holdings LLC 6.1% 4/1/2034  |  | 4551000 | 4913100 |
| Store Capital LLC 2.7% 12/1/2031  |  | 7899000 | 7066474 |
| Store Capital LLC 2.75% 11/18/2030  |  | 7730000 | 7109958 |
| Store Capital LLC 4.625% 3/15/2029  |  | 5948000 | 5975455 |
| Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC 6% 1/15/2030 (p) |  | 2910000 | 2749894 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 6.5% 2/15/2029 (p) |  | 4986000 | 4849295 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (p) |  | 5845000 | 5928041 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (p) |  | 2895000 | 2936130 |
| Vici Properties LP / Vici Note Co Inc 4.25% 12/1/2026 (p) |  | 199000 | 198692 |
| Vici Properties LP / Vici Note Co Inc 4.625% 12/1/2029 (p) |  | 470000 | 469531 |
| VICI Properties LP 4.75% 2/15/2028  |  | 21253000 | 21464273 |
| VICI Properties LP 4.75% 4/1/2028  |  | 5485000 | 5538889 |
| VICI Properties LP 4.95% 2/15/2030  |  | 33145000 | 33692519 |
| VICI Properties LP 5.125% 5/15/2032  |  | 18569000 | 18835137 |
| VICI Properties LP 5.75% 4/1/2034  |  | 74000 | 76877 |
| Vornado Realty LP 2.15% 6/1/2026  |  | 6904000 | 6850051 |
| WP Carey Inc 3.85% 7/15/2029  |  | 4522000 | 4486027 |
| WP Carey Inc 4.25% 7/23/2032  | EUR | 690000 | 849398 |
|  |  |  | 142654722 |
| Health Care REITs - 0.6% |  |  |  |
| CTR Partnership LP / CareTrust Capital Corp 3.875% 6/30/2028 (p) |  | 1740000 | 1701775 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  |  | 4838000 | 4633553 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  |  | 5039000 | 5018599 |
| Healthpeak OP LLC 3.25% 7/15/2026  |  | 2056000 | 2050171 |
| Healthpeak OP LLC 3.5% 7/15/2029  |  | 2351000 | 2304390 |
| MPT Operating Partnership LP / MPT Finance Corp 0.993% 10/15/2026  | EUR | 865000 | 1001692 |
| MPT Operating Partnership LP / MPT Finance Corp 3.5% 3/15/2031  |  | 3295000 | 2520806 |
| MPT Operating Partnership LP / MPT Finance Corp 4.625% 8/1/2029  |  | 2750000 | 2375976 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027  |  | 12754000 | 12498968 |
| MPT Operating Partnership LP / MPT Finance Corp 8.5% 2/15/2032 (p) |  | 865000 | 925790 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033 (y) |  | 27200000 | 24560977 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  |  | 10332000 | 9750361 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  |  | 39642000 | 38629091 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027  |  | 32478000 | 32528354 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  |  | 18782000 | 18962982 |
| Ventas Realty LP 3% 1/15/2030  |  | 28128000 | 26965994 |
| Ventas Realty LP 4% 3/1/2028  |  | 6996000 | 6992890 |
| Ventas Realty LP 4.75% 11/15/2030  |  | 39136000 | 39986376 |
|  |  |  | 233408745 |
| Hotel & Resort REITs - 0.0% |  |  |  |
| RHP Hotel Properties LP / RHP Finance Corp 5.75% 3/15/2034 (b)(p) |  | 1875000 | 1888679 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (p)(y) |  | 2035000 | 2113938 |
|  |  |  | 4002617 |
| Industrial REITs - 0.0% |  |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  |  | 7113000 | 6596069 |
| Prologis Euro Finance LLC 3.25% 9/22/2032  | EUR | 2135000 | 2522531 |
|  |  |  | 9118600 |
| Office REITs - 0.2% |  |  |  |
| Boston Properties LP 3.25% 1/30/2031  |  | 15144000 | 14264506 |
| Boston Properties LP 4.5% 12/1/2028  |  | 12665000 | 12771526 |
| Boston Properties LP 6.75% 12/1/2027  |  | 16978000 | 17716298 |
| COPT Defense Properties LP 2% 1/15/2029  |  | 2119000 | 2000467 |
| COPT Defense Properties LP 2.25% 3/15/2026  |  | 6484000 | 6479215 |
| COPT Defense Properties LP 2.75% 4/15/2031  |  | 6131000 | 5661999 |
| COPT Defense Properties LP 4.5% 10/15/2030  |  | 3370000 | 3384712 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  |  | 27154000 | 24167060 |
|  |  |  | 86445783 |
| Real Estate Management & Development - 0.3% |  |  |  |
| Americold Realty Operating Partnership LP 5.409% 9/12/2034  |  | 1545000 | 1531310 |
| Anywhere Real Estate Group LLC / Anywhere Co-Issuer Corp 7% 4/15/2030 (p) |  | 399600 | 403933 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 5.25% 4/15/2030 (p) |  | 568000 | 537265 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 5.75% 1/15/2029 (p) |  | 1150000 | 1133625 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 9.75% 4/15/2030 (p) |  | 935000 | 1007473 |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  |  | 14429000 | 14143473 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  |  | 15790000 | 14895615 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  |  | 22792000 | 24052376 |
| CBRE Services Inc 2.5% 4/1/2031  |  | 21262000 | 19398402 |
| Essex Portfolio LP 5.5% 4/1/2034  |  | 1506000 | 1570773 |
| Forestar Group Inc 6.5% 3/15/2033 (p) |  | 3000000 | 3071400 |
| Howard Hughes Corp/The 4.125% 2/1/2029 (p) |  | 1065000 | 1031182 |
| Howard Hughes Corp/The 4.375% 2/1/2031 (p) |  | 895000 | 851245 |
| Kennedy-Wilson Inc 4.75% 2/1/2030  |  | 2195000 | 2128963 |
| Tanger Properties LP 2.75% 9/1/2031  |  | 16274000 | 14884682 |
| Tanger Properties LP 3.125% 9/1/2026  |  | 8723000 | 8672257 |
| Taylor Morrison Communities Inc 5.75% 11/15/2032 (p) |  | 1630000 | 1684266 |
|  |  |  | 110998240 |
| Residential REITs - 0.1% |  |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  |  | 2770000 | 2496900 |
| American Homes 4 Rent LP 3.625% 4/15/2032  |  | 10838000 | 10287298 |
| American Homes 4 Rent LP 5.5% 2/1/2034  |  | 4006000 | 4137453 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  |  | 16951000 | 16498343 |
| Invitation Homes Operating Partnership LP 5.5% 8/15/2033  |  | 2192000 | 2265604 |
| Sun Communities Operating LP 2.3% 11/1/2028  |  | 6226000 | 5946745 |
| Sun Communities Operating LP 2.7% 7/15/2031  |  | 15891000 | 14583208 |
| Sun Communities Operating LP 4.2% 4/15/2032  |  | 473000 | 463732 |
|  |  |  | 56679283 |
| Retail REITs - 0.2% |  |  |  |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  |  | 19581000 | 19405597 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  |  | 18497000 | 18528636 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  |  | 15162000 | 15158359 |
| Kite Realty Group Trust 4.75% 9/15/2030  |  | 1467000 | 1495641 |
| NNN REIT Inc 5.6% 10/15/2033  |  | 2219000 | 2339545 |
| Phillips Edison Grocery Center Operating Partnership I LP 4.75% 3/15/2033  |  | 9993000 | 10010575 |
| Realty Income Corp 2.2% 6/15/2028  |  | 3122000 | 3007733 |
| Realty Income Corp 3.375% 6/20/2031  | EUR | 2285000 | 2722295 |
| Realty Income Corp 3.4% 1/15/2028  |  | 6031000 | 5980638 |
| Simon Property Group LP 2.45% 9/13/2029  |  | 6352000 | 6038860 |
|  |  |  | 84687879 |
| Specialized REITs - 0.0% |  |  |  |
| American Tower Corp 3.625% 5/30/2032  | EUR | 3470000 | 4178013 |
| American Tower Corp 5.45% 2/15/2034  |  | 1200000 | 1256175 |
| American Tower Corp 5.55% 7/15/2033  |  | 1450000 | 1531138 |
| Iron Mountain Inc 6.25% 1/15/2033 (p) |  | 1565000 | 1599130 |
| Millrose Properties Inc 6.25% 9/15/2032 (p) |  | 1135000 | 1149236 |
| Millrose Properties Inc 6.375% 8/1/2030 (p) |  | 1790000 | 1836361 |
|  |  |  | 11550053 |
| TOTAL REAL ESTATE |  |  | 739545922 |
| Utilities - 0.7% |  |  |  |
| Electric Utilities - 0.4% |  |  |  |
| Clearway Energy Operating LLC 3.75% 1/15/2032 (p) |  | 475000 | 441766 |
| Clearway Energy Operating LLC 3.75% 2/15/2031 (p) |  | 3115000 | 2950976 |
| Clearway Energy Operating LLC 4.75% 3/15/2028 (p) |  | 660000 | 657845 |
| Clearway Energy Operating LLC 5.75% 1/15/2034 (p) |  | 2095000 | 2122606 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  |  | 12555000 | 11954807 |
| Duke Energy Corp 2.45% 6/1/2030  |  | 10750000 | 10074512 |
| Duke Energy Corp 3.85% 6/15/2034  | EUR | 3530000 | 4225667 |
| Duke Energy Corp 4.5% 8/15/2032  |  | 8000000 | 8067347 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (p) |  | 5172000 | 4787435 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (p) |  | 16845000 | 15275006 |
| Edison International 4.8% 3/15/2031  |  | 2122000 | 2120730 |
| Edison International 6.25% 3/15/2030  |  | 1162000 | 1229033 |
| Edison International 7.875% 6/15/2054 (d) |  | 1390000 | 1447043 |
| Edison International 8.125% 6/15/2053 (d) |  | 2433000 | 2529067 |
| Exelon Corp 3.35% 3/15/2032  |  | 16412000 | 15509637 |
| Exelon Corp 4.05% 4/15/2030  |  | 6798000 | 6777677 |
| Exelon Corp 5.3% 3/15/2033  |  | 10000000 | 10478927 |
| Hawaiian Electric Co Inc 6% 10/1/2033 (p) |  | 1655000 | 1686887 |
| IPALCO Enterprises Inc 4.25% 5/1/2030  |  | 8975000 | 8878474 |
| NRG Energy Inc 3.625% 2/15/2031 (p) |  | 1230000 | 1161030 |
| NRG Energy Inc 5.25% 6/15/2029 (p) |  | 2320000 | 2328094 |
| NRG Energy Inc 5.75% 1/15/2034 (p) |  | 3085000 | 3127181 |
| NRG Energy Inc 5.75% 7/15/2029 (p) |  | 2070000 | 2073577 |
| NRG Energy Inc 6% 1/15/2036 (p) |  | 3085000 | 3139506 |
| NRG Energy Inc 6% 2/1/2033 (p)(y) |  | 3440000 | 3523294 |
| NRG Energy Inc 6.25% 11/1/2034 (p) |  | 2485000 | 2569909 |
| Pacific Gas and Electric Co 5.2% 5/1/2036  |  | 400000 | 401327 |
| Pacific Gas and Electric Co 6% 5/1/2056  |  | 400000 | 395071 |
| PacifiCorp 7.375% 9/15/2055 (d) |  | 2869000 | 2905643 |
| PG&E Corp 5% 7/1/2028  |  | 677000 | 675210 |
| PG&E Corp 5.25% 7/1/2030  |  | 8616000 | 8623134 |
| PG&E Corp 6.85% 9/15/2056 (d) |  | 3301000 | 3295656 |
| PG&E Corp 7.375% 3/15/2055 (d) |  | 3576000 | 3701085 |
| Southern Co/The 1.875% 9/15/2081 (d) | EUR | 3720000 | 4299537 |
| Vistra Operations Co LLC 6.875% 4/15/2032 (p) |  | 1970000 | 2072479 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (p) |  | 2750000 | 2906090 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (p)(y) |  | 1266000 | 1314046 |
| XPLR Infrastructure Operating Partners LP 7.75% 4/15/2034 (p)(y) |  | 4469000 | 4633687 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (p) |  | 1930000 | 2043581 |
| XPLR Infrastructure Operating Partners LP 8.625% 3/15/2033 (p) |  | 2900000 | 3069633 |
|  |  |  | 169474212 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |  |
| AES Corp/The 2.45% 1/15/2031  |  | 15706000 | 14564084 |
| AES Corp/The 3.95% 7/15/2030 (p) |  | 28974000 | 28472456 |
| AES Corp/The 6.95% 7/15/2055 (d) |  | 2373000 | 2292956 |
| Alpha Generation LLC 6.25% 1/15/2034 (p) |  | 2055000 | 2086867 |
| Alpha Generation LLC 6.75% 10/15/2032 (p) |  | 1280000 | 1329943 |
| Calpine LLC 5.125% 3/15/2028 (p) |  | 1530000 | 1529433 |
| Sunnova Energy Corp 5.875% (j)(k)(p) |  | 5476000 | 13690 |
| Talen Energy Supply LLC 6.25% 2/1/2034 (p) |  | 3085000 | 3139279 |
| Talen Energy Supply LLC 6.5% 2/1/2036 (p) |  | 3085000 | 3171899 |
|  |  |  | 56600607 |
| Multi-Utilities - 0.2% |  |  |  |
| NiSource Inc 2.95% 9/1/2029  |  | 31524000 | 30440745 |
| NiSource Inc 5.8% 2/1/2042  |  | 4036000 | 4114799 |
| NiSource Inc 5.95% 6/15/2041  |  | 5760000 | 6044653 |
| Puget Energy Inc 4.1% 6/15/2030  |  | 21032000 | 20758885 |
| Puget Energy Inc 4.224% 3/15/2032  |  | 21626000 | 21136818 |
|  |  |  | 82495900 |
| TOTAL UTILITIES |  |  | 308570719 |
| TOTAL UNITED STATES |  |  | 7093961738 |
| UZBEKISTAN - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Navoi Mining & Metallurgical Combinat 6.7% 10/17/2028 (p) |  | 520000 | 538457 |
| Navoi Mining & Metallurgical Combinat 6.75% 5/14/2030 (p) |  | 1800000 | 1902061 |
| Navoi Mining & Metallurgical Combinat 6.95% 10/17/2031 (p) |  | 855000 | 920173 |
| Navoiyuran State Enterprise 6.7% 7/2/2030 (p) |  | 1360000 | 1399100 |
| TOTAL UZBEKISTAN |  |  | 4759791 |
| VENEZUELA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Petroleos de Venezuela SA 12.75% (j)(p) |  | 172000 | 71801 |
| Petroleos de Venezuela SA 5.375% (j)(q) |  | 621100 | 190367 |
| Petroleos de Venezuela SA 6% (j)(p) |  | 4107669 | 1304185 |
| Petroleos de Venezuela SA 6% (j)(p) |  | 3540167 | 1124003 |
| TOTAL VENEZUELA |  |  | 2690356 |
| VIETNAM - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Mong Duong Finance Holdings BV 5.125% 5/7/2029 (p) |  | 1454246 | 1448866 |
| ZAMBIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| First Quantum Minerals Ltd 6.375% 2/15/2036 (p) |  | 2020000 | 2026496 |
| First Quantum Minerals Ltd 7.25% 2/15/2034 (p) |  | 2760000 | 2887848 |
| First Quantum Minerals Ltd 8% 3/1/2033 (p) |  | 1635000 | 1742289 |
| First Quantum Minerals Ltd 8.625% 6/1/2031 (p) |  | 725000 | 760024 |
| TOTAL ZAMBIA |  |  | 7416657 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $9,372,846,336) |  |  | <br> **9389483539** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| DigitalBridge Group Inc Series H, 7.125%  | 3288 | 57244 |
| DigitalBridge Group Inc Series I, 7.15%  | 4198 | 73297 |
|  |  | 130541 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |
| Arbor Realty Trust Inc Series F, 6.25% (d) | 40700 | 877899 |
| Franklin BSP Realty Trust Inc 7.5%  | 34000 | 720460 |
| MFA Financial Inc 7.5%  | 24975 | 524975 |
|  |  | 2123334 |
| TOTAL FINANCIALS |  | 2253875 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Strategy Inc 11.25% (o) | 35000 | 3500000 |
| Real Estate - 0.0% |  |  |
| Industrial REITs - 0.0% |  |  |
| Rexford Industrial Realty Inc 5.875% Series B  | 30100 | 676347 |
| Retail REITs - 0.0% |  |  |
| Cedar Realty Trust Inc 7.25%  | 289 | 5473 |
| Specialized REITs - 0.0% |  |  |
| National Storage Affiliates Trust Series A, 6%  | 12600 | 264600 |
| TOTAL REAL ESTATE |  | 946420 |
| TOTAL UNITED STATES |  | 6700295 |
| <br> **TOTAL NON-CONVERTIBLE PREFERRED STOCKS**<br> (Cost $6,719,930) |  | <br> **6700295** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BRAZIL - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Cosan Overseas Ltd 8.25% (n)(q) |  | 2363000 | 2320612 |
| CHILE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco de Credito e Inversiones SA 7.5% (d)(n)(p) |  | 1070000 | 1182051 |
| Banco de Credito e Inversiones SA 8.75% (d)(n)(p) |  | 1075000 | 1165210 |
| Banco del Estado de Chile 7.95% (d)(n)(p) |  | 935000 | 1024605 |
| TOTAL CHILE |  |  | 3371866 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 3.75% (d)(n)(q) | EUR | 1620000 | 1800071 |
| FINLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Oyj 7.875% (d)(n)(q) | EUR | 1470000 | 1580964 |
| FRANCE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| BNP Paribas SA 7.45% (d)(n)(p) |  | 2075000 | 2219503 |
| GERMANY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Volkswagen International Finance NV 3.875% (d)(n)(q) | EUR | 4500000 | 5433871 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Aroundtown Finance Sarl 7.875% (d)(n) |  | 6295000 | 6602818 |
| Grand City Properties SA 1.5% (d)(n)(q) | EUR | 3600000 | 4279065 |
| TOTAL REAL ESTATE |  |  | 10881883 |
| TOTAL GERMANY |  |  | 16315754 |
| HONG KONG - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| CAS Capital No 1 Ltd 4% (d)(n)(q) |  | 2030000 | 2034488 |
| INDIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| IT Services - 0.0% |  |  |  |
| Network i2i Ltd 3.975% (d)(n)(p) |  | 645000 | 649221 |
| KUWAIT - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| NBK Tier 1 Ltd 3.625% (d)(n)(p) |  | 835000 | 827590 |
| MEXICO - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Mercantil del Norte SA/Grand Cayman 7.625% (d)(n)(p) |  | 2633000 | 2730915 |
| Banco Mercantil del Norte SA/Grand Cayman 8.375% (d)(n)(p) |  | 740000 | 790702 |
| BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX 5.125% 1/18/2033 (d)(p) |  | 1500000 | 1501219 |
| BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX 8.45% 6/29/2038 (d)(p) |  | 885000 | 1006630 |
| TOTAL FINANCIALS |  |  | 6029466 |
| Materials - 0.0% |  |  |  |
| Construction Materials - 0.0% |  |  |  |
| Cemex SAB de CV 5.125% (d)(n)(p) |  | 4435000 | 4532724 |
| Cemex SAB de CV 7.2% (d)(n)(p) |  | 2680000 | 2911043 |
| TOTAL MATERIALS |  |  | 7443767 |
| TOTAL MEXICO |  |  | 13473233 |
| RUSSIA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Tinkoff Bank JSC Via TCS Finance Ltd loan participation 6% (d)(j)(k)(n)(p) |  | 715000 | 35750 |
| SAUDI ARABIA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| NCB Tier 1 Sukuk Ltd 3.5% (d)(n)(q) |  | 1225000 | 1219460 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Heimstaden Bostad AB 3.625% (d)(n)(q) | EUR | 600000 | 710021 |
| Samhallsbyggnadsbolaget i Norden AB 5 year EUR Swap Annual Index + 2.814%, 4.9355% (d)(e)(j)(n)(q) | EUR | 4020000 | 3580328 |
| TOTAL SWEDEN |  |  | 4290349 |
| SWITZERLAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| Credit Suisse Group AG Claim 5 year USD Swap Index + 4.598%, 0% (d)(e)(j)(k)(n)(q) |  | 15540000 | 3729600 |
| UNITED ARAB EMIRATES - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Emirates NBD Bank PJSC 6.25% (d)(n)(q) |  | 1425000 | 1452361 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Barclays PLC 8.875% (d)(n)(q) | GBP | 1600000 | 2311553 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 5 year UK Government Bond + 4.135%, 7.884% (d)(e)(n)(q) | GBP | 2040000 | 2005260 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| SSE PLC 3.74% (d)(n)(q) | GBP | 3300000 | 4586889 |
| TOTAL UNITED KINGDOM |  |  | 8903702 |
| UNITED STATES - 0.2%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Energy Transfer LP 6.625% (d)(n) |  | 3255000 | 3304161 |
| Energy Transfer LP Series G, 7.125% (d)(n) |  | 945000 | 999634 |
| Mesquite Energy Inc 7.25% (j)(k)(n) |  | 7883000 | 788 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.0241% (d)(e)(n) |  | 9258000 | 9278913 |
| Sunoco LP 7.875% (d)(n)(p) |  | 3680000 | 3935491 |
| TOTAL ENERGY |  |  | 17518987 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of America Corp 6.25% (d)(n) |  | 2025000 | 2095601 |
| BW Real Estate Inc 9.5% (d)(n)(p) |  | 2330000 | 2474931 |
| Citigroup Inc 6.5% (d)(n) |  | 1055000 | 1074116 |
| Citigroup Inc 6.625% (d)(n) |  | 3100000 | 3250636 |
|  |  |  | 8895284 |
| Consumer Finance - 0.0% |  |  |  |
| Ally Financial Inc 4.7% (d)(n) |  | 2741000 | 2737926 |
| Ally Financial Inc 4.7% (d)(n) |  | 2674000 | 2531649 |
|  |  |  | 5269575 |
| Insurance - 0.0% |  |  |  |
| Alliant Holdings LP 10.5% (d)(k)(n) |  | 1217497 | 1229631 |
| TOTAL FINANCIALS |  |  | 15394490 |
| Industrials - 0.0% |  |  |  |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Air Lease Corp 4.125% (d)(n) |  | 6447000 | 6448368 |
| Aircastle Ltd 5.25% (d)(n)(p) |  | 4017000 | 4111878 |
| TOTAL INDUSTRIALS |  |  | 10560246 |
| TOTAL UNITED STATES |  |  | 43473723 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $125,591,618) |  |  | <br> **107698247** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 19.5%  |  |  |
| Fannie Mae 2% 11/1/2051  | 19023028 | 15924976 |
| Fannie Mae 2.5% 4/1/2052  | 11154664 | 9837277 |
| Fannie Mae 2.5% 4/1/2052  | 5163665 | 4540917 |
| Fannie Mae 2.5% 6/1/2052  | 21691374 | 19143139 |
| Fannie Mae 3% 6/1/2052  | 8599956 | 7913641 |
| Fannie Mae 3.5% 12/1/2036  | 2604111 | 2573131 |
| Fannie Mae 3.5% 5/1/2036  | 1980946 | 1961687 |
| Fannie Mae 3.5% 7/1/2047  | 165936 | 158960 |
| Fannie Mae 4% 2/1/2050  | 309615 | 303818 |
| Fannie Mae 5.5% 2/1/2055  | 15278322 | 15747804 |
| Fannie Mae 6.5% 7/1/2054  | 105376 | 111328 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (d)(e) | 9260 | 9575 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 5.96% 1/1/2035 (d)(e) | 2077 | 2142 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (d)(e) | 1272 | 1306 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (d)(e) | 3299 | 3410 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.44% 3/1/2037 (d)(e) | 10840 | 11248 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6093%, 6.369% 5/1/2035 (d)(e) | 11652 | 12022 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 6.315% 9/1/2036 (d)(e) | 2244 | 2325 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6669%, 6.391% 11/1/2036 (d)(e) | 3082 | 3188 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6731%, 6.22% 3/1/2033 (d)(e) | 4945 | 5095 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6834%, 6.511% 5/1/2036 (d)(e) | 6940 | 7190 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.592% 6/1/2042 (d)(e) | 10193 | 10694 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7392%, 6.152% 3/1/2040 (d)(e) | 18108 | 18931 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.279% 7/1/2035 (d)(e) | 3531 | 3650 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.5% 8/1/2041 (d)(e) | 31914 | 33515 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.788%, 6.038% 2/1/2036 (d)(e) | 8058 | 8368 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.07% 1/1/2042 (d)(e) | 66682 | 70027 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.478% 7/1/2041 (d)(e) | 3315 | 3481 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8063%, 6.388% 12/1/2040 (d)(e) | 410640 | 431237 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.06% 12/1/2039 (d)(e) | 6489 | 6791 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.508% 7/1/2041 (d)(e) | 6756 | 7095 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.568% 9/1/2041 (d)(e) | 5779 | 6068 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.593% 2/1/2042 (d)(e) | 22286 | 23404 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.82%, 6.07% 12/1/2035 (d)(e) | 12540 | 13035 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 6.58% 10/1/2041 (d)(e) | 1963 | 2043 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (d)(e) | 13064 | 13670 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 1.945%, 5.929% 10/1/2033 (d)(e) | 19841 | 20386 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (d)(e) | 4569 | 4716 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.217% 6/1/2036 (d)(e) | 13334 | 13796 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.275%, 6.379% 10/1/2033 (d)(e) | 6236 | 6436 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.392% 7/1/2034 (d)(e) | 4403 | 4539 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 8850270 | 8095742 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 2123542 | 1837809 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 31082378 | 24750195 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2050  | 1866404 | 1486175 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 7457418 | 6837951 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 7138867 | 6545861 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 141554 | 129796 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 97007 | 88949 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 1737787 | 1506111 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041 (g) | 14990296 | 12862674 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 7464426 | 6844376 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 98145 | 89992 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 3191923 | 2764379 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 1806008 | 1561867 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 25100683 | 19947887 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 1846840 | 1596166 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2051  | 3105372 | 2467886 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2051  | 335952 | 266986 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2052  | 11902153 | 9451379 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2051  | 471967 | 375079 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 831467 | 660779 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 693536 | 557449 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2051  | 130254 | 103433 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 4215919 | 3350454 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 1006590 | 799952 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 9417608 | 7886818 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 11664718 | 10397902 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 16784 | 14971 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 5469597 | 4578830 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 4614984 | 3905220 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 1657261 | 1387362 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 11363440 | 9590936 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 4824819 | 4072229 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 125982 | 105189 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2052  | 26221 | 21779 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 33101166 | 29769040 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 6083382 | 5426320 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 4858116 | 4332679 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 2905927 | 2444478 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 1055462 | 883572 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 1048066 | 877380 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 17863210 | 15076853 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 11236563 | 9448736 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1858326 | 1561490 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 282903 | 237980 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 74473 | 62275 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 22061803 | 19825587 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 1182220 | 1066001 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 14079 | 12655 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 1078234 | 902298 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 863342 | 726247 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 762094 | 639887 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 94256 | 78906 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 7974625 | 6700814 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 5592017 | 4702283 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 3078721 | 2598493 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 2418624 | 2381619 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15078 | 13536 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 548127 | 461429 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 53005 | 44489 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 12836 | 10773 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 15467 | 13878 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 92009 | 77226 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 2254207 | 1892727 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 2225770 | 1878588 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 5273474 | 4731231 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 1046437 | 942496 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1772543 | 1482208 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1206200 | 1008630 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042  | 26487678 | 23791172 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 6673817 | 5976430 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 756944 | 681651 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2050  | 1780722 | 1492943 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 3901752 | 3491916 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050 (c) | 45538588 | 38150727 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 3352283 | 2823098 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 2045763 | 1722823 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 3481993 | 2917099 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 2954786 | 2468036 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 644651 | 542686 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 474679 | 397374 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 223079 | 187098 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 64090 | 53752 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 54379 | 45523 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2040  | 15374648 | 13853762 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 1047679 | 877711 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 791560 | 661906 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 469911 | 396613 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 98632 | 82384 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  | 969115 | 811893 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2051  | 1479204 | 1236917 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 1397801 | 1359155 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 242739 | 235066 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 19923 | 19294 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 21836123 | 19332297 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 3786097 | 3324754 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 13208160 | 11573955 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 5501403 | 4841362 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1044772 | 916485 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 1521274 | 1480242 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 1355142 | 1318138 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2032  | 24508 | 23749 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 988270 | 933104 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2041  | 3696829 | 3408680 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 29699431 | 26293963 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 2571016 | 2252912 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 885980 | 861777 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 76705 | 74252 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 9657 | 9358 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 4343 | 4217 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 3985968 | 3806333 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2040  | 3140940 | 2907203 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 2869901 | 2636102 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 692718 | 637751 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  | 3747835 | 3333317 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 13018277 | 11456385 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 8881561 | 7782673 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 6721064 | 5889487 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 2477315 | 2407996 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 77330 | 74840 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 69682 | 67503 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 16635 | 16120 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 8717662 | 7639052 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 8034758 | 7070773 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 7045612 | 6195898 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 38152 | 33467 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 745478 | 725364 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 2143496 | 1978584 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 86268 | 75756 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 257783 | 224680 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 1860026 | 1784338 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 670048 | 621366 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 1126294 | 1045873 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 6153126 | 5399510 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 7332169 | 6450187 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 1342403 | 1305717 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 2012792 | 1856575 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 23015365 | 20469822 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1768217 | 1557177 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 1488885 | 1452905 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 479431 | 444534 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 1329021 | 1225730 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 1034611 | 953560 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 1002781 | 929392 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 532669 | 490305 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 219868 | 202131 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 17738784 | 15654887 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 15796496 | 13856854 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 15352878 | 13549269 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 10339515 | 9118398 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 91905 | 80620 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 7342084 | 6500208 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 15654293 | 13815275 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 2845341 | 2633635 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 3878733 | 3577639 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 1402757 | 1292005 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 1047319 | 967128 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2049  | 28043222 | 24941589 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 13460018 | 11916633 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 7493983 | 6618297 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 2108968 | 2055867 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2041  | 6252121 | 5765224 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 16127430 | 14147153 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 12910237 | 11324997 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 12468827 | 10937787 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 920765 | 866841 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 76674 | 72111 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 62505 | 59124 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 21072 | 19934 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 21193 | 19903 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 20511 | 19265 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 18493 | 17374 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 12987 | 12218 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 10047697 | 9164209 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 2414301 | 2196731 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 378686 | 344560 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 105433 | 95932 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 18661 | 17535 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 984253 | 914625 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 11628832 | 10718970 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 13053568 | 11946568 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 3807825 | 3471816 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 154443 | 151390 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2033  | 190057 | 186505 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 891533 | 878412 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 537472 | 506620 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 448536 | 422365 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 17399 | 16359 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 1238047 | 1150465 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 1203064 | 1117957 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 1982890 | 1808536 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 11613778 | 10697836 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 11402852 | 10450093 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 7042680 | 6454233 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 4762827 | 4358918 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 1602535 | 1464129 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 129375 | 118888 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 93314 | 85751 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 2461230 | 2420120 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 7705 | 7244 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6677 | 6283 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5603 | 5280 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 18253440 | 16648426 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 4140797 | 3775405 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 3056714 | 2798447 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 2398647 | 2195231 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 1503878 | 1484427 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 620775 | 611929 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 161200 | 151714 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 150516 | 141474 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 136154 | 127715 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 82197 | 77534 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 12096 | 11328 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 4987 | 4698 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 4657 | 4390 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 5436107 | 5005679 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 6925556 | 6331746 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052 (c) | 4637962 | 4240294 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 2883933 | 2624042 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1694745 | 1542020 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 31771 | 28908 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 694166 | 682083 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 257516 | 252720 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 241813 | 227653 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 11106 | 10449 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 438528 | 407505 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 86279 | 80175 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 12701901 | 11664417 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 5434729 | 4944968 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 10272 | 9654 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 4598379 | 4294636 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 10817898 | 9954582 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 5435643 | 4974677 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2030  | 84819 | 83674 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 793296 | 744712 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 161318 | 151800 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 46695 | 43894 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 26154 | 24451 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 13327 | 12573 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 12420 | 11628 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 84021 | 78179 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 400770 | 372544 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 1368876 | 1260489 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 38448 | 36098 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 10526 | 9864 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 7579 | 7092 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 27140121 | 24957257 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 1767356 | 1742722 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 152278 | 143660 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 81681 | 75647 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 9028635 | 8305289 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 304285 | 275437 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 9944 | 9082 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 8107278 | 7437480 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 1935314 | 1898902 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2042  | 95981 | 91595 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2042  | 6629 | 6211 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 186149 | 174432 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 10214 | 9571 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 178458 | 165857 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 60880 | 56354 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 27491165 | 25194157 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 15529077 | 14270377 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 4190783 | 3845863 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 630307 | 575278 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 258778 | 253956 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 210694 | 206730 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 3882182 | 3817327 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2037  | 164255 | 159309 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  | 385416 | 363014 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 82194 | 77073 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 30016 | 28168 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 12262 | 11481 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 132476 | 128458 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 2705 | 2620 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 323439 | 313080 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 33932 | 32439 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 4070385 | 3898000 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 198625 | 190089 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 104416 | 99929 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 70417 | 67391 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 55611 | 53221 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 3166981 | 3046712 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 11264398 | 10895176 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 701636 | 666659 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 530689 | 501580 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2040  | 17009 | 16545 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 1010657 | 978543 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 320248 | 310138 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 95262 | 92258 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 16912 | 16357 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 942617 | 905405 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 672266 | 645056 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 2895929 | 2787763 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2048  | 59610754 | 57402867 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 55510 | 53682 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 31338 | 30227 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 3738723 | 3590900 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2041  | 15118 | 14697 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2041  | 1568 | 1522 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 1933489 | 1875691 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 71258 | 69094 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 24972 | 24180 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 65510 | 63158 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 3074370 | 2972353 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1164747 | 1115419 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 702333 | 672589 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 2005362 | 1916673 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 44073 | 42652 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 44105 | 42209 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 1328393 | 1259681 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 196175 | 189674 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2051  | 19510615 | 18495313 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 5690473 | 5380123 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2053  | 1603434 | 1514482 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 482519 | 466306 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 8862 | 8572 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 1720533 | 1650174 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 35086098 | 33139665 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 174613 | 164927 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 219603 | 212116 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 4322012 | 4140321 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 1574735 | 1511980 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 314216 | 296785 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 136681 | 129099 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 12792 | 12387 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 603799 | 583383 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 10799 | 10462 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 1702749 | 1608287 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 60838 | 58677 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2045  | 14672 | 14096 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 3652154 | 3498624 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 596563 | 571485 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 91846 | 87985 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 89750 | 85949 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 87418 | 83743 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 63697 | 61019 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 28781 | 27562 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 7722040 | 7476041 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  | 15673040 | 14837849 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  | 10087159 | 9612675 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2040  | 979 | 949 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 390503 | 378270 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 140777 | 136606 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 389509 | 377525 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 79987 | 77467 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 3182987 | 3056143 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 1599544 | 1534801 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 1200422 | 1149583 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 83915 | 80387 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 18774 | 17774 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 31611 | 29838 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 234350 | 226908 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 216026 | 209234 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 22327 | 21617 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 19681 | 19101 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 8286848 | 7965631 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 1908540 | 1837254 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 4450946 | 4213762 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 751141 | 748727 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 77527 | 77223 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 74319 | 74036 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 30225 | 30116 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 23817 | 23745 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 23365 | 23287 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 20492 | 20414 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 14815 | 14765 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 8955 | 8927 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 6744 | 6711 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 3650 | 3650 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 646739 | 644539 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 11801 | 11727 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 3572 | 3566 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 1270652 | 1265053 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 48930 | 48600 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 8666 | 8616 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 3386154 | 3350605 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 764881 | 756298 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 195200 | 194639 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 63898 | 63606 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 47987 | 47841 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 38060 | 37984 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 23810 | 23744 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 925809 | 922192 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 649062 | 646357 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 38727 | 38541 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 12368 | 12321 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 3712 | 3713 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2042  | 48405 | 48188 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2042  | 24105 | 23944 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 976571 | 972345 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 4042659 | 4012202 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 3549625 | 3513724 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 33535 | 33149 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 659158 | 652174 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2051  | 351615 | 343054 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 1459041 | 1454430 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 214743 | 214167 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 93088 | 92878 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 84122 | 83792 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 78680 | 78346 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 74328 | 74065 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 71780 | 71578 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 63992 | 63792 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 61058 | 60775 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 55687 | 55480 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 54145 | 53994 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 52316 | 52097 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 48286 | 48134 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 37360 | 37201 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 35467 | 35299 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 31630 | 31513 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 31324 | 31253 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 26567 | 26380 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 24941 | 24824 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 20988 | 20965 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 8405 | 8365 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 8240 | 8216 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 1862 | 1854 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 581383 | 579069 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 322731 | 321415 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 261192 | 260054 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 13698 | 13612 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2042  | 19863 | 19816 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2042  | 16714 | 16645 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 11359013 | 11174754 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 1018272 | 1007163 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 116815 | 115541 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 191509 | 190798 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 149370 | 148906 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 22506 | 22431 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 20907 | 20839 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 11210 | 11166 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 10409 | 10396 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 9603 | 9581 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 9351 | 9319 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 9123 | 9096 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 8083 | 8067 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 7932 | 7910 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 7449 | 7404 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 6718 | 6693 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 5833 | 5812 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 4962 | 4948 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 4149 | 4137 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 2415 | 2410 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 1748 | 1743 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 219166 | 218207 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 107623 | 107122 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 92292 | 91906 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 26537 | 26428 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 17908 | 17831 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 70489 | 69879 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 868748 | 859816 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 66056 | 65309 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 322239 | 317314 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 593670 | 587009 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 620102 | 618141 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 93048 | 92742 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 29635 | 29592 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 26625 | 26535 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 11845 | 11795 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 8814 | 8790 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 468955 | 466791 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 48800 | 48508 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 15558 | 15539 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 8180 | 8155 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 7673 | 7631 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2044  | 77128 | 76581 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 11908 | 11726 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 512522 | 506771 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 20536 | 20533 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 81850 | 81530 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 37018 | 36837 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 36328 | 36194 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 31047 | 30895 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 20022 | 19950 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 17873 | 17837 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 16130 | 16076 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 14263 | 14195 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 7581 | 7567 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 6953 | 6929 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 5055 | 5040 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 312687 | 310946 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 41946 | 41778 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 37554 | 37394 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 23291 | 23182 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 22106 | 22000 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 21764 | 21646 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 18798 | 18710 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 103374 | 102361 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 449527 | 444986 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 271991 | 270822 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 189829 | 189025 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 89116 | 88733 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 53574 | 53318 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 40900 | 40639 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 40023 | 39806 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 13815 | 13748 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 12591 | 12516 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 5743 | 5730 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 64264 | 63814 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 24790912 | 24571547 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 134887 | 133331 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 1750325 | 1725214 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 417823 | 411307 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 394788 | 388630 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 6185787 | 6077713 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 124008 | 122617 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2045  | 76298 | 75468 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 1785063 | 1759454 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 697670 | 686789 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 37783 | 36899 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 106198 | 105833 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 1938004 | 1950172 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 3777 | 3771 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  | 9831 | 9774 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2045  | 18583 | 18392 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 597174 | 591219 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 982495 | 967786 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 123781 | 122392 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 34678 | 34613 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 7073 | 7061 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 2446 | 2440 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 227324 | 224983 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 137817 | 136275 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 25829 | 25442 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 838596 | 816344 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 171625 | 171221 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 48442 | 48254 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 18221 | 18149 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 42994 | 42814 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 19567 | 19451 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 16544 | 16463 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 10492 | 10474 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 4638 | 4621 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 714145 | 706578 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 768108 | 759728 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 69974 | 69210 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 1295577 | 1280634 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2034  | 33594 | 34081 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2035  | 3623 | 3678 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2035  | 2622 | 2661 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2036  | 57933 | 58768 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2036  | 4610 | 4682 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2036  | 4341 | 4406 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2036  | 2222 | 2256 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2036  | 890 | 898 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 756274 | 759631 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2033  | 44859 | 45445 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2033  | 32697 | 33135 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2033  | 10849 | 11002 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2034  | 16333 | 16535 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 19343 | 19672 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 22873 | 23259 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 213774 | 214723 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 179435 | 180231 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2034  | 17704 | 17975 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2034  | 12540 | 12731 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2034  | 4532 | 4600 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2037  | 12343 | 12480 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 660754 | 671856 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 37010 | 37635 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 20130 | 20473 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 13225 | 13450 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 93031 | 94615 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 51857 | 52741 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 5519 | 5607 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 3918 | 3985 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  | 9619 | 9783 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 5863 | 5956 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 155635 | 156326 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 106374 | 106680 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 6138 | 6134 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2033  | 44480 | 45069 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2033  | 824 | 835 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2034  | 701 | 712 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2034  | 416 | 422 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2035  | 1819 | 1848 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2035  | 1511 | 1534 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 5395 | 5469 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 181829 | 184867 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 88387 | 89897 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 36921 | 37542 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 8431 | 8574 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 8390 | 8533 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 6459 | 6567 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 6240 | 6347 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 15694 | 15906 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 2342 | 2376 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2035  | 5149 | 5227 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2036  | 2715 | 2756 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 973965 | 990505 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 69319 | 70492 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 3992 | 4061 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 1447 | 1471 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 4044243 | 4109379 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 1765119 | 1795136 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 1341198 | 1364091 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 67645 | 68030 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 79172 | 79400 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 27230 | 27309 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2034  | 17905 | 18117 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2035  | 27210 | 27629 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2035  | 13469 | 13674 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 83268 | 84427 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 18446 | 18720 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 1227 | 1239 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 4030153 | 4098091 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 1259588 | 1280946 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 106679 | 107286 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 26152 | 26301 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 20897 | 21042 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 217166 | 217791 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2034  | 37907 | 38434 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2034  | 24562 | 24915 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2034  | 22955 | 23249 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2034  | 18140 | 18397 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2034  | 16359 | 16580 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2034  | 11458 | 11627 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2034  | 10821 | 10982 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2034  | 7320 | 7413 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 684579 | 694290 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 406883 | 412509 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 120895 | 122536 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 83622 | 85038 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 6766 | 6879 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 811 | 825 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 19483 | 19812 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 6753 | 6868 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 4083 | 4151 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 107923 | 108449 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 71826 | 72235 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 32602 | 32920 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 25335 | 25479 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 267204 | 267723 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 132449 | 133161 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 117724 | 118209 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 36004 | 36521 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 26981 | 27347 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 25556 | 25914 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 24946 | 25280 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 24648 | 25015 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 18335 | 18590 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 17174 | 17411 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 16876 | 17124 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 15393 | 15583 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 14672 | 14879 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 14389 | 14603 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 13502 | 13700 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 11738 | 11897 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 11334 | 11499 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 8448 | 8560 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 6578 | 6675 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 5863 | 5947 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 3253 | 3283 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 3080 | 3125 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 743 | 752 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2037  | 25338 | 25671 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 3497351 | 3564244 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 3144 | 3196 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2040  | 6373 | 6480 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 98806 | 99368 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 39043 | 39314 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 17860 | 17984 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 14859 | 14943 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 201210 | 201601 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 73586 | 73890 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 49600 | 49712 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2033  | 24059 | 24302 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2033  | 12390 | 12564 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2034  | 35936 | 36443 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2034  | 25811 | 26180 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2034  | 19660 | 19926 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2034  | 9809 | 9942 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2034  | 7796 | 7905 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2034  | 4153 | 4214 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 2086 | 2121 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 867126 | 881947 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 81330 | 82640 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 22409 | 22606 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 148207 | 148911 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 29979 | 30112 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 18523 | 18645 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 23047 | 23332 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 14031 | 14229 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 4430 | 4486 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 3352 | 3369 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 1914 | 1927 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 238456 | 242451 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 32088 | 32634 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 9850 | 10015 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 5940 | 6040 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 2152 | 2188 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 1620 | 1647 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 1372 | 1395 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 7594 | 7724 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2046  | 73802 | 74453 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 88530 | 88923 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 49908 | 50601 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 41524 | 42017 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 40001 | 40514 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 37910 | 38423 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 37283 | 37761 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 33370 | 33808 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 33208 | 33670 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 30450 | 30864 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 29098 | 29503 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 28797 | 29179 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 28794 | 29154 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 24787 | 25085 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 24480 | 24783 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 21261 | 21553 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 19351 | 19621 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 17844 | 18083 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 17503 | 17737 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 16423 | 16643 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 16419 | 16628 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 12834 | 12996 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 11254 | 11403 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 10921 | 11033 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 10523 | 10659 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 10055 | 10146 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 9324 | 9433 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 9307 | 9429 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 5027 | 5096 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 4561 | 4616 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 4389 | 4447 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 479 | 484 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 2615 | 2659 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 2407 | 2447 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 2291 | 2329 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 10147 | 10321 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 6166 | 6268 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 2906 | 2956 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 9749261 | 9755981 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 56376 | 57148 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 51730 | 52458 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 50444 | 51089 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 50283 | 50903 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 41209 | 41749 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 35695 | 36173 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 32011 | 32465 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 31424 | 31835 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 30769 | 31148 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 28983 | 29367 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 25809 | 26166 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 24961 | 25292 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 24368 | 24662 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 21221 | 21512 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 20958 | 21250 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 15787 | 16010 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 14909 | 15119 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 14458 | 14653 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 11502 | 11653 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 11477 | 11639 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 10932 | 11018 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 9757 | 9889 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 9280 | 9412 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 5501 | 5563 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 5405 | 5478 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 70882 | 71931 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 68635 | 69599 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2039  | 3342 | 3390 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 319612 | 325047 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 13315 | 13541 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 3542 | 3602 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 424974 | 432207 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 38466 | 38648 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 10468 | 10514 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2043  | 25313 | 26244 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 8033931 | 8181291 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 4746878 | 4836913 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2029  | 10843 | 10971 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 922972 | 947327 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 4162278 | 4251631 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 2230385 | 2272690 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 1420008 | 1445167 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 120867 | 122668 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 1565567 | 1594283 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 341816 | 347231 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 1284804 | 1318739 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 857275 | 881270 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 423643 | 433586 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2034  | 5356 | 5505 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 117204 | 121523 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2038  | 3353 | 3465 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2041  | 31340 | 32461 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2041  | 7230 | 7494 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2041  | 3928 | 4068 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2041  | 1888 | 1954 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 145799 | 150317 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 129558 | 134275 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 8439692 | 8660212 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 646357 | 663252 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 1411 | 1460 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2044  | 92965 | 96370 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 85651 | 87732 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 49976 | 51162 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 44278 | 45352 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2038  | 5123 | 5292 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 28154 | 29143 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 27194 | 28152 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 196662 | 203882 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 91940 | 95300 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2039  | 4188 | 4330 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 221407 | 229575 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 76801 | 79622 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2044  | 10264 | 10642 |
| Fannie Mae Mortgage pass-thru certificates 5.31% 8/1/2041 (d) | 358590 | 366293 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2033  | 1002 | 1019 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2055  | 2608430 | 2653513 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2048  | 837595 | 875956 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2048  | 248180 | 259546 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 10738771 | 11082937 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 7756829 | 8039363 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2032  | 1551 | 1608 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2032  | 1254 | 1302 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2048  | 1302454 | 1362105 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 537455 | 546745 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 501215 | 513374 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 1819471 | 1875508 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2049  | 789191 | 824349 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2033  | 680 | 702 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 293831 | 306370 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 67520 | 70401 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 52024 | 54244 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2055  | 3831792 | 3907741 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2048  | 326530 | 339750 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2049  | 293164 | 305675 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 7922608 | 8171568 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 3308733 | 3368917 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 16223025 | 16748025 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 6481566 | 6691318 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 4064895 | 4205332 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 11078544 | 11437062 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 8223499 | 8478701 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2048  | 194825 | 202713 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 13841272 | 14319473 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2052  | 7981912 | 8237723 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.475%, 6.03% 10/1/2033 (d)(e) | 246 | 252 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 5.755% 1/1/2035 (d)(e) | 2635 | 2700 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.51%, 5.76% 2/1/2033 (d)(e) | 84 | 85 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 5.785% 3/1/2035 (d)(e) | 2234 | 2293 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 5.907% 12/1/2034 (d)(e) | 2726 | 2794 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.066% 10/1/2033 (d)(e) | 1009 | 1032 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 5.744% 7/1/2035 (d)(e) | 1439 | 1479 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.585% 9/1/2035 (d)(e) | 2486 | 2580 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 5023 | 5303 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 943 | 994 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 95816 | 101669 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 5288 | 5627 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 92499 | 98351 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  | 6774 | 7207 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 8752092 | 9167588 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 77648 | 81501 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 37022 | 38958 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 5839 | 6174 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 5327 | 5632 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 3765 | 3986 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1018 | 1072 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 899 | 942 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 596 | 630 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 454 | 480 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 186 | 197 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 89125 | 94393 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 15493 | 16497 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 6799902 | 7117939 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 101020 | 105987 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 28586 | 30104 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 12655 | 13302 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 1628 | 1724 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 1274 | 1348 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 742 | 783 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 417 | 441 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2037  | 15713 | 16738 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053 (h) | 14746409 | 15275927 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 3484987 | 3643626 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 1304543 | 1365558 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 500582 | 524151 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 37760 | 40255 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2034  | 110930 | 116077 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2038  | 18298 | 19427 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 14696239 | 15360631 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 10769767 | 11307133 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 44780 | 46923 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 32311 | 34372 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 2844 | 3027 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 4582990 | 4723224 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 7878661 | 8242229 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 18214160 | 18760109 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2032  | 1456 | 1521 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 1848 | 1951 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2037  | 5873 | 6217 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 112094 | 119045 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 19273386 | 19851084 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 11724146 | 12265166 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 4243 | 4488 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 4220 | 4433 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 2406 | 2534 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 210 | 221 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 109 | 113 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 56457 | 59640 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 7675820 | 8015635 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 19733772 | 20325270 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 5649 | 5945 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 5546 | 5847 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 794 | 836 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 512 | 539 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 356 | 375 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2036  | 168 | 172 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 14837 | 15787 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2039  | 22445473 | 23249214 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 211943 | 225240 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 16667242 | 17321778 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 15040607 | 15725267 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 11411485 | 11749966 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 23798598 | 24555713 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 4015 | 4229 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 2836 | 2986 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 2624 | 2764 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 1237 | 1302 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 359 | 379 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 122 | 129 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 208261 | 217921 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 22484821 | 23151752 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 4757 | 4881 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 6691 | 7042 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 4021 | 4242 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 1954 | 2069 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 1043 | 1102 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 846 | 891 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 112 | 117 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 6769 | 7195 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 4250262 | 4418501 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 18921590 | 19482831 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 5399310 | 5653527 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2036  | 593 | 627 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2036  | 365 | 390 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 7326 | 7831 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2053  | 26785520 | 27952761 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2035  | 12811 | 13689 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 12347 | 12928 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 121006 | 127182 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2036  | 1072 | 1148 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 78941 | 83578 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  | 374 | 398 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 2273 | 2432 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 2002966 | 2090250 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2036  | 89 | 94 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2037  | 689 | 740 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2035  | 1042 | 1099 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 8637578 | 9139495 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 5519594 | 5760123 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 36358 | 38068 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 6949 | 7271 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 15059 | 15852 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 519 | 554 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 11275220 | 11933929 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 7088848 | 7390007 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 4037 | 4314 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 924 | 988 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 110548 | 116067 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 86607 | 90930 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 19928 | 20966 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 149844 | 158645 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 4214264 | 4476599 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 3224382 | 3429128 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2035  | 310 | 331 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2035  | 149 | 158 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 6818639 | 7214328 |
| Fannie Mae Mortgage pass-thru certificates 6.783% 2/1/2039 (d) | 96058 | 100533 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 365 | 366 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 23 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 18 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 74 | 77 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 813 | 860 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 188 | 199 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 240 | 241 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2027  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 73 | 77 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 25 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 370 | 389 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 127 | 133 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 101 | 106 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2031  | 171 | 180 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 318 | 340 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 238 | 250 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 59 | 62 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 36 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 92 | 97 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 63 | 66 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 62 | 65 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 878 | 922 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 180 | 180 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 862 | 905 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 427 | 451 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2032  | 199 | 211 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2027  | 17 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 383 | 402 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 181 | 190 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 84 | 88 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 823 | 864 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 450 | 473 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 25 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2032  | 230 | 241 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2033  | 1478 | 1579 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2028  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 5804 | 6129 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 365 | 386 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 179 | 188 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 123 | 131 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2028  | 52 | 54 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2031  | 178 | 187 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 490 | 521 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 334 | 355 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 51 | 54 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 3657 | 3840 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 84 | 88 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 7745 | 8132 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 269 | 282 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 249 | 264 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 95 | 100 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 1465 | 1538 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 10 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 958 | 1006 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 5255 | 5587 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 2098 | 2202 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 1074 | 1128 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 504 | 537 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 1551 | 1629 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 20 | 21 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 386 | 405 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 122 | 128 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 16 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 314 | 331 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 116 | 122 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 726 | 773 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 684 | 725 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 164 | 173 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 140 | 148 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2037  | 2741 | 2968 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 330 | 330 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 384 | 387 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2028  | 173 | 181 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 185 | 194 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 129 | 129 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 64 | 67 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 544 | 572 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 68 | 71 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 9371 | 9969 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 2360 | 2509 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 498 | 499 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 78 | 82 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 425 | 446 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 354 | 372 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 224 | 235 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2029  | 65 | 69 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2030  | 1405 | 1475 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 2250 | 2365 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 213 | 224 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 104 | 110 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 56 | 56 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2032  | 1935 | 2061 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 327 | 328 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 6 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 554 | 564 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 426 | 434 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 251 | 254 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 193 | 197 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 181 | 184 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 171 | 174 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 55 | 56 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 45 | 45 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 30 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 16 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 7 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 4 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 196 | 200 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 41 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 36 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2028  | 24 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 1668 | 1745 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 208 | 216 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2026  | 4 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 147 | 149 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 128 | 130 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 95 | 97 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 80 | 80 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 29 | 29 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 28 | 29 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 130 | 132 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 113 | 118 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 36 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 440 | 462 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 185 | 190 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 135 | 137 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 28 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 247 | 252 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 142 | 146 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2030  | 831 | 880 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 167 | 168 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 149 | 151 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 97 | 100 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 30 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 21 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 681 | 709 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 39 | 41 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2031  | 353 | 373 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 673 | 682 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 147 | 150 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 200 | 204 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2026  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 172 | 175 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2029  | 12 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 548 | 555 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 39 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 37 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 21 | 21 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 104 | 107 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 15 | 14 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 76 | 79 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 16 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 71 | 71 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 7 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 184 | 186 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 34 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 296 | 304 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 87 | 88 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 84 | 85 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 24 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 101 | 104 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 74 | 75 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 24 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 9 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 77 | 80 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 9 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 558 | 580 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 185 | 190 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 31 | 32 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 24 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 7578 | 7733 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 202 | 213 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2026  | 63 | 63 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 405 | 413 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 39 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 16 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 570 | 592 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 295 | 306 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 47 | 49 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 41 | 43 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 5545 | 6008 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 5011706 | 4584434 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 30744099 | 24480831 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 5638237 | 5169884 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 350274 | 321178 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 280830 | 225462 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 7312299 | 6704886 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 1053619 | 912473 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 187886 | 150843 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 51179 | 41137 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 3283383 | 2839316 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 31289835 | 24866498 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 1848047 | 1596975 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 73218 | 58851 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 7061042 | 6098854 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 2647821 | 2284844 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 17559289 | 13954628 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 3347678 | 2660450 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 179980 | 144664 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 52910 | 42048 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 1557027 | 1429635 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 4657498 | 4276434 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 2267915 | 1897858 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 1441187 | 1209631 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 1101602 | 921853 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 520058 | 437313 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 369485 | 310697 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 1178259 | 983793 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 17162 | 15308 |
| Freddie Mac Gold Pool 2% 10/1/2050  | 2854808 | 2389880 |
| Freddie Mac Gold Pool 2% 10/1/2050  | 98291 | 82284 |
| Freddie Mac Gold Pool 2% 10/1/2050  | 12591 | 10572 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 15520316 | 13041209 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 2028854 | 1712387 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 783945 | 659213 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 3757574 | 3350377 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 33156454 | 27756661 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 241869 | 202478 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 155678 | 130325 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 17706 | 14867 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 22492531 | 18899731 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 10012823 | 8400929 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 2807619 | 2360904 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1120659 | 942353 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 652757 | 548898 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 10677397 | 8978538 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 2378506 | 2135315 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 16869265 | 14116699 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 15399941 | 13017062 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 121248 | 101502 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 28489254 | 23885163 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 12394156 | 10406654 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 2440087 | 2198381 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 28160335 | 23547799 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 7166869 | 6004166 |
| Freddie Mac Gold Pool 2% 4/1/2051  | 1713597 | 1432918 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 2210770 | 1980770 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 28234592 | 23609893 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 12011910 | 10145764 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 1412539 | 1189117 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 541823 | 454429 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 3686618 | 3301037 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 115820036 | 97102593 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 10256916 | 8637780 |
| Freddie Mac Gold Pool 2% 6/1/2051  | 85222 | 71263 |
| Freddie Mac Gold Pool 2% 6/1/2052  | 2081044 | 1740178 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 14197241 | 12724168 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 16465 | 14733 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 283291 | 237332 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 106381 | 89189 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 1850517 | 1545676 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 796178 | 670246 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 525710 | 439108 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 717990 | 604650 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 2223457 | 1861349 |
| Freddie Mac Gold Pool 2% 8/1/2052  | 54420 | 45353 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 64471270 | 54011903 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 528920 | 442781 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 70345 | 58933 |
| Freddie Mac Gold Pool 2.5% 1/1/2033  | 32846 | 31838 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  | 4724582 | 4360832 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 4407007 | 4043488 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 17284 | 15178 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 2136868 | 1962870 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 3794934 | 3345559 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 1149733 | 1118309 |
| Freddie Mac Gold Pool 2.5% 11/1/2041 (f) | 16830869 | 15514130 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 973973 | 896273 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 885599 | 816480 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 19421398 | 17176247 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 23170487 | 20303674 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 2806251 | 2481843 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 6721923 | 5890240 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 3148426 | 2906589 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 13199431 | 11661178 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 38353 | 33679 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 11237438 | 9868135 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 30677538 | 28115703 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 647923 | 594764 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 7467277 | 6585378 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 466377 | 411297 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 6649500 | 6170409 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 24291693 | 21437980 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 4066978 | 3622246 |
| Freddie Mac Gold Pool 2.5% 5/1/2052  | 20965668 | 18450272 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 1270216 | 1240805 |
| Freddie Mac Gold Pool 2.5% 6/1/2040  | 516302 | 479788 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 775832 | 714002 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 8694324 | 7651206 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 723036 | 665701 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 20343856 | 18011140 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 1576846 | 1456284 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 242517 | 237746 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 79664 | 75060 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 2949660 | 2683846 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1416840 | 1289158 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 661950 | 602298 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 64317 | 60487 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 8043958 | 7371850 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 5535892 | 5069884 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 870225 | 792619 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 13779 | 13024 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 27232045 | 25101358 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 1351073 | 1232274 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 4353687 | 3969509 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 29348 | 26704 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 472278 | 465328 |
| Freddie Mac Gold Pool 3% 12/1/2031  | 8119 | 7985 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 863421 | 848999 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 317633 | 311913 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 1424023 | 1342389 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 11033619 | 10063439 |
| Freddie Mac Gold Pool 3% 2/1/2032  | 12196 | 11990 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 449755 | 443347 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 547924 | 533012 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 30759 | 29922 |
| Freddie Mac Gold Pool 3% 2/1/2038  | 302234 | 292943 |
| Freddie Mac Gold Pool 3% 2/1/2038  | 6250 | 6058 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 95467 | 90236 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 46326 | 43684 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 19655 | 18472 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 5539158 | 5039986 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 5543026 | 5036577 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 4629911 | 4198210 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 4478180 | 4069022 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 1906010 | 1734246 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 935431 | 851133 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 1015238 | 996384 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 46837 | 45951 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 99787 | 94017 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 14511715 | 13262918 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 2448622 | 2226429 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 1507388 | 1371547 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 34244 | 33714 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 11857 | 11683 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 737374 | 722418 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 40943 | 38594 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 7726 | 7218 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 5517 | 5141 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 159212 | 148170 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 144662 | 134629 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 14613220 | 13355688 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 7622256 | 7025876 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 48158 | 44840 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 2574970 | 2396385 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 392171 | 364972 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 4079757 | 3727401 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 3567 | 3515 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 2551425 | 2374472 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 9942005 | 9151696 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 6526634 | 5973146 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 4821753 | 4387231 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 55609 | 54664 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 204719 | 192695 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 50751 | 47713 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 101474 | 94621 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 37496 | 35527 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 11099 | 10383 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 75647 | 74363 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 49543 | 48693 |
| Freddie Mac Gold Pool 3% 8/1/2037  | 227896 | 221246 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 19091 | 18033 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 14712 | 13855 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 46740 | 43507 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 28024 | 26223 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 80010 | 73850 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 3897476 | 3557210 |
| Freddie Mac Gold Pool 3.5% 1/1/2032  | 11353 | 11283 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 6360480 | 6171216 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 3199368 | 3098437 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 2329457 | 2258164 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 9901 | 9525 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 22406 | 21555 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 178837 | 173657 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 63624 | 61691 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 9001 | 8718 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 90371 | 86996 |
| Freddie Mac Gold Pool 3.5% 10/1/2049  | 10885280 | 10380057 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 3021669 | 2876702 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 608424 | 601354 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 372516 | 362457 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 2803537 | 2698462 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 46028 | 44324 |
| Freddie Mac Gold Pool 3.5% 11/1/2046  | 4693 | 4492 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 663522 | 638324 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 44575 | 42820 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 182000 | 180635 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 358198 | 348456 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 1115123 | 1069141 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 152701 | 146902 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 3465080 | 3439590 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 3990999 | 3864669 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 289442 | 280982 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 108946 | 106010 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 2567 | 2485 |
| Freddie Mac Gold Pool 3.5% 2/1/2046  | 1923837 | 1848816 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 6234 | 5925 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 1035511 | 983890 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 3520571 | 3498528 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 853264 | 822027 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 240213 | 231874 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 178956 | 172647 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 81464 | 78993 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 3393906 | 3269902 |
| Freddie Mac Gold Pool 3.5% 3/1/2047  | 51966 | 49726 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 4534835 | 4306786 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 4177045 | 3959679 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 2100760 | 1995379 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 441667 | 430067 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 2448656 | 2383024 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 23295 | 22622 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 357809 | 346452 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 141818 | 137466 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 2045991 | 1966739 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 637882 | 611778 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 31854704 | 30087537 |
| Freddie Mac Gold Pool 3.5% 5/1/2033  | 55697 | 55304 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 212255 | 210490 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 34993 | 34710 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 841723 | 819852 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 164421 | 160109 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 838310 | 806342 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 121136 | 116600 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 64260 | 61932 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 28635 | 27800 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 4176780 | 4028042 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 2002475 | 1924908 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 955517 | 916414 |
| Freddie Mac Gold Pool 3.5% 5/1/2049  | 135338 | 129268 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 310172 | 292965 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 1882149 | 1870010 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 746340 | 727761 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 3465110 | 3340981 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 1015733 | 977805 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 194375 | 187508 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 165549 | 159652 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 6287 | 6066 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 1635111 | 1624673 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 471420 | 468351 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 71125 | 69179 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 823678 | 798033 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 6795 | 6532 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 1603748 | 1543847 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 763907 | 722722 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 358960 | 355894 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 27239 | 27013 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 478459 | 465970 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 1914911 | 1856635 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 2492202 | 2399116 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 293386 | 282428 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 186614 | 179643 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 4163218 | 3966086 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 385831 | 376087 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 5511755 | 5336486 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1025096 | 992120 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 3593 | 3479 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 735578 | 707890 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 118384 | 113502 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 49755 | 47897 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 40839 | 39314 |
| Freddie Mac Gold Pool 3.5% 9/1/2052  | 492664 | 465025 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 2008679 | 2004608 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 43703 | 43659 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 11673 | 11645 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 3161 | 3150 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 15944 | 15847 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 58603 | 58165 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 47851 | 47547 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 737288 | 735126 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 86887 | 86638 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 81656 | 81436 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 45127 | 45003 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 30056 | 29919 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 11871 | 11866 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 8358 | 8308 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 146067 | 145100 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 51811 | 51421 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 20575 | 20479 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 17066 | 16941 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 6538458 | 6432395 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 119713 | 119277 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 12552 | 12557 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 3485 | 3475 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 1832198 | 1826561 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 1364687 | 1361118 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 128188 | 127639 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 111662 | 111064 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 53337 | 53108 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 40505 | 40270 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 3791 | 3797 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 348882 | 347316 |
| Freddie Mac Gold Pool 4% 11/1/2045  | 201113 | 199126 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 1897322 | 1866905 |
| Freddie Mac Gold Pool 4% 11/1/2051  | 213218 | 210892 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 22171 | 22140 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 9914 | 9895 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 9256 | 9238 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 983169 | 980221 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 43229 | 42981 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 23994 | 23941 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 2613924 | 2590847 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 441617 | 439693 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 6690834 | 6583569 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 538749 | 537233 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 2169 | 2164 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 3013818 | 3002909 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 52813 | 52687 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 624 | 622 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 90374 | 89880 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 79790 | 79305 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 48426 | 48112 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 34457 | 34238 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 62810 | 62416 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 34297 | 34111 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 25655 | 25450 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 1393972 | 1384113 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 177711 | 175861 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 87929 | 87367 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 35922 | 35548 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 1973450 | 1944895 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 117431 | 115769 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 103360 | 102032 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 95480 | 94408 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 6925763 | 6802596 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 56643 | 56397 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 55222 | 55052 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 13856 | 13778 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 27033 | 26952 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 16271 | 16171 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 56735 | 56317 |
| Freddie Mac Gold Pool 4% 4/1/2040  | 1713 | 1715 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 834253 | 830618 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 642227 | 640227 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 25629 | 25487 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 23297 | 23262 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 18468 | 18436 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 10305 | 10247 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 1049037 | 1044825 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 55535 | 55278 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 15792 | 15784 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 549553 | 543834 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 412843 | 406741 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 349120 | 343959 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 189506 | 186705 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 70943 | 69895 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 35722 | 35194 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 213297 | 210557 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 157455 | 155433 |
| Freddie Mac Gold Pool 4% 5/1/2037  | 3346009 | 3381038 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 4372719 | 4411664 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 102039 | 101833 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 68244 | 67817 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 22651 | 22496 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 19358 | 19223 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 18837 | 18709 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 7465 | 7424 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 1362358 | 1358520 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 111738 | 110683 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 4611684 | 4544956 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 32926 | 32814 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 5315 | 5321 |
| Freddie Mac Gold Pool 4% 6/1/2042  | 37127 | 36999 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 62883 | 62713 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 29111 | 28918 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 4266656 | 4216921 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 393977 | 388523 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 124455 | 123058 |
| Freddie Mac Gold Pool 4% 7/1/2041  | 310818 | 309720 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 922294 | 917813 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 134374 | 133526 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 110870 | 110310 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 90630 | 90170 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 40962 | 40682 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 35577 | 35326 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 34194 | 33951 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 10450 | 10379 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 703824 | 702125 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 192304 | 190146 |
| Freddie Mac Gold Pool 4% 8/1/2040  | 1462 | 1458 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 70137 | 69687 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 40415 | 40308 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 29641 | 29576 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 9474 | 9408 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 16574 | 16451 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 16215 | 16153 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 118555 | 117187 |
| Freddie Mac Gold Pool 4% 9/1/2040  | 50893 | 50790 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 93258 | 93007 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 34192 | 34099 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 24931 | 24899 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 18829 | 18796 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 1715185 | 1708853 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 81065 | 80905 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 2064193 | 2060551 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 93325 | 92801 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 90317 | 89808 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 80892 | 80365 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 80381 | 79812 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 75221 | 74766 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 43315 | 43073 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 29879 | 29657 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 2498 | 2502 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 1904169 | 1858999 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 241293 | 238661 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 922504 | 939274 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 26919 | 27408 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 18253 | 18580 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 77679 | 77732 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 12583 | 12810 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 85096 | 86653 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 48195 | 49078 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 226401 | 230545 |
| Freddie Mac Gold Pool 4.5% 10/1/2044  | 1439543 | 1465232 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 2491570 | 2515676 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 277106 | 277622 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 1464 | 1490 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 4259 | 4336 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 755 | 768 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 27998 | 28510 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 22480 | 22891 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 1874 | 1908 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 247067 | 251494 |
| Freddie Mac Gold Pool 4.5% 12/1/2047  | 796084 | 800552 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 1985274 | 1994555 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 6905 | 6910 |
| Freddie Mac Gold Pool 4.5% 2/1/2040  | 5928 | 6034 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 130406 | 132779 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 36885 | 37558 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 36805 | 37475 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 36655 | 37324 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 34502 | 35132 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 26442 | 26921 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 22490 | 22893 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 15757 | 16045 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 7440 | 7575 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 103510 | 105292 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 24384 | 24811 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 144813 | 147456 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 35165 | 35806 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 20183 | 20552 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 7023 | 7151 |
| Freddie Mac Gold Pool 4.5% 3/1/2042  | 3684 | 3751 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 63960 | 65066 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 38725 | 39392 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 20024 | 20367 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 50003 | 50912 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 48755 | 49649 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 5595 | 5696 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 1867 | 1901 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 355470 | 357354 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 146007 | 146781 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 142746 | 143502 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 770516 | 784550 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 114118 | 116187 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 16461 | 16756 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 4664 | 4749 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 3886 | 3956 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 52273 | 53223 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 34955 | 35595 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 20998 | 21382 |
| Freddie Mac Gold Pool 4.5% 5/1/2048  | 290276 | 291815 |
| Freddie Mac Gold Pool 4.5% 6/1/2040  | 10159 | 10343 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 48038 | 48900 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 40258 | 40994 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 33879 | 34490 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 25199 | 25659 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 15974 | 16267 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 15966 | 16251 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 4103 | 4178 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 417334 | 420590 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 66167 | 67357 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 29380 | 29917 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 25424 | 25886 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 2070 | 2108 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 2726 | 2776 |
| Freddie Mac Gold Pool 4.5% 7/1/2044  | 6151 | 6256 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 759046 | 767101 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 335040 | 337653 |
| Freddie Mac Gold Pool 4.5% 7/1/2049  | 41897 | 41913 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 6761 | 6858 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 323 | 328 |
| Freddie Mac Gold Pool 4.5% 8/1/2039  | 1015 | 1033 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 14283 | 14544 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 3684 | 3751 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 2249 | 2289 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 151198 | 153958 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 23608 | 24039 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 17514 | 17831 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 3574 | 3639 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 246535 | 250956 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 84905 | 86392 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 1401 | 1426 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 474 | 483 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 207859 | 211653 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 167011 | 170068 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 23291 | 23715 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 4533 | 4616 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 155821 | 160107 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 7054 | 7270 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 144319 | 149422 |
| Freddie Mac Gold Pool 5% 1/1/2041  | 2162 | 2243 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 10590207 | 10772872 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 18351 | 18856 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 13365 | 13718 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 609 | 626 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 338 | 347 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 4007418 | 4083427 |
| Freddie Mac Gold Pool 5% 11/1/2034  | 96 | 97 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 10965 | 11306 |
| Freddie Mac Gold Pool 5% 11/1/2037  | 907 | 937 |
| Freddie Mac Gold Pool 5% 11/1/2040  | 4078 | 4221 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 11680492 | 11894738 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 2499359 | 2553013 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 56345 | 57184 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 12989 | 13358 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 7586 | 7797 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 2363 | 2425 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 2040 | 2102 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 1376 | 1418 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 29201 | 30125 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 5920581 | 6029178 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 3100997 | 3155938 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1391005 | 1416519 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1268326 | 1290797 |
| Freddie Mac Gold Pool 5% 2/1/2035  | 17537 | 17972 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 31006 | 32145 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 12434 | 12901 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 4865 | 5048 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 6391 | 6626 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 6269 | 6505 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 1208 | 1222 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 6162 | 6341 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 43945 | 45174 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 16178 | 16674 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 11298 | 11642 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 94861 | 97793 |
| Freddie Mac Gold Pool 5% 4/1/2038  | 44475 | 45991 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 104166 | 107963 |
| Freddie Mac Gold Pool 5% 4/1/2041  | 2595 | 2693 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 7411 | 7614 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 3613 | 3712 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 2793 | 2876 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 558 | 572 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 41644 | 42904 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 1034 | 1059 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 27331 | 28295 |
| Freddie Mac Gold Pool 5% 5/1/2041  | 8783 | 9114 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 7783 | 8010 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 3445 | 3551 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 2565 | 2655 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 2377 | 2460 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 99230 | 102810 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 63734 | 66023 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 1237632 | 1283227 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 6936 | 7198 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 5872804 | 6002547 |
| Freddie Mac Gold Pool 5% 7/1/2034  | 179 | 185 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 270777 | 278727 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 36886 | 38028 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 2443 | 2518 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 2122 | 2188 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 901 | 929 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 731 | 753 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 414 | 427 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 235 | 242 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 12194 | 12617 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 1313 | 1361 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 5105 | 5297 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 4551 | 4708 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 4525 | 4691 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 2873 | 2982 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 2873 | 2980 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 2435 | 2493 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 1383 | 1424 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 5116 | 5259 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 1457 | 1495 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 65990 | 67863 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 4815 | 4955 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 756 | 779 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 1630 | 1682 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 52265 | 54083 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 2831 | 2927 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 15228 | 15634 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 26658 | 27491 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 1662 | 1711 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 181 | 187 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 10700867 | 11042982 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 839143 | 859499 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 1352375 | 1380503 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (c)(f) | 17296554 | 17931968 |
| Freddie Mac Gold Pool 5.5% 4/1/2054  | 1686281 | 1722170 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 7377008 | 7608822 |
| Freddie Mac Gold Pool 5.5% 9/1/2052  | 11894099 | 12279009 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 674 | 691 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 206 | 211 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 71 | 73 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 3756 | 3904 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 2315 | 2406 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 1841 | 1920 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 9108806 | 9534832 |
| Freddie Mac Gold Pool 6% 11/1/2029  | 170 | 175 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 2480 | 2579 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 2779096 | 2889102 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 984 | 1026 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 55056 | 58673 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 15135 | 16087 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 124 | 127 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 117 | 121 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 52 | 53 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 5114864 | 5354090 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 163 | 168 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 81 | 84 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 66 | 68 |
| Freddie Mac Gold Pool 6% 3/1/2053  | 5142612 | 5387958 |
| Freddie Mac Gold Pool 6% 4/1/2029  | 18 | 18 |
| Freddie Mac Gold Pool 6% 4/1/2029  | 2 | 2 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 1920 | 1989 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 6523 | 6801 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 24056508 | 25166614 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 68 | 69 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 45315 | 46960 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 9028003 | 9455892 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 832 | 853 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 158 | 162 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 74 | 76 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 664 | 689 |
| Freddie Mac Gold Pool 6% 7/1/2028  | 29 | 29 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 261 | 268 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 255 | 262 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 124 | 128 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 115 | 118 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 105 | 108 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 87 | 89 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 31 | 31 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 23 | 24 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 4953 | 5141 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 6414 | 6710 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 4024 | 4277 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 15608792 | 16167721 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 76533 | 81130 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 37988 | 39685 |
| Freddie Mac Gold Pool 6% 9/1/2039  | 10747196 | 11202566 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 9733656 | 10191949 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 3102763 | 3238186 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 15351 | 16055 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 12407020 | 13127004 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 190264 | 201011 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 14450 | 15188 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 3255247 | 3444150 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 73071 | 77363 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 1032 | 1072 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 32 | 34 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 64447 | 67630 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 1528 | 1642 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 1416 | 1484 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 38816255 | 41083940 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 2991936 | 3177947 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 371 | 390 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 5431 | 5696 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 3753 | 3941 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 3617 | 3800 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 163761 | 176191 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 3751439 | 3970602 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 45160323 | 48052662 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 3584724 | 3807590 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 7610 | 8064 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 178 | 179 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 12654 | 13388 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 11224 | 11961 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 221 | 222 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 4511 | 4743 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 17845 | 18734 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 370 | 371 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 788 | 791 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 31745 | 33676 |
| Freddie Mac Gold Pool 7% 9/1/2055  | 23893672 | 25508772 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 20 | 20 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 176 | 187 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 13 | 14 |
| Freddie Mac Gold Pool 7.5% 11/1/2031  | 228 | 244 |
| Freddie Mac Gold Pool 7.5% 5/1/2031  | 193 | 204 |
| Freddie Mac Gold Pool 8% 11/1/2031  | 576 | 606 |
| Freddie Mac Gold Pool 8% 2/1/2030  | 45 | 47 |
| Freddie Mac Gold Pool 8% 4/1/2032  | 77 | 81 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 539 | 569 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 1202 | 1255 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 43 | 45 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 16 | 17 |
| Freddie Mac Gold Pool 8% 9/1/2030  | 36 | 38 |
| Freddie Mac Gold Pool 8.5% 1/1/2028  | 4 | 5 |
| Freddie Mac Gold Pool 8.5% 11/1/2026  | 2 | 2 |
| Freddie Mac Gold Pool 8.5% 12/1/2027  | 7 | 7 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 10 | 10 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 2 | 2 |
| Freddie Mac Gold Pool 8.5% 8/1/2026  | 13 | 13 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 326 | 331 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 143 | 145 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 9 | 9 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 6702375 | 7005378 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 3360385 | 3560903 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 2965952 | 3150348 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 965842 | 1030718 |
| Freddie Mac Multiclass Mortgage participation certificates 3% 10/1/2031  | 129463 | 127416 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 5.616% 1/1/2036 (d)(e) | 5510 | 5635 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 5.884% 3/1/2036 (d)(e) | 28418 | 29140 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 5.85% 3/1/2036 (d)(e) | 21508 | 22199 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.202% 12/1/2040 (d)(e) | 240636 | 252011 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.406% 7/1/2041 (d)(e) | 37574 | 39396 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.436% 9/1/2041 (d)(e) | 50037 | 52522 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (d)(e) | 15030 | 15632 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.63% 9/1/2041 (d)(e) | 6277 | 6591 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (d)(e) | 1155 | 1212 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.535% 6/1/2041 (d)(e) | 1268 | 1331 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.672% 6/1/2041 (d)(e) | 15950 | 16750 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.778% 5/1/2041 (d)(e) | 11199 | 11761 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.863% 5/1/2041 (d)(e) | 14514 | 15242 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.939%, 6.607% 10/1/2042 (d)(e) | 43663 | 45850 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.01% 4/1/2038 (d)(e) | 12307 | 12923 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 6.658% 3/1/2033 (d)(e) | 206 | 210 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (d)(e) | 10276 | 10720 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.095% 6/1/2033 (d)(e) | 21774 | 22312 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.2597%, 6.321% 6/1/2033 (d)(e) | 29231 | 30006 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 6.328% 3/1/2035 (d)(e) | 60680 | 62619 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 8334 | 8320 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2055  | 11109679 | 11475280 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 4900595 | 5065311 |
| Freddie Mac Non Gold Pool 5.5% 6/1/2053  | 2440811 | 2519799 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 11101901 | 11461174 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 11784186 | 12180269 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 4927604 | 5093228 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 4831631 | 4987989 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.125%, 5.375% 8/1/2037 (d)(e) | 8863 | 8996 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.178% 10/1/2036 (d)(e) | 14458 | 14850 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.994%, 6.307% 10/1/2035 (d)(e) | 16853 | 17380 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.26% 6/1/2037 (d)(e) | 8169 | 8496 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 6870637 | 7179100 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 4532428 | 4733082 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 4417712 | 4606385 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 16618172 | 17353872 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 4304890 | 4495471 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 5333413 | 5544527 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 5611238 | 5972369 |
| Freddie Mac Non Gold Pool 6.5% 11/1/2054  | 2343011 | 2493803 |
| Freddie Mac Non Gold Pool 6.5% 2/1/2055  | 6257513 | 6662193 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 6801472 | 5984645 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 10535046 | 9269833 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 6989835 | 6143833 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 5591994 | 4920421 |
| Ginnie Mae I Pool 2.5% 7/20/2052  | 204659 | 180736 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 39026602 | 34303092 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 10152575 | 8930123 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 5922320 | 5205523 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 17466272 | 15352275 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 10183304 | 8950788 |
| Ginnie Mae I Pool 3% 12/15/2042  | 325939 | 304655 |
| Ginnie Mae I Pool 3% 3/15/2045  | 7687 | 7131 |
| Ginnie Mae I Pool 3% 4/15/2043  | 90117 | 84013 |
| Ginnie Mae I Pool 3% 4/15/2043  | 39334 | 36658 |
| Ginnie Mae I Pool 3% 4/15/2043  | 32108 | 30031 |
| Ginnie Mae I Pool 3% 4/15/2043  | 15398 | 14378 |
| Ginnie Mae I Pool 3% 4/15/2043  | 6459 | 6031 |
| Ginnie Mae I Pool 3% 4/15/2043  | 6354 | 5943 |
| Ginnie Mae I Pool 3% 4/15/2043  | 6223 | 5884 |
| Ginnie Mae I Pool 3% 4/15/2045  | 244013 | 226976 |
| Ginnie Mae I Pool 3% 5/15/2043  | 346144 | 322909 |
| Ginnie Mae I Pool 3% 5/15/2043  | 38198 | 35350 |
| Ginnie Mae I Pool 3% 5/15/2043  | 29663 | 28017 |
| Ginnie Mae I Pool 3% 5/15/2043  | 29552 | 27604 |
| Ginnie Mae I Pool 3% 5/15/2043  | 27340 | 25708 |
| Ginnie Mae I Pool 3% 5/15/2043  | 11177 | 10410 |
| Ginnie Mae I Pool 3% 6/15/2042  | 27801 | 26124 |
| Ginnie Mae I Pool 3% 6/15/2043  | 38401 | 35754 |
| Ginnie Mae I Pool 3% 6/15/2043  | 13082 | 12212 |
| Ginnie Mae I Pool 3% 6/20/2042  | 212003 | 199398 |
| Ginnie Mae I Pool 3% 7/15/2043  | 65345 | 61098 |
| Ginnie Mae I Pool 3% 7/15/2043  | 47291 | 44174 |
| Ginnie Mae I Pool 3% 8/15/2042  | 17640 | 16504 |
| Ginnie Mae I Pool 3% 8/15/2043  | 20878 | 19541 |
| Ginnie Mae I Pool 3% 9/15/2042  | 43606 | 40799 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 11053 | 10605 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 147694 | 140845 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 109441 | 104551 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 2819 | 2698 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 1476 | 1412 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 163378 | 155973 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 4944 | 4725 |
| Ginnie Mae I Pool 3.5% 1/20/2043  | 1010700 | 963110 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 7345333 | 6962730 |
| Ginnie Mae I Pool 3.5% 11/15/2040  | 19598 | 18799 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 357882 | 341737 |
| Ginnie Mae I Pool 3.5% 11/20/2042  | 25209 | 24067 |
| Ginnie Mae I Pool 3.5% 12/15/2040  | 4003 | 3842 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 140619 | 134366 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 131119 | 125177 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 80786 | 77423 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 12671 | 12161 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 110858 | 106149 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 50783 | 48530 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 39613 | 37980 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 11878 | 11366 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 128491 | 122613 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 101448 | 96764 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 711618 | 680741 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 27765 | 26530 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 109165 | 103617 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 2296309 | 2196085 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 863344 | 825883 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 5101 | 4869 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 978654 | 935939 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 433231 | 414060 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 610046 | 583709 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 115928 | 110336 |
| Ginnie Mae I Pool 3.5% 4/20/2043  | 465297 | 444121 |
| Ginnie Mae I Pool 3.5% 4/20/2043  | 183709 | 175460 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 36598 | 35118 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 27406 | 26292 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 23794 | 22671 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 23653 | 22663 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 20942 | 20043 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 9237 | 8827 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 101464 | 97218 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 67179 | 64367 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 51087 | 48949 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 49304 | 47240 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 43661 | 41833 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 27183 | 25992 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 5021 | 4794 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 50304 | 47898 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 41664 | 39621 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 31493 | 30079 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 21172 | 20352 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 17006 | 16206 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 2906 | 2769 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 231780 | 222079 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 70358 | 67413 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 64020 | 61340 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 58905 | 56439 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 56766 | 54391 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 34490 | 33046 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 23153 | 22205 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 103044 | 98439 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 35533 | 33945 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 9014 | 8608 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 19350 | 18441 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 227573 | 216742 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 6191512 | 5938180 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 9236 | 8817 |
| Ginnie Mae I Pool 3.5% 8/15/2043  | 11489 | 10940 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 23423484 | 22203403 |
| Ginnie Mae I Pool 3.5% 9/15/2041  | 2310 | 2216 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 25444 | 24258 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 12195 | 11637 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 12038 | 11565 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 6963 | 6640 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 2845 | 2715 |
| Ginnie Mae I Pool 3.5% 9/15/2043  | 9765 | 9304 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 32135961 | 30462066 |
| Ginnie Mae I Pool 4% 1/15/2040  | 26853 | 26488 |
| Ginnie Mae I Pool 4% 1/15/2040  | 25902 | 25506 |
| Ginnie Mae I Pool 4% 1/15/2041  | 130105 | 128014 |
| Ginnie Mae I Pool 4% 1/15/2041  | 5387 | 5300 |
| Ginnie Mae I Pool 4% 1/15/2041  | 4363 | 4292 |
| Ginnie Mae I Pool 4% 1/15/2042  | 12190 | 11976 |
| Ginnie Mae I Pool 4% 1/15/2043  | 43409 | 42593 |
| Ginnie Mae I Pool 4% 1/15/2047  | 76485 | 74649 |
| Ginnie Mae I Pool 4% 1/15/2047  | 73785 | 72014 |
| Ginnie Mae I Pool 4% 1/15/2047  | 56753 | 55390 |
| Ginnie Mae I Pool 4% 1/15/2047  | 27015 | 26366 |
| Ginnie Mae I Pool 4% 10/15/2039  | 31524 | 31091 |
| Ginnie Mae I Pool 4% 10/15/2040  | 151566 | 149176 |
| Ginnie Mae I Pool 4% 10/15/2040  | 131601 | 129579 |
| Ginnie Mae I Pool 4% 10/15/2040  | 123304 | 121372 |
| Ginnie Mae I Pool 4% 10/15/2040  | 14076 | 13859 |
| Ginnie Mae I Pool 4% 10/15/2040  | 10324 | 10164 |
| Ginnie Mae I Pool 4% 10/15/2040  | 4979 | 4905 |
| Ginnie Mae I Pool 4% 10/15/2040  | 4058 | 3997 |
| Ginnie Mae I Pool 4% 10/15/2041  | 283437 | 278501 |
| Ginnie Mae I Pool 4% 10/15/2041  | 132535 | 130339 |
| Ginnie Mae I Pool 4% 10/15/2041  | 117984 | 116077 |
| Ginnie Mae I Pool 4% 10/15/2041  | 72297 | 71113 |
| Ginnie Mae I Pool 4% 10/15/2041  | 63171 | 62087 |
| Ginnie Mae I Pool 4% 10/15/2041  | 41187 | 40433 |
| Ginnie Mae I Pool 4% 10/15/2041  | 33668 | 33151 |
| Ginnie Mae I Pool 4% 10/15/2041  | 22190 | 21811 |
| Ginnie Mae I Pool 4% 10/15/2041  | 16425 | 16157 |
| Ginnie Mae I Pool 4% 10/15/2041  | 13973 | 13752 |
| Ginnie Mae I Pool 4% 10/15/2041  | 8085 | 7953 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6054 | 5943 |
| Ginnie Mae I Pool 4% 11/15/2039  | 23385 | 23076 |
| Ginnie Mae I Pool 4% 11/15/2040  | 37736 | 37126 |
| Ginnie Mae I Pool 4% 11/15/2040  | 5569 | 5487 |
| Ginnie Mae I Pool 4% 11/15/2040  | 4318 | 4260 |
| Ginnie Mae I Pool 4% 11/15/2041  | 305511 | 300383 |
| Ginnie Mae I Pool 4% 11/15/2041  | 43158 | 42385 |
| Ginnie Mae I Pool 4% 11/15/2041  | 8858 | 8707 |
| Ginnie Mae I Pool 4% 11/15/2041  | 4282 | 4214 |
| Ginnie Mae I Pool 4% 11/15/2042  | 14767 | 14495 |
| Ginnie Mae I Pool 4% 12/15/2039  | 75659 | 74512 |
| Ginnie Mae I Pool 4% 12/15/2039  | 13247 | 13050 |
| Ginnie Mae I Pool 4% 12/15/2040  | 9165 | 9008 |
| Ginnie Mae I Pool 4% 12/15/2040  | 6193 | 6088 |
| Ginnie Mae I Pool 4% 12/15/2040  | 4281 | 4214 |
| Ginnie Mae I Pool 4% 12/15/2041  | 131116 | 128956 |
| Ginnie Mae I Pool 4% 12/15/2041  | 98507 | 96779 |
| Ginnie Mae I Pool 4% 12/15/2041  | 45177 | 44396 |
| Ginnie Mae I Pool 4% 12/15/2041  | 25359 | 24924 |
| Ginnie Mae I Pool 4% 12/15/2041  | 9830 | 9654 |
| Ginnie Mae I Pool 4% 12/15/2041  | 5277 | 5198 |
| Ginnie Mae I Pool 4% 12/15/2041  | 4753 | 4672 |
| Ginnie Mae I Pool 4% 12/15/2042  | 9952 | 9775 |
| Ginnie Mae I Pool 4% 12/15/2046  | 14588 | 14260 |
| Ginnie Mae I Pool 4% 2/15/2040  | 111742 | 110002 |
| Ginnie Mae I Pool 4% 2/15/2040  | 66453 | 65479 |
| Ginnie Mae I Pool 4% 2/15/2040  | 65201 | 64186 |
| Ginnie Mae I Pool 4% 2/15/2040  | 16830 | 16573 |
| Ginnie Mae I Pool 4% 2/15/2041  | 37343 | 36758 |
| Ginnie Mae I Pool 4% 2/15/2041  | 20023 | 19677 |
| Ginnie Mae I Pool 4% 2/15/2042  | 42763 | 42018 |
| Ginnie Mae I Pool 4% 3/15/2040  | 558268 | 549691 |
| Ginnie Mae I Pool 4% 3/15/2041  | 280907 | 276534 |
| Ginnie Mae I Pool 4% 3/15/2041  | 13932 | 13686 |
| Ginnie Mae I Pool 4% 3/15/2041  | 13662 | 13449 |
| Ginnie Mae I Pool 4% 3/15/2042  | 157923 | 155113 |
| Ginnie Mae I Pool 4% 3/15/2042  | 22512 | 22095 |
| Ginnie Mae I Pool 4% 3/15/2042  | 16370 | 16087 |
| Ginnie Mae I Pool 4% 3/15/2042  | 6987 | 6862 |
| Ginnie Mae I Pool 4% 3/20/2047  | 1715344 | 1685949 |
| Ginnie Mae I Pool 4% 4/15/2040  | 45512 | 44785 |
| Ginnie Mae I Pool 4% 4/15/2040  | 20311 | 20018 |
| Ginnie Mae I Pool 4% 4/15/2042  | 25596 | 25109 |
| Ginnie Mae I Pool 4% 4/15/2043  | 7013 | 6890 |
| Ginnie Mae I Pool 4% 4/15/2046  | 2044584 | 1999350 |
| Ginnie Mae I Pool 4% 4/20/2047  | 1774349 | 1735071 |
| Ginnie Mae I Pool 4% 4/20/2047  | 1583702 | 1548644 |
| Ginnie Mae I Pool 4% 5/15/2040  | 39497 | 38866 |
| Ginnie Mae I Pool 4% 5/15/2041  | 6569 | 6489 |
| Ginnie Mae I Pool 4% 5/15/2042  | 1224 | 1219 |
| Ginnie Mae I Pool 4% 5/15/2043  | 10508 | 10292 |
| Ginnie Mae I Pool 4% 5/15/2043  | 6182 | 6056 |
| Ginnie Mae I Pool 4% 5/20/2049  | 973703 | 946367 |
| Ginnie Mae I Pool 4% 6/15/2041  | 23874 | 23478 |
| Ginnie Mae I Pool 4% 6/15/2041  | 14948 | 14749 |
| Ginnie Mae I Pool 4% 6/15/2041  | 12574 | 12350 |
| Ginnie Mae I Pool 4% 6/15/2042  | 33361 | 32718 |
| Ginnie Mae I Pool 4% 6/15/2042  | 1985 | 1947 |
| Ginnie Mae I Pool 4% 6/15/2043  | 9239 | 9060 |
| Ginnie Mae I Pool 4% 6/15/2043  | 4562 | 4481 |
| Ginnie Mae I Pool 4% 7/15/2039  | 29629 | 29191 |
| Ginnie Mae I Pool 4% 7/15/2041  | 25072 | 24617 |
| Ginnie Mae I Pool 4% 7/15/2041  | 13505 | 13278 |
| Ginnie Mae I Pool 4% 7/15/2041  | 13426 | 13223 |
| Ginnie Mae I Pool 4% 7/15/2041  | 7851 | 7710 |
| Ginnie Mae I Pool 4% 7/15/2041  | 4641 | 4560 |
| Ginnie Mae I Pool 4% 7/15/2041  | 2898 | 2849 |
| Ginnie Mae I Pool 4% 7/15/2046  | 51405 | 50284 |
| Ginnie Mae I Pool 4% 7/15/2046  | 41241 | 40341 |
| Ginnie Mae I Pool 4% 8/15/2039  | 12535 | 12346 |
| Ginnie Mae I Pool 4% 8/15/2039  | 9370 | 9225 |
| Ginnie Mae I Pool 4% 8/15/2040  | 6309 | 6213 |
| Ginnie Mae I Pool 4% 8/15/2041  | 19628 | 19305 |
| Ginnie Mae I Pool 4% 8/15/2041  | 15519 | 15281 |
| Ginnie Mae I Pool 4% 8/15/2041  | 4228 | 4166 |
| Ginnie Mae I Pool 4% 8/15/2042  | 64405 | 63172 |
| Ginnie Mae I Pool 4% 8/15/2042  | 8419 | 8284 |
| Ginnie Mae I Pool 4% 8/15/2042  | 3720 | 3663 |
| Ginnie Mae I Pool 4% 8/15/2043  | 13216 | 12936 |
| Ginnie Mae I Pool 4% 8/15/2043  | 6882 | 6754 |
| Ginnie Mae I Pool 4% 8/15/2043  | 3853 | 3772 |
| Ginnie Mae I Pool 4% 9/15/2039  | 19478 | 19227 |
| Ginnie Mae I Pool 4% 9/15/2040  | 8365 | 8238 |
| Ginnie Mae I Pool 4% 9/15/2041  | 144053 | 141617 |
| Ginnie Mae I Pool 4% 9/15/2041  | 17624 | 17334 |
| Ginnie Mae I Pool 4% 9/15/2041  | 16450 | 16189 |
| Ginnie Mae I Pool 4% 9/15/2041  | 8414 | 8259 |
| Ginnie Mae I Pool 4% 9/15/2041  | 4204 | 4129 |
| Ginnie Mae I Pool 4% 9/15/2041  | 1999 | 1971 |
| Ginnie Mae I Pool 4.5% 1/15/2041  | 1065 | 1078 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 15288 | 15479 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 10661 | 10792 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 4756 | 4814 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 2589 | 2621 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 86610 | 87688 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 35068 | 35504 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 28860 | 29217 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 25717 | 26035 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 19035 | 19270 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 18797 | 19025 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 13093 | 13255 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 10644 | 10775 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 5012 | 5074 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 4822 | 4881 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 2107 | 2133 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 1251 | 1267 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 24095 | 24388 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 70348 | 71217 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 66404 | 67227 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 48112 | 48704 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 37656 | 38121 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 26315 | 26636 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 20975 | 21234 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 20726 | 20982 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 14415 | 14591 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 4115 | 4165 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1742 | 1763 |
| Ginnie Mae I Pool 4.5% 2/15/2041  | 16593 | 16778 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 163930 | 165955 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 16089 | 16289 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 11890 | 12037 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 8307 | 8409 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 387000 | 391803 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 9014 | 9125 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 4205 | 4257 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 1029 | 1042 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 72900 | 73797 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 37434 | 37900 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 28353 | 28706 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 16316 | 16519 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 6695 | 6778 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 6540 | 6621 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 8491842 | 8448798 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 13074 | 13234 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 87721 | 88805 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 8887 | 8998 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 45307 | 45859 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 41753 | 42268 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 8203 | 8304 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 6448 | 6528 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 5576 | 5644 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 324920 | 328962 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 188883 | 191217 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 86097 | 87162 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 49044 | 49650 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 47428 | 48014 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 41102 | 41610 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 37711 | 38177 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5795 | 5867 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 3929 | 3978 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 36966 | 37419 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 2254 | 2282 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 141024 | 142767 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 127041 | 128611 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 96834 | 98029 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 73752 | 74663 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 68120 | 68961 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 62542 | 63316 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 10609 | 10740 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 6215 | 6291 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 2565 | 2597 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 375080 | 379692 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 233931 | 236808 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 187183 | 189481 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 74650 | 75570 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 35296 | 35729 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 6252 | 6329 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 21458 | 21723 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 18081 | 18303 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 7215 | 7304 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 4177 | 4229 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 3145 | 3184 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1901 | 1924 |
| Ginnie Mae I Pool 4.5% 8/15/2041  | 8199 | 8300 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 69349 | 70204 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 34207 | 34627 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 13637 | 13806 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 12426 | 12578 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 11920 | 12067 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 5175 | 5239 |
| Ginnie Mae I Pool 5% 1/15/2034  | 2633 | 2707 |
| Ginnie Mae I Pool 5% 1/15/2039  | 29570 | 30487 |
| Ginnie Mae I Pool 5% 1/15/2040  | 1156 | 1187 |
| Ginnie Mae I Pool 5% 10/15/2033  | 1424 | 1463 |
| Ginnie Mae I Pool 5% 10/15/2034  | 3306 | 3395 |
| Ginnie Mae I Pool 5% 10/15/2034  | 2071 | 2127 |
| Ginnie Mae I Pool 5% 10/15/2039  | 26157 | 27076 |
| Ginnie Mae I Pool 5% 10/15/2039  | 20241 | 20964 |
| Ginnie Mae I Pool 5% 10/15/2039  | 16037 | 16612 |
| Ginnie Mae I Pool 5% 10/15/2039  | 9059 | 9376 |
| Ginnie Mae I Pool 5% 10/15/2039  | 5365 | 5552 |
| Ginnie Mae I Pool 5% 11/15/2033  | 6525 | 6711 |
| Ginnie Mae I Pool 5% 11/15/2033  | 5383 | 5497 |
| Ginnie Mae I Pool 5% 11/15/2033  | 3289 | 3377 |
| Ginnie Mae I Pool 5% 11/15/2033  | 2009 | 2062 |
| Ginnie Mae I Pool 5% 11/15/2033  | 926 | 952 |
| Ginnie Mae I Pool 5% 11/15/2035  | 6619 | 6809 |
| Ginnie Mae I Pool 5% 11/15/2039  | 24868 | 25763 |
| Ginnie Mae I Pool 5% 11/15/2039  | 16973 | 17600 |
| Ginnie Mae I Pool 5% 11/15/2039  | 10779 | 11165 |
| Ginnie Mae I Pool 5% 11/15/2039  | 10390 | 10763 |
| Ginnie Mae I Pool 5% 11/15/2039  | 2049 | 2122 |
| Ginnie Mae I Pool 5% 11/15/2039  | 1917 | 1987 |
| Ginnie Mae I Pool 5% 11/15/2040  | 10484 | 10862 |
| Ginnie Mae I Pool 5% 11/15/2040  | 2852 | 2955 |
| Ginnie Mae I Pool 5% 12/15/2032  | 315 | 323 |
| Ginnie Mae I Pool 5% 12/15/2033  | 2040 | 2094 |
| Ginnie Mae I Pool 5% 12/15/2037  | 7855 | 8141 |
| Ginnie Mae I Pool 5% 12/15/2039  | 25828 | 26758 |
| Ginnie Mae I Pool 5% 12/15/2039  | 13166 | 13632 |
| Ginnie Mae I Pool 5% 12/15/2039  | 10824 | 11220 |
| Ginnie Mae I Pool 5% 2/15/2034  | 4847 | 4987 |
| Ginnie Mae I Pool 5% 2/15/2039  | 50681 | 52455 |
| Ginnie Mae I Pool 5% 2/15/2040  | 3549 | 3677 |
| Ginnie Mae I Pool 5% 3/15/2035  | 9952 | 10267 |
| Ginnie Mae I Pool 5% 3/15/2036  | 20629 | 21283 |
| Ginnie Mae I Pool 5% 3/15/2036  | 13092 | 13369 |
| Ginnie Mae I Pool 5% 3/15/2036  | 4120 | 4261 |
| Ginnie Mae I Pool 5% 3/15/2040  | 7063 | 7312 |
| Ginnie Mae I Pool 5% 3/15/2041  | 21986 | 22763 |
| Ginnie Mae I Pool 5% 3/15/2041  | 8064 | 8354 |
| Ginnie Mae I Pool 5% 3/15/2041  | 3037 | 3147 |
| Ginnie Mae I Pool 5% 4/15/2033  | 2583 | 2649 |
| Ginnie Mae I Pool 5% 4/15/2033  | 2163 | 2219 |
| Ginnie Mae I Pool 5% 4/15/2033  | 1608 | 1649 |
| Ginnie Mae I Pool 5% 4/15/2035  | 12620 | 12995 |
| Ginnie Mae I Pool 5% 4/15/2039  | 4494 | 4658 |
| Ginnie Mae I Pool 5% 4/15/2040  | 179600 | 186048 |
| Ginnie Mae I Pool 5% 4/15/2040  | 177046 | 183373 |
| Ginnie Mae I Pool 5% 4/15/2040  | 11080 | 11485 |
| Ginnie Mae I Pool 5% 4/15/2040  | 3924 | 4067 |
| Ginnie Mae I Pool 5% 4/15/2040  | 2090 | 2162 |
| Ginnie Mae I Pool 5% 4/15/2041  | 32812 | 33963 |
| Ginnie Mae I Pool 5% 4/15/2041  | 7889 | 8168 |
| Ginnie Mae I Pool 5% 4/15/2041  | 3549 | 3674 |
| Ginnie Mae I Pool 5% 4/15/2041  | 2375 | 2459 |
| Ginnie Mae I Pool 5% 4/20/2048  | 3575484 | 3686752 |
| Ginnie Mae I Pool 5% 5/15/2033  | 20552 | 21065 |
| Ginnie Mae I Pool 5% 5/15/2033  | 11243 | 11533 |
| Ginnie Mae I Pool 5% 5/15/2033  | 2821 | 2893 |
| Ginnie Mae I Pool 5% 5/15/2034  | 98773 | 101556 |
| Ginnie Mae I Pool 5% 5/15/2036  | 590 | 601 |
| Ginnie Mae I Pool 5% 5/15/2039  | 41904 | 43367 |
| Ginnie Mae I Pool 5% 5/15/2039  | 26291 | 27215 |
| Ginnie Mae I Pool 5% 5/15/2040  | 11139 | 11542 |
| Ginnie Mae I Pool 5% 5/15/2040  | 6719 | 6967 |
| Ginnie Mae I Pool 5% 5/15/2040  | 2390 | 2475 |
| Ginnie Mae I Pool 5% 6/15/2033  | 1478 | 1516 |
| Ginnie Mae I Pool 5% 6/15/2033  | 1383 | 1419 |
| Ginnie Mae I Pool 5% 6/15/2033  | 566 | 578 |
| Ginnie Mae I Pool 5% 6/15/2033  | 337 | 347 |
| Ginnie Mae I Pool 5% 6/15/2034  | 1657 | 1707 |
| Ginnie Mae I Pool 5% 6/15/2036  | 8624 | 8908 |
| Ginnie Mae I Pool 5% 6/15/2039  | 4028 | 4169 |
| Ginnie Mae I Pool 5% 6/15/2039  | 1211 | 1254 |
| Ginnie Mae I Pool 5% 6/15/2040  | 538908 | 558257 |
| Ginnie Mae I Pool 5% 6/15/2040  | 19579 | 20280 |
| Ginnie Mae I Pool 5% 6/15/2040  | 13900 | 14400 |
| Ginnie Mae I Pool 5% 6/15/2040  | 9861 | 10206 |
| Ginnie Mae I Pool 5% 6/15/2040  | 2102 | 2175 |
| Ginnie Mae I Pool 5% 6/15/2041  | 26476 | 27397 |
| Ginnie Mae I Pool 5% 6/15/2041  | 3729 | 3860 |
| Ginnie Mae I Pool 5% 6/15/2041  | 3543 | 3668 |
| Ginnie Mae I Pool 5% 7/15/2034  | 3030 | 3115 |
| Ginnie Mae I Pool 5% 7/15/2035  | 43727 | 45075 |
| Ginnie Mae I Pool 5% 7/15/2039  | 45537 | 47119 |
| Ginnie Mae I Pool 5% 7/15/2039  | 25203 | 26090 |
| Ginnie Mae I Pool 5% 7/15/2039  | 1742 | 1806 |
| Ginnie Mae I Pool 5% 7/15/2040  | 28821 | 29861 |
| Ginnie Mae I Pool 5% 7/15/2040  | 23063 | 23897 |
| Ginnie Mae I Pool 5% 7/15/2040  | 16065 | 16637 |
| Ginnie Mae I Pool 5% 7/15/2040  | 14111 | 14623 |
| Ginnie Mae I Pool 5% 7/15/2040  | 12267 | 12716 |
| Ginnie Mae I Pool 5% 7/15/2040  | 5751 | 5952 |
| Ginnie Mae I Pool 5% 7/15/2040  | 3219 | 3335 |
| Ginnie Mae I Pool 5% 7/15/2040  | 1913 | 1983 |
| Ginnie Mae I Pool 5% 8/15/2033  | 24870 | 25484 |
| Ginnie Mae I Pool 5% 8/15/2033  | 15170 | 15573 |
| Ginnie Mae I Pool 5% 8/15/2033  | 6463 | 6630 |
| Ginnie Mae I Pool 5% 8/15/2033  | 5572 | 5733 |
| Ginnie Mae I Pool 5% 8/15/2033  | 2911 | 2985 |
| Ginnie Mae I Pool 5% 8/15/2033  | 2475 | 2541 |
| Ginnie Mae I Pool 5% 8/15/2035  | 857 | 885 |
| Ginnie Mae I Pool 5% 8/15/2039  | 21889 | 22662 |
| Ginnie Mae I Pool 5% 8/15/2039  | 19301 | 19982 |
| Ginnie Mae I Pool 5% 8/15/2039  | 8798 | 9108 |
| Ginnie Mae I Pool 5% 8/15/2039  | 6238 | 6461 |
| Ginnie Mae I Pool 5% 8/15/2039  | 3618 | 3746 |
| Ginnie Mae I Pool 5% 8/15/2039  | 1915 | 1984 |
| Ginnie Mae I Pool 5% 8/15/2039  | 1290 | 1337 |
| Ginnie Mae I Pool 5% 8/15/2039  | 894 | 926 |
| Ginnie Mae I Pool 5% 8/15/2040  | 46692 | 48391 |
| Ginnie Mae I Pool 5% 8/15/2040  | 39341 | 40760 |
| Ginnie Mae I Pool 5% 8/15/2040  | 34933 | 36209 |
| Ginnie Mae I Pool 5% 8/15/2040  | 10635 | 11026 |
| Ginnie Mae I Pool 5% 8/15/2041  | 1450 | 1502 |
| Ginnie Mae I Pool 5% 9/15/2033  | 25592 | 26294 |
| Ginnie Mae I Pool 5% 9/15/2035  | 2139 | 2209 |
| Ginnie Mae I Pool 5% 9/15/2036  | 39285 | 40562 |
| Ginnie Mae I Pool 5% 9/15/2036  | 8175 | 8410 |
| Ginnie Mae I Pool 5% 9/15/2037  | 2533 | 2626 |
| Ginnie Mae I Pool 5% 9/15/2039  | 148189 | 153378 |
| Ginnie Mae I Pool 5% 9/15/2039  | 30215 | 31284 |
| Ginnie Mae I Pool 5% 9/15/2039  | 21501 | 22263 |
| Ginnie Mae I Pool 5% 9/15/2039  | 9957 | 10311 |
| Ginnie Mae I Pool 5% 9/15/2039  | 9203 | 9537 |
| Ginnie Mae I Pool 5% 9/15/2039  | 8201 | 8490 |
| Ginnie Mae I Pool 5% 9/15/2039  | 8173 | 8462 |
| Ginnie Mae I Pool 5% 9/15/2039  | 6317 | 6542 |
| Ginnie Mae I Pool 5% 9/15/2039  | 5387 | 5577 |
| Ginnie Mae I Pool 5% 9/15/2039  | 2695 | 2791 |
| Ginnie Mae I Pool 5% 9/15/2039  | 2272 | 2353 |
| Ginnie Mae I Pool 5% 9/15/2039  | 2105 | 2179 |
| Ginnie Mae I Pool 5% 9/15/2039  | 1897 | 1963 |
| Ginnie Mae I Pool 5% 9/15/2040  | 22455 | 23263 |
| Ginnie Mae I Pool 5% 9/15/2040  | 14522 | 15029 |
| Ginnie Mae I Pool 5% 9/15/2040  | 7572 | 7843 |
| Ginnie Mae I Pool 5% 9/15/2040  | 5040 | 5223 |
| Ginnie Mae I Pool 5% 9/15/2041  | 410920 | 425497 |
| Ginnie Mae I Pool 5.5% 1/15/2034  | 328 | 343 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 19759 | 20688 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 734 | 768 |
| Ginnie Mae I Pool 5.5% 3/15/2034  | 1199 | 1251 |
| Ginnie Mae I Pool 5.5% 3/15/2034  | 431 | 447 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 1379 | 1444 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 12662332 | 13059434 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 1447 | 1508 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 412 | 430 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 5266 | 5499 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 1475 | 1540 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 776 | 810 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 674 | 704 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 419 | 436 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 281 | 294 |
| Ginnie Mae I Pool 5.5% 5/15/2039  | 14814 | 15525 |
| Ginnie Mae I Pool 5.5% 6/15/2039  | 2032 | 2125 |
| Ginnie Mae I Pool 5.5% 6/15/2039  | 717 | 745 |
| Ginnie Mae I Pool 5.5% 7/15/2033  | 1126 | 1176 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 485 | 508 |
| Ginnie Mae I Pool 5.5% 7/15/2039  | 8436 | 8862 |
| Ginnie Mae I Pool 5.5% 8/15/2033  | 3956 | 4130 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 93147 | 97768 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 86589 | 90849 |
| Ginnie Mae I Pool 6% 10/15/2030  | 5887 | 6088 |
| Ginnie Mae I Pool 6% 10/15/2039  | 3684 | 3898 |
| Ginnie Mae I Pool 6% 11/15/2037  | 611 | 644 |
| Ginnie Mae I Pool 6% 11/15/2039  | 10548 | 11171 |
| Ginnie Mae I Pool 6% 11/15/2039  | 6075 | 6433 |
| Ginnie Mae I Pool 6% 11/15/2039  | 3994 | 4224 |
| Ginnie Mae I Pool 6% 11/15/2039  | 2336 | 2462 |
| Ginnie Mae I Pool 6% 11/15/2039  | 1966 | 2069 |
| Ginnie Mae I Pool 6% 11/15/2039  | 1562 | 1648 |
| Ginnie Mae I Pool 6% 11/15/2039  | 886 | 938 |
| Ginnie Mae I Pool 6% 12/15/2034  | 993 | 1043 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 12557 | 13419 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 1724 | 1833 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 1445 | 1548 |
| Ginnie Mae I Pool 6.5% 10/15/2035  | 8462 | 9109 |
| Ginnie Mae I Pool 6.5% 10/15/2036  | 2727 | 2919 |
| Ginnie Mae I Pool 6.5% 11/15/2034  | 3117 | 3258 |
| Ginnie Mae I Pool 6.5% 3/15/2035  | 542 | 567 |
| Ginnie Mae I Pool 6.5% 6/15/2037  | 3295 | 3523 |
| Ginnie Mae I Pool 6.5% 7/15/2035  | 994 | 1064 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 14251 | 15187 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 322 | 336 |
| Ginnie Mae I Pool 6.5% 8/15/2036  | 2432 | 2603 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 5518 | 5877 |
| Ginnie Mae I Pool 6.5% 9/15/2035  | 355 | 369 |
| Ginnie Mae I Pool 7% 1/15/2027  | 4 | 4 |
| Ginnie Mae I Pool 7% 1/15/2028  | 210 | 210 |
| Ginnie Mae I Pool 7% 1/15/2028  | 137 | 139 |
| Ginnie Mae I Pool 7% 1/15/2028  | 137 | 138 |
| Ginnie Mae I Pool 7% 1/15/2028  | 128 | 129 |
| Ginnie Mae I Pool 7% 1/15/2028  | 116 | 117 |
| Ginnie Mae I Pool 7% 1/15/2028  | 98 | 99 |
| Ginnie Mae I Pool 7% 1/15/2028  | 42 | 43 |
| Ginnie Mae I Pool 7% 1/15/2028  | 28 | 29 |
| Ginnie Mae I Pool 7% 1/15/2029  | 376 | 384 |
| Ginnie Mae I Pool 7% 1/15/2029  | 261 | 267 |
| Ginnie Mae I Pool 7% 1/15/2029  | 191 | 194 |
| Ginnie Mae I Pool 7% 1/15/2029  | 146 | 149 |
| Ginnie Mae I Pool 7% 1/15/2029  | 96 | 98 |
| Ginnie Mae I Pool 7% 1/15/2030  | 1186 | 1213 |
| Ginnie Mae I Pool 7% 1/15/2030  | 105 | 108 |
| Ginnie Mae I Pool 7% 1/15/2031  | 1258 | 1302 |
| Ginnie Mae I Pool 7% 1/15/2031  | 388 | 399 |
| Ginnie Mae I Pool 7% 1/15/2032  | 2533 | 2626 |
| Ginnie Mae I Pool 7% 10/15/2026  | 19 | 19 |
| Ginnie Mae I Pool 7% 10/15/2028  | 1029 | 1047 |
| Ginnie Mae I Pool 7% 10/15/2028  | 182 | 185 |
| Ginnie Mae I Pool 7% 10/15/2029  | 442 | 454 |
| Ginnie Mae I Pool 7% 10/15/2030  | 327 | 336 |
| Ginnie Mae I Pool 7% 10/15/2031  | 2180 | 2266 |
| Ginnie Mae I Pool 7% 10/15/2031  | 524 | 541 |
| Ginnie Mae I Pool 7% 10/15/2031  | 446 | 453 |
| Ginnie Mae I Pool 7% 10/15/2031  | 431 | 447 |
| Ginnie Mae I Pool 7% 10/15/2031  | 20 | 20 |
| Ginnie Mae I Pool 7% 11/15/2027  | 23 | 23 |
| Ginnie Mae I Pool 7% 11/15/2028  | 163 | 166 |
| Ginnie Mae I Pool 7% 11/15/2028  | 54 | 55 |
| Ginnie Mae I Pool 7% 11/15/2029  | 1053 | 1082 |
| Ginnie Mae I Pool 7% 11/15/2031  | 1234 | 1280 |
| Ginnie Mae I Pool 7% 11/15/2031  | 1199 | 1229 |
| Ginnie Mae I Pool 7% 11/15/2031  | 325 | 337 |
| Ginnie Mae I Pool 7% 11/15/2032  | 281 | 290 |
| Ginnie Mae I Pool 7% 12/15/2027  | 471 | 477 |
| Ginnie Mae I Pool 7% 12/15/2027  | 206 | 209 |
| Ginnie Mae I Pool 7% 12/15/2027  | 126 | 127 |
| Ginnie Mae I Pool 7% 12/15/2027  | 77 | 78 |
| Ginnie Mae I Pool 7% 12/15/2027  | 31 | 32 |
| Ginnie Mae I Pool 7% 12/15/2028  | 400 | 408 |
| Ginnie Mae I Pool 7% 12/15/2028  | 374 | 382 |
| Ginnie Mae I Pool 7% 12/15/2028  | 118 | 120 |
| Ginnie Mae I Pool 7% 12/15/2028  | 58 | 59 |
| Ginnie Mae I Pool 7% 12/15/2028  | 41 | 42 |
| Ginnie Mae I Pool 7% 12/15/2030  | 567 | 586 |
| Ginnie Mae I Pool 7% 12/15/2031  | 2076 | 2153 |
| Ginnie Mae I Pool 7% 12/15/2031  | 987 | 1026 |
| Ginnie Mae I Pool 7% 12/15/2031  | 95 | 99 |
| Ginnie Mae I Pool 7% 2/15/2028  | 151 | 153 |
| Ginnie Mae I Pool 7% 2/15/2028  | 143 | 144 |
| Ginnie Mae I Pool 7% 2/15/2028  | 140 | 141 |
| Ginnie Mae I Pool 7% 2/15/2028  | 107 | 109 |
| Ginnie Mae I Pool 7% 2/15/2028  | 56 | 57 |
| Ginnie Mae I Pool 7% 2/15/2028  | 43 | 43 |
| Ginnie Mae I Pool 7% 2/15/2028  | 24 | 24 |
| Ginnie Mae I Pool 7% 2/15/2028  | 18 | 18 |
| Ginnie Mae I Pool 7% 2/15/2028  | 10 | 10 |
| Ginnie Mae I Pool 7% 2/15/2029  | 91 | 92 |
| Ginnie Mae I Pool 7% 2/15/2029  | 80 | 82 |
| Ginnie Mae I Pool 7% 2/15/2032  | 3240 | 3372 |
| Ginnie Mae I Pool 7% 2/15/2032  | 1918 | 1961 |
| Ginnie Mae I Pool 7% 2/15/2032  | 892 | 927 |
| Ginnie Mae I Pool 7% 2/15/2032  | 325 | 336 |
| Ginnie Mae I Pool 7% 2/15/2032  | 235 | 239 |
| Ginnie Mae I Pool 7% 2/15/2032  | 215 | 223 |
| Ginnie Mae I Pool 7% 3/15/2028  | 368 | 372 |
| Ginnie Mae I Pool 7% 3/15/2028  | 210 | 213 |
| Ginnie Mae I Pool 7% 3/15/2028  | 166 | 168 |
| Ginnie Mae I Pool 7% 3/15/2028  | 133 | 133 |
| Ginnie Mae I Pool 7% 3/15/2028  | 90 | 91 |
| Ginnie Mae I Pool 7% 3/15/2028  | 68 | 68 |
| Ginnie Mae I Pool 7% 3/15/2028  | 66 | 67 |
| Ginnie Mae I Pool 7% 3/15/2028  | 37 | 38 |
| Ginnie Mae I Pool 7% 3/15/2029  | 508 | 518 |
| Ginnie Mae I Pool 7% 3/15/2029  | 232 | 237 |
| Ginnie Mae I Pool 7% 3/15/2029  | 133 | 135 |
| Ginnie Mae I Pool 7% 3/15/2029  | 59 | 60 |
| Ginnie Mae I Pool 7% 3/15/2029  | 39 | 39 |
| Ginnie Mae I Pool 7% 3/15/2029  | 33 | 34 |
| Ginnie Mae I Pool 7% 3/15/2031  | 204 | 211 |
| Ginnie Mae I Pool 7% 3/15/2031  | 195 | 201 |
| Ginnie Mae I Pool 7% 3/15/2031  | 144 | 149 |
| Ginnie Mae I Pool 7% 3/15/2031  | 61 | 62 |
| Ginnie Mae I Pool 7% 3/15/2032  | 1282 | 1334 |
| Ginnie Mae I Pool 7% 3/15/2032  | 555 | 577 |
| Ginnie Mae I Pool 7% 3/15/2032  | 448 | 466 |
| Ginnie Mae I Pool 7% 3/15/2032  | 138 | 143 |
| Ginnie Mae I Pool 7% 3/15/2032  | 118 | 122 |
| Ginnie Mae I Pool 7% 3/15/2032  | 104 | 108 |
| Ginnie Mae I Pool 7% 3/15/2032  | 80 | 81 |
| Ginnie Mae I Pool 7% 3/15/2032  | 29 | 30 |
| Ginnie Mae I Pool 7% 4/15/2028  | 337 | 342 |
| Ginnie Mae I Pool 7% 4/15/2028  | 212 | 215 |
| Ginnie Mae I Pool 7% 4/15/2028  | 162 | 165 |
| Ginnie Mae I Pool 7% 4/15/2028  | 129 | 131 |
| Ginnie Mae I Pool 7% 4/15/2028  | 77 | 78 |
| Ginnie Mae I Pool 7% 4/15/2028  | 61 | 62 |
| Ginnie Mae I Pool 7% 4/15/2028  | 55 | 56 |
| Ginnie Mae I Pool 7% 4/15/2028  | 23 | 24 |
| Ginnie Mae I Pool 7% 4/15/2028  | 20 | 20 |
| Ginnie Mae I Pool 7% 4/15/2028  | 15 | 16 |
| Ginnie Mae I Pool 7% 4/15/2028  | 10 | 10 |
| Ginnie Mae I Pool 7% 4/15/2029  | 345 | 352 |
| Ginnie Mae I Pool 7% 4/15/2029  | 57 | 59 |
| Ginnie Mae I Pool 7% 4/15/2029  | 31 | 32 |
| Ginnie Mae I Pool 7% 4/15/2030  | 277 | 285 |
| Ginnie Mae I Pool 7% 4/15/2031  | 1530 | 1583 |
| Ginnie Mae I Pool 7% 4/15/2031  | 610 | 632 |
| Ginnie Mae I Pool 7% 4/15/2031  | 352 | 365 |
| Ginnie Mae I Pool 7% 4/15/2031  | 147 | 152 |
| Ginnie Mae I Pool 7% 4/15/2031  | 134 | 139 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1980 | 2062 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1030 | 1070 |
| Ginnie Mae I Pool 7% 4/15/2032  | 715 | 743 |
| Ginnie Mae I Pool 7% 4/15/2032  | 543 | 565 |
| Ginnie Mae I Pool 7% 4/15/2032  | 306 | 317 |
| Ginnie Mae I Pool 7% 4/15/2032  | 280 | 291 |
| Ginnie Mae I Pool 7% 4/15/2032  | 272 | 281 |
| Ginnie Mae I Pool 7% 4/15/2032  | 268 | 278 |
| Ginnie Mae I Pool 7% 4/15/2032  | 253 | 263 |
| Ginnie Mae I Pool 7% 4/15/2032  | 183 | 184 |
| Ginnie Mae I Pool 7% 4/15/2032  | 160 | 165 |
| Ginnie Mae I Pool 7% 4/15/2032  | 71 | 71 |
| Ginnie Mae I Pool 7% 4/20/2032  | 25215 | 26291 |
| Ginnie Mae I Pool 7% 5/15/2027  | 5 | 5 |
| Ginnie Mae I Pool 7% 5/15/2028  | 249 | 250 |
| Ginnie Mae I Pool 7% 5/15/2028  | 52 | 52 |
| Ginnie Mae I Pool 7% 5/15/2028  | 45 | 46 |
| Ginnie Mae I Pool 7% 5/15/2028  | 42 | 43 |
| Ginnie Mae I Pool 7% 5/15/2028  | 15 | 15 |
| Ginnie Mae I Pool 7% 5/15/2028  | 14 | 14 |
| Ginnie Mae I Pool 7% 5/15/2029  | 235 | 241 |
| Ginnie Mae I Pool 7% 5/15/2030  | 317 | 323 |
| Ginnie Mae I Pool 7% 5/15/2031  | 613 | 630 |
| Ginnie Mae I Pool 7% 5/15/2031  | 315 | 326 |
| Ginnie Mae I Pool 7% 5/15/2031  | 151 | 153 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1504 | 1558 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1053 | 1098 |
| Ginnie Mae I Pool 7% 5/15/2032  | 567 | 584 |
| Ginnie Mae I Pool 7% 5/15/2032  | 386 | 403 |
| Ginnie Mae I Pool 7% 5/15/2032  | 354 | 360 |
| Ginnie Mae I Pool 7% 5/15/2032  | 329 | 340 |
| Ginnie Mae I Pool 7% 5/15/2032  | 293 | 301 |
| Ginnie Mae I Pool 7% 5/15/2032  | 277 | 289 |
| Ginnie Mae I Pool 7% 5/15/2032  | 260 | 269 |
| Ginnie Mae I Pool 7% 5/15/2032  | 244 | 254 |
| Ginnie Mae I Pool 7% 5/15/2032  | 219 | 228 |
| Ginnie Mae I Pool 7% 5/15/2032  | 124 | 128 |
| Ginnie Mae I Pool 7% 5/15/2032  | 114 | 118 |
| Ginnie Mae I Pool 7% 6/15/2028  | 378 | 383 |
| Ginnie Mae I Pool 7% 6/15/2028  | 360 | 366 |
| Ginnie Mae I Pool 7% 6/15/2028  | 239 | 243 |
| Ginnie Mae I Pool 7% 6/15/2028  | 149 | 151 |
| Ginnie Mae I Pool 7% 6/15/2028  | 128 | 130 |
| Ginnie Mae I Pool 7% 6/15/2028  | 103 | 105 |
| Ginnie Mae I Pool 7% 6/15/2028  | 84 | 85 |
| Ginnie Mae I Pool 7% 6/15/2028  | 77 | 78 |
| Ginnie Mae I Pool 7% 6/15/2028  | 59 | 60 |
| Ginnie Mae I Pool 7% 6/15/2028  | 48 | 49 |
| Ginnie Mae I Pool 7% 6/15/2028  | 40 | 41 |
| Ginnie Mae I Pool 7% 6/15/2028  | 38 | 39 |
| Ginnie Mae I Pool 7% 6/15/2028  | 27 | 28 |
| Ginnie Mae I Pool 7% 6/15/2028  | 14 | 14 |
| Ginnie Mae I Pool 7% 6/15/2029  | 452 | 463 |
| Ginnie Mae I Pool 7% 6/15/2029  | 204 | 209 |
| Ginnie Mae I Pool 7% 6/15/2029  | 138 | 141 |
| Ginnie Mae I Pool 7% 6/15/2029  | 81 | 83 |
| Ginnie Mae I Pool 7% 6/15/2031  | 1859 | 1926 |
| Ginnie Mae I Pool 7% 6/15/2031  | 830 | 861 |
| Ginnie Mae I Pool 7% 6/15/2031  | 532 | 552 |
| Ginnie Mae I Pool 7% 6/15/2031  | 31 | 32 |
| Ginnie Mae I Pool 7% 6/15/2032  | 1307 | 1354 |
| Ginnie Mae I Pool 7% 6/15/2032  | 689 | 712 |
| Ginnie Mae I Pool 7% 6/15/2032  | 334 | 344 |
| Ginnie Mae I Pool 7% 6/15/2032  | 309 | 321 |
| Ginnie Mae I Pool 7% 6/15/2032  | 250 | 259 |
| Ginnie Mae I Pool 7% 6/15/2032  | 231 | 240 |
| Ginnie Mae I Pool 7% 6/15/2032  | 200 | 208 |
| Ginnie Mae I Pool 7% 6/15/2032  | 45 | 47 |
| Ginnie Mae I Pool 7% 7/15/2028  | 405 | 411 |
| Ginnie Mae I Pool 7% 7/15/2028  | 400 | 405 |
| Ginnie Mae I Pool 7% 7/15/2028  | 214 | 218 |
| Ginnie Mae I Pool 7% 7/15/2028  | 210 | 214 |
| Ginnie Mae I Pool 7% 7/15/2028  | 113 | 115 |
| Ginnie Mae I Pool 7% 7/15/2028  | 81 | 82 |
| Ginnie Mae I Pool 7% 7/15/2028  | 67 | 68 |
| Ginnie Mae I Pool 7% 7/15/2028  | 63 | 64 |
| Ginnie Mae I Pool 7% 7/15/2028  | 57 | 58 |
| Ginnie Mae I Pool 7% 7/15/2028  | 31 | 31 |
| Ginnie Mae I Pool 7% 7/15/2028  | 27 | 27 |
| Ginnie Mae I Pool 7% 7/15/2029  | 353 | 361 |
| Ginnie Mae I Pool 7% 7/15/2029  | 255 | 259 |
| Ginnie Mae I Pool 7% 7/15/2029  | 172 | 176 |
| Ginnie Mae I Pool 7% 7/15/2029  | 25 | 25 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1373 | 1426 |
| Ginnie Mae I Pool 7% 7/15/2031  | 862 | 891 |
| Ginnie Mae I Pool 7% 7/15/2031  | 739 | 765 |
| Ginnie Mae I Pool 7% 7/15/2031  | 345 | 355 |
| Ginnie Mae I Pool 7% 7/15/2031  | 15 | 16 |
| Ginnie Mae I Pool 7% 7/15/2031  | 5 | 6 |
| Ginnie Mae I Pool 7% 7/15/2032  | 699 | 729 |
| Ginnie Mae I Pool 7% 7/15/2032  | 536 | 554 |
| Ginnie Mae I Pool 7% 7/15/2032  | 389 | 402 |
| Ginnie Mae I Pool 7% 7/15/2032  | 359 | 373 |
| Ginnie Mae I Pool 7% 7/15/2032  | 334 | 348 |
| Ginnie Mae I Pool 7% 7/15/2032  | 78 | 82 |
| Ginnie Mae I Pool 7% 7/15/2032  | 58 | 61 |
| Ginnie Mae I Pool 7% 8/15/2028  | 41 | 42 |
| Ginnie Mae I Pool 7% 8/15/2029  | 60 | 61 |
| Ginnie Mae I Pool 7% 8/15/2029  | 27 | 27 |
| Ginnie Mae I Pool 7% 8/15/2031  | 1792 | 1858 |
| Ginnie Mae I Pool 7% 8/15/2031  | 1130 | 1173 |
| Ginnie Mae I Pool 7% 8/15/2031  | 332 | 344 |
| Ginnie Mae I Pool 7% 8/15/2031  | 195 | 202 |
| Ginnie Mae I Pool 7% 8/15/2031  | 178 | 185 |
| Ginnie Mae I Pool 7% 8/15/2032  | 575 | 600 |
| Ginnie Mae I Pool 7% 8/15/2032  | 532 | 548 |
| Ginnie Mae I Pool 7% 8/15/2032  | 341 | 353 |
| Ginnie Mae I Pool 7% 8/15/2032  | 232 | 242 |
| Ginnie Mae I Pool 7% 8/15/2032  | 201 | 208 |
| Ginnie Mae I Pool 7% 8/15/2032  | 162 | 168 |
| Ginnie Mae I Pool 7% 8/15/2032  | 75 | 76 |
| Ginnie Mae I Pool 7% 9/15/2027  | 20 | 21 |
| Ginnie Mae I Pool 7% 9/15/2028  | 347 | 353 |
| Ginnie Mae I Pool 7% 9/15/2028  | 136 | 139 |
| Ginnie Mae I Pool 7% 9/15/2028  | 52 | 53 |
| Ginnie Mae I Pool 7% 9/15/2028  | 39 | 39 |
| Ginnie Mae I Pool 7% 9/15/2028  | 35 | 36 |
| Ginnie Mae I Pool 7% 9/15/2028  | 29 | 30 |
| Ginnie Mae I Pool 7% 9/15/2029  | 34 | 34 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1342 | 1393 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1108 | 1151 |
| Ginnie Mae I Pool 7% 9/15/2031  | 824 | 855 |
| Ginnie Mae I Pool 7% 9/15/2031  | 437 | 453 |
| Ginnie Mae I Pool 7% 9/15/2031  | 330 | 341 |
| Ginnie Mae I Pool 7% 9/15/2031  | 193 | 199 |
| Ginnie Mae I Pool 7% 9/15/2031  | 90 | 94 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 177 | 184 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 56 | 58 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 546 | 555 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 518 | 527 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 441 | 448 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 439 | 442 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 175 | 177 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 105 | 107 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 43 | 44 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 42 | 43 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 40 | 40 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 22 | 22 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 3 | 3 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 41 | 41 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 38 | 38 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 221 | 225 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 163 | 165 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 149 | 152 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 56 | 57 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 18 | 18 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 42 | 42 |
| Ginnie Mae I Pool 7.5% 3/15/2026  | 1 | 1 |
| Ginnie Mae I Pool 7.5% 3/15/2026  | 1 | 1 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 171 | 175 |
| Ginnie Mae I Pool 7.5% 3/15/2031  | 677 | 711 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 122 | 123 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 62 | 62 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 55 | 55 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 45 | 45 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 41 | 41 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 22 | 22 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 12 | 12 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 7 | 7 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 74 | 74 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 3 | 3 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 305 | 308 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 58 | 58 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 29 | 30 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 22 | 23 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 10 | 10 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 440 | 446 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 192 | 194 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 166 | 167 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 160 | 163 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 105 | 107 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 55 | 55 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 51 | 51 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 17 | 17 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 17 | 17 |
| Ginnie Mae I Pool 7.5% 7/15/2028  | 925 | 947 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 156 | 160 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 248 | 252 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 87 | 88 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 47 | 48 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 37 | 37 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 28 | 28 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 10 | 10 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 478 | 491 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 221 | 227 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 78 | 80 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 9 | 9 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 70 | 72 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 529 | 537 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 45 | 46 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 28 | 28 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 562 | 576 |
| Ginnie Mae I Pool 7.5% 9/15/2031  | 1494 | 1555 |
| Ginnie Mae I Pool 8% 1/15/2028  | 321 | 326 |
| Ginnie Mae I Pool 8% 10/15/2029  | 170 | 175 |
| Ginnie Mae I Pool 8% 11/15/2027  | 62 | 63 |
| Ginnie Mae I Pool 8% 12/15/2027  | 317 | 322 |
| Ginnie Mae I Pool 8% 12/15/2027  | 108 | 110 |
| Ginnie Mae I Pool 8% 12/15/2027  | 81 | 82 |
| Ginnie Mae I Pool 8% 12/15/2027  | 30 | 30 |
| Ginnie Mae I Pool 8% 7/15/2027  | 98 | 99 |
| Ginnie Mae I Pool 8% 8/15/2027  | 29 | 29 |
| Ginnie Mae I Pool 8% 8/15/2027  | 26 | 26 |
| Ginnie Mae I Pool 8% 9/15/2029  | 46 | 47 |
| Ginnie Mae I Pool 8.5% 1/15/2031  | 1705 | 1774 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 30 | 31 |
| Ginnie Mae I Pool 8.5% 12/15/2029  | 94 | 97 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 130 | 135 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 100 | 103 |
| Ginnie Mae II Pool 2% 11/20/2050  | 22895355 | 19408534 |
| Ginnie Mae II Pool 2% 12/20/2050  | 35827303 | 30362629 |
| Ginnie Mae II Pool 2% 2/20/2051  | 43457836 | 36827596 |
| Ginnie Mae II Pool 2% 2/20/2052  | 28832873 | 24432795 |
| Ginnie Mae II Pool 2% 3/1/2056 (b) | 376750000 | 319118515 |
| Ginnie Mae II Pool 2% 4/1/2056 (b) | 163750000 | 138720338 |
| Ginnie Mae II Pool 2% 4/20/2051  | 1499978 | 1271072 |
| Ginnie Mae II Pool 2% 5/20/2051  | 869731 | 737005 |
| Ginnie Mae II Pool 2% 6/20/2051  | 42349687 | 35886858 |
| Ginnie Mae II Pool 2% 8/20/2051  | 157095 | 133122 |
| Ginnie Mae II Pool 2% 9/20/2050  | 10873530 | 9237946 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 64538142 | 56968909 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 31246950 | 27582211 |
| Ginnie Mae II Pool 2.5% 3/1/2056 (b) | 35225000 | 31076911 |
| Ginnie Mae II Pool 2.5% 4/1/2056 (b) | 14950000 | 13188323 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 8963604 | 7912325 |
| Ginnie Mae II Pool 2.5% 6/20/2052  | 2933416 | 2590521 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 84388091 | 74490794 |
| Ginnie Mae II Pool 2.5% 7/20/2054  | 324183 | 286415 |
| Ginnie Mae II Pool 3% 1/20/2032  | 2332245 | 2293721 |
| Ginnie Mae II Pool 3% 10/20/2031  | 759518 | 747397 |
| Ginnie Mae II Pool 3% 10/20/2042  | 2822 | 2652 |
| Ginnie Mae II Pool 3% 10/20/2043  | 590636 | 553426 |
| Ginnie Mae II Pool 3% 11/20/2031  | 821496 | 808077 |
| Ginnie Mae II Pool 3% 12/20/2031  | 1246537 | 1226411 |
| Ginnie Mae II Pool 3% 12/20/2042  | 2990831 | 2809248 |
| Ginnie Mae II Pool 3% 12/20/2043  | 6096 | 5710 |
| Ginnie Mae II Pool 3% 12/20/2046  | 9053898 | 8405103 |
| Ginnie Mae II Pool 3% 2/20/2031  | 97197 | 95797 |
| Ginnie Mae II Pool 3% 2/20/2043  | 84250 | 79115 |
| Ginnie Mae II Pool 3% 2/20/2044  | 22327 | 20909 |
| Ginnie Mae II Pool 3% 2/20/2050  | 5195 | 4781 |
| Ginnie Mae II Pool 3% 3/20/2031  | 194593 | 191750 |
| Ginnie Mae II Pool 3% 3/20/2050  | 6733221 | 6193912 |
| Ginnie Mae II Pool 3% 4/20/2031  | 735310 | 724423 |
| Ginnie Mae II Pool 3% 4/20/2052  | 56552891 | 51890648 |
| Ginnie Mae II Pool 3% 5/20/2031  | 1566892 | 1543385 |
| Ginnie Mae II Pool 3% 5/20/2042  | 18509 | 17419 |
| Ginnie Mae II Pool 3% 5/20/2051  | 8550827 | 7847763 |
| Ginnie Mae II Pool 3% 6/20/2050  | 70306 | 64609 |
| Ginnie Mae II Pool 3% 6/20/2051  | 2264882 | 2078872 |
| Ginnie Mae II Pool 3% 7/20/2031  | 20727 | 20408 |
| Ginnie Mae II Pool 3% 7/20/2051  | 2871282 | 2636815 |
| Ginnie Mae II Pool 3% 8/20/2031  | 241244 | 237486 |
| Ginnie Mae II Pool 3% 8/20/2042  | 26257 | 24685 |
| Ginnie Mae II Pool 3% 8/20/2051  | 3407685 | 3126222 |
| Ginnie Mae II Pool 3% 9/20/2031  | 97238 | 95704 |
| Ginnie Mae II Pool 3% 9/20/2043  | 20684 | 19376 |
| Ginnie Mae II Pool 3% 9/20/2051  | 40328 | 36997 |
| Ginnie Mae II Pool 3.5% 1/20/2041  | 3191 | 3082 |
| Ginnie Mae II Pool 3.5% 1/20/2042  | 8952 | 8627 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 41909 | 40184 |
| Ginnie Mae II Pool 3.5% 10/20/2040  | 16153 | 15593 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 1429 | 1376 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 38991 | 37414 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 3561 | 3432 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 1252827 | 1210140 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 7080066 | 6824173 |
| Ginnie Mae II Pool 3.5% 12/20/2043  | 40004 | 38364 |
| Ginnie Mae II Pool 3.5% 12/20/2044  | 3697 | 3535 |
| Ginnie Mae II Pool 3.5% 2/20/2040  | 2701 | 2608 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 169101 | 162537 |
| Ginnie Mae II Pool 3.5% 3/20/2041  | 12687 | 12247 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 11808 | 11319 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 238696 | 229346 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 73856 | 70834 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 3027530 | 2895677 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 100173 | 95980 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 25010 | 23963 |
| Ginnie Mae II Pool 3.5% 6/20/2034  | 1803 | 1764 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 100626 | 96646 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 25354 | 24341 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 123743 | 119449 |
| Ginnie Mae II Pool 3.5% 9/20/2041  | 6438 | 6208 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 1075790 | 1032340 |
| Ginnie Mae II Pool 4% 1/20/2041  | 1527853 | 1508423 |
| Ginnie Mae II Pool 4% 1/20/2042  | 115541 | 113944 |
| Ginnie Mae II Pool 4% 1/20/2046  | 109134 | 106955 |
| Ginnie Mae II Pool 4% 10/20/2040  | 548021 | 541132 |
| Ginnie Mae II Pool 4% 10/20/2041  | 1734639 | 1711199 |
| Ginnie Mae II Pool 4% 10/20/2044  | 511257 | 502048 |
| Ginnie Mae II Pool 4% 10/20/2045  | 12727 | 12476 |
| Ginnie Mae II Pool 4% 11/20/2040  | 1445489 | 1427212 |
| Ginnie Mae II Pool 4% 11/20/2044  | 351946 | 345529 |
| Ginnie Mae II Pool 4% 11/20/2045  | 2346 | 2299 |
| Ginnie Mae II Pool 4% 12/20/2044  | 871475 | 855586 |
| Ginnie Mae II Pool 4% 12/20/2045  | 139036 | 136289 |
| Ginnie Mae II Pool 4% 2/20/2041  | 50182 | 49539 |
| Ginnie Mae II Pool 4% 2/20/2046  | 85546 | 83846 |
| Ginnie Mae II Pool 4% 3/1/2056 (b) | 12000000 | 11542031 |
| Ginnie Mae II Pool 4% 3/20/2041  | 129681 | 128018 |
| Ginnie Mae II Pool 4% 3/20/2046  | 93537 | 91687 |
| Ginnie Mae II Pool 4% 3/20/2047  | 5447961 | 5354602 |
| Ginnie Mae II Pool 4% 5/20/2033  | 2525 | 2512 |
| Ginnie Mae II Pool 4% 6/20/2044  | 38543 | 37892 |
| Ginnie Mae II Pool 4% 7/20/2044  | 339727 | 333718 |
| Ginnie Mae II Pool 4% 7/20/2045  | 86074 | 84411 |
| Ginnie Mae II Pool 4% 8/20/2041  | 14367 | 14174 |
| Ginnie Mae II Pool 4% 8/20/2043  | 214692 | 211254 |
| Ginnie Mae II Pool 4% 8/20/2044  | 5110744 | 5019796 |
| Ginnie Mae II Pool 4% 8/20/2048  | 9152093 | 8966658 |
| Ginnie Mae II Pool 4% 9/20/2040  | 641387 | 633309 |
| Ginnie Mae II Pool 4% 9/20/2041  | 267072 | 263456 |
| Ginnie Mae II Pool 4% 9/20/2042  | 15340 | 15113 |
| Ginnie Mae II Pool 4% 9/20/2045  | 10585 | 10377 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 141983 | 143653 |
| Ginnie Mae II Pool 4.5% 10/20/2035  | 1446 | 1462 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 30363 | 30720 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 30565 | 30924 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 521723 | 527858 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 10619 | 10734 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 400118 | 404824 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 99593 | 100765 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 35249 | 35663 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 441776 | 446973 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 4828 | 4869 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 876061 | 886365 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 58452 | 59139 |
| Ginnie Mae II Pool 4.5% 8/20/2040  | 6740 | 6820 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 316051 | 319767 |
| Ginnie Mae II Pool 5% 12/20/2054  | 10158610 | 10254832 |
| Ginnie Mae II Pool 5% 3/1/2056 (b) | 102600000 | 102960701 |
| Ginnie Mae II Pool 5% 4/1/2056 (b) | 102600000 | 102820426 |
| Ginnie Mae II Pool 5% 9/20/2033  | 218604 | 223164 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 10737000 | 11067012 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 13058173 | 13492173 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (b) | 597975000 | 605674466 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (b) | 411825000 | 416693266 |
| Ginnie Mae II Pool 6% 11/20/2031  | 5986 | 6190 |
| Ginnie Mae II Pool 6% 12/20/2054  | 17663255 | 18065977 |
| Ginnie Mae II Pool 6% 3/1/2056 (b) | 380600000 | 388320623 |
| Ginnie Mae II Pool 6% 4/1/2056 (b) | 162600000 | 165784082 |
| Ginnie Mae II Pool 6% 5/20/2032  | 28153 | 29187 |
| Ginnie Mae II Pool 6.5% 1/20/2032  | 257 | 267 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 1068 | 1111 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 1311 | 1362 |
| Ginnie Mae II Pool 6.5% 4/20/2031  | 160 | 165 |
| Ginnie Mae II Pool 6.5% 6/20/2031  | 152 | 157 |
| Ginnie Mae II Pool 6.5% 7/20/2031  | 191 | 198 |
| Ginnie Mae II Pool 6.5% 8/20/2031  | 185 | 192 |
| Ginnie Mae II Pool 7% 2/20/2032  | 7556 | 7888 |
| Ginnie Mae II Pool 7% 3/20/2032  | 3887 | 4062 |
| Uniform Mortgage Backed Securities 2% 3/1/2056 (b) | 266950000 | 221078407 |
| Uniform Mortgage Backed Securities 2% 4/1/2056 (b) | 84400000 | 69903642 |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 (b) | 52275000 | 45268927 |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 (b) | 19025000 | 17929577 |
| Uniform Mortgage Backed Securities 4% 3/1/2056 (b) | 75700000 | 73579810 |
| Uniform Mortgage Backed Securities 4.5% 3/1/2056 (b) | 10550000 | 10432135 |
| Uniform Mortgage Backed Securities 5% 3/1/2041 (b) | 264925000 | 268950615 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (b) | 171575000 | 174081591 |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 (b) | 313100000 | 318138969 |
| Uniform Mortgage Backed Securities 6% 3/1/2056 (b) | 544925000 | 558952568 |
| Uniform Mortgage Backed Securities 6% 4/1/2056 (b) | 154075000 | 158023187 |
| TOTAL UNITED STATES |  | 8510043397 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $8,510,246,895) |  | <br> **8510043397** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 42.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 42.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 42.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 42.5%** |
|  | Yield (%) (z) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.875% 11/15/2051  | 2.01 to 2.15 | 156075000 | 90090635 |
| US Treasury Bonds 2% 8/15/2051  | 1.96 to 2.14 | 516247000 | 308699573 |
| US Treasury Bonds 2.25% 8/15/2046  | 4.92 | 750000 | 513076 |
| US Treasury Bonds 2.875% 5/15/2052  | 3.14 to 4.54 | 165277000 | 120096982 |
| US Treasury Bonds 3% 2/15/2047  | 1.17 to 1.19 | 76205000 | 59490505 |
| US Treasury Bonds 3.25% 5/15/2042 (f) | 3.39 to 5.18 | 179236000 | 154086949 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.80 to 5.06 | 462205000 | 387999429 |
| US Treasury Bonds 3.625% 5/15/2053  | 3.91 to 4.31 | 176200000 | 147822164 |
| US Treasury Bonds 3.875% 5/15/2043  | 4.58 | 3000000 | 2773411 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 209206000 | 187958516 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.65 | 5050000 | 4782508 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.20 to 5.00 | 466647000 | 428093936 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.23 to 4.68 | 555423000 | 520296833 |
| US Treasury Bonds 4.25% 8/15/2054  | 3.99 to 4.39 | 179030000 | 167742717 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.81 to 5.13 | 40000000 | 39345312 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.35 to 4.91 | 756200000 | 738771950 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.74 to 4.94 | 64910000 | 65521067 |
| US Treasury Bonds 4.625% 11/15/2045  | 4.68 to 4.79 | 162875000 | 163943867 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.82 to 4.93 | 172300000 | 172003859 |
| US Treasury Bonds 4.625% 2/15/2046  | 4.57 | 5257000 | 5293963 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.50 to 4.88 | 75000000 | 74800785 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.60 to 4.72 | 6305000 | 6376670 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.45 to 4.51 | 125000000 | 124599610 |
| US Treasury Bonds 4.75% 2/15/2056  | 4.70 | 6980000 | 7113056 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.78 to 4.98 | 399300000 | 406365737 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.72 to 4.98 | 283000000 | 288173594 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.53 to 4.75 | 272426000 | 283365607 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.51 to 2.67 | 23270687 | 22945575 |
| US Treasury Notes 2.625% 7/31/2029 (h) | 4.11 | 11000000 | 10721133 |
| US Treasury Notes 2.75% 8/15/2032  | 2.79 | 372411000 | 352524834 |
| US Treasury Notes 2.875% 5/15/2032  | 2.96 to 3.39 | 263111000 | 251661562 |
| US Treasury Notes 3.375% 5/15/2033  | 3.74 to 4.19 | 831000000 | 811685740 |
| US Treasury Notes 3.5% 1/31/2030  | 3.59 to 3.79 | 176400000 | 176661845 |
| US Treasury Notes 3.5% 2/15/2029  | 3.47 to 3.50 | 37549000 | 37666341 |
| US Treasury Notes 3.625% 12/31/2030  | 3.74 to 3.84 | 254500000 | 255673087 |
| US Treasury Notes 3.625% 3/31/2030  | 3.47 | 2688000 | 2703750 |
| US Treasury Notes 3.625% 8/31/2030  | 3.59 to 3.61 | 594800000 | 597890170 |
| US Treasury Notes 3.625% 9/30/2031 (h) | 3.62 to 4.23 | 1167860000 | 1169821643 |
| US Treasury Notes 3.75% 11/30/2032  | 3.94 | 500000000 | 501347655 |
| US Treasury Notes 3.75% 5/31/2030  | 3.61 to 4.59 | 12357000 | 12485880 |
| US Treasury Notes 3.75% 8/31/2031  | 3.73 to 3.74 | 335500000 | 338252147 |
| US Treasury Notes 3.875% 12/31/2029  | 3.57 | 225000000 | 228348632 |
| US Treasury Notes 3.875% 12/31/2032  | 3.95 to 4.06 | 302500000 | 305477734 |
| US Treasury Notes 3.875% 8/15/2033  | 4.24 to 4.77 | 158871000 | 160025296 |
| US Treasury Notes 3.875% 8/15/2034  | 3.64 to 4.28 | 384100000 | 384658597 |
| US Treasury Notes 3.875% 8/31/2032  | 3.98 to 4.00 | 35000000 | 35385547 |
| US Treasury Notes 3.875% 9/30/2029  | 4.16 | 150000000 | 152167968 |
| US Treasury Notes 3.875% 9/30/2032  | 3.93 | 467000000 | 471961875 |
| US Treasury Notes 4% 1/31/2031  | 4.15 to 4.33 | 600000000 | 612609372 |
| US Treasury Notes 4% 1/31/2033  | 3.79 to 4.00 | 531000000 | 540126563 |
| US Treasury Notes 4% 10/31/2029  | 3.86 to 4.15 | 280700000 | 286028915 |
| US Treasury Notes 4% 11/15/2035  | 4.17 to 4.29 | 393100000 | 394512703 |
| US Treasury Notes 4% 2/15/2034  | 3.89 to 4.74 | 369425000 | 374288133 |
| US Treasury Notes 4% 2/28/2030  | 3.40 to 4.39 | 12207000 | 12448279 |
| US Treasury Notes 4% 3/31/2030  | 3.99 | 150000000 | 153000000 |
| US Treasury Notes 4% 4/30/2032  | 3.99 to 4.11 | 122845000 | 125201129 |
| US Treasury Notes 4% 6/30/2032  | 3.99 | 162000000 | 165050155 |
| US Treasury Notes 4% 7/31/2032  | 4.01 to 4.11 | 179800000 | 183136133 |
| US Treasury Notes 4.125% 11/15/2032  | 3.52 to 3.53 | 120103000 | 123105575 |
| US Treasury Notes 4.125% 11/30/2029  | 4.11 | 2300000 | 2354175 |
| US Treasury Notes 4.125% 2/29/2032  | 4.12 | 3900000 | 4002223 |
| US Treasury Notes 4.125% 3/31/2031  | 4.37 to 4.66 | 302457000 | 310573718 |
| US Treasury Notes 4.125% 5/31/2032  | 4.05 to 4.19 | 120029000 | 123148338 |
| US Treasury Notes 4.125% 7/31/2031  | 3.59 to 3.97 | 363000000 | 372880679 |
| US Treasury Notes 4.25% 11/15/2034  | 4.33 to 4.57 | 405500000 | 416603729 |
| US Treasury Notes 4.25% 5/15/2035  | 4.23 to 4.48 | 698270000 | 716190443 |
| US Treasury Notes 4.25% 6/30/2031  | 4.20 to 4.45 | 350000000 | 361580079 |
| US Treasury Notes 4.25% 8/15/2035  | 4.08 to 4.29 | 893200000 | 915390438 |
| US Treasury Notes 4.375% 1/31/2032  | 4.21 | 9900000 | 10291746 |
| US Treasury Notes 4.375% 11/30/2030  | 3.85 to 4.28 | 155750000 | 161541953 |
| US Treasury Notes 4.375% 12/31/2029  | 4.39 | 2200000 | 2272101 |
| US Treasury Notes 4.5% 11/15/2033  | 3.83 to 4.15 | 511765000 | 536093827 |
| US Treasury Notes 4.625% 2/15/2035  | 4.14 to 4.44 | 211574000 | 223243618 |
| US Treasury Notes 4.625% 4/30/2029  | 4.72 | 9160000 | 9490977 |
| US Treasury Notes 4.625% 9/30/2028  | 4.85 | 882000 | 908838 |
| US Treasury Notes 4.625% 9/30/2030  | 3.98 to 5.00 | 2478000 | 2594447 |
| US Treasury Notes 4.75% 2/15/2045  | 4.81 to 4.96 | 49940000 | 51188500 |
| US Treasury Notes 4.875% 10/31/2030  | 4.56 | 95000000 | 100536719 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $18,735,353,760) |  |  | **18526582827** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 4.4%** | &nbsp;&nbsp;**Money Market Funds - 4.4%** | &nbsp;&nbsp;**Money Market Funds - 4.4%** | &nbsp;&nbsp;**Money Market Funds - 4.4%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (Aa) | 3.70 | 1835596118 | 1835963237 |
| Fidelity Securities Lending Cash Central Fund (Aa)(Ab) | 3.69 | 66476063 | 66482710 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $1,902,389,992) |  |  | **1902445947** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 11510000 | 101961 |
| 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 | 8/2026 | 24420000 | 234035 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.565% and receive annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 35850000 | 675194 |
| 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 | 4/2030 | 38180000 | 1005683 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/2029 | 16000000 | 404665 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.585% and receive annually a floating rate based on US SOFR Index, expiring May 2036 | 4/2026 | 16450000 | 134574 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.964% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 23000000 | 302088 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.996% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 15200000 | 186108 |
| TOTAL PUT SWAPTIONS |  |  | 3044308 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.565% and pay annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 35850000 | 672949 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.964% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 23000000 | 983029 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 11510000 | 333736 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.585% and pay annually a floating rate based on US SOFR Index, expiring May 2036 | 4/2026 | 16450000 | 191757 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on the US SOFR Index, expiring December 2034 | 12/2029 | 16000000 | 591808 |
| 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 | 8/2026 | 24420000 | 727148 |
| 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 | 4/2030 | 38180000 | 1467212 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.996% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 15200000 | 677232 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.753% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 69400000 | 2144742 |
| TOTAL CALL SWAPTIONS |  |  | 7789613 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $13,542,137) |  |  | <br> **10833921** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 109.9%**<br> (Cost $48,120,718,037)<br>| <br>**47871668670** |
| **NET OTHER ASSETS (LIABILITIES) - (9.9)%**  | **(4308826664)** |
| **NET ASSETS - 100.0%** | **43562842006** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 3/1/2056 | (324750000) | (275072960) |
| Ginnie Mae II Pool 2.5% 3/1/2056 | (14950000) | (13189491) |
| Ginnie Mae II Pool 4% 3/1/2056 | (12000000) | (11542031) |
| Ginnie Mae II Pool 4% 4/1/2056 | (6000000) | (5768671) |
| Ginnie Mae II Pool 5% 3/1/2056 | (102600000) | (102960701) |
| Ginnie Mae II Pool 5.5% 3/1/2056 | (457675000) | (463567978) |
| Ginnie Mae II Pool 6% 3/1/2056 | (287575000) | (293408574) |
| Uniform Mortgage Backed Securities 2% 3/1/2056 | (217275000) | (179939355) |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 | (52275000) | (45268927) |
| Uniform Mortgage Backed Securities 2.5% 4/1/2056 | (52275000) | (45270965) |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 | (19025000) | (17929577) |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 | (22500000) | (21195704) |
| Uniform Mortgage Backed Securities 4% 3/1/2056 | (75700000) | (73579810) |
| Uniform Mortgage Backed Securities 4.5% 3/1/2056 | (17050000) | (16859518) |
| Uniform Mortgage Backed Securities 5% 3/1/2041 | (171575000) | (174182134) |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 | (313100000) | (318138969) |
| Uniform Mortgage Backed Securities 6% 3/1/2056 | (278475000) | (285643559) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (2343518924) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $2,335,264,730) |  | <br> **(2343518924)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 7 | 6/2026 | 549774 | (217) |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 55 | 3/2026 | 4327884 | 34250 |
| CBOT 10Y US Treasury Notes Contracts (United States) | 9706 | 6/2026 | 1104360813 | 8550404 |
| CBOT 10Y Ultra US Treasury Notes Contracts (United States) | 28 | 6/2026 | 3267688 | 19861 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 5102 | 6/2026 | 1067513781 | 1494627 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 18234 | 6/2026 | 2007876797 | 11891262 |
| CBOT US Treasury Long Bond Contracts (United States) | 12 | 6/2026 | 1420875 | 14232 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 742 | 6/2026 | 90199375 | 898471 |
| Eurex Euro-Bund Contracts (Germany) | 77 | 3/2026 | 11848742 | 95174 |
| The Montreal Exchange / Bourse DE Montreal Canadian Government Contracts (Canada) | 259 | 6/2026 | 23324336 | 76224 |
| TOTAL LONG |  |  |  | 23074288 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | (739) | 6/2026 | (84084344) | (436341) |
| ICE Long GILT Futures (United Kingdom) | (81) | 6/2026 | (10226076) | (128443) |
| TOTAL SHORT |  |  |  | (564784) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **22509504** |
| The notional amount of long futures as a percentage of Net Assets is 9.9%. | The notional amount of long futures as a percentage of Net Assets is 9.9%. | The notional amount of long futures as a percentage of Net Assets is 9.9%. | The notional amount of long futures as a percentage of Net Assets is 9.9%. | The notional amount of long futures as a percentage of Net Assets is 9.9%. |
| The notional amount of short futures as a percentage of Net Assets is 0.2%. | The notional amount of short futures as a percentage of Net Assets is 0.2%. | The notional amount of short futures as a percentage of Net Assets is 0.2%. | The notional amount of short futures as a percentage of Net Assets is 0.2%. | The notional amount of short futures as a percentage of Net Assets is 0.2%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 92000 | USD | 65534 | BNP Paribas SA | 4/2026 | (79) |
| EUR | 815000 | USD | 962931 | Goldman Sachs Bank USA | 3/2026 | 127 |
| EUR | 1004000 | USD | 1190154 | JPMorgan Chase Bank NA | 4/2026 | (717) |
| EUR | 1470000 | USD | 1738030 | JPMorgan Chase Bank NA | 4/2026 | 3478 |
| EUR | 1269000 | USD | 1502466 | Royal Bank of Canada | 4/2026 | 917 |
| GBP | 1814000 | USD | 2450121 | BNP Paribas SA | 3/2026 | (5484) |
| USD | 115423 | AUD | 162000 | BNP Paribas SA | 3/2026 | 136 |
| USD | 5114900 | AUD | 7340000 | JPMorgan Chase Bank NA | 4/2026 | (107308) |
| USD | 159854 | CAD | 218000 | JPMorgan Chase Bank NA | 3/2026 | 36 |
| USD | 4272243 | CAD | 5790000 | Bank of America NA | 4/2026 | 17777 |
| USD | 823413 | EUR | 695000 | BNP Paribas SA | 4/2026 | 47 |
| USD | 402671981 | EUR | 335275000 | BNP Paribas SA | 4/2026 | 5472025 |
| USD | 283161 | EUR | 240000 | Bank of America NA | 4/2026 | (1167) |
| USD | 1323778 | EUR | 1105000 | Citibank NA | 4/2026 | 14685 |
| USD | 2606812 | EUR | 2201000 | Goldman Sachs Bank USA | 4/2026 | (711) |
| USD | 1627885 | EUR | 1373000 | JPMorgan Chase Bank NA | 4/2026 | 1293 |
| USD | 2160855 | EUR | 1811000 | JPMorgan Chase Bank NA | 4/2026 | 15365 |
| USD | 299073 | GBP | 221000 | BNP Paribas SA | 4/2026 | 1191 |
| USD | 2450498 | GBP | 1814000 | BNP Paribas SA | 4/2026 | 5433 |
| USD | 2077002 | GBP | 1524000 | Citibank NA | 4/2026 | 22824 |
| USD | 103401412 | GBP | 75136000 | Goldman Sachs Bank USA | 4/2026 | 2126658 |
| USD | 498791 | GBP | 371000 | JPMorgan Chase Bank NA | 4/2026 | (1274) |
| USD | 4594558 | GBP | 3365000 | JPMorgan Chase Bank NA | 4/2026 | 58922 |
| USD | 6541000 | JPY | 994300000 | BNP Paribas SA | 4/2026 | 143494 |
| USD | 9228533 | JPY | 1403000000 | Royal Bank of Canada | 4/2026 | 201377 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **7969045** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 8085785 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (116740) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty(4) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($)(5) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 6120000 | (23003) | (63356) | (86359) |
| CMBX AAA Series 13 Index |  | 12/2072 | Merrill Lynch Capital Services Inc | (0.5%) | Monthly |  | 6260000 | (23529) | (100499) | (124028) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 720000 | 120530 | (174397) | (53867) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 510000 | 85376 | (128418) | (43042) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 1280000 | 214276 | (371046) | (156770) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 120000 | 20088 | (32838) | (12750) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 1200000 | 200884 | (303646) | (102762) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 450000 | 75332 | (103433) | (28101) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 170000 | 28459 | (40249) | (11790) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 380000 | 63613 | (90412) | (26799) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 610000 | 102116 | (131340) | (29224) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 240000 | 40177 | (58847) | (18670) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 1010000 | 169077 | (265899) | (96822) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 290000 | 48547 | (63917) | (15370) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 110000 | 18414 | (17616) | 798 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 4100000 | 329594 | (202188) | 127406 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2700000 | 217050 | (106179) | 110871 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 1700000 | 136661 | (63632) | 73029 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2500000 | 200972 | (93576) | 107396 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 300000 | 24117 | (11552) | 12565 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 1900000 | 152739 | (72080) | 80659 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 800000 | 64311 | (28513) | 35798 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 800000 | 128204 | (51173) | 77031 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 3200000 | 512817 | (208744) | 304073 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 900000 | 144230 | (62853) | 81377 |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly |  | 1300000 | 104505 | (63133) | 41372 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 1100000 | 166250 | (173139) | (6889) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2400000 | 192933 | (251096) | (58163) |
| CMBX BB Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (5%) | Monthly |  | 1000000 | 160255 | (146063) | 14192 |
| CMBX AAA Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 9287231 | 49511 | (156666) | (107155) |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 500000 | 80128 | (72112) | 8016 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 2800000 | 225089 | (204595) | 20494 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 1600000 | 128622 | (113285) | 15337 |
| Aviva PLC 6.125% 11/14/2036 |  | 12/2030 | Citibank NA | (1%) | Quarterly | EUR | 6500000 | 6218 | 1695 | 7913 |
| Commerzbank AG 4% 12/5/2030 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 5450000 | 28284 | (62064) | (33780) |
| Heidelberg Materials AG 3.75% 5/31/2032 |  | 12/2030 | JPMorgan Chase Bank NA | (5%) | Quarterly | EUR | 6540000 | (1593219) | 1453236 | (139983) |
| Allianz SE 2.121% 7/8/2050 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 8350000 | (76633) | 89734 | 13101 |
| CMBX AAA Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 16700000 | (21014) | 13338 | (7676) |
| UniCredit SpA 5.375% 4/16/2034 |  | 12/2030 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 4750000 | (24527) | (28299) | (52826) |
| Societe Generale SA 5.25% 9/6/2032 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 4100000 | (4786) | (53924) | (58710) |
| CMBX AAA Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (0.5%) | Monthly |  | 3744851 | 19964 | (35116) | (15152) |
| Deutsche Bank AG 5.625% 5/19/2031 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 3950000 | 37141 | (65386) | (28245) |
| Generali 4.125% 5/4/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 5400000 | (20680) | 14132 | (6548) |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 4550000 | (36880) | 9523 | (27357) |
| BMW Finance NV 0.75% 7/13/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 8850000 | (272188) | 205137 | (67051) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 16740 | (16956) | (216) |
| CMBX BBB- Series 17 Index |  | 12/2056 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 500000 | 66516 | (70423) | (3907) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 6400000 | (8053) | 20296 | 12243 |
| BMW Finance NV 0.75% 7/13/2026 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 2270000 | (66373) | 64552 | (1821) |
| Generali 4.125% 5/4/2026 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 940000 | 3181 | 2185 | 5366 |
| Deutsche Bank AG 5.625% 5/19/2031 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 1000000 | 18745 | (12675) | 6070 |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | 6/2031 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1815000 | (1438) | 3163 | 1725 |
| UniCredit SpA 5.375% 4/16/2034 |  | 6/2031 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 1000000 | 2773 | (2896) | (123) |
| Societe Generale SA 5.25% 9/6/2032 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 1600000 | 10927 | (5560) | 5367 |
| 5Y CDX EMIG CDSI Series 44 Index |  | 12/2030 | ICE | (1%) | Quarterly |  | 9085000 | 5756 | 0 | 5756 |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | 2248799 | (2502800) | (254001) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 12380000 | 46531 | 278143 | 324674 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 5300000 | (62263) | 126175 | 63912 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1700000 | (19971) | 40730 | 20759 |
| CMBX AAA Series 15 Index | NR | 11/2064 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 6091624 | (2600) | 45201 | 42601 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 2200000 | (25845) | 33861 | 8016 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 4700000 | (55214) | 61244 | 6030 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 3800000 | (44641) | 101303 | 56662 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 2900000 | (34068) | 87083 | 53015 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1800000 | (21146) | 20172 | (974) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 8800000 | (103380) | 99618 | (3762) |
| CMBX AAA Series 17 Index | NR | 12/2056 | JPMorgan Securities LLC | 0.5% | Monthly |  | 2900000 | (34068) | 31731 | (2337) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 7900000 | (92807) | 60251 | (32556) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 19200000 | (233760) | 231750 | (2010) |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | (683232) | 1217262 | 534030 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **1565567** | **(1285538)** | **280029** |

---

(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.

(4)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 | 736629000 | (1718392) | 0 | (1718392) |
| 4% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2056 | 17230000 | 821079 | 0 | 821079 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 3/2033 | 51910000 | (454080) | 0 | (454080) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2030 | 207597000 | (1138660) | 0 | (1138660) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 | 534654000 | (3257807) | 0 | (3257807) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(5747860)** | **0** | **(5747860)** |

---

(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.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| CAD | - | Canadian Dollar |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| JPY | - | Japanese Yen |
| USD | - | United States Dollar |

---

**Legend**

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

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

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $28,174,311.

(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) 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 $5,309,060.

(g) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $885,579.

(h) 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 $53,256,393.

(i) 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.

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

(k) Level 3 security.

(l) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $5,090,926 and $5,026,873, respectively.

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

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

(o) 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.

(p) 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 $8,196,576,252 or 18.8% of net assets.

(q) 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 $510,989,524 or 1.2% of net assets.

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

(s) 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.

(t) 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.

(u) Principal Only Strips represent the right to receive the monthly principal payments.

(v) Non-income producing.

(w) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $66,802 or 0.0% of net assets.

(x) Security is subject to lock-up or market standoff agreement. Fair value is based on the unadjusted market price of the equivalent equity security. At the end of the period, the total value of unadjusted equity securities subject to contractual sale restrictions is $57,356 with varying restriction expiration dates. Under normal market conditions, there are no circumstances that could cause the restrictions to lapse.

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

(z) 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.

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

(Ab) Investment made with cash collateral received from securities on loan.

---

| | | |
|:---|:---|:---|
| Additional information on each restricted holding is as follows: | Additional information on each restricted holding is as follows: | Additional information on each restricted holding is as follows: |
| Security | Acquisition Date | Acquisition Cost ($)<br>|
| Expand Energy Corp | 2/10/2021 | 5862 |

---

---

| | |
|:---|:---|
| Additional information on each lock-up restriction is as follows: | Additional information on each lock-up restriction is as follows: |
| Security | Restriction Expiration Date |
| JP Intermediate B LLC | 9/30/2027 |

---

**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 | 1095762170 | 7210155590 | 6469938407 | 32507407 | (16115) | (1) | 1835963237 | 1835596118 | 2.9% |
| Fidelity Securities Lending Cash Central Fund | 79828500 | 3603972779 | 3617309888 | 369317 | (8681) | - | 66482710 | 66476063 | 0.2% |
| Total | 1175590670 | 10814128369 | 10087248295 | 32876724 | (24796) | (1) | 1902445947 |  |  |

---

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

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 3521398433 | - | 3521398433 | - |
|  **Bank Loan Obligations** |  |  |  |  |
| Communication Services | 140968993 | - | 140464194 | 504799 |
| Consumer Discretionary | 400337406 | - | 400113112 | 224294 |
| Consumer Staples | 62426185 | - | 53938525 | 8487660 |
| Energy | 64988799 | - | 64456251 | 532548 |
| Financials | 224275002 | - | 220725728 | 3549274 |
| Health Care | 183851548 | - | 182799672 | 1051876 |
| Industrials | 370932074 | - | 360869438 | 10062636 |
| Information Technology | 342736538 | - | 337324914 | 5411624 |
| Materials | 200381400 | - | 198709605 | 1671795 |
| Real Estate | 2372576 | - | 2372576 | - |
| Utilities | 48993769 | - | 48993769 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 27739176 | - | 27739176 | - |
|  **Collateralized Mortgage Obligations** | 902456498 | - | 902456483 | 15 |
|  **Commercial Mortgage Securities** | 2245978217 | - | 2223572986 | 22405231 |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 7942632 | - | - | 7942632 |
| Consumer Discretionary | 1082228 | - | - | 1082228 |
| Consumer Staples | 57356 | - | - | 57356 |
| Energy | 40434296 | 16991373 | - | 23442923 |
| Financials | 4176723 | - | - | 4176723 |
| Health Care | 2174029 | - | - | 2174029 |
| Industrials | 2708162 | 831492 | 1876670 | - |
| Information Technology | 3158676 | - | - | 3158676 |
| Materials | 3 | - | - | 3 |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 15905438 | - | 15905438 | - |
| Energy | 4758603 | - | 4758603 | - |
| Financials | 8705780 | - | 8705780 | - |
| Information Technology | 16616887 | - | 16616887 | - |
| Utilities | 3547347 | - | 3547347 | - |
|  **Convertible Preferred Stocks** |  |  |  |  |
| Consumer Discretionary | 3193967 | - | 3193967 | - |
| Financials | 6638980 | 2212691 | - | 4426289 |
| Information Technology | 3863263 | - | 3863263 | - |
| Real Estate | 524343 | - | 524343 | - |
|  **Foreign Government and Government Agency Obligations** | 552555170 | - | 552555170 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 795297732 | - | 795297732 | - |
| Consumer Discretionary | 325115546 | - | 325115546 | - |
| Consumer Staples | 292790437 | - | 292790437 | - |
| Energy | 1269816180 | - | 1269816180 | - |
| Financials | 3599057488 | - | 3599057488 | - |
| Health Care | 468529776 | - | 468529776 | - |
| Industrials | 509892210 | - | 509892210 | - |
| Information Technology | 494483141 | - | 494483141 | - |
| Materials | 356589102 | - | 356366855 | 222247 |
| Real Estate | 809234562 | - | 808761922 | 472640 |
| Utilities | 468677365 | - | 468663675 | 13690 |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Financials | 2253875 | 2253875 | - | - |
| Information Technology | 3500000 | 3500000 | - | - |
| Real Estate | 946420 | 946420 | - | - |
|  **Preferred Securities** |  |  |  |  |
| Communication Services | 2034488 | - | 2034488 | - |
| Consumer Discretionary | 5433871 | - | 5433871 | - |
| Consumer Staples | 2320612 | - | 2320612 | - |
| Energy | 17518987 | - | 17518199 | 788 |
| Financials | 36591639 | - | 31596658 | 4994981 |
| Industrials | 12565506 | - | 12565506 | - |
| Information Technology | 649221 | - | 649221 | - |
| Materials | 7443767 | - | 7443767 | - |
| Real Estate | 18553267 | - | 18553267 | - |
| Utilities | 4586889 | - | 4586889 | - |
|  **U.S. Government Agency - Mortgage Securities** | 8510043397 | - | 8510043397 | - |
|  **U.S. Treasury Obligations** | 18526582827 | - | 18526582827 | - |
|  **Money Market Funds** | 1902445947 | 1902445947 | - | - |
|  **Purchased Swaptions** | 10833921 | - | 10833921 | - |
| **Total Investments in Securities:** | 47871668670 | 1929181798 | 45836419915 | 106066957 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 23074505 | 23074505 | - | - |
| Forward Foreign Currency Contracts | 8085785 | - | 8085785 | - |
| Swaps | 5288732 | - | 5288732 | - |
| Total Assets | 36449022 | 23074505 | 13374517 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (565001) | (565001) | - | - |
| Forward Foreign Currency Contracts | (116740) | - | (116740) | - |
| Swaps | (9471025) | - | (9471025) | - |
| Total Liabilities | (10152766) | (565001) | (9587765) | - |
| **Total Derivative Instruments:** | 26296256 | 22509504 | 3786752 | - |
| **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (2343518924) | - | (2343518924) | - |
| **Total Other Financial Instruments:** | (2343518924) | - | (2343518924) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)(b)  | 4467653 | (2902086) |
| **Total Credit Risk**  | 4467653 | (2902086) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (c)  | 8085785 | (116740) |
| **Total Foreign Exchange Risk**  | 8085785 | (116740) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (d)  | 23074505 | (565001) |
| Purchased Swaptions (e)  | 10833921 | - |
| Swaps (a)  | 821079 | (6568939) |
| **Total Interest Rate Risk**  | 34729505 | (7133940) |
| **Total Value of Derivatives** | 47282943 | (10152766) |

---

(a)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).

(b)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).

(c)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

(d)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).

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

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $63,994,814) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $46,218,328,045) | $45969222723 |  |
| Fidelity Central Funds (cost $1,902,389,992) | 1902445947 |  |
| Total Investment in Securities (cost $48,120,718,037) |  | $47871668670 |
| Segregated cash with brokers for derivative instruments |  | 592269 |
| Cash |  | 82957 |
| Foreign currency held at value (cost $3,105,464) |  | 3104754 |
| Receivable for investments sold |  | 52322087 |
| Receivable for TBA sale commitments |  | 2335264730 |
| Unrealized appreciation on forward foreign currency contracts |  | 8085785 |
| Receivable for swaps |  | 231750 |
| Receivable for fund shares sold |  | 104684870 |
| Dividends receivable |  | 56240 |
| Interest receivable |  | 349655861 |
| Distributions receivable from Fidelity Central Funds |  | 4727661 |
| Receivable for daily variation margin on futures contracts |  | 10879620 |
| Receivable for daily variation margin on centrally cleared swaps |  | 11603 |
| Bi-lateral OTC swaps, at value |  | 4461897 |
| Receivable from investment adviser for expense reductions |  | 696796 |
| Other receivables |  | 532893 |
| **Total assets** |  | 50747060443 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $336427661 |  |
| Delayed delivery | 4296220897 |  |
| TBA sale commitments, at value | 2343518924 |  |
| Unrealized depreciation on forward foreign currency contracts | 116740 |  |
| Payable for fund shares redeemed | 102053509 |  |
| Distributions payable | 16732429 |  |
| Bi-lateral OTC swaps, at value | 2902086 |  |
| Accrued management fee | 10094032 |  |
| Distribution and service plan fees payable | 401371 |  |
| Payable for daily variation margin on centrally cleared swaps | 2683555 |  |
| Other affiliated payables | 6026274 |  |
| Other payables and accrued expenses | 557966 |  |
| Collateral on securities loaned | 66482993 |  |
| **Total liabilities** |  | 7184218437 |
| **Net Assets**  |  | $43562842006 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $46278515431 |
| Total accumulated earnings (loss) |  | (2715673425) |
| **Net Assets** |  | $43562842006 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($1,136,873,781 ÷ 116,019,472 shares)(a) |  | $9.80 |
| Maximum offering price per share (100/96.00 of $9.80) |  | $10.21 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($298,900,074 ÷ 30,558,978 shares)(a) |  | $9.78 |
| Maximum offering price per share (100/96.00 of $9.78) |  | $10.19 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($127,593,531 ÷ 13,017,194 shares)(a) |  | $9.80 |
| **Total Bond :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($17,426,829,249 ÷ 1,779,243,365 shares) |  | $9.79 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($12,158,106,996 ÷ 1,243,281,120 shares) |  | $9.78 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($12,414,538,375 ÷ 1,269,423,842 shares) |  | $9.78 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $3828794 |
| Interest  |  | 963903196 |
| Income from Fidelity Central Funds (including $369,317 from security lending)  |  | 32876724 |
| **Total income** |  | 1000608714 |
| **Expenses** |  |  |
| Management fee | $59065667 |  |
| Transfer agent fees | 21185603 |  |
| Distribution and service plan fees | 2405261 |  |
| Fund wide operations fee | 14198809 |  |
| Independent trustees' fees and expenses | 43976 |  |
| Legal | 79105 |  |
| Total expenses before reductions | 96978421 |  |
| Expense reductions | (2658795) |  |
| Total expenses after reductions |  | 94319626 |
| **Net Investment income (loss)** |  | 906289088 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (140853042) |  |
| Fidelity Central Funds | (24796) |  |
| Forward foreign currency contracts | (965708) |  |
| Foreign currency transactions | (431008) |  |
| Futures contracts | 20185596 |  |
| Swaps | (9986322) |  |
| Total net realized gain (loss) |  | (132075280) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 841319969 |  |
| Fidelity Central Funds  | (1) |  |
| Forward foreign currency contracts | 1917890 |  |
| Assets and liabilities in foreign currencies | (200567) |  |
| Futures contracts | 5509909 |  |
| Swaps | 8712972 |  |
| TBA sale commitments | 10473109 |  |
| Total change in net unrealized appreciation (depreciation) |  | 867733281 |
| **Net gain (loss)** |  | 735658001 |
| **Net increase (decrease) in net assets resulting from operations** |  | $1641947089 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $906289088 | $1784699189 |
| &nbsp;&nbsp;Net realized gain (loss) | (132075280)<br>| (590838434)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 867733281 | 253028341<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 1641947089<br>| 1446889096<br>|
| Distributions to shareholders | (908610785)<br>| (1748231555)<br>|
| Share transactions - net increase (decrease) | 2579374388<br>| 998211238<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 3312710692<br>| 696868779<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 40250131314 | 39553262535<br>|
| &nbsp;&nbsp;End of period | $43562842006 | $40250131314 |

---

**Financial Highlights** 

**Fidelity Advisor® Total Bond Fund Class A**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.63 | $9.69 | $9.34 | $9.70 | $11.23 | $11.52 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .196  | .406  | .404  | .367  | .237  | .224  |
| Net realized and unrealized gain (loss)  | .170  | (.068)  | .331  | (.364)  | (1.524)  | .006  |
| Total from investment operations  | .366  | .338  | .735  | .003  | (1.287)  | .230  |
| Distributions from net investment income  | (.196)  | (.398)  | (.385)  | (.363)  | (.238)  | (.214)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005)  | (.306)  |
| Total distributions  | (.196)  | (.398)  | (.385)  | (.363)  | (.243)  | (.520)  |
| Net asset value, end of period  | $9.80 | $9.63 | $9.69 | $9.34 | $9.70 | $11.23 |
| **Total Return** C,D,E | 3.84% <br>| 3.60%  | 8.09%  | .07%  | (11.59)%  | 2.09%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .75% H | .75%  | .75%  | .75%  | .75%  | .75%  |
| Expenses net of fee waivers, if any  | .75% H<br>| .75%  | .75%  | .75%  | .75%  | .75%  |
| Expenses net of all reductions, if any  | .75% H | .75%  | .75%  | .75%  | .75%  | .75%  |
| Net investment income (loss)  | 4.07% H | 4.26%  | 4.31%  | 3.90%  | 2.25%  | 2.01%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $1136874 | $1062201 | $990347 | $835581 | $729405 | $900239 |
| Portfolio turnover rate I | 172% H<br>| 211%  | 206%  | 177%  | 129%  | 195%  |

---

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

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

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

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

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

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

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

H*Annualized.*

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

**Fidelity Advisor® Total Bond Fund Class M**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.61 | $9.67 | $9.32 | $9.68 | $11.21 | $11.50 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .196  | .406  | .403  | .367  | .237  | .224  |
| Net realized and unrealized gain (loss)  | .170  | (.069)  | .331  | (.365)  | (1.525)  | .006  |
| Total from investment operations  | .366  | .337  | .734  | .002  | (1.288)  | .230  |
| Distributions from net investment income  | (.196)  | (.397)  | (.384)  | (.362)  | (.237)  | (.214)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005)  | (.306)  |
| Total distributions  | (.196)  | (.397)  | (.384)  | (.362)  | (.242)  | (.520)  |
| Net asset value, end of period  | $9.78 | $9.61 | $9.67 | $9.32 | $9.68 | $11.21 |
| **Total Return** C,D,E | 3.85% <br>| 3.60%  | 8.10%  | .06%  | (11.62)%  | 2.09%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .75% H | .75%  | .75%  | .75%  | .75%  | .75%  |
| Expenses net of fee waivers, if any  | .75% H<br>| .75%  | .75%  | .75%  | .75%  | .75%  |
| Expenses net of all reductions, if any  | .75% H | .74%  | .75%  | .75%  | .75%  | .75%  |
| Net investment income (loss)  | 4.07% H | 4.26%  | 4.31%  | 3.90%  | 2.25%  | 2.01%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $298900 | $303476 | $306534 | $291127 | $301768 | $373315 |
| Portfolio turnover rate I | 172% H<br>| 211%  | 206%  | 177%  | 129%  | 195%  |

---

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

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

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

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

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

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

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

H*Annualized.*

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

**Fidelity Advisor® Total Bond Fund Class C**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.63 | $9.69 | $9.34 | $9.70 | $11.24 | $11.53 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .159  | .334  | .332  | .295  | .157  | .139  |
| Net realized and unrealized gain (loss)  | .170  | (.069)  | .331  | (.364)  | (1.535)  | .006  |
| Total from investment operations  | .329  | .265  | .663  | (.069)  | (1.378)  | .145  |
| Distributions from net investment income  | (.159)  | (.325)  | (.313)  | (.291)  | (.157)  | (.129)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005)  | (.306)  |
| Total distributions  | (.159)  | (.325)  | (.313)  | (.291)  | (.162)  | (.435)  |
| Net asset value, end of period  | $9.80 | $9.63 | $9.69 | $9.34 | $9.70 | $11.24 |
| **Total Return** C,D,E | 3.45% <br>| 2.81%  | 7.27%  | (.70)%  | (12.35)%  | 1.31%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | 1.52% H | 1.51%  | 1.51%  | 1.52%  | 1.52%  | 1.51%  |
| Expenses net of fee waivers, if any  | 1.52% H<br>| 1.51%  | 1.51%  | 1.52%  | 1.52%  | 1.51%  |
| Expenses net of all reductions, if any  | 1.52% H | 1.51%  | 1.51%  | 1.52%  | 1.52%  | 1.51%  |
| Net investment income (loss)  | 3.30% H | 3.50%  | 3.55%  | 3.13%  | 1.49%  | 1.24%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $127594 | $131797 | $133012 | $109821 | $112311 | $171689 |
| Portfolio turnover rate I | 172% H<br>| 211%  | 206%  | 177%  | 129%  | 195%  |

---

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

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

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

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

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

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

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

H*Annualized.*

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

**Fidelity® Total Bond Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.62 | $9.69 | $9.33 | $9.69 | $11.23 | $11.52 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .210  | .434  | .432  | .396  | .267  | .258  |
| Net realized and unrealized gain (loss)  | .171  | (.078)  | .341  | (.365)  | (1.533)  | .005  |
| Total from investment operations  | .381  | .356  | .773  | .031  | (1.266)  | .263  |
| Distributions from net investment income  | (.211)  | (.426)  | (.413)  | (.391)  | (.269)  | (.247)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005)  | (.306)  |
| Total distributions  | (.211)  | (.426)  | (.413)  | (.391)  | (.274)  | (.553)  |
| Net asset value, end of period  | $9.79 | $9.62 | $9.69 | $9.33 | $9.69 | $11.23 |
| **Total Return** C,D | 4.00% <br>| 3.80%  | 8.52%  | .36%  | (11.42)%  | 2.39%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .45% G | .45%  | .45%  | .45%  | .45%  | .45%  |
| Expenses net of fee waivers, if any  | .45% G<br>| .45%  | .45%  | .45%  | .45%  | .45%  |
| Expenses net of all reductions, if any  | .45% G | .45%  | .45%  | .45%  | .45%  | .45%  |
| Net investment income (loss)  | 4.36% G | 4.56%  | 4.61%  | 4.20%  | 2.55%  | 2.30%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $17426829 | $16060297 | $15368725 | $14131225 | $14816563 | $16260424 |
| Portfolio turnover rate H | 172% G<br>| 211%  | 206%  | 177%  | 129%  | 195%  |

---

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

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

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

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

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

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

G*Annualized.*

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

**Fidelity Advisor® Total Bond Fund Class I**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.61 | $9.67 | $9.32 | $9.68 | $11.21 | $11.50 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .207  | .429  | .426  | .390  | .262  | .252  |
| Net realized and unrealized gain (loss)  | .171  | (.069)  | .331  | (.364)  | (1.524)  | .006  |
| Total from investment operations  | .378  | .360  | .757  | .026  | (1.262)  | .258  |
| Distributions from net investment income  | (.208)  | (.420)  | (.407)  | (.386)  | (.263)  | (.242)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005)  | (.306)  |
| Total distributions  | (.208)  | (.420)  | (.407)  | (.386)  | (.268)  | (.548)  |
| Net asset value, end of period  | $9.78 | $9.61 | $9.67 | $9.32 | $9.68 | $11.21 |
| **Total Return** C,D | 3.97% <br>| 3.85%  | 8.36%  | .31%  | (11.40)%  | 2.34%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .50% G | .50%  | .50%  | .50%  | .50%  | .50%  |
| Expenses net of fee waivers, if any  | .50% G<br>| .50%  | .50%  | .50%  | .50%  | .50%  |
| Expenses net of all reductions, if any  | .50% G | .50%  | .50%  | .50%  | .50%  | .50%  |
| Net investment income (loss)  | 4.32% G | 4.51%  | 4.56%  | 4.15%  | 2.50%  | 2.25%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $12158107 | $11181446 | $12786952 | $9287826 | $7251751 | $8422197 |
| Portfolio turnover rate H | 172% G<br>| 211%  | 206%  | 177%  | 129%  | 195%  |

---

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

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

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

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

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

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

G*Annualized.*

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

**Fidelity Advisor® Total Bond Fund Class Z**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.61 | $9.67 | $9.32 | $9.68 | $11.21 | $11.50 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .214  | .442  | .439  | .403  | .278  | .267  |
| Net realized and unrealized gain (loss)  | .171  | (.068)  | .331  | (.364)  | (1.525)  | .006  |
| Total from investment operations  | .385  | .374  | .770  | .039  | (1.247)  | .273  |
| Distributions from net investment income  | (.215)  | (.434)  | (.420)  | (.399)  | (.278)  | (.257)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005)  | (.306)  |
| Total distributions  | (.215)  | (.434)  | (.420)  | (.399)  | (.283)  | (.563)  |
| Net asset value, end of period  | $9.78 | $9.61 | $9.67 | $9.32 | $9.68 | $11.21 |
| **Total Return** C,D | 4.05% <br>| 3.99%  | 8.51%  | .45%  | (11.27)%  | 2.48%  |
| **Ratios to Average Net Assets** A,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .40% G | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of fee waivers, if any  | .36% G<br>| .36%  | .36%  | .36%  | .36%  | .36%  |
| Expenses net of all reductions, if any  | .36% G | .36%  | .36%  | .36%  | .36%  | .36%  |
| Net investment income (loss)  | 4.46% G | 4.65%  | 4.70%  | 4.29%  | 2.64%  | 2.39%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $12414538 | $11510914 | $9967692 | $7191067 | $6379250 | $8023946 |
| Portfolio turnover rate H | 172% G<br>| 211%  | 206%  | 177%  | 129%  | 195%  |

---

A*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.*

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

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

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

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

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

G*Annualized.*

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

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

For the period ended February 28, 2026

**1. Organization.**

Fidelity Total Bond Fund (the Fund) is a fund of Fidelity Income Fund (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, Total Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

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

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

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

---

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

---

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

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

**3. Significant Accounting Policies.**

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

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

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, preferred securities and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in interest. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in interest receivable.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

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

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

Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, partnerships, certain conversion ratio adjustments, passive foreign investment companies (PFIC), defaulted bonds, market discount, capital loss carryforwards and losses deferred due to wash sales and futures contracts.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $1010232692 |
| **Gross unrealized depreciation** | <u>(1113416263)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$(103183571)</u> |
| **Tax cost** | <u>$47991608767</u> |

---

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

---

| | |
|:---|:---|
| Short-term | $(866892757) |
| Long-term | <u>(1537352641)</u> |
| **Total capital loss carryforward** | <u>$(2404245398)</u> |

---

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

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

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

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. A fund realizes a gain or loss on settlement, either through the acquisition of an offsetting TBA purchase commitment on or before the sale commitment date, or by delivery of the securities under the commitment.

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

**Loans and Other Direct Debt Instruments.** Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts, options and swaps. 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, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

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

---

| | |
|:---|:---|
| 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>|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

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

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

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

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Total Bond Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | <u>(2988086)</u> | <u>1963241</u> |
| **Total Credit Risk** | <u>(2988086)</u> | <u>1963241</u> |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | <u>(965708)</u> | <u>1917890</u> |
| **Total Foreign Exchange Risk** | <u>(965708)</u> | <u>1917890</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | 20185596 | 5509909 |
| Purchased Options | (4842110) | 1203710 |
| Swaps | <u>(6998236)</u> | <u>6749731</u> |
| **Total Interest Rate Risk** | <u>8345250</u> | <u>13463350</u> |
| Totals | <u>4391456</u> | <u>17344481</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period.

**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 Total Bond Fund** | 4525604068 |

---

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.

**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 Total Bond Fund** | 19447470256 | 20357863910 |

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**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .282% of the Fund's average net assets.

**Distribution and Service Plan Fees.** In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A** | - % | .25% | 1378891 | 85660 |
| **Class M** | - % | .25% | 379454 | - |
| **Class C** | .75% | .25% | <u>646916</u> | <u>104338</u> |
|  |  |  | <u>2405261</u> | <u>189998</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:

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| | |
|:---|:---|
|  | **Retained by FDC ($)** |
| **Class A** | 69753 |
| **Class M** | 3291 |
| **Class C** A | <u>199</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp; <u>73243</u> |

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*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 Total Bond and Class Z. FIIOC receives an asset-based fee of Total Bond'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:

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| | | |
|:---|:---|:---|
|  | **Amount ($)** | **% of Class-Level Average Net AssetsA** |
| **Class A** | 802631 | .15 |
| **Class M** | 216577 | .14 |
| **Class C** | 102783 | .16 |
| **Total Bond** | 8380800 | .10 |
| **Class I** | 8710357 | .15 |
| **Class Z** | <u>2972455</u> | .05 |
|  | <u>21185603</u> |  |

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*A Annualized*

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

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| | |
|:---|:---|
| **Fidelity Total Bond Fund** | .07% |

---

**Deferred Trustee Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

---

| | |
|:---|:---|
| **Fidelity Total Bond Fund** | $532893 |

---

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

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| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Total Bond Fund** | 184 |

---

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

**7. Committed Line of Credit.**

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

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

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

The line of credit agreement will expire in March 2027 unless extended or renewed.

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

**8. Security Lending.** 

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Total Bond Fund** | 40201 | - | - |

---

**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, 2027. 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% | <u>2561405</u> |

---

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $97,390.

**10. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Six months ended** <br> **February 28, 2026** | **Year ended**<br> **August 31, 2025** |
| **Fidelity Total Bond Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $22299438 | $42492535 |
| Class M | 6147358 | 12603210 |
| Class C | 2122520 | 4638108 |
| Total Bond | 363569435 | 696708119 |
| Class I | 251014970 | 501173971 |
| Class Z | <u>263457064</u> | <u>490615612</u> |
| Total  | <u>$908610785</u> | <u>$1748231555</u> |

---

**11. Share Transactions.**

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** |
| **Fidelity Total Bond Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 15293353 | 28466608 | $148575950 | $271862705 |
| Reinvestment of distributions  | 2262298 | 4375516 | 21982418 | 41809041 |
| Shares redeemed | <u>(11854762)</u> | <u>(24721122)</u> | <u>(115107190)</u> | <u>(235616565)</u> |
| Net increase (decrease) | <u>5700889</u> | <u>8121002</u> | <u>$55451178</u> | <u>$78055181</u> |
| **Class M** |  |  |  |  |
| Shares sold | 3464162 | 8453504 | $33587897 | $80557591 |
| Reinvestment of distributions  | 629268 | 1313719 | 6103040 | 12530788 |
| Shares redeemed | <u>(5110646)</u> | <u>(9881233)</u> | <u>(49539877)</u> | <u>(94031112)</u> |
| Net increase (decrease) | <u>(1017216)</u> | <u>(114010)</u> | <u>$(9848940)</u> | <u>$(942733)</u> |
| **Class C** |  |  |  |  |
| Shares sold | 1298650 | 4109158 | $12620559 | $39444312 |
| Reinvestment of distributions  | 217491 | 482236 | 2113607 | 4608710 |
| Shares redeemed | <u>(2183076)</u> | <u>(4629278)</u> | <u>(21205422)</u> | <u>(44109558)</u> |
| Net increase (decrease) | <u>(666935)</u> | <u>(37884)</u> | <u>$(6471256)</u> | <u>$(56536)</u> |
| **Total Bond** |  |  |  |  |
| Shares sold | 259608066 | 459327167 | $2519445364 | $4386983452 |
| Reinvestment of distributions  | 33285415 | 64740945 | 323227899 | 618319285 |
| Shares redeemed | <u>(182408500)</u> | <u>(441983990)</u> | <u>(1770748377)</u> | <u>(4207169979)</u> |
| Net increase (decrease) | <u>110484981</u> | <u>82084122</u> | <u>$1071924886</u> | <u>$798132758</u> |
| **Class I** |  |  |  |  |
| Shares sold | 224820901 | 506637025 | $2181380925 | $4845011551 |
| Reinvestment of distributions  | 25063188 | 51279176 | 243040438 | 489213734 |
| Shares redeemed | <u>(170256116)</u> | <u>(716488776)</u> | <u>(1650515176)</u> | <u>(6809751845)</u> |
| Net increase (decrease) | <u>79627973</u> | <u>(158572575)</u> | <u>$773906187</u> | <u>$(1475526560)</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 199676364 | 400999494 | $1935377722 | $3819801987 |
| Reinvestment of distributions  | 20603412 | 39214606 | 199796470 | 374034013 |
| Shares redeemed | <u>(148722130)</u> | <u>(272987160)</u> | <u>(1440761859)</u> | <u>(2595286872)</u> |
| Net increase (decrease) | <u>71557646</u> | <u>167226940</u> | <u>$694412333</u> | <u>$1598549128</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.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

**Fidelity Total Bond Fund**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The Board also considered that the total expenses for Class C of the fund ranked in the 3rd quartile of the total peer group. The Board noted that Class C has a 1.00% 12b-1 fee, while Lipper's level load definition is broad and includes both traditionally priced (1.00%) 12b-1 fee classes and funds without sales loads that have relatively lower distribution and service fees. The Board considered that, when excluding 12b-1 fees, the fund was below median.

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

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

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

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

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

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

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

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

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

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

![](img126658_4.jpg)<br>

1.783111.123 TBD-SANN-0426

**Fidelity® Series Government Bond Index Fund**

**Semi-Annual Report**

**February 28, 2026**

![](img126667_1.jpg)

![](img126667_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_XGB-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Series Government Bond Index Fund](#Sub_Sec_Fund_3221_XGB-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements3221_XGB-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_XGB-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_XGB-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_XGB-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_XGB-SANN)** |

---

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

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Series Government Bond Index Fund**

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

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 1.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.1%  |  |  |
| Financials - 0.9% |  |  |
| Financial Services - 0.9% |  |  |
| Fannie Mae 0.875% 12/18/2026  | 1200000 | 1173098 |
| Fannie Mae 0.875% 8/5/2030  | 1057000 | 946212 |
| Fannie Mae 1.875% 9/24/2026  | 674000 | 667277 |
| Fannie Mae 2.125% 4/24/2026  | 221000 | 220469 |
| Fannie Mae 5.625% 7/15/2037  | 163000 | 182889 |
| Fannie Mae 6.25% 5/15/2029  | 71000 | 77057 |
| Fannie Mae 7.125% 1/15/2030  | 6000 | 6788 |
| Fannie Mae 7.25% 5/15/2030  | 866000 | 992683 |
| Federal Farm Credit Banks Funding Corp 0.72% 10/27/2026  | 500000 | 490570 |
| Federal Farm Credit Banks Funding Corp 1% 10/7/2026  | 1000000 | 983074 |
| Federal Farm Credit Banks Funding Corp 1.3% 3/30/2027  | 130000 | 126897 |
| Federal Farm Credit Banks Funding Corp 3% 8/3/2026  | 1560000 | 1555119 |
| Federal Home Loan Bank 1% 3/23/2026  | 994500 | 992590 |
| Federal Home Loan Bank 1.25% 10/26/2026  | 1060000 | 1043566 |
| Federal Home Loan Bank 3.5% 10/4/2027  | 3500000 | 3502420 |
| Federal Home Loan Bank 4.375% 9/8/2028  | 100000 | 102283 |
| Federal Home Loan Bank 5.5% 7/15/2036  | 100000 | 111913 |
| Freddie Mac Non Gold Pool 6.25% 7/15/2032  | 585000 | 668166 |
| Freddie Mac Non Gold Pool 6.75% 3/15/2031  | 173000 | 198422 |
| Freddie Mac Non Gold Pool 6.75% 9/15/2029  | 185000 | 205426 |
| TOTAL FINANCIALS |  | 14246919 |
| Utilities - 0.2% |  |  |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |
| Tennessee Valley Authority 4.625% 9/15/2060  | 2440000 | 2265835 |
| Tennessee Valley Authority 4.875% 1/15/2048  | 630000 | 631210 |
| TOTAL UTILITIES |  | 2897045 |
| TOTAL UNITED STATES |  | 17143964 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $17,615,704) |  | <br> **17143964** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 98.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 98.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 98.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 98.0%** |
|  | Yield (%) (b) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.125% 5/15/2040  | 4.35 | 1361000 | 893369 |
| US Treasury Bonds 1.125% 8/15/2040  | 1.40 to 4.33 | 954000 | 620063 |
| US Treasury Bonds 1.375% 11/15/2040  | 1.36 to 1.79 | 12447000 | 8357480 |
| US Treasury Bonds 1.375% 8/15/2050  | 2.42 to 5.03 | 3995000 | 2056489 |
| US Treasury Bonds 1.625% 11/15/2050  | 1.57 to 5.07 | 10384000 | 5697814 |
| US Treasury Bonds 1.75% 8/15/2041  | 1.91 to 4.48 | 5538000 | 3866216 |
| US Treasury Bonds 1.875% 11/15/2051  | 1.80 to 4.78 | 14569000 | 8409614 |
| US Treasury Bonds 1.875% 2/15/2041  | 2.18 to 2.23 | 2156000 | 1556447 |
| US Treasury Bonds 1.875% 2/15/2051  | 2.41 to 4.23 | 2383000 | 1390704 |
| US Treasury Bonds 2% 11/15/2041  | 1.86 to 4.21 | 5551000 | 4005393 |
| US Treasury Bonds 2% 2/15/2050  | 1.26 to 5.05 | 7683000 | 4698635 |
| US Treasury Bonds 2% 8/15/2051  | 1.93 to 4.60 | 12301000 | 7355614 |
| US Treasury Bonds 2.25% 2/15/2052  | 2.17 to 4.01 | 8250000 | 5219092 |
| US Treasury Bonds 2.25% 5/15/2041  | 1.91 to 2.21 | 3180000 | 2415806 |
| US Treasury Bonds 2.25% 8/15/2046  | 2.31 to 4.65 | 1700000 | 1162973 |
| US Treasury Bonds 2.25% 8/15/2049  | 2.21 to 3.80 | 2544000 | 1660059 |
| US Treasury Bonds 2.375% 11/15/2049  | 2.29 to 4.63 | 7159000 | 4786183 |
| US Treasury Bonds 2.375% 2/15/2042  | 3.60 to 4.16 | 9280000 | 7054098 |
| US Treasury Bonds 2.375% 5/15/2051  | 2.07 to 4.37 | 4459000 | 2927264 |
| US Treasury Bonds 2.5% 2/15/2045  | 2.17 to 5.24 | 930000 | 682605 |
| US Treasury Bonds 2.5% 2/15/2046  | 3.87 | 2660000 | 1922473 |
| US Treasury Bonds 2.75% 11/15/2042  | 2.29 | 370000 | 293630 |
| US Treasury Bonds 2.75% 11/15/2047  | 3.83 | 450000 | 332701 |
| US Treasury Bonds 2.75% 8/15/2042  | 1.96 to 3.49 | 3058000 | 2439352 |
| US Treasury Bonds 2.75% 8/15/2047  | 1.17 to 4.40 | 9501000 | 7045214 |
| US Treasury Bonds 2.875% 11/15/2046  | 1.93 to 4.86 | 3491000 | 2675115 |
| US Treasury Bonds 2.875% 5/15/2043  | 1.94 to 4.08 | 2349000 | 1883696 |
| US Treasury Bonds 2.875% 5/15/2049  | 1.81 to 2.20 | 475000 | 353782 |
| US Treasury Bonds 2.875% 5/15/2052  | 4.55 to 4.93 | 3220000 | 2339783 |
| US Treasury Bonds 2.875% 8/15/2045  | 3.02 | 66000 | 51307 |
| US Treasury Bonds 3% 11/15/2044  | 3.00 to 4.76 | 2825000 | 2261876 |
| US Treasury Bonds 3% 11/15/2045  | 2.51 to 3.95 | 3672000 | 2907048 |
| US Treasury Bonds 3% 2/15/2047  | 1.90 to 3.06 | 5615000 | 4383429 |
| US Treasury Bonds 3% 2/15/2048  | 2.55 to 3.79 | 1326000 | 1023765 |
| US Treasury Bonds 3% 5/15/2042  | 2.11 to 4.92 | 3938000 | 3271001 |
| US Treasury Bonds 3% 5/15/2045  | 1.21 | 303000 | 241311 |
| US Treasury Bonds 3% 5/15/2047  | 3.01 | 8000 | 6226 |
| US Treasury Bonds 3% 8/15/2048  | 1.22 to 3.39 | 519000 | 398657 |
| US Treasury Bonds 3% 8/15/2052  | 3.68 to 4.16 | 8700000 | 6480820 |
| US Treasury Bonds 3.125% 11/15/2041  | 4.20 | 500000 | 426152 |
| US Treasury Bonds 3.125% 2/15/2042  | 4.67 | 70000 | 59399 |
| US Treasury Bonds 3.125% 2/15/2043  | 3.01 to 4.93 | 877000 | 732501 |
| US Treasury Bonds 3.125% 5/15/2048  | 1.51 to 3.03 | 4581000 | 3608611 |
| US Treasury Bonds 3.125% 8/15/2044  | 2.82 to 4.93 | 2393000 | 1960110 |
| US Treasury Bonds 3.25% 5/15/2042  | 3.99 to 4.58 | 3260000 | 2802581 |
| US Treasury Bonds 3.375% 11/15/2048  | 3.17 to 4.76 | 2120000 | 1738234 |
| US Treasury Bonds 3.375% 5/15/2044  | 2.09 to 4.68 | 5539000 | 4726325 |
| US Treasury Bonds 3.375% 8/15/2042  | 3.70 to 4.41 | 3690000 | 3215201 |
| US Treasury Bonds 3.625% 2/15/2044  | 2.18 to 4.55 | 2000000 | 1773047 |
| US Treasury Bonds 3.625% 2/15/2053  | 4.05 to 4.42 | 7450000 | 6253926 |
| US Treasury Bonds 3.625% 5/15/2053  | 4.61 to 4.71 | 1510000 | 1266807 |
| US Treasury Bonds 3.625% 8/15/2043  | 2.68 to 4.23 | 2541000 | 2263475 |
| US Treasury Bonds 3.75% 11/15/2043  | 2.85 to 4.88 | 7025000 | 6349667 |
| US Treasury Bonds 3.75% 8/15/2041  | 1.23 to 2.92 | 275000 | 255105 |
| US Treasury Bonds 3.875% 2/15/2043  | 4.32 to 4.77 | 1210000 | 1121046 |
| US Treasury Bonds 3.875% 5/15/2043  | 4.12 to 4.53 | 20780000 | 19210493 |
| US Treasury Bonds 3.875% 8/15/2040  | 2.76 to 3.64 | 2366000 | 2251304 |
| US Treasury Bonds 4% 11/15/2042  | 4.31 to 4.71 | 3140000 | 2961903 |
| US Treasury Bonds 4% 11/15/2052  | 3.65 to 5.01 | 11300000 | 10152344 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.68 | 960000 | 909150 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.79 to 5.07 | 4540000 | 4164918 |
| US Treasury Bonds 4.25% 11/15/2040  | 2.90 | 92000 | 91120 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.37 to 4.95 | 11990000 | 11231726 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.12 to 4.48 | 4070000 | 3813399 |
| US Treasury Bonds 4.375% 11/15/2039  | 1.85 | 523000 | 528965 |
| US Treasury Bonds 4.375% 2/15/2038  | 4.20 to 4.65 | 1250000 | 1288428 |
| US Treasury Bonds 4.375% 5/15/2040  | 4.75 | 540000 | 544261 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.90 to 5.26 | 1540000 | 1514795 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.71 to 4.88 | 1350000 | 1318887 |
| US Treasury Bonds 4.5% 2/15/2036  | 0.91 to 4.55 | 2581000 | 2708739 |
| US Treasury Bonds 4.5% 2/15/2044  | 4.29 to 4.93 | 15170000 | 15122001 |
| US Treasury Bonds 4.5% 5/15/2038  | 3.83 to 4.36 | 2080000 | 2164338 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.85 to 4.86 | 4960000 | 5006694 |
| US Treasury Bonds 4.625% 11/15/2045  | 4.63 to 4.66 | 2060000 | 2073519 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.67 to 4.83 | 4480000 | 4472300 |
| US Treasury Bonds 4.625% 2/15/2040  | 2.25 to 3.63 | 1569000 | 1625386 |
| US Treasury Bonds 4.625% 2/15/2046  | 4.57 | 2100000 | 2114766 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.58 to 4.93 | 6520000 | 6502682 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.79 | 1140000 | 1152959 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.35 to 4.90 | 8310000 | 8283382 |
| US Treasury Bonds 4.75% 11/15/2043  | 4.63 | 570000 | 586699 |
| US Treasury Bonds 4.75% 11/15/2053  | 4.21 to 4.83 | 23010000 | 23382115 |
| US Treasury Bonds 4.75% 2/15/2041  | 2.97 to 4.63 | 2212000 | 2309812 |
| US Treasury Bonds 4.75% 2/15/2056  | 4.63 to 4.71 | 3160000 | 3220238 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.76 to 4.90 | 3010000 | 3063263 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.67 to 4.73 | 4650000 | 4735008 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.63 to 4.87 | 8620000 | 8966147 |
| US Treasury Bonds 5% 5/15/2037  | 1.50 to 4.43 | 2741000 | 2990688 |
| US Treasury Bonds 5% 5/15/2045  | 4.54 to 4.89 | 3540000 | 3742167 |
| US Treasury Bonds 5.25% 11/15/2028  | 2.67 to 3.66 | 2005000 | 2101412 |
| US Treasury Bonds 5.25% 2/15/2029  | 1.40 to 4.23 | 10944000 | 11537797 |
| US Treasury Bonds 5.375% 2/15/2031  | 3.70 | 1960000 | 2122313 |
| US Treasury Bonds 5.5% 8/15/2028  | 3.81 to 4.45 | 4147000 | 4352892 |
| US Treasury Bonds 6.25% 5/15/2030  | 3.44 to 3.70 | 6070000 | 6722288 |
| US Treasury Bonds 6.375% 8/15/2027  | 3.71 | 1460000 | 1520624 |
| US Treasury Bonds 6.5% 11/15/2026  | 3.61 | 980000 | 999141 |
| US Treasury Notes 0.375% 7/31/2027  | 0.74 to 4.39 | 23102000 | 22130092 |
| US Treasury Notes 0.375% 9/30/2027  | 0.62 to 1.16 | 1530000 | 1458998 |
| US Treasury Notes 0.5% 10/31/2027  | 1.42 to 1.46 | 5860000 | 5585770 |
| US Treasury Notes 0.5% 4/30/2027  | 0.55 to 4.81 | 8887000 | 8587758 |
| US Treasury Notes 0.5% 5/31/2027  | 1.27 to 3.75 | 5115000 | 4930580 |
| US Treasury Notes 0.5% 6/30/2027  | 0.49 to 3.88 | 4825000 | 4640670 |
| US Treasury Notes 0.5% 8/31/2027  | 0.49 to 4.24 | 4183000 | 4005713 |
| US Treasury Notes 0.625% 11/30/2027  | 1.35 to 4.30 | 6368000 | 6070495 |
| US Treasury Notes 0.625% 12/31/2027  | 0.64 to 0.76 | 2957000 | 2812500 |
| US Treasury Notes 0.625% 3/31/2027  | 0.51 to 3.59 | 7056000 | 6843218 |
| US Treasury Notes 0.625% 5/15/2030  | 0.65 to 3.53 | 3797000 | 3376660 |
| US Treasury Notes 0.625% 8/15/2030  | 1.15 to 4.06 | 11548000 | 10192463 |
| US Treasury Notes 0.75% 1/31/2028  | 4.33 | 2997000 | 2851482 |
| US Treasury Notes 0.875% 11/15/2030  | 3.87 to 4.32 | 11109000 | 9849257 |
| US Treasury Notes 1% 7/31/2028  | 2.37 to 3.68 | 1010000 | 954725 |
| US Treasury Notes 1.125% 2/15/2031  | 3.71 to 3.72 | 3390000 | 3025707 |
| US Treasury Notes 1.125% 2/29/2028  | 4.50 | 2710000 | 2592496 |
| US Treasury Notes 1.125% 8/31/2028  | 1.09 to 1.54 | 1748000 | 1654182 |
| US Treasury Notes 1.25% 3/31/2028  | 1.91 to 4.36 | 1660000 | 1589385 |
| US Treasury Notes 1.25% 4/30/2028  | 1.28 to 4.33 | 8813000 | 8423300 |
| US Treasury Notes 1.25% 5/31/2028  | 3.88 to 3.97 | 9250000 | 8825439 |
| US Treasury Notes 1.25% 6/30/2028  | 1.21 to 4.20 | 9260000 | 8821235 |
| US Treasury Notes 1.25% 8/15/2031  | 1.31 to 4.69 | 19994000 | 17697033 |
| US Treasury Notes 1.25% 9/30/2028  | 1.56 to 4.27 | 2220000 | 2103537 |
| US Treasury Notes 1.375% 10/31/2028  | 1.32 to 4.88 | 3480000 | 3303009 |
| US Treasury Notes 1.375% 11/15/2031  | 1.44 to 4.50 | 18323000 | 16221581 |
| US Treasury Notes 1.375% 12/31/2028  | 1.82 to 4.09 | 8811000 | 8336032 |
| US Treasury Notes 1.5% 11/30/2028  | 1.70 to 4.34 | 12376000 | 11767352 |
| US Treasury Notes 1.5% 2/15/2030  | 0.69 to 4.40 | 14272000 | 13251775 |
| US Treasury Notes 1.625% 5/15/2031  | 1.51 to 4.49 | 9393000 | 8536623 |
| US Treasury Notes 1.625% 8/15/2029  | 3.93 to 4.70 | 4888000 | 4606749 |
| US Treasury Notes 1.75% 1/31/2029  | 3.53 to 3.89 | 8680000 | 8286688 |
| US Treasury Notes 1.75% 11/15/2029  | 1.16 to 3.55 | 8229000 | 7752618 |
| US Treasury Notes 1.875% 2/15/2032  | 1.84 to 4.20 | 10830000 | 9813476 |
| US Treasury Notes 1.875% 2/28/2029  | 4.23 to 4.27 | 5390000 | 5157767 |
| US Treasury Notes 2.25% 11/15/2027  | 1.55 to 4.34 | 4563000 | 4475305 |
| US Treasury Notes 2.25% 8/15/2027  | 1.63 to 2.66 | 1597000 | 1569988 |
| US Treasury Notes 2.375% 3/31/2029  | 2.87 to 2.89 | 3930000 | 3812561 |
| US Treasury Notes 2.375% 5/15/2027  | 3.15 | 4000 | 3946 |
| US Treasury Notes 2.375% 5/15/2029  | 0.86 to 3.24 | 3505000 | 3395880 |
| US Treasury Notes 2.5% 3/31/2027  | 3.54 | 20290000 | 20076004 |
| US Treasury Notes 2.625% 2/15/2029  | 2.37 to 4.27 | 4831000 | 4726832 |
| US Treasury Notes 2.625% 5/31/2027  | 2.71 to 4.40 | 3380000 | 3344616 |
| US Treasury Notes 2.625% 7/31/2029  | 4.03 | 1681000 | 1638384 |
| US Treasury Notes 2.75% 2/15/2028  | 1.74 to 3.15 | 1089000 | 1075983 |
| US Treasury Notes 2.75% 4/30/2027  | 4.55 | 4700000 | 4660344 |
| US Treasury Notes 2.75% 5/31/2029  | 2.72 to 3.04 | 880000 | 862124 |
| US Treasury Notes 2.75% 7/31/2027  | 2.71 to 4.12 | 4416000 | 4373565 |
| US Treasury Notes 2.75% 8/15/2032  | 3.16 to 4.06 | 11750000 | 11122568 |
| US Treasury Notes 2.875% 4/30/2029  | 3.60 to 4.75 | 12210000 | 12016357 |
| US Treasury Notes 2.875% 5/15/2028  | 1.40 to 4.05 | 5922000 | 5857922 |
| US Treasury Notes 2.875% 5/15/2032  | 2.67 to 4.73 | 9980000 | 9545714 |
| US Treasury Notes 2.875% 8/15/2028  | 0.89 to 4.16 | 13312000 | 13153920 |
| US Treasury Notes 3.125% 11/15/2028  | 1.32 to 2.72 | 3448000 | 3424699 |
| US Treasury Notes 3.125% 8/31/2027  | 3.31 to 4.08 | 4070000 | 4051399 |
| US Treasury Notes 3.125% 8/31/2029  | 3.37 to 4.48 | 5100000 | 5048602 |
| US Treasury Notes 3.25% 6/30/2027  | 2.72 to 3.47 | 3060000 | 3051752 |
| US Treasury Notes 3.25% 6/30/2029  | 2.71 to 4.12 | 8430000 | 8385874 |
| US Treasury Notes 3.375% 2/29/2028  | 3.39 | 6410000 | 6408498 |
| US Treasury Notes 3.375% 5/15/2033  | 3.63 to 3.95 | 10880000 | 10627125 |
| US Treasury Notes 3.375% 9/15/2027  | 3.83 to 4.11 | 3370000 | 3366841 |
| US Treasury Notes 3.375% 9/15/2028  | 3.60 to 3.62 | 9360000 | 9356709 |
| US Treasury Notes 3.5% 1/15/2029  | 3.60 | 8970000 | 8997331 |
| US Treasury Notes 3.5% 1/31/2028  | 3.91 | 2270000 | 2274345 |
| US Treasury Notes 3.5% 1/31/2030  | 4.86 | 1560000 | 1562316 |
| US Treasury Notes 3.5% 10/15/2028  | 3.57 | 3590000 | 3599817 |
| US Treasury Notes 3.5% 10/31/2027  | 3.48 | 2390000 | 2392707 |
| US Treasury Notes 3.5% 11/15/2028  | 3.49 | 4730000 | 4743488 |
| US Treasury Notes 3.5% 11/30/2030  | 3.63 | 4950000 | 4947293 |
| US Treasury Notes 3.5% 12/15/2028  | 3.53 | 6510000 | 6529327 |
| US Treasury Notes 3.5% 2/15/2029  | 3.39 to 3.50 | 8640000 | 8667000 |
| US Treasury Notes 3.5% 2/15/2033  | 3.43 to 4.17 | 12640000 | 12466694 |
| US Treasury Notes 3.5% 2/28/2031  | 3.52 | 4100000 | 4096797 |
| US Treasury Notes 3.5% 9/30/2027  | 3.53 to 3.61 | 12290000 | 12303442 |
| US Treasury Notes 3.5% 9/30/2029  | 4.02 | 18540000 | 18579832 |
| US Treasury Notes 3.625% 10/31/2030  | 3.60 to 3.71 | 13600000 | 13666938 |
| US Treasury Notes 3.625% 12/31/2030  | 3.71 | 8200000 | 8237797 |
| US Treasury Notes 3.625% 3/31/2030  | 4.10 | 4420000 | 4445898 |
| US Treasury Notes 3.625% 8/15/2028  | 3.58 to 3.60 | 20230000 | 20345374 |
| US Treasury Notes 3.625% 8/31/2027  | 3.61 | 6640000 | 6657378 |
| US Treasury Notes 3.625% 8/31/2029  | 3.75 to 4.09 | 17460000 | 17569125 |
| US Treasury Notes 3.625% 8/31/2030  | 3.69 | 6030000 | 6061328 |
| US Treasury Notes 3.625% 9/30/2030  | 3.74 | 5240000 | 5266814 |
| US Treasury Notes 3.75% 1/31/2031  | 3.52 to 3.80 | 17190000 | 17364586 |
| US Treasury Notes 3.75% 10/31/2032  | 3.78 to 3.89 | 8430000 | 8453709 |
| US Treasury Notes 3.75% 11/30/2032  | 3.70 to 4.01 | 15500000 | 15541777 |
| US Treasury Notes 3.75% 12/31/2028  | 3.83 | 3270000 | 3301550 |
| US Treasury Notes 3.75% 4/15/2028  | 3.59 | 7870000 | 7927180 |
| US Treasury Notes 3.75% 4/30/2027  | 3.60 to 3.92 | 22900000 | 22966195 |
| US Treasury Notes 3.75% 5/15/2028  | 3.86 to 3.89 | 24210000 | 24392802 |
| US Treasury Notes 3.75% 5/31/2030  | 3.57 | 5080000 | 5132983 |
| US Treasury Notes 3.75% 6/30/2027  | 3.54 to 3.72 | 6670000 | 6695013 |
| US Treasury Notes 3.75% 6/30/2030  | 4.63 | 2020000 | 2041068 |
| US Treasury Notes 3.875% 11/30/2027  | 3.77 to 4.13 | 5130000 | 5169677 |
| US Treasury Notes 3.875% 11/30/2029  | 3.45 | 930000 | 943731 |
| US Treasury Notes 3.875% 12/31/2027  | 3.62 | 5820000 | 5867347 |
| US Treasury Notes 3.875% 12/31/2029  | 4.28 | 1410000 | 1430985 |
| US Treasury Notes 3.875% 3/15/2028  | 3.59 | 3660000 | 3694884 |
| US Treasury Notes 3.875% 3/31/2027  | 3.68 | 2860000 | 2870948 |
| US Treasury Notes 3.875% 4/30/2030  | 3.72 | 8080000 | 8203725 |
| US Treasury Notes 3.875% 5/31/2027  | 3.83 | 4810000 | 4832923 |
| US Treasury Notes 3.875% 6/15/2028  | 3.69 to 3.77 | 15190000 | 15354361 |
| US Treasury Notes 3.875% 6/30/2030  | 3.70 to 3.80 | 10030000 | 10186327 |
| US Treasury Notes 3.875% 7/15/2028  | 3.89 | 2910000 | 2941942 |
| US Treasury Notes 3.875% 7/31/2027  | 3.58 | 3370000 | 3389351 |
| US Treasury Notes 3.875% 7/31/2030  | 3.67 to 3.74 | 7910000 | 8034212 |
| US Treasury Notes 3.875% 8/15/2033  | 3.95 to 4.91 | 14630000 | 14736296 |
| US Treasury Notes 3.875% 8/15/2034  | 3.79 to 4.28 | 7990000 | 8001620 |
| US Treasury Notes 3.875% 8/31/2032  | 3.93 | 960000 | 970575 |
| US Treasury Notes 3.875% 9/30/2029  | 4.35 | 2070000 | 2099918 |
| US Treasury Notes 3.875% 9/30/2032  | 3.93 | 4850000 | 4901531 |
| US Treasury Notes 4% 1/31/2031  | 4.28 to 4.40 | 4600000 | 4696672 |
| US Treasury Notes 4% 1/31/2033  | 3.71 to 3.85 | 1990000 | 2024203 |
| US Treasury Notes 4% 10/31/2029  | 3.72 to 4.15 | 5800000 | 5910109 |
| US Treasury Notes 4% 11/15/2035  | 4.02 to 4.25 | 10810000 | 10848848 |
| US Treasury Notes 4% 12/15/2027  | 4.32 to 4.48 | 6110000 | 6172398 |
| US Treasury Notes 4% 2/15/2034  | 3.95 to 4.69 | 14920000 | 15116408 |
| US Treasury Notes 4% 2/28/2030  | 3.54 to 4.58 | 5060000 | 5160014 |
| US Treasury Notes 4% 2/29/2028  | 4.17 | 2430000 | 2458002 |
| US Treasury Notes 4% 3/31/2030  | 3.96 | 3650000 | 3723000 |
| US Treasury Notes 4% 4/30/2032  | 3.93 to 4.06 | 7130000 | 7266751 |
| US Treasury Notes 4% 5/31/2030  | 3.95 to 3.96 | 22730000 | 23193479 |
| US Treasury Notes 4% 6/30/2028  | 4.31 | 5140000 | 5211077 |
| US Treasury Notes 4% 7/31/2029  | 4.32 | 4700000 | 4787430 |
| US Treasury Notes 4% 7/31/2032  | 3.76 to 4.15 | 4810000 | 4899248 |
| US Treasury Notes 4.125% 10/31/2027  | 3.50 to 4.23 | 10520000 | 10637939 |
| US Treasury Notes 4.125% 10/31/2029  | 4.15 to 4.39 | 6040000 | 6180619 |
| US Treasury Notes 4.125% 11/15/2027  | 4.11 | 11040000 | 11167650 |
| US Treasury Notes 4.125% 11/15/2032  | 3.50 to 4.44 | 7680000 | 7872000 |
| US Treasury Notes 4.125% 2/15/2036  | 3.96 to 4.09 | 2370000 | 2401477 |
| US Treasury Notes 4.125% 2/29/2032  | 4.12 | 3110000 | 3191516 |
| US Treasury Notes 4.125% 3/31/2032  | 4.08 | 2310000 | 2370728 |
| US Treasury Notes 4.125% 5/31/2032  | 3.99 | 5700000 | 5848133 |
| US Treasury Notes 4.125% 7/31/2031  | 4.22 | 2190000 | 2249611 |
| US Treasury Notes 4.125% 8/31/2030  | 3.90 to 4.66 | 6000000 | 6153516 |
| US Treasury Notes 4.25% 1/15/2028  | 4.24 | 12310000 | 12496573 |
| US Treasury Notes 4.25% 1/31/2030  | 4.33 | 6190000 | 6367963 |
| US Treasury Notes 4.25% 11/15/2034  | 4.15 to 4.58 | 22220000 | 22828446 |
| US Treasury Notes 4.25% 2/15/2028  | 3.97 | 25150000 | 25554689 |
| US Treasury Notes 4.25% 2/28/2031  | 3.87 to 4.27 | 17330000 | 17893225 |
| US Treasury Notes 4.25% 5/15/2035  | 4.24 to 4.36 | 7180000 | 7364268 |
| US Treasury Notes 4.25% 6/30/2029  | 3.61 | 2490000 | 2554779 |
| US Treasury Notes 4.25% 8/15/2035  | 3.93 to 4.22 | 15800000 | 16192531 |
| US Treasury Notes 4.375% 1/31/2032  | 4.15 to 4.44 | 18020000 | 18733057 |
| US Treasury Notes 4.375% 11/30/2030  | 3.60 | 2730000 | 2831522 |
| US Treasury Notes 4.375% 5/15/2034  | 3.73 to 4.38 | 8480000 | 8804294 |
| US Treasury Notes 4.375% 8/31/2028  | 4.60 | 2290000 | 2343672 |
| US Treasury Notes 4.5% 11/15/2033  | 3.86 to 4.56 | 9290000 | 9731638 |
| US Treasury Notes 4.5% 5/31/2029  | 4.35 | 4050000 | 4184156 |
| US Treasury Notes 4.625% 2/15/2035  | 4.16 to 4.39 | 12290000 | 12967870 |
| US Treasury Notes 4.625% 4/30/2029  | 3.64 | 2500000 | 2590332 |
| US Treasury Notes 4.625% 4/30/2031  | 4.08 to 4.36 | 8670000 | 9107225 |
| US Treasury Notes 4.625% 9/30/2028  | 3.46 | 4970000 | 5121236 |
| US Treasury Notes 4.625% 9/30/2030  | 4.28 to 4.38 | 3370000 | 3528364 |
| US Treasury Notes 4.75% 2/15/2045  | 4.70 to 4.79 | 3620000 | 3710500 |
| US Treasury Notes 4.875% 10/31/2028  | 4.13 to 4.16 | 4800000 | 4979625 |
| US Treasury Notes 4.875% 10/31/2030  | 4.91 | 770000 | 814876 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $1,528,435,778) |  |  | **1503830157** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.0%** | &nbsp;&nbsp;**Money Market Funds - 1.0%** | &nbsp;&nbsp;**Money Market Funds - 1.0%** | &nbsp;&nbsp;**Money Market Funds - 1.0%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (c)<br>(Cost $15,308,489)<br>| 3.70 | 15305428 | **15308489** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.1%**<br> (Cost $1,561,359,971)<br>| <br>**1536282610** |
| **NET OTHER ASSETS (LIABILITIES) - (0.1)%**  | **(1218029)** |
| **NET ASSETS - 100.0%** | **1535064581** |

---

**Legend**

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

(b) 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.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 8090395 | 78349150 | 71132115 | 82356 | 1059 | - | 15308489 | 15305428 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | - | 125346523 | 125346853 | 6329 | 330 | - | - | - | 0.0% |
| Total | 8090395 | 203695673 | 196478968 | 88685 | 1389 | - | 15308489 |  |  |

---

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

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **U.S. Government Agency Obligations** |  |  |  |  |
| Financials | 14246919 | - | 14246919 | - |
| Utilities | 2897045 | - | 2897045 | - |
|  **U.S. Treasury Obligations** | 1503830157 | - | 1503830157 | - |
|  **Money Market Funds** | 15308489 | 15308489 | - | - |
| **Total Investments in Securities:** | 1536282610 | 15308489 | 1520974121 | - |

---

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,546,051,482) | $1520974121 |  |
| Fidelity Central Funds (cost $15,308,489) | 15308489 |  |
| Total Investment in Securities (cost $1,561,359,971) |  | $1536282610 |
| Cash |  | 330 |
| Receivable for investments sold |  | 17625179 |
| Receivable for fund shares sold |  | 12451898 |
| Interest receivable |  | 11447856 |
| Distributions receivable from Fidelity Central Funds |  | 26462 |
| **Total assets** |  | 1577834335 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $38993998 |  |
| Payable for fund shares redeemed | 3772541 |  |
| Distributions payable | 59 |  |
| Other payables and accrued expenses | 3156 |  |
| **Total liabilities** |  | 42769754 |
| **Net Assets**  |  | $1535064581 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $1596971190 |
| Total accumulated earnings (loss) |  | (61906609) |
| **Net Assets** |  | $1535064581 |
| **Net Asset Value**, offering price and redemption price per share ($1,535,064,581 ÷ 164,451,472 shares) |  | $9.33 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Interest  |  | $26953666 |
| Income from Fidelity Central Funds (including $6,329 from security lending)  |  | 88685 |
| **Total income** |  | 27042351 |
| **Expenses** |  |  |
| Custodian fees and expenses | $6383 |  |
| Independent trustees' fees and expenses | 1516 |  |
| **Total expenses** |  | 7899 |
| **Net Investment income (loss)** |  | 27034452 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (2533923) |  |
| Fidelity Central Funds | 1389 |  |
| Total net realized gain (loss) |  | (2532534) |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | 25907255 |
| **Net gain (loss)** |  | 23374721 |
| **Net increase (decrease) in net assets resulting from operations** |  | $50409173 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $27034452 | $42049756 |
| &nbsp;&nbsp;Net realized gain (loss) | (2532534)<br>| (6722104)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 25907255 | (3904838)<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 50409173<br>| 31422814<br>|
| Distributions to shareholders | (27034431)<br>| (42046935)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 274045886 | 597152992 |
| Reinvestment of distributions | 26989461<br>| 42034249<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (190610921) | (166572696) |
| **Net increase (decrease) in net assets resulting from share transactions** | 110424426<br>| 472614545<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 133799168<br>| 461990424<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 1401265413 | 939274989<br>|
| &nbsp;&nbsp;End of period | $1535064581 | $1401265413 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 29637611 | 65149397 |
| Issued in reinvestment of distributions | 2916008<br>| 4589704<br>|
| &nbsp;&nbsp;Redeemed | (20622338) | (18224651) |
| &nbsp;&nbsp;Net increase (decrease) | 11931281 | 51514450 |

---

**Financial Highlights** 

**Fidelity® Series Government Bond Index Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.19 | $9.30 | $9.05 | $9.46 | $10.73 | $11.23 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .172  | .333  | .291  | .228  | .133  | .118  |
| Net realized and unrealized gain (loss)  | .140  | (.111)  | .250  | (.412)  | (1.270)  | (.323)  |
| Total from investment operations  | .312  | .222  | .541  | (.184)  | (1.137)  | (.205)  |
| Distributions from net investment income  | (.172)  | (.332)  | (.291)  | (.226)  | (.133)  | (.125)  |
| Distributions from net realized gain  | -  | -  | -  | -  | -  | (.170)  |
| Total distributions  | (.172)  | (.332)  | (.291)  | (.226)  | (.133)  | (.295)  |
| Net asset value, end of period  | $9.33 | $9.19 | $9.30 | $9.05 | $9.46 | $10.73 |
| **Total Return** C,D | 3.43% <br>| 2.46%  | 6.11%  | (1.96)%  | (10.66)%  | (1.85)%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions G | -% H | -%  | -%  | -%  | -%  | -%  |
| Expenses net of fee waivers, if any G | -% H<br>| -%  | -%  | -%  | -%  | -%  |
| Expenses net of all reductions, if any G | -% H | -%  | -%  | -%  | -%  | -%  |
| Net investment income (loss)  | 3.76% H | 3.65%  | 3.22%  | 2.48%  | 1.32%  | 1.11%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $1535065 | $1401265 | $939275 | $755356 | $589742 | $570934 |
| Portfolio turnover rate I | 28% H<br>| 23%  | 23%  | 26%  | 41%  | 23%  |

---

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

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

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

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

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

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

G*Amount represents less than .005%.*

H*Annualized.*

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

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

For the period ended February 28, 2026

**1. Organization.**

Fidelity Series Government Bond Index Fund (the Fund) is a fund of Fidelity Income Fund (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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

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

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

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

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

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

Book-tax differences are primarily due to 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** | $19420355 |
| **Gross unrealized depreciation** | <u>(44849416)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$(25429061)</u> |
| **Tax cost** | <u>$1561711671</u> |

---

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

---

| | |
|:---|:---|
| Short-term | $(6021186) |
| Long-term | <u>(27656137)</u> |
| **Total capital loss carryforward** | <u>$(33677323)</u> |

---

**4. 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. During the period, there were no interfund trades.

**5. Committed Line of Credit.**

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

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

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

The line of credit agreement will expire in March 2027 unless extended or renewed.

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

**6. Security Lending.** 

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Series Government Bond Index Fund** | 680 | - | - |

---

**7. 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.

**8. Risk and Uncertainties.**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

**Fidelity Series Government Bond Index Fund**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

![](img126667_4.jpg)<br>

1.9891226.107 XGB-SANN-0426

**Fidelity® Intermediate Government Income Fund**

**Semi-Annual Report**

**February 28, 2026**

![](img126676_1.jpg)

![](img126676_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_SLM-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Intermediate Government Income Fund](#Sub_Sec_Fund_452_SLM-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements452_SLM-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SLM-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SLM-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SLM-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SLM-SANN)** |

---

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Intermediate Government Income Fund**

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

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 3.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 3.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 3.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 3.0%  |  |  |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  | 1155068 | 1078485 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 101115 | 88463 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 107457 | 94011 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 88820 | 81178 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 139721 | 127108 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 137894 | 131296 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class MA, 3% 5/25/2044  | 505107 | 491818 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 1064478 | 974533 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 101428 | 92487 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 194915 | 185632 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (f)(g) | 671411 | 679599 |
| Fannie Mae Guaranteed REMIC Series 2024-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2053 (f)(g) | 354561 | 357117 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (f)(g) | 516144 | 520350 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2054 (f)(g) | 290177 | 292241 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (f)(g) | 370608 | 374542 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 9/25/2054 (f)(g) | 428812 | 433226 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (f)(g) | 287522 | 289910 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 79683 | 72435 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5122 Class TE, 1.5% 6/25/2051  | 403240 | 349869 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 504914 | 454128 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 99406 | 92407 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 105635 | 96154 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 104106 | 96681 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 117699 | 105768 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 78945 | 73364 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 355689 | 331688 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5213 Class JM, 3.5% 9/25/2051  | 573491 | 566766 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CG, 3.5% 4/25/2052  | 217660 | 212019 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5220 Class PK, 3.5% 1/25/2051  | 286497 | 277009 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5224 Class DQ, 3.75% 8/25/2044  | 327167 | 320412 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 8/25/2053 (f)(g) | 1310169 | 1319106 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (f)(g) | 923254 | 931771 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 11/25/2054 (f)(g) | 462595 | 465252 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (f)(g) | 681665 | 686556 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (f)(g) | 218464 | 219623 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9172% 10/25/2054 (f)(g) | 444170 | 447758 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (f)(g) | 435901 | 439559 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 4/25/2055 (f)(g) | 1181196 | 1187880 |
| TOTAL UNITED STATES |  | 15038201 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $14,687,373) |  | <br> **15038201** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 10.3%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 10.3%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 10.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 10.3%  |  |  |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K055 Class A2, 2.673% 3/25/2026  | 486922 | 485632 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K056 Class A2, 2.525% 5/25/2026  | 1642071 | 1634944 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K057 Class A2, 2.57% 7/25/2026  | 1623363 | 1613918 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K058 Class A2, 2.653% 8/25/2026  | 2500000 | 2483220 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K059 Class A2, 3.12% 9/25/2026 (f) | 471509 | 468978 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K060 Class A2, 3.3% 10/25/2026  | 4100000 | 4079388 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K061 Class A2, 3.347% 11/25/2026  | 12807703 | 12747756 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K062 Class A2, 3.413% 12/25/2026  | 2278537 | 2268417 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K063 Class A2, 3.43% 1/25/2027  | 496644 | 494538 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K065 Class A2, 3.243% 4/25/2027  | 2200000 | 2186439 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K067 Class A2, 3.194% 7/25/2027  | 700000 | 694792 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 3200000 | 3176018 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K735 Class A2, 2.862% 5/25/2026  | 798782 | 795704 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K736 Class A2, 2.282% 7/25/2026  | 870290 | 865175 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K737 Class A2, 2.525% 10/25/2026  | 8200000 | 8133318 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K739 Class A2, 1.336% 9/25/2027  | 5963448 | 5782058 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K523 Class AS, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.2292% 4/25/2029 (f)(g) | 2296742 | 2298070 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K554 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 10/25/2030 (f)(g) | 1999810 | 1999808 |
| TOTAL UNITED STATES |  | 52208173 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $52,036,545) |  | <br> **52208173** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 9.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 9.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 9.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 9.1%  |  |  |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 318814 | 284332 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 37791 | 37213 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051 (b) | 538042 | 473489 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 35457 | 32637 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 17065 | 15688 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2040 (e) | 1012859 | 973176 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 24606 | 24244 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 68710 | 67562 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 41895 | 41353 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 17067 | 16824 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034 (c) | 49268 | 48581 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 108181 | 106373 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2041  | 370435 | 352333 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052 (b) | 118334 | 120431 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053 (c) | 88367 | 91420 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053 (c) | 152025 | 157484 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 38839 | 40028 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053 (b)(c) | 282979 | 295507 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053 (c) | 229412 | 239282 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055 (b) | 378804 | 396905 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053 (b)(c) | 507161 | 529613 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055 (b)(c) | 170185 | 180660 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054 (b) | 103602 | 108117 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 50771 | 42503 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1136806 | 1047869 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 212482 | 196161 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 449341 | 416966 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 13194 | 12999 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 11953 | 11783 |
| Freddie Mac Gold Pool 3.5% 1/1/2034  | 171042 | 169801 |
| Freddie Mac Gold Pool 5.5% 9/1/2052  | 209896 | 216688 |
| Freddie Mac Gold Pool 6% 12/1/2052 (b)(c) | 327808 | 342628 |
| Freddie Mac Gold Pool 6.5% 10/1/2053 (c) | 266872 | 281942 |
| Freddie Mac Gold Pool 6.5% 10/1/2053 (b) | 263939 | 279255 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 38648 | 40177 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055 (b) | 309156 | 326710 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 444808 | 390972 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 376875 | 331260 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 333974 | 293553 |
| Ginnie Mae II Pool 2% 1/20/2051  | 540065 | 457817 |
| Ginnie Mae II Pool 2% 3/20/2052  | 113656 | 96347 |
| Ginnie Mae II Pool 2% 9/20/2050  | 92936 | 78956 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 165172 | 167655 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (d) | 3700000 | 3747641 |
| Ginnie Mae II Pool 6% 3/1/2056 (d) | 12525000 | 12779075 |
| Ginnie Mae II Pool 6% 4/1/2056 (d) | 3400000 | 3466580 |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 (d) | 5100000 | 4416481 |
| Uniform Mortgage Backed Securities 4% 3/1/2056 (d) | 2325000 | 2259881 |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 (d) | 3700000 | 3759547 |
| Uniform Mortgage Backed Securities 6% 3/1/2056 (d) | 5700000 | 5846731 |
| TOTAL UNITED STATES |  | 46111230 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $45,708,132) |  | <br> **46111230** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 3.0%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 3.0%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 3.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 3.0%  |  |  |
| Financials - 3.0% |  |  |
| Financial Services - 3.0% |  |  |
| Federal Farm Credit Banks Funding Corp U.S. SOFR Index + 0.12%, 3.79% 6/12/2028 (f)(g) | 7430000 | 7429926 |
| Federal Farm Credit Banks Funding Corp U.S. SOFR Index + 0.165%, 3.835% 1/19/2029 (f)(g) | 7990000 | 7989868 |
| TOTAL UNITED STATES |  | 15419794 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $15,420,000) |  | <br> **15419794** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 80.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 80.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 80.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 80.7%** |
|  | Yield (%) (h) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.71 to 4.83 | 3560000 | 3593514 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.69 to 4.84 | 1890000 | 1886752 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.81 | 620000 | 631333 |
| US Treasury Bonds 5% 5/15/2045  | 4.55 to 4.69 | 1130000 | 1194534 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.51 to 2.67 | 1530156 | 1508778 |
| US Treasury Notes 1.125% 8/31/2028  | 1.13 to 1.14 | 53595000 | 50718456 |
| US Treasury Notes 1.25% 12/31/2026  | 1.26 | 3278000 | 3216502 |
| US Treasury Notes 1.25% 9/30/2028  | 1.45 | 580000 | 549573 |
| US Treasury Notes 1.5% 1/31/2027  | 1.50 to 1.57 | 5049000 | 4956422 |
| US Treasury Notes 1.875% 2/28/2027  | 1.71 | 2980000 | 2932017 |
| US Treasury Notes 2.625% 7/31/2029  | 2.83 | 410000 | 399606 |
| US Treasury Notes 2.75% 7/31/2027  | 2.68 to 2.71 | 2880000 | 2852325 |
| US Treasury Notes 2.75% 8/15/2032  | 2.79 to 3.99 | 13693000 | 12961815 |
| US Treasury Notes 2.875% 4/30/2029  | 2.97 | 600000 | 590484 |
| US Treasury Notes 2.875% 5/15/2032  | 2.84 to 2.86 | 2646000 | 2530858 |
| US Treasury Notes 3.125% 11/15/2028  | 2.69 to 3.01 | 8510000 | 8452491 |
| US Treasury Notes 3.375% 5/15/2033  | 3.83 | 290000 | 283260 |
| US Treasury Notes 3.5% 1/15/2029  | 3.52 to 3.66 | 9700000 | 9729555 |
| US Treasury Notes 3.5% 1/31/2028  | 3.83 | 1920000 | 1923675 |
| US Treasury Notes 3.5% 10/15/2028  | 3.65 | 3520000 | 3529625 |
| US Treasury Notes 3.5% 2/15/2029  | 3.45 to 3.47 | 10690000 | 10723406 |
| US Treasury Notes 3.5% 2/15/2033  | 3.91 | 730000 | 719991 |
| US Treasury Notes 3.5% 9/30/2029  | 3.56 to 3.58 | 7540000 | 7556199 |
| US Treasury Notes 3.625% 3/31/2030  | 3.40 to 3.55 | 4740000 | 4767773 |
| US Treasury Notes 3.75% 11/30/2032  | 3.95 | 2530000 | 2536819 |
| US Treasury Notes 3.75% 4/30/2027  | 3.98 | 3240000 | 3249366 |
| US Treasury Notes 3.75% 6/30/2027  | 3.62 | 8000000 | 8030000 |
| US Treasury Notes 3.75% 6/30/2030  | 3.86 | 14430000 | 14580500 |
| US Treasury Notes 3.875% 12/31/2027  | 3.66 to 3.95 | 1800000 | 1814644 |
| US Treasury Notes 3.875% 12/31/2032  | 3.95 | 810000 | 817973 |
| US Treasury Notes 3.875% 3/15/2028  | 3.88 to 3.89 | 3500000 | 3533359 |
| US Treasury Notes 3.875% 3/31/2027  | 3.89 | 6410000 | 6434538 |
| US Treasury Notes 3.875% 5/31/2027  | 3.90 to 3.91 | 5200000 | 5224781 |
| US Treasury Notes 3.875% 8/15/2033  | 4.58 to 4.77 | 1350000 | 1359809 |
| US Treasury Notes 3.875% 8/15/2034  | 3.71 to 3.80 | 4680000 | 4686806 |
| US Treasury Notes 4% 1/15/2027  | 4.14 | 4740000 | 4758330 |
| US Treasury Notes 4% 1/31/2031  | 3.89 to 3.96 | 700000 | 714711 |
| US Treasury Notes 4% 10/31/2029  | 4.14 to 4.15 | 6300000 | 6419602 |
| US Treasury Notes 4% 11/15/2035  | 4.14 to 4.24 | 8210000 | 8239505 |
| US Treasury Notes 4% 6/30/2028  | 3.95 to 4.04 | 8620000 | 8739198 |
| US Treasury Notes 4% 7/31/2029  | 3.83 | 200000 | 203720 |
| US Treasury Notes 4% 7/31/2030  | 4.07 to 4.18 | 2560000 | 2612800 |
| US Treasury Notes 4.125% 10/31/2026  | 4.15 | 20000000 | 20062344 |
| US Treasury Notes 4.125% 10/31/2029  | 3.63 | 2537000 | 2596065 |
| US Treasury Notes 4.125% 11/30/2031  | 4.13 | 3110000 | 3192731 |
| US Treasury Notes 4.125% 2/15/2027  | 4.40 to 4.49 | 20080000 | 20188401 |
| US Treasury Notes 4.125% 2/15/2036  | 3.97 | 3420000 | 3465422 |
| US Treasury Notes 4.125% 3/31/2031  | 4.36 to 4.71 | 3670000 | 3768488 |
| US Treasury Notes 4.125% 3/31/2032  | 4.08 to 4.09 | 4000000 | 4105156 |
| US Treasury Notes 4.125% 5/31/2032  | 4.17 to 4.18 | 1600000 | 1641581 |
| US Treasury Notes 4.125% 8/31/2030  | 4.19 to 4.61 | 3770000 | 3866459 |
| US Treasury Notes 4.25% 1/15/2028  | 4.24 to 4.33 | 12080000 | 12263088 |
| US Treasury Notes 4.25% 11/15/2034  | 4.31 to 4.78 | 2016000 | 2071204 |
| US Treasury Notes 4.25% 2/28/2031  | 4.25 to 4.36 | 4250000 | 4388125 |
| US Treasury Notes 4.25% 3/15/2027  | 4.36 to 4.42 | 7250000 | 7304140 |
| US Treasury Notes 4.25% 6/30/2029  | 4.11 to 4.12 | 3960000 | 4063022 |
| US Treasury Notes 4.25% 6/30/2031  | 3.99 to 4.45 | 4920000 | 5082783 |
| US Treasury Notes 4.25% 8/15/2035  | 4.11 to 4.23 | 23140000 | 23714884 |
| US Treasury Notes 4.375% 11/30/2028  | 4.11 to 4.15 | 6350000 | 6511975 |
| US Treasury Notes 4.375% 11/30/2030  | 3.87 to 4.31 | 2016000 | 2090970 |
| US Treasury Notes 4.375% 12/15/2026  | 4.18 | 760000 | 764756 |
| US Treasury Notes 4.375% 5/15/2034  | 4.28 | 670000 | 695622 |
| US Treasury Notes 4.625% 11/15/2026  | 4.34 to 4.68 | 12958000 | 13047309 |
| US Treasury Notes 4.625% 3/15/2026  | 4.07 | 620000 | 620181 |
| US Treasury Notes 4.625% 9/30/2028  | 4.57 to 4.76 | 10550000 | 10871033 |
| US Treasury Notes 4.625% 9/30/2030  | 4.57 | 11400000 | 11935711 |
| US Treasury Notes 4.75% 2/15/2045  | 4.61 to 4.99 | 3940000 | 4038500 |
| US Treasury Notes 4.875% 10/31/2028  | 4.52 to 4.65 | 258000 | 267655 |
| US Treasury Notes 4.875% 10/31/2030  | 4.31 to 4.92 | 12410000 | 13133270 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $406,516,327) |  |  | **407916280** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.1%** | &nbsp;&nbsp;**Money Market Funds - 1.1%** | &nbsp;&nbsp;**Money Market Funds - 1.1%** | &nbsp;&nbsp;**Money Market Funds - 1.1%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (i)<br>(Cost $5,642,670)<br>| 3.70 | 5641542 | **5642670** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9025% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/2026 | 1360000 | 1288 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2030 | 5120000 | 136486 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2030 | 2200000 | 60692 |
| 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 | 7/2030 | 4330000 | 114884 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.964% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 5600000 | 73552 |
| TOTAL PUT SWAPTIONS |  |  | 386902 |
| Call Swaptions - 0.2% |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9025% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/2026 | 1360000 | 42599 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2030 | 5120000 | 195412 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2030 | 2200000 | 81076 |
| 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 | 7/2030 | 4330000 | 172051 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.964% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 5600000 | 239346 |
| TOTAL CALL SWAPTIONS |  |  | 730484 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $1,274,814) |  |  | <br> **1117386** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 107.4%**<br> (Cost $541,285,861)<br>| <br>**543453734** |
| **NET OTHER ASSETS (LIABILITIES) - (7.4)%**  | **(37511169)** |
| **NET ASSETS - 100.0%** | **505942565** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2.5% 3/1/2056 | (150000) | (132335) |
| Ginnie Mae II Pool 6% 3/1/2056 | (12525000) | (12779075) |
| Ginnie Mae II Pool 6% 4/1/2056 | (3400000) | (3466580) |
| Uniform Mortgage Backed Securities 2% 3/1/2056 | (2500000) | (2070410) |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 | (5100000) | (4416481) |
| Uniform Mortgage Backed Securities 2.5% 4/1/2056 | (5100000) | (4416680) |
| Uniform Mortgage Backed Securities 3% 3/1/2056 | (6300000) | (5696824) |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 | (6100000) | (5746391) |
| Uniform Mortgage Backed Securities 4% 3/1/2056 | (4500000) | (4373965) |
| Uniform Mortgage Backed Securities 4.5% 3/1/2056 | (6000000) | (5932969) |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 | (3700000) | (3759547) |
| Uniform Mortgage Backed Securities 6% 3/1/2056 | (5700000) | (5846731) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (58637988) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $58,231,575) |  | <br> **(58637988)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 476 | 6/2026 | 54159875 | 400602 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 457 | 6/2026 | 95620109 | 133014 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 20 | 6/2026 | 2431250 | 13579 |
| TOTAL LONG |  |  |  | 547195 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT US Treasury Long Bond Contracts (United States) | (19) | 6/2026 | (2249719) | (22599) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **524596** |
| The notional amount of long futures as a percentage of Net Assets is 30.0%. | The notional amount of long futures as a percentage of Net Assets is 30.0%. | The notional amount of long futures as a percentage of Net Assets is 30.0%. | The notional amount of long futures as a percentage of Net Assets is 30.0%. | The notional amount of long futures as a percentage of Net Assets is 30.0%. |
| The notional amount of short futures as a percentage of Net Assets is 0.4%. | The notional amount of short futures as a percentage of Net Assets is 0.4%. | The notional amount of short futures as a percentage of Net Assets is 0.4%. | The notional amount of short futures as a percentage of Net Assets is 0.4%. | The notional amount of short futures as a percentage of Net Assets is 0.4%. |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 | 35617000 | (67315) | 0 | (67315) |
| 4% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2056 | 1160000 | 49461 | 0 | 49461 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 | 21554000 | (131335) | 0 | (131335) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(149189)** | **0** | **(149189)** |

---

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

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

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

(4)Represents floating rate.

**Legend**

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

(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,569,105.

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $1,056,528.

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

(e) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $300,414.

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

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

(h) 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.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 30913260 | 69263280 | 94533699 | 236703 | (170) | (1) | 5642670 | 5641542 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | - | 24064975 | 24064901 | 790 | (74) | - | - | - | 0.0% |
| Total | 30913260 | 93328255 | 118598600 | 237493 | (244) | (1) | 5642670 |  |  |

---

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

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Collateralized Mortgage Obligations** | 15038201 | - | 15038201 | - |
|  **Commercial Mortgage Securities** | 52208173 | - | 52208173 | - |
|  **U.S. Government Agency - Mortgage Securities** | 46111230 | - | 46111230 | - |
|  **U.S. Government Agency Obligations** |  |  |  |  |
| Financials | 15419794 | - | 15419794 | - |
|  **U.S. Treasury Obligations** | 407916280 | - | 407916280 | - |
|  **Money Market Funds** | 5642670 | 5642670 | - | - |
|  **Purchased Swaptions** | 1117386 | - | 1117386 | - |
| **Total Investments in Securities:** | 543453734 | 5642670 | 537811064 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 547195 | 547195 | - | - |
| Swaps | 49461 | - | 49461 | - |
| Total Assets | 596656 | 547195 | 49461 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (22599) | (22599) | - | - |
| Swaps | (198650) | - | (198650) | - |
| Total Liabilities | (221249) | (22599) | (198650) | - |
| **Total Derivative Instruments:** | 375407 | 524596 | (149189) | - |
| **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (58637988) | - | (58637988) | - |
| **Total Other Financial Instruments:** | (58637988) | - | (58637988) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 547195 | (22599) |
| Purchased Swaptions (b)  | 1117386 | - |
| Swaps (c)  | 49461 | (198650) |
| **Total Interest Rate Risk**  | 1714042 | (221249) |
| **Total Value of Derivatives** | 1714042 | (221249) |

---

(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).

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

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

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $535,643,191) | $537811064 |  |
| Fidelity Central Funds (cost $5,642,670) | 5642670 |  |
| Total Investment in Securities (cost $541,285,861) |  | $543453734 |
| Receivable for TBA sale commitments |  | 58231575 |
| Receivable for fund shares sold |  | 552807 |
| Interest receivable |  | 3728908 |
| Distributions receivable from Fidelity Central Funds |  | 13502 |
| Receivable for daily variation margin on futures contracts |  | 300191 |
| **Total assets** |  | 606280717 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $4737831 |  |
| Delayed delivery | 36173574 |  |
| TBA sale commitments, at value | 58637988 |  |
| Payable for fund shares redeemed | 187061 |  |
| Distributions payable | 340869 |  |
| Accrued management fee | 117002 |  |
| Payable for daily variation margin on centrally cleared swaps | 74126 |  |
| Other affiliated payables | 69701 |  |
| **Total liabilities** |  | 100338152 |
| **Net Assets**  |  | $505942565 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $523352353 |
| Total accumulated earnings (loss) |  | (17409788) |
| **Net Assets** |  | $505942565 |
| **Net Asset Value**, offering price and redemption price per share ($505,942,565 ÷ 50,571,083 shares) |  | $10.00 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Interest  |  | $8881309 |
| Income from Fidelity Central Funds (including $790 from security lending)  |  | 237493 |
| **Total income** |  | 9118802 |
| **Expenses** |  |  |
| Management fee | $693068 |  |
| Transfer agent fees | 245769 |  |
| Fund wide operations fee | 166600 |  |
| Independent trustees' fees and expenses | 523 |  |
| Total expenses before reductions | 1105960 |  |
| Expense reductions | (234) |  |
| Total expenses after reductions |  | 1105726 |
| **Net Investment income (loss)** |  | 8013076 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (63523) |  |
| Fidelity Central Funds | (244) |  |
| Futures contracts | 657637 |  |
| Swaps | (230321) |  |
| Total net realized gain (loss) |  | 363549 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 4076936 |  |
| Fidelity Central Funds  | (1) |  |
| Futures contracts | (38279) |  |
| Swaps | 285375 |  |
| TBA sale commitments | (355533) |  |
| Total change in net unrealized appreciation (depreciation) |  | 3968498 |
| **Net gain (loss)** |  | 4332047 |
| **Net increase (decrease) in net assets resulting from operations** |  | $12345123 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $8013076 | $15707540 |
| &nbsp;&nbsp;Net realized gain (loss) | 363549<br>| (2437367)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 3968498 | 4826287<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 12345123<br>| 18096460<br>|
| Distributions to shareholders | (7852506)<br>| (14917949)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 56027779 | 123147446 |
| Reinvestment of distributions | 5615262<br>| 10707515<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (51871135) | (112371640) |
| **Net increase (decrease) in net assets resulting from share transactions** | 9771906<br>| 21483321<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 14264523<br>| 24661832<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 491678042 | 467016210<br>|
| &nbsp;&nbsp;End of period | $505942565 | $491678042 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 5634082 | 12585885 |
| Issued in reinvestment of distributions | 564681<br>| 1092731<br>|
| &nbsp;&nbsp;Redeemed | (5220506) | (11481877) |
| &nbsp;&nbsp;Net increase (decrease) | 978257 | 2196739 |

---

**Financial Highlights** 

**Fidelity® Intermediate Government Income Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.91 | $9.85 | $9.55 | $9.79 | $10.78 | $11.15 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .162  | .320  | .284  | .180  | .115  | .102  |
| Net realized and unrealized gain (loss)  | .087  | .044  | .274  | (.251)  | (.989)  | (.220)  |
| Total from investment operations  | .249  | .364  | .558  | (.071)  | (.874)  | (.118)  |
| Distributions from net investment income  | (.159)  | (.304)  | (.258)  | (.169)  | (.109)  | (.091)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.007)  | (.161)  |
| Total distributions  | (.159)  | (.304)  | (.258)  | (.169)  | (.116)  | (.252)  |
| Net asset value, end of period  | $10.00 | $9.91 | $9.85 | $9.55 | $9.79 | $10.78 |
| **Total Return** C,D | 2.53% <br>| 3.78%  | 5.94%  | (.72)%  | (8.15)%  | (1.07)%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .45% G | .45%  | .45%  | .45%  | .45%  | .45%  |
| Expenses net of fee waivers, if any  | .45% G<br>| .45%  | .45%  | .45%  | .45%  | .45%  |
| Expenses net of all reductions, if any  | .45% G | .45%  | .45%  | .45%  | .45%  | .45%  |
| Net investment income (loss)  | 3.29% G | 3.27%  | 2.96%  | 1.88%  | 1.11%  | .94%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $505943 | $491678 | $467016 | $394863 | $346975 | $454009 |
| Portfolio turnover rate H | 150% G<br>| 135%  | 199%  | 113%  | 159%  | 220%  |

---

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

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

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

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

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

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

G*Annualized.*

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

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

For the period ended February 28, 2026

**1. Organization.**

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

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

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

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

---

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

---

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

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

**3. Significant Accounting Policies.**

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

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

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. 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. Collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost 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.

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

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

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

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

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

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $8353995 |
| **Gross unrealized depreciation** | <u>(4873591)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$3480404</u> |
| **Tax cost** | <u>$539942325</u> |

---

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

---

| | |
|:---|:---|
| Short-term | $(8956628) |
| Long-term | <u>(12337542)</u> |
| **Total capital loss carryforward** | <u>$(21294170)</u> |

---

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

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

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

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. A fund realizes a gain or loss on settlement, either through the acquisition of an offsetting TBA purchase commitment on or before the sale commitment date, or by delivery of the securities under the commitment.

**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):

<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, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

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

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

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Intermediate Government Income Fund** |  |  |
| **Interest Rate Risk** |  |  |
| Futures Contracts | 657637 | (38279) |
| Purchased Options | (97449) | 19783 |
| Swaps | <u>(230321)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>285375</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>329867</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>266879</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp; <u>329867</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>266879</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 Intermediate Government Income Fund** | 142619197 |

---

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 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.

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.

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 Intermediate Government Income Fund** | 54492833 |

---

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

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Intermediate Government Income Fund** | 143930728 | 171506336 |

---

**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.

**Transfer Agent Fees.** Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .10% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

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

---

| | |
|:---|:---|
| **Fidelity Intermediate Government Income Fund** | .07% |

---

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

**7. Committed Line of Credit.**

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

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

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

The line of credit agreement will expire in March 2027 unless extended or renewed.

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

**8. Security Lending.** 

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Intermediate Government Income Fund** | 86 | - | - |

---

**9. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $234.

**10. Other.**

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

**11. Risk and Uncertainties.**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

**Fidelity Intermediate Government Income Fund**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

<u>Other Contractual Arrangements</u>. The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" expenses (including, among certain other "fund-level" expenses, the management fee) at 0.35%. These contractual arrangements may not be amended to increase the fees or expenses payable except by a vote of a majority of the Board.

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

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

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

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

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

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

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

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

![](img126676_4.jpg)<br>

1.844597.120 SLM-SANN-0426

**Fidelity® Government Income Fund**

**Semi-Annual Report**

**February 28, 2026**

Includes Fidelity and Fidelity Advisor share classes

![](img126680_1.jpg)

![](img126680_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_GOV-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Government Income Fund](#Sub_Sec_Fund_54_GOV-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements54_GOV-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_GOV-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_GOV-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_GOV-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_GOV-SANN)** |

---

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Government Income Fund**

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

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.7%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.7%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 9.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 9.7%  |  |  |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 1539 | 1562 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 1877 | 1893 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 2311 | 2354 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 1734 | 1765 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 2455 | 2503 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 1002 | 1017 |
| Fannie Mae Guaranteed REMIC Series 2001-38 Class QF, U.S. 30-Day Avg. SOFR Index + 1.0945%, 4.7617% 8/25/2031 (b)(c) | 13546 | 13673 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 468 | 485 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 1427 | 1487 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5817% 2/25/2032 (b)(c) | 285 | 287 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7727% 3/18/2032 (b)(c) | 523 | 529 |
| Fannie Mae Guaranteed REMIC Series 2002-49 Class FB, U.S. 30-Day Avg. SOFR Index + 0.7145%, 4.3727% 11/18/2031 (b)(c) | 10455 | 10456 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 4/25/2032 (b)(c) | 5102 | 5148 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 10/25/2032 (b)(c) | 654 | 660 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 4.5317% 1/25/2032 (b)(c) | 259 | 259 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class FV, U.S. 30-Day Avg. SOFR Index + 0.5645%, 4.2317% 11/25/2032 (b)(c) | 1784 | 1784 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.7683% 11/25/2032 (b)(i) | 372 | 8 |
| Fannie Mae Guaranteed REMIC Series 2002-75 Class FA, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 11/25/2032 (b)(c) | 9334 | 9418 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 12/25/2033 (b)(i) | 11871 | 1469 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 3/25/2033 (b)(i) | 638 | 67 |
| Fannie Mae Guaranteed REMIC Series 2003-70 Class BJ, 5% 7/25/2033  | 18950 | 19145 |
| Fannie Mae Guaranteed REMIC Series 2004-52 Class KZ, 5.5% 7/25/2034  | 88548 | 90292 |
| Fannie Mae Guaranteed REMIC Series 2004-91 Class Z, 5% 12/25/2034  | 888315 | 904906 |
| Fannie Mae Guaranteed REMIC Series 2005-102 Class CO, 0% 11/25/2035 (j) | 1690 | 1491 |
| Fannie Mae Guaranteed REMIC Series 2005-117 Class JN, 4.5% 1/25/2036  | 45064 | 45475 |
| Fannie Mae Guaranteed REMIC Series 2005-14 Class ZB, 5% 3/25/2035  | 271214 | 274047 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.9383% 6/25/2035 (b)(i) | 13825 | 951 |
| Fannie Mae Guaranteed REMIC Series 2005-68 Class CZ, 5.5% 8/25/2035  | 919817 | 949313 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 44415 | 46260 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index x 17.2524%, 7.7176% 8/25/2035 (b)(c) | 259 | 277 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 28829 | 29297 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 6476 | 6685 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.8983% 11/25/2036 (b)(i) | 8683 | 753 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.8583% 12/25/2036 (b)(i) | 5010 | 512 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (j) | 6369 | 5805 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (j) | 11221 | 9872 |
| Fannie Mae Guaranteed REMIC Series 2006-37 Class OW, 0% 5/25/2036 (j) | 1460 | 1238 |
| Fannie Mae Guaranteed REMIC Series 2006-72 Class CY, 6% 8/25/2026  | 4922 | 4914 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.6583% 5/25/2037 (b)(i) | 3200 | 305 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index x 39.9331%, 17.9299% 6/25/2037 (b)(c) | 2239 | 3063 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index x 38.9131%, 16.9099% 7/25/2037 (b)(c) | 3427 | 4632 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index x 38.9131%, 16.9099% 7/25/2037 (b)(c) | 525 | 605 |
| Fannie Mae Guaranteed REMIC Series 2009-59 Class HB, 5% 8/25/2039  | 454420 | 462990 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 17569 | 17034 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 130847 | 129931 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 12926 | 13432 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 53941 | 53890 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (i) | 13142 | 192 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 152086 | 143138 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 210157 | 199566 |
| Fannie Mae Guaranteed REMIC Series 2012-27 Class EZ, 4.25% 3/25/2042  | 2224906 | 2221472 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (i) | 6 | 0 |
| Fannie Mae Guaranteed REMIC Series 2012-93 Class QW, 5% 1/25/2042  | 36238 | 36502 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 2.2683% 1/25/2044 (b)(i) | 15925 | 1848 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (i) | 73813 | 10215 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 87380 | 84645 |
| Fannie Mae Guaranteed REMIC Series 2017-1 Class JP, 3.5% 4/25/2045  | 258349 | 255733 |
| Fannie Mae Guaranteed REMIC Series 2017-22 Class JN, 4.5% 4/25/2046  | 643048 | 642694 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (i) | 43674 | 5691 |
| Fannie Mae Guaranteed REMIC Series 2017-89 Class KV, 3.5% 8/25/2047  | 552714 | 550669 |
| Fannie Mae Guaranteed REMIC Series 2018-45 Class GI, 4% 6/25/2048 (i) | 641316 | 131861 |
| Fannie Mae Guaranteed REMIC Series 2019-52 Class M, 3.5% 3/25/2049  | 114127 | 112655 |
| Fannie Mae Guaranteed REMIC Series 2019-64 Class MJ, 4.5% 6/25/2049  | 1405901 | 1384404 |
| Fannie Mae Guaranteed REMIC Series 2019-74 Class LB, 3% 10/25/2049  | 662990 | 617582 |
| Fannie Mae Guaranteed REMIC Series 2021-26 Class HC, 1% 11/25/2049  | 5810695 | 5131748 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 1104178 | 966016 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 1173424 | 1026598 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 969909 | 886460 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 1525760 | 1388018 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 1472953 | 1402474 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 837572 | 788034 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 11709264 | 10719864 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 1107596 | 1009961 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 1340355 | 1190305 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 2082049 | 1982894 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 142 | 143 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (j) | 113937 | 98930 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (j) | 5954 | 5155 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (i) | 9752 | 289 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-67 Class KZ, 3.25% 9/25/2040  | 8699444 | 8231243 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (b)(c) | 2070793 | 2087667 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2054 (b)(c) | 1102673 | 1110516 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (b)(c) | 1430719 | 1445904 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 9/25/2054 (b)(c) | 1655414 | 1672456 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (b)(c) | 2487525 | 2511024 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 1105855 | 1115042 |
| Fannie Mae Series 2010-118 Class PB, 4.5% 10/25/2040  | 1142393 | 1154059 |
| Fannie Mae Series 2010-15 Class FJ, U.S. 30-Day Avg. SOFR Index + 1.0445%, 4.7117% 6/25/2036 (b)(c) | 1007314 | 1019408 |
| Fannie Mae Series 2010-39 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0345%, 4.7017% 3/25/2036 (b)(c) | 750736 | 759848 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 268893 | 265861 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (i) | 2842 | 368 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (i) | 2685 | 357 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (b)(i) | 1776 | 296 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (b)(i) | 1241 | 175 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (i) | 1699 | 268 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (b)(i) | 1142 | 191 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (i) | 11738 | 1781 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 471 | 478 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 1805 | 1836 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4341 Class ML, 3.5% 11/15/2031  | 1109815 | 1106392 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 136803 | 136924 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 870137 | 790992 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 893 | 912 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 6902 | 7023 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 366 | 372 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 965 | 984 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2145 Class MZ, 6.5% 4/15/2029  | 8003 | 8145 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 1900 | 1941 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 1130 | 1154 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 605 | 615 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 4248 | 4337 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 15971 | 16604 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5727% 1/15/2032 (b)(c) | 228 | 229 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 3/15/2032 (b)(c) | 308 | 310 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7727% 3/15/2032 (b)(c) | 298 | 301 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 6/15/2031 (b)(c) | 437 | 440 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 3/15/2032 (b)(c) | 160 | 162 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 2005 | 2082 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 3080 | 3161 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 5346 | 5550 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2526 Class FC, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.1727% 11/15/2032 (b)(c) | 3474 | 3472 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2530 Class FE, U.S. 30-Day Avg. SOFR Index + 0.7145%, 4.3727% 2/15/2032 (b)(c) | 5915 | 5934 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2587 Class AD, 4.71% 3/15/2033  | 239880 | 242564 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2682 Class FB, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 10/15/2033 (b)(c) | 329580 | 331869 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2682 Class LD, 4.5% 10/15/2033  | 74314 | 75313 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 12570 | 12944 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2711 Class FC, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 2/15/2033 (b)(c) | 249980 | 251701 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2770 Class FH, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.1727% 3/15/2034 (b)(c) | 83899 | 83736 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 6924 | 7143 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class ZG, 5.5% 5/15/2034  | 1024918 | 1054601 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2877 Class ZD, 5% 10/15/2034  | 1021941 | 1033730 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 63032 | 64375 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 24622 | 25699 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class MK, 5.5% 6/15/2035  | 2388 | 2456 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 38608 | 39230 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 12816 | 13231 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.8273% 2/15/2036 (b)(i) | 4036 | 383 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (j) | 13730 | 11608 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3121 Class KO, 0% 3/15/2036 (j) | 2196 | 1973 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (j) | 7506 | 6431 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3145 Class GO, 0% 4/15/2036 (j) | 8709 | 7488 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 13387 | 14077 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 51211 | 52713 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.8873% 11/15/2036 (b)(i) | 17061 | 1617 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 3678 | 3807 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.8073% 6/15/2037 (b)(i) | 12618 | 1288 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.0227% 5/15/2037 (b)(c) | 14470 | 14310 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 131651 | 134459 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 62772 | 64482 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3843 Class PZ, 5% 4/15/2041  | 1967050 | 1995400 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3857 Class ZP, 5% 5/15/2041  | 3164000 | 3209519 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3889 Class DZ, 4% 1/15/2041  | 9224659 | 9175432 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 9098 | 9171 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 165125 | 157241 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (i) | 1 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (i) | 22239 | 540 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 22533 | 22498 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 105735 | 103259 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5122 Class TE, 1.5% 6/25/2051  | 3341133 | 2898913 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5137 Class TA, 2% 3/25/2039  | 8483731 | 7912645 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 5513660 | 4959081 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 1085515 | 1009089 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 7415781 | 6794588 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 1197193 | 1089740 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 1112037 | 1032733 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 1285268 | 1154987 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 843274 | 783657 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 4057580 | 3783785 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 903790 | 840801 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5213 Class JM, 3.5% 9/25/2051  | 4465038 | 4412685 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CG, 3.5% 4/25/2052  | 1596170 | 1554808 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5220 Class PK, 3.5% 1/25/2051  | 2220354 | 2146820 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5224 Class DQ, 3.75% 8/25/2044  | 2547230 | 2494638 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 1581423 | 1604161 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 1030452 | 1035330 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 2726661 | 2746225 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (b)(c) | 873856 | 878491 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9172% 10/25/2054 (b)(c) | 1687844 | 1701480 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 1656422 | 1670325 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 2069 | 2108 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 1127 | 1148 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 316 | 321 |
| Freddie Mac Non Gold Pool Series 2006-3225 Class EO, 0% 10/15/2036 (j) | 4249 | 3605 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.1159% 5/20/2060 (b)(c)(d) | 9957 | 9938 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.0969% 8/20/2060 (b)(c)(d) | 160574 | 160062 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.1769% 12/20/2060 (b)(c)(d) | 115130 | 114298 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 12/20/2060 (b)(c)(d) | 86022 | 86042 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 2/20/2061 (b)(c)(d) | 96089 | 96111 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.2869% 2/20/2061 (b)(c)(d) | 109581 | 109590 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 4/20/2061 (b)(c)(d) | 71186 | 71207 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 5/20/2061 (b)(c)(d) | 92430 | 92453 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 5/20/2061 (b)(c)(d) | 80068 | 80084 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.3269% 6/20/2061 (b)(c)(d) | 79589 | 79642 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3469% 9/20/2061 (b)(c)(d) | 401245 | 401600 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 10/20/2061 (b)(c)(d) | 282561 | 283094 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4969% 11/20/2061 (b)(c)(d) | 274789 | 275489 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4969% 1/20/2062 (b)(c)(d) | 175849 | 176353 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4269% 1/20/2062 (b)(c)(d) | 368284 | 369085 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4269% 3/20/2062 (b)(c)(d) | 215484 | 215802 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 4.4469% 5/20/2061 (b)(c)(d) | 1061 | 1063 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H01 Class FA, 1.65% 1/20/2063 (d) | 2 | 2 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H04 Class BA, 1.65% 2/20/2063 (d) | 347 | 334 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H19 Class FC, CME Term SOFR 1 month Index + 0.6%, 4.3969% 8/20/2063 (b)(c)(d) | 16984 | 17017 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H02 Class FB, CME Term SOFR 1 month Index + 0.65%, 4.4469% 12/20/2063 (b)(c)(d) | 772330 | 774736 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 1/20/2064 (b)(c)(d) | 326886 | 327505 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 12/20/2063 (b)(c)(d) | 14577 | 14601 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 6/20/2064 (b)(c)(d) | 21029 | 21034 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.0769% 5/20/2063 (b)(c)(d) | 12113 | 12060 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (d) | 519 | 493 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 3.9969% 4/20/2063 (b)(c)(d) | 16878 | 16759 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H30 Class HA, 1.75% 9/20/2062 (b)(d) | 113522 | 110853 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H13 Class FB, 1 year U.S. Treasury Index + 0.5%, 3.98% 5/20/2066 (b)(c)(d) | 439515 | 439977 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.1969% 12/20/2062 (b)(c)(d) | 28607 | 28559 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 254575 | 238583 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 3.83% 8/20/2066 (b)(c)(d) | 528591 | 528008 |
| Ginnie Mae Mortgage pass-thru certificates Series 2018-H12 Class HA, 3.25% 8/20/2068 (d) | 555506 | 545560 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-22 Class AZ, 5.5% 4/20/2034  | 930818 | 970748 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 19499 | 19900 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.7259% 5/16/2034 (b)(i) | 3871 | 226 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 3.4259% 8/17/2034 (b)(i) | 4036 | 401 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.9159% 6/16/2037 (b)(i) | 7367 | 664 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-59 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.2817% 7/20/2037 (b)(c) | 59236 | 59385 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-2 Class FD, CME Term SOFR 1 month Index + 0.5945%, 4.2617% 1/20/2038 (b)(c) | 60353 | 60450 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-73 Class FA, CME Term SOFR 1 month Index + 0.9745%, 4.6417% 8/20/2038 (b)(c) | 398836 | 405192 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-83 Class FB, CME Term SOFR 1 month Index + 1.0145%, 4.6817% 9/20/2038 (b)(c) | 301688 | 306846 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-108 Class CF, CME Term SOFR 1 month Index + 0.7145%, 4.3741% 11/16/2039 (b)(c) | 334979 | 336614 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-116 Class KF, CME Term SOFR 1 month Index + 0.6445%, 4.3041% 12/16/2039 (b)(c) | 48341 | 48497 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 13783 | 13724 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 183651 | 182813 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-169 Class Z, 4.5% 12/20/2040  | 4554676 | 4494749 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 40558 | 40372 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-31 Class BP, 5% 3/20/2040  | 3076495 | 3174509 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3359% 3/20/2060 (b)(c)(d) | 24134 | 24157 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (i) | 10527 | 286 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-68 Class EC, 3.5% 4/20/2041  | 23995 | 23841 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-69 Class GX, 4.5% 5/16/2040  | 52450 | 52339 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 2.3183% 7/20/2041 (b)(i) | 16898 | 1795 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-98 Class FA, CME Term SOFR 1 month Index + 0.5145%, 4.1817% 8/20/2042 (b)(c) | 62837 | 62436 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 45029 | 44636 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 351034 | 332154 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 135802 | 128617 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 228730 | 214601 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 184731 | 174771 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 70375 | 67056 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 2736781 | 2543786 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 193537 | 180316 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 156522 | 146274 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 196038 | 185612 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 175626 | 168251 |
| TOTAL UNITED STATES |  | 150508973 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $146,623,492) |  | <br> **150508973** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 10.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 10.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 10.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 10.2%  |  |  |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K055 Class A2, 2.673% 3/25/2026  | 675050 | 673261 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K056 Class A2, 2.525% 5/25/2026  | 24138444 | 24033676 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K057 Class A2, 2.57% 7/25/2026  | 6980460 | 6939849 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K058 Class A2, 2.653% 8/25/2026  | 15475000 | 15371130 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K059 Class A2, 3.12% 9/25/2026 (b) | 20934984 | 20822645 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K060 Class A2, 3.3% 10/25/2026  | 18000000 | 17909510 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K061 Class A2, 3.347% 11/25/2026  | 27228229 | 27100784 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K063 Class A2, 3.43% 1/25/2027  | 1688590 | 1681430 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K065 Class A2, 3.243% 4/25/2027  | 9000000 | 8944524 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K735 Class A2, 2.862% 5/25/2026  | 4574844 | 4557212 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K736 Class A2, 2.282% 7/25/2026  | 6701230 | 6661845 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K523 Class AS, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.2292% 4/25/2029 (b)(c) | 12482291 | 12489511 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class AS, U.S. 30-Day Avg. SOFR Index + 0.53%, 4.2092% 6/25/2030 (b)(c) | 10300000 | 10295967 |
| TOTAL UNITED STATES |  | 157481344 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $157,170,770) |  | <br> **157481344** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 34.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 34.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 34.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 34.7%  |  |  |
| Fannie Mae 2% 2/1/2052  | 1279803 | 1080176 |
| Fannie Mae 3.5% 12/1/2036  | 27981 | 27648 |
| Fannie Mae 3.5% 5/1/2036  | 21282 | 21075 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.365%, 6.095% 10/1/2035 (b)(c) | 4824 | 4955 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (b)(c) | 1108 | 1146 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 5.96% 1/1/2035 (b)(c) | 1789 | 1845 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (b)(c) | 5583 | 5734 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (b)(c) | 5904 | 6101 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.44% 3/1/2037 (b)(c) | 69775 | 72395 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.5657%, 6.068% 2/1/2044 (b)(c) | 48964 | 50943 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.5773%, 6.12% 2/1/2044 (b)(c) | 13755 | 14312 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.58%, 5.848% 1/1/2044 (b)(c) | 47036 | 48965 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.58%, 6.455% 4/1/2044 (b)(c) | 35581 | 36994 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6093%, 6.369% 5/1/2035 (b)(c) | 1391 | 1436 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 6.315% 9/1/2036 (b)(c) | 268 | 278 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6337%, 6.373% 4/1/2044 (b)(c) | 59718 | 62252 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6669%, 6.391% 11/1/2036 (b)(c) | 6553 | 6780 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6731%, 6.22% 3/1/2033 (b)(c) | 4021 | 4144 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6834%, 6.511% 5/1/2036 (b)(c) | 10267 | 10637 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6917%, 5.974% 2/1/2037 (b)(c) | 20557 | 21339 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6919%, 6.305% 7/1/2043 (b)(c) | 15020 | 15751 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.592% 6/1/2042 (b)(c) | 23556 | 24714 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7392%, 6.152% 3/1/2040 (b)(c) | 110684 | 115712 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.279% 7/1/2035 (b)(c) | 12884 | 13319 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.5% 8/1/2041 (b)(c) | 3816 | 4007 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.07% 1/1/2042 (b)(c) | 118547 | 124493 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.478% 7/1/2041 (b)(c) | 7600 | 7981 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8063%, 6.388% 12/1/2040 (b)(c) | 41761 | 43856 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.06% 12/1/2039 (b)(c) | 775 | 811 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.508% 7/1/2041 (b)(c) | 15515 | 16293 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.568% 9/1/2041 (b)(c) | 13106 | 13764 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.593% 2/1/2042 (b)(c) | 51495 | 54077 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.587% 2/1/2035 (b)(c) | 2862 | 2976 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 6.58% 10/1/2041 (b)(c) | 4471 | 4652 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.854%, 6.753% 4/1/2036 (b)(c) | 15850 | 16479 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.89%, 6.246% 8/1/2035 (b)(c) | 9100 | 9370 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (b)(c) | 3283 | 3435 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.137%, 6.164% 7/1/2036 (b)(c) | 1394 | 1432 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (b)(c) | 8488 | 8761 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.217% 6/1/2036 (b)(c) | 1596 | 1651 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.275%, 6.379% 10/1/2033 (b)(c) | 10791 | 11137 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.392% 7/1/2034 (b)(c) | 526 | 542 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 1496008 | 1294712 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 1468397 | 1272635 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 1498999 | 1298215 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 16784 | 14971 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 482001 | 407872 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 3339955 | 2978717 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 343262 | 288754 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 14080 | 12655 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 352716 | 347319 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15078 | 13536 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 746029 | 629428 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 959040 | 860543 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 4716966 | 3944349 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 378498 | 340903 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 273788 | 246555 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 16565 | 14834 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 364644 | 307082 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 213214 | 179556 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 3105772 | 2601913 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 68362 | 57549 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 87227 | 79430 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 25420 | 23085 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 7479 | 6804 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 6884 | 6266 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1761344 | 1621697 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 558806 | 514735 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 521776 | 480517 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1563502 | 1370055 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1183170 | 1036780 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 1322485 | 1218831 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  | 50706 | 46098 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 5316 | 4830 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 600097 | 566926 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 574934 | 527984 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 38327 | 34847 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 10378 | 9422 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 6676 | 6079 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 324117 | 298339 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 133694 | 122908 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 2492864 | 2200010 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 5126146 | 4527146 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2028  | 912 | 905 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 117937 | 115650 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2040  | 6154 | 5913 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 129628 | 122062 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 27374 | 25753 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 18162 | 17145 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 14905 | 14009 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 14183 | 13354 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 13301 | 12514 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 11955 | 11227 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 9195 | 8648 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7487 | 7082 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 6532 | 6186 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 12757 | 12058 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 60121 | 54515 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2040  | 2878652 | 2765868 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 11674 | 10970 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 50591 | 46996 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 8935063 | 8177330 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2039  | 46716 | 44959 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 64280 | 60590 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 9645 | 9072 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7867 | 7412 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 5417 | 5075 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 4705715 | 4303709 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 2038671 | 1868331 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 110771 | 108926 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 53759 | 52532 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 34933 | 32939 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 15092 | 14196 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 8746 | 8231 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6930 | 6523 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6578 | 6192 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6386 | 6011 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6169 | 5779 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6113 | 5761 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5499 | 5162 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 884839 | 810077 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 38815 | 35317 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 95635 | 89870 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 69921 | 65729 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 53058 | 49953 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 42530 | 40007 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 33482 | 31473 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 19950 | 18781 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 17975 | 16895 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 16531 | 15507 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 9856 | 9297 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 8900 | 8332 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 8135 | 7651 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 5139 | 4820 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 593318 | 546340 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 3413192 | 3120538 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 2295764 | 2098921 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 28883 | 27191 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 7628 | 7176 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 6277 | 5901 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 20893 | 19548 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 8353 | 7748 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 701656 | 640321 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 157862 | 145363 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 18955 | 17829 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 87732 | 81937 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 410684 | 378038 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 75532 | 69009 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 94847 | 89038 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 77678 | 73039 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 11586 | 10888 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 7004 | 6583 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 6461 | 6067 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 5774 | 5422 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 12361 | 11501 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 147063 | 135419 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2044  | 74479 | 70000 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2040  | 101105 | 97144 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 18203 | 17173 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 4894 | 4601 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 158379 | 148404 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 769131 | 714961 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 4730538 | 4351542 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 979091 | 900649 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 44681 | 41912 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 22285 | 20883 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 25775 | 23955 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 23368 | 21698 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 8624 | 7983 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 338403 | 314358 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 1213122 | 1113276 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2041  | 1052814 | 1001366 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 60587 | 56978 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 11191 | 10494 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 7948 | 7442 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 801614 | 744656 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 281085 | 261112 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 40521 | 37135 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 8/1/2042  | 13479 | 12912 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 9/1/2042  | 6289 | 6018 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 15839 | 15359 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 49621 | 48032 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 7294 | 7057 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 407544 | 390284 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 124868 | 118019 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 120833 | 116994 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 41477 | 40167 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 27989 | 27213 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 11382 | 11023 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 6857 | 6643 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 3200 | 3108 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 52188 | 50127 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 12884 | 12462 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 7586 | 7336 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 6942 | 6707 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 7424 | 7177 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 895121 | 846862 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 75741 | 71658 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 8486 | 8228 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 3481272 | 3365753 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 135878 | 130124 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 64489 | 61758 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 111027 | 106116 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2051  | 91391 | 86464 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 23228 | 22419 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 5270 | 5100 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2051  | 3063524 | 2903145 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052 (e) | 25190584 | 23775795 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 23460 | 22682 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 23414 | 22592 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 4432850 | 4191089 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 8155 | 7901 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 57702 | 55763 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 44620 | 43089 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 9612 | 9290 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 5849 | 5657 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 94910 | 91127 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2051  | 904257 | 856918 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2038  | 14042 | 13869 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 75974 | 73384 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 48598 | 46954 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 1897 | 1828 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 378381 | 363303 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2050  | 54967 | 51832 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 386630 | 366269 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 61122 | 59213 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 48674 | 47028 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 525011 | 502612 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 4410 | 4269 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 5625 | 5425 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 218401 | 209220 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 131528 | 125999 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 42163 | 40842 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 16875 | 16375 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 7137 | 6903 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 59783 | 57944 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 9539 | 9239 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 66458 | 63644 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 28009 | 27120 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 25787 | 24976 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 13868 | 13428 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 9046 | 8755 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 8333 | 8091 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 6176 | 5995 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 4725 | 4575 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 2360 | 2290 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 465987 | 447417 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 44346 | 42010 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 89788 | 89500 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 8878 | 8844 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 3627 | 3614 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 3258 | 3248 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 130660 | 130216 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 9760 | 9715 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 19771 | 19684 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 23338 | 23270 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 12252 | 12196 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 4556 | 4547 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 4266 | 4253 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 3260 | 3251 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 110684 | 110252 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 77592 | 77269 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 4630 | 4608 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 31698 | 31561 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 12555 | 12435 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 99021 | 97972 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 133422 | 133000 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 25684 | 25615 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 17821 | 17781 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 16134 | 16071 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 15087 | 15023 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 14263 | 14213 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 13774 | 13735 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 12272 | 12234 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 11716 | 11662 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 10686 | 10646 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 10396 | 10367 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 10042 | 10000 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 9256 | 9227 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7165 | 7134 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 6803 | 6771 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 6064 | 6042 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 6012 | 5999 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 4762 | 4740 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 4030 | 4026 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3153 | 3144 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 1121 | 1117 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 69489 | 69213 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 38590 | 38433 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 31233 | 31097 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 49352 | 48840 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 36726 | 36590 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 1532 | 1526 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 1015 | 1009 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 12851 | 12791 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 11030 | 10984 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 2441 | 2431 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 4494 | 4477 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 7250 | 7187 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 18529 | 18320 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 74138 | 73904 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 11107 | 11071 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 3625 | 3612 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 92091 | 91666 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 6048 | 6027 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 5859 | 5824 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 1862 | 1860 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 76212 | 75364 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 24291 | 24019 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 41428 | 40717 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 2463 | 2462 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 13073 | 13155 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 4428 | 4406 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 4338 | 4322 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 2387 | 2378 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 911 | 909 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 37383 | 37175 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 5728 | 5705 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 5136 | 5114 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 3171 | 3156 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 11908 | 11791 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 147963 | 146468 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 9666 | 9554 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 32502 | 32362 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 22706 | 22610 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 10640 | 10594 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 6410 | 6379 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 4772 | 4746 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 3690 | 3672 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 12720 | 12631 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 11187 | 11079 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 29491 | 29151 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 141262 | 139236 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 142898 | 140848 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 12696 | 12652 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 25368 | 25131 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 156442 | 154539 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  | 2842 | 2820 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 139869 | 138474 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 134679 | 132663 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 79308 | 78121 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 6737 | 6691 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 2318 | 2300 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 26229 | 25959 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 16125 | 15991 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 15905 | 15727 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 347278 | 341644 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 83955 | 84482 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 14939 | 14995 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 4304 | 4288 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 2476 | 2467 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 5147 | 5125 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 2663 | 2647 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 1249 | 1247 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 630 | 627 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 167306 | 165533 |
| Fannie Mae Mortgage pass-thru certificates 4.25% 11/1/2041  | 4355 | 4373 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 1622 | 1648 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 37935 | 38045 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 5272 | 5288 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 4211 | 4214 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 2631 | 2675 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 2735 | 2781 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 106382 | 108093 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 15309 | 15377 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 2749 | 2796 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 1377 | 1401 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 11112 | 11301 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 286740 | 291623 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 7824 | 7957 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 14512 | 14681 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 2488 | 2517 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 26608 | 27063 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 5081 | 5103 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2033  | 4885 | 4949 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 1226 | 1243 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 21735 | 22099 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 4462 | 4538 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 4415 | 4489 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 1148 | 1167 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 24180 | 24588 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 2188 | 2218 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 13853 | 13953 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 25089 | 25493 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 151963 | 154547 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 24966 | 25038 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 19638 | 19695 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 11895 | 11904 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 37338 | 38052 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 8267 | 8382 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 2135 | 2171 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  | 14911 | 15084 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 127302 | 129460 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 10441 | 10533 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 11866 | 11933 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 2917 | 2934 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 21767 | 21829 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 4552 | 4565 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 143257 | 145289 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 40445 | 41004 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 25298 | 25641 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 701 | 713 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 9066 | 9215 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 4326 | 4397 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 5306 | 5368 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 14493 | 14576 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 12040 | 12099 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 9164 | 9216 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 3722 | 3743 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 3236 | 3254 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 15053 | 15083 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 12558 | 12629 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 19032 | 19396 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 39118 | 39689 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 39302 | 39935 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 178936 | 180010 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 6282 | 6320 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 3352 | 3367 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 2353 | 2369 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2026  | 23 | 22 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 385 | 389 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 210 | 212 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 28497 | 28974 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 3839 | 3904 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  | 6110 | 6181 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 144240 | 145106 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 24968 | 25079 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 5745 | 5817 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 2869 | 2907 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 2561 | 2593 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1916 | 1942 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1720 | 1743 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 875 | 887 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 449 | 453 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 438 | 444 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 211 | 213 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037  | 888 | 897 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 50601 | 51569 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 6268 | 6350 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 2884 | 2923 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 2870 | 2908 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 2294 | 2324 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 1080 | 1094 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 968 | 981 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 14844 | 15063 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 6840 | 6936 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 61136 | 62176 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 3822 | 3886 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 26619 | 26737 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 5982 | 6008 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2029  | 314 | 318 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 30239 | 31307 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 4708597 | 4797906 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 40303 | 41366 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 4950526 | 5056800 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 1942594 | 1979439 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 1222785 | 1244449 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 1324711 | 1349009 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 124195 | 127475 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 22034 | 22651 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 1441 | 1491 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 2958 | 3066 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2052  | 2392503 | 2449845 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 107589 | 110400 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 46009 | 47211 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 3528 | 3652 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2052  | 885581 | 906253 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 4736 | 4849 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 46242 | 47544 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 523 | 542 |
| Fannie Mae Mortgage pass-thru certificates 5.31% 8/1/2041 (b) | 36615 | 37401 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 798973 | 818525 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.475%, 6.03% 10/1/2033 (b)(c) | 11496 | 11746 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 5.755% 1/1/2035 (b)(c) | 315 | 323 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.51%, 5.76% 2/1/2033 (b)(c) | 4292 | 4381 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 5.785% 3/1/2035 (b)(c) | 10360 | 10631 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 5.907% 12/1/2034 (b)(c) | 12249 | 12554 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.066% 10/1/2033 (b)(c) | 4428 | 4531 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.142% 9/1/2033 (b)(c) | 17584 | 17984 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 5.744% 7/1/2035 (b)(c) | 6329 | 6505 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.585% 9/1/2035 (b)(c) | 297 | 308 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2034  | 71187 | 74555 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2035  | 134242 | 141588 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 601 | 635 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 129 | 136 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 11459 | 12159 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 11057 | 11756 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 8304 | 8716 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 4425 | 4657 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 729 | 770 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 10657 | 11287 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2034  | 98227 | 103368 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 19329 | 20280 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 3418 | 3599 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 1513 | 1590 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 195 | 207 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 988161 | 1023645 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 4513 | 4811 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2034  | 5353 | 5601 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2034  | 5268 | 5512 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 5905 | 6187 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 3865 | 4111 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 388 | 413 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 466066 | 480328 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2035  | 190560 | 200095 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 253 | 267 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2037  | 704 | 745 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 13394 | 14224 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 2734089 | 2860256 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 2023 | 2124 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 301651 | 317449 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 6751 | 7131 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 5270494 | 5503823 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 4014711 | 4187427 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1644481 | 1693772 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 236753 | 248066 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 1968 | 2077 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 676 | 712 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 664 | 700 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 1777 | 1890 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 25337 | 26926 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 1982538 | 2070306 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2034  | 124992 | 131295 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 1177 | 1239 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 545 | 574 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 313 | 330 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 147 | 155 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 29378 | 30741 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 569 | 584 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 6124 | 6461 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 809 | 859 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 229744 | 238838 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 6779 | 7098 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 65513 | 68857 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 725212 | 756815 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 459966 | 480010 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 19751 | 20679 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 3967 | 4151 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 8238 | 8672 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 482 | 515 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 59985 | 62980 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 46999 | 49344 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 10883 | 11449 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 3519295 | 3723521 |
| Fannie Mae Mortgage pass-thru certificates 6.783% 2/1/2039 (b) | 10249 | 10727 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 43 | 44 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 110 | 117 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 29 | 29 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 44 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 15 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 12 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 33 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 11 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 105 | 111 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 25 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 118 | 124 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 46 | 48 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 22 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 10 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 98 | 103 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 62 | 65 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 694 | 733 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 67 | 71 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 437 | 459 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 925 | 972 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 37 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 175 | 184 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 115 | 120 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 629 | 669 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 251 | 263 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 128 | 135 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 69 | 73 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 186 | 195 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 46 | 48 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 99 | 105 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 82 | 87 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 45 | 45 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 46 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 22 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 17 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 1274 | 1355 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 60 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 9 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 51 | 53 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 27 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2030  | 168 | 176 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 269 | 283 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 29 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 39 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 1250 | 1278 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 66 | 67 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 30 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 23 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 20 | 21 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 199 | 208 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 25 | 26 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 15 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 11 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 10 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 4 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 16 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 53 | 55 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 30 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 19 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2030  | 113 | 120 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 4 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 81 | 85 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 80 | 81 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 24 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 21 | 21 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 65 | 66 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 10 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 22 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 35 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 10 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 10 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 12 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 906 | 924 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 28 | 29 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2026  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 68 | 71 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 890554 | 771253 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 17162 | 15308 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 686750 | 612329 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 6232179 | 5217219 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 5522956 | 4668372 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 882585 | 795159 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 1855095 | 1551239 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 3026523 | 2539305 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 142111 | 119633 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 9263172 | 7766170 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 1169446 | 984840 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 16465 | 14733 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 84431 | 71076 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 37426 | 36509 |
| Freddie Mac Gold Pool 2.5% 11/1/2041 (g) | 10240564 | 9439408 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 1321304 | 1166907 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1032653 | 904886 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 1915759 | 1768606 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 1532072 | 1353526 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 4046051 | 3754537 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 23596 | 23050 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 22576 | 22030 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 38356 | 37429 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 1349558 | 1191859 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 160044 | 141693 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1726193 | 1519089 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 64751 | 63164 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 11453 | 10730 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 9534 | 8983 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 54427 | 49522 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 4546 | 4275 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 672277 | 611694 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 6676 | 6556 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 164623 | 155186 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 14699 | 13859 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 5448 | 5132 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 352908 | 328212 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 30796 | 28396 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 399306 | 363321 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 47452 | 46160 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 11442 | 10815 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 8265 | 7776 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 5536 | 5220 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 898359 | 827228 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 7064 | 6655 |
| Freddie Mac Gold Pool 3% 3/1/2048  | 5925 | 5474 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 61378 | 60133 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 16549 | 15401 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 15096 | 14049 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 308781 | 284235 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 7846 | 7305 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 268258 | 249653 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 40844 | 38011 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 20932 | 20633 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 8093 | 7979 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 4792 | 4721 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 3148 | 3106 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 265811 | 247376 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 146452 | 134810 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 5117 | 5030 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 16545 | 15427 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 6964 | 6599 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 6939 | 6822 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 4549 | 4471 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 4761 | 4455 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 695385 | 634023 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 32921 | 31600 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 10996 | 10578 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 12934 | 12559 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 7621 | 7389 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 26935 | 26208 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 4689 | 4516 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 46100 | 44285 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 17194 | 16436 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 40056 | 39755 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 25885 | 25181 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 61757 | 59210 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 69817 | 66741 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 418542 | 415463 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 34617 | 33605 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 13031 | 12680 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 3532 | 3419 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 213669 | 204257 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 37706 | 36045 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 245529 | 243992 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 83509 | 80452 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 22779 | 21988 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 18131 | 17491 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 7258 | 7038 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 334717 | 322487 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 84189 | 80401 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 31945 | 31106 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 292739 | 284893 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 42781 | 41423 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 16957 | 16436 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 77876 | 74689 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 63867 | 61393 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 6874 | 6608 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 46733 | 46345 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 60893 | 59310 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 10844 | 10560 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 151616 | 145834 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 10797 | 10393 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 6506 | 6270 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 2897 | 2813 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 638132 | 615408 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 175825 | 174691 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 53977 | 52633 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 319939 | 308478 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 183705 | 176845 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 29976 | 28908 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 17291 | 16680 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 721016 | 716413 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 5144 | 5004 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 932694 | 903656 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 8873 | 8510 |
| Freddie Mac Gold Pool 3.5% 7/1/2051  | 2190670 | 2073933 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 78998 | 78324 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 34599 | 33696 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 27902 | 27197 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1160770 | 1123430 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 806949 | 776574 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 88669 | 85012 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 140137 | 142173 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 16003 | 16121 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 10999 | 10977 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 5242 | 5237 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 3399 | 3378 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 8462 | 8399 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 88138 | 87880 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 10398 | 10368 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 8162 | 8140 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 4338 | 4319 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 2539 | 2537 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 1785 | 1774 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 21099 | 20959 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 8475 | 8411 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 14907 | 14781 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 5556 | 5520 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 14303 | 14251 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 1721 | 1721 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 186559 | 186071 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 147562 | 147108 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 18504 | 18425 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 16119 | 16033 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 10003 | 9960 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 6633 | 6594 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 628 | 629 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 114859 | 113018 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 2657 | 2653 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 8113 | 8066 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 4495 | 4485 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 182352 | 179429 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 28167 | 28114 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 1668 | 1663 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 38590 | 38450 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 6343 | 6328 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 15092 | 15009 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 11520 | 11450 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 9049 | 8990 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 4983 | 4951 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 9026 | 8970 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 5474 | 5430 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 121465 | 120606 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 45735 | 45404 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 118485 | 116771 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 10751 | 10599 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 6774 | 6744 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 6622 | 6602 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 5735 | 5718 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 3061 | 3042 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 12162 | 12072 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 99741 | 99307 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 76779 | 76540 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 3496 | 3476 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 3169 | 3164 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 2526 | 2521 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 1402 | 1394 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 146273 | 145685 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 8044 | 8007 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 44101 | 43642 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 41532 | 40918 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 35117 | 34598 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 19051 | 18769 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 7151 | 7045 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 2101 | 2070 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 197966 | 199729 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 12198 | 12173 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 9858 | 9797 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 3717 | 3691 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 60066 | 59897 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 15815 | 15666 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 244538 | 240999 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 8248 | 8322 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 6092 | 6146 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 3932 | 3919 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 9057 | 9032 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 10393 | 10309 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 703577 | 693837 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 49282 | 48707 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 154489 | 153738 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 19406 | 19284 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 16000 | 15919 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 8853 | 8808 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 6751 | 6705 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 5126 | 5090 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 4927 | 4892 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 2239 | 2223 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 11562 | 11534 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 29598 | 29344 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 41776 | 42148 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 31316 | 31546 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 9357 | 9297 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 7611 | 7590 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 5542 | 5530 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 2337 | 2328 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 11150 | 11120 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 4085 | 4074 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 2980 | 2976 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 62410 | 62180 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 11699 | 11676 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 15042 | 14957 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 14088 | 14002 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 13492 | 13416 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 11863 | 11786 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 11600 | 11518 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 8065 | 8020 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 4903 | 4866 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 414 | 414 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 8526 | 8470 |
| Freddie Mac Gold Pool 4.5% 1/1/2040  | 3454 | 3516 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 3673 | 3739 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 2185 | 2224 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 108790 | 110774 |
| Freddie Mac Gold Pool 4.5% 1/1/2045  | 4052 | 4106 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 8214 | 8276 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 21372 | 21757 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 5129 | 5222 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 2004 | 2040 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 10189 | 10375 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 5757 | 5862 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 27057 | 27553 |
| Freddie Mac Gold Pool 4.5% 10/1/2043  | 6002 | 6105 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 143474 | 144862 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 22608 | 22650 |
| Freddie Mac Gold Pool 4.5% 11/1/2031  | 780 | 786 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 2553 | 2600 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 31440 | 31842 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 3876 | 3947 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 3344 | 3405 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 7158 | 7250 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 19679 | 20032 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 8332 | 8395 |
| Freddie Mac Gold Pool 4.5% 2/1/2037  | 289 | 293 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 15580 | 15863 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 4418 | 4498 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 4407 | 4487 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 4398 | 4479 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 4124 | 4199 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 3166 | 3223 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 2681 | 2729 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 1888 | 1922 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 2910 | 2961 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 34427 | 34685 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 42108 | 42878 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 17306 | 17622 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 4318 | 4397 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 4209 | 4286 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 2411 | 2455 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 960 | 978 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 2732 | 2779 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 52202 | 53157 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 5973 | 6081 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 5827 | 5934 |
| Freddie Mac Gold Pool 4.5% 5/1/2035  | 1768 | 1797 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 13641 | 13889 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 637 | 649 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 6238 | 6351 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 4175 | 4251 |
| Freddie Mac Gold Pool 4.5% 5/1/2045  | 33793 | 34205 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 95399 | 96113 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 70222 | 70748 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 32854 | 33100 |
| Freddie Mac Gold Pool 4.5% 6/1/2038  | 2149 | 2183 |
| Freddie Mac Gold Pool 4.5% 6/1/2040  | 1385 | 1410 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 5736 | 5839 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 4811 | 4899 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 4052 | 4125 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 2184 | 2224 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 1909 | 1943 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 136869 | 137852 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 37432 | 37724 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 7902 | 8044 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 3504 | 3568 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 3041 | 3096 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 2582 | 2629 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 68074 | 68796 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 57997 | 58414 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 30034 | 30268 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 808 | 820 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 256 | 261 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 2707 | 2756 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 1947 | 1982 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 18065 | 18395 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 3385 | 3447 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2819 | 2870 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2095 | 2133 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 10146 | 10324 |
| Freddie Mac Gold Pool 4.5% 9/1/2040  | 5001 | 5092 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 46256 | 47093 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 24854 | 25308 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 19969 | 20334 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 18634 | 19146 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 843 | 869 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 8371 | 8668 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 2195 | 2256 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 1598 | 1640 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 3933887 | 4008502 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 1309 | 1349 |
| Freddie Mac Gold Pool 5% 11/1/2040  | 1478 | 1530 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 2975428 | 3039302 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 1769 | 1819 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 907 | 932 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 322 | 330 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 3491 | 3602 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 7051902 | 7181249 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1070004 | 1089630 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 975636 | 992921 |
| Freddie Mac Gold Pool 5% 2/1/2035  | 2093 | 2145 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 1987 | 2060 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 2835 | 2941 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 737 | 759 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 5254 | 5401 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 1935 | 1994 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 1353 | 1394 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 11341 | 11691 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 12452 | 12906 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 886 | 910 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 432 | 444 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 382 | 394 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 4979 | 5130 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 123 | 126 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 1983 | 2053 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 366199 | 374976 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 930 | 957 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 412 | 425 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 7606 | 7880 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 6314 | 6541 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 185849 | 192696 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 3599 | 3735 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1049106 | 1074250 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 32372 | 33323 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 4410 | 4547 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 1452 | 1502 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 3641 | 3778 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 2980 | 3093 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 1417 | 1451 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 1067 | 1099 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 612 | 629 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 174 | 179 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 7890 | 8114 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 578 | 594 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 221 | 228 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 6252 | 6470 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 1820 | 1869 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 3186 | 3286 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 226 | 233 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 25 | 26 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (g)(h) | 11385992 | 11804273 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 449 | 467 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 277 | 288 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 220 | 230 |
| Freddie Mac Gold Pool 6% 11/1/2029  | 23 | 24 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 296 | 308 |
| Freddie Mac Gold Pool 6% 11/1/2032  | 2478 | 2580 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 150221 | 156168 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 118 | 123 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 6578 | 7010 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 1808 | 1922 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 1272668 | 1330203 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 1145119 | 1198677 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 229 | 238 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 779 | 813 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 5417 | 5614 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 79 | 82 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 31 | 32 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 592 | 614 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 766 | 801 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 521 | 553 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 3632234 | 3762300 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 5908 | 6263 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 4542 | 4745 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 1835 | 1920 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 1728 | 1816 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 9488805 | 10024618 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 9384496 | 9929082 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 15699 | 16474 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 169 | 177 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 45 | 47 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 649 | 681 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 449 | 472 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 433 | 454 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 22930 | 24671 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 750288 | 794121 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 715848 | 756271 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 910 | 964 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 1515 | 1603 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 1343 | 1432 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 27 | 27 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 539 | 567 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 2132 | 2238 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 44 | 44 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 94 | 95 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 3794 | 4024 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 2 | 1 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 21 | 22 |
| Freddie Mac Gold Pool 8% 2/1/2030  | 6 | 6 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 65 | 68 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 144 | 150 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 1 | 0 |
| Freddie Mac Gold Pool 8.5% 8/1/2026  | 2 | 1 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 39 | 40 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 1 | 0 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 5.616% 1/1/2036 (b)(c) | 3915 | 4004 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 5.884% 3/1/2036 (b)(c) | 3393 | 3480 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 5.85% 3/1/2036 (b)(c) | 2572 | 2655 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.665%, 5.915% 7/1/2036 (b)(c) | 16683 | 17227 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.202% 12/1/2040 (b)(c) | 24343 | 25494 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.406% 7/1/2041 (b)(c) | 4492 | 4710 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.436% 9/1/2041 (b)(c) | 117675 | 123519 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (b)(c) | 1797 | 1869 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.38% 10/1/2041 (b)(c) | 281459 | 295576 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.63% 9/1/2041 (b)(c) | 14322 | 15040 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (b)(c) | 2659 | 2792 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.535% 6/1/2041 (b)(c) | 2887 | 3032 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.672% 6/1/2041 (b)(c) | 36715 | 38556 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.778% 5/1/2041 (b)(c) | 25782 | 27075 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.863% 5/1/2041 (b)(c) | 33135 | 34797 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.939%, 6.607% 10/1/2042 (b)(c) | 61852 | 64950 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.01% 4/1/2038 (b)(c) | 1470 | 1544 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 6.658% 3/1/2033 (b)(c) | 958 | 983 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (b)(c) | 63940 | 66700 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.095% 6/1/2033 (b)(c) | 18469 | 18925 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.23%, 6.48% 4/1/2034 (b)(c) | 6134 | 6319 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.2597%, 6.321% 6/1/2033 (b)(c) | 3494 | 3587 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 6.328% 3/1/2035 (b)(c) | 7257 | 7489 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.548%, 6.548% 7/1/2035 (b)(c) | 108730 | 112715 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.125%, 5.375% 8/1/2037 (b)(c) | 1213 | 1231 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 5.915% 7/1/2035 (b)(c) | 2919 | 2998 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.178% 10/1/2036 (b)(c) | 11746 | 12064 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.29% 1/1/2037 (b)(c) | 4088 | 4209 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.994%, 6.307% 10/1/2035 (b)(c) | 14296 | 14743 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.01%, 6.51% 5/1/2037 (b)(c) | 2891 | 3006 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.26% 6/1/2037 (b)(c) | 5947 | 6185 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 3121133 | 3259309 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 3066411 | 3197372 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 2535587 | 2644670 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 2610412 | 2725977 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 2382765 | 2485273 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 347832 | 361600 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 15589854 | 13702967 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 4055623 | 3567293 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 4880733 | 4290004 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 4067898 | 3575548 |
| Ginnie Mae I Pool 3% 12/15/2042  | 38967 | 36422 |
| Ginnie Mae I Pool 3% 12/20/2042  | 48581 | 45450 |
| Ginnie Mae I Pool 3% 2/15/2045  | 21163 | 19648 |
| Ginnie Mae I Pool 3% 2/15/2045  | 20750 | 19223 |
| Ginnie Mae I Pool 3% 2/20/2050  | 156198 | 143443 |
| Ginnie Mae I Pool 3% 3/15/2045  | 34171 | 31666 |
| Ginnie Mae I Pool 3% 3/20/2043  | 31634 | 29607 |
| Ginnie Mae I Pool 3% 3/20/2043  | 13165 | 12329 |
| Ginnie Mae I Pool 3% 4/15/2043  | 5402 | 5035 |
| Ginnie Mae I Pool 3% 4/15/2043  | 4365 | 4083 |
| Ginnie Mae I Pool 3% 4/15/2045  | 13089 | 12115 |
| Ginnie Mae I Pool 3% 5/15/2042  | 5829 | 5468 |
| Ginnie Mae I Pool 3% 5/15/2043  | 3315 | 3104 |
| Ginnie Mae I Pool 3% 6/15/2043  | 5254 | 4892 |
| Ginnie Mae I Pool 3% 6/15/2043  | 4865 | 4558 |
| Ginnie Mae I Pool 3% 6/15/2043  | 2510 | 2367 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 17669 | 16849 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 14902 | 14236 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 19529 | 18644 |
| Ginnie Mae I Pool 3.5% 11/15/2040  | 2349 | 2254 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 43325 | 41370 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 16871 | 16121 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 15668 | 14958 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 9619 | 9219 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 19337 | 18516 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 8834 | 8442 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 6876 | 6593 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 2055 | 1966 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 18457 | 17660 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 15404 | 14699 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 13832 | 13193 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 6362 | 6089 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 85106 | 81413 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 3794 | 3626 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 13043 | 12380 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 25671 | 24550 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 3945 | 3788 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 1752 | 1676 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 10949 | 10471 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 72930 | 69782 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 13855 | 13187 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 5009 | 4806 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 3227 | 3092 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 13513 | 12948 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 7851 | 7522 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 6006 | 5755 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 5780 | 5538 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 3621 | 3462 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 4975 | 4731 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 4302 | 4108 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 2529 | 2431 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 27128 | 25993 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 8577 | 8218 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 8574 | 8215 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 7883 | 7554 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 7582 | 7264 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 4593 | 4401 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 12313 | 11763 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 4239 | 4049 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 1224 | 1169 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 2645 | 2521 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 22949 | 21856 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 247529 | 237401 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 1264 | 1207 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 3480 | 3318 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 1454 | 1387 |
| Ginnie Mae I Pool 4% 1/15/2041  | 15555 | 15305 |
| Ginnie Mae I Pool 4% 1/15/2042  | 1400 | 1375 |
| Ginnie Mae I Pool 4% 1/15/2047  | 11164 | 10896 |
| Ginnie Mae I Pool 4% 1/15/2047  | 10745 | 10487 |
| Ginnie Mae I Pool 4% 1/15/2047  | 8265 | 8067 |
| Ginnie Mae I Pool 4% 1/15/2047  | 3939 | 3845 |
| Ginnie Mae I Pool 4% 10/15/2040  | 18101 | 17815 |
| Ginnie Mae I Pool 4% 10/15/2040  | 15735 | 15493 |
| Ginnie Mae I Pool 4% 10/15/2040  | 14746 | 14515 |
| Ginnie Mae I Pool 4% 10/15/2040  | 1917 | 1888 |
| Ginnie Mae I Pool 4% 10/15/2041  | 33886 | 33296 |
| Ginnie Mae I Pool 4% 10/15/2041  | 15817 | 15555 |
| Ginnie Mae I Pool 4% 10/15/2041  | 11734 | 11544 |
| Ginnie Mae I Pool 4% 10/15/2041  | 8636 | 8494 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6084 | 5980 |
| Ginnie Mae I Pool 4% 10/15/2041  | 5720 | 5632 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4546 | 4463 |
| Ginnie Mae I Pool 4% 10/15/2041  | 3026 | 2974 |
| Ginnie Mae I Pool 4% 10/15/2041  | 715 | 702 |
| Ginnie Mae I Pool 4% 10/20/2042  | 57177 | 56087 |
| Ginnie Mae I Pool 4% 11/15/2040  | 4496 | 4423 |
| Ginnie Mae I Pool 4% 11/15/2041  | 29423 | 28929 |
| Ginnie Mae I Pool 4% 12/15/2039  | 9043 | 8906 |
| Ginnie Mae I Pool 4% 12/15/2040  | 2111 | 2082 |
| Ginnie Mae I Pool 4% 12/15/2041  | 12584 | 12377 |
| Ginnie Mae I Pool 4% 12/15/2041  | 9498 | 9332 |
| Ginnie Mae I Pool 4% 12/15/2041  | 5430 | 5336 |
| Ginnie Mae I Pool 4% 12/15/2041  | 3453 | 3394 |
| Ginnie Mae I Pool 4% 12/15/2041  | 637 | 626 |
| Ginnie Mae I Pool 4% 12/15/2046  | 2435 | 2380 |
| Ginnie Mae I Pool 4% 2/15/2040  | 13374 | 13166 |
| Ginnie Mae I Pool 4% 2/15/2040  | 9099 | 8965 |
| Ginnie Mae I Pool 4% 2/15/2040  | 8933 | 8794 |
| Ginnie Mae I Pool 4% 2/15/2041  | 3792 | 3732 |
| Ginnie Mae I Pool 4% 2/15/2041  | 2746 | 2698 |
| Ginnie Mae I Pool 4% 2/15/2042  | 4146 | 4074 |
| Ginnie Mae I Pool 4% 2/15/2045  | 14793 | 14474 |
| Ginnie Mae I Pool 4% 3/15/2040  | 66767 | 65741 |
| Ginnie Mae I Pool 4% 3/15/2041  | 33583 | 33061 |
| Ginnie Mae I Pool 4% 3/15/2042  | 15194 | 14924 |
| Ginnie Mae I Pool 4% 3/15/2042  | 3019 | 2963 |
| Ginnie Mae I Pool 4% 3/20/2047  | 29265 | 28764 |
| Ginnie Mae I Pool 4% 4/15/2043  | 10808 | 10606 |
| Ginnie Mae I Pool 4% 4/15/2046  | 92873 | 90818 |
| Ginnie Mae I Pool 4% 4/20/2048  | 13023 | 12727 |
| Ginnie Mae I Pool 4% 4/20/2048  | 11501 | 11239 |
| Ginnie Mae I Pool 4% 5/15/2045  | 13843 | 13529 |
| Ginnie Mae I Pool 4% 5/20/2049  | 22870 | 22228 |
| Ginnie Mae I Pool 4% 6/15/2041  | 3174 | 3122 |
| Ginnie Mae I Pool 4% 6/15/2042  | 3349 | 3285 |
| Ginnie Mae I Pool 4% 6/15/2045  | 3692 | 3614 |
| Ginnie Mae I Pool 4% 7/15/2041  | 890 | 874 |
| Ginnie Mae I Pool 4% 7/15/2045  | 10082 | 9851 |
| Ginnie Mae I Pool 4% 7/15/2046  | 7480 | 7317 |
| Ginnie Mae I Pool 4% 7/15/2046  | 5993 | 5862 |
| Ginnie Mae I Pool 4% 8/15/2039  | 2461 | 2427 |
| Ginnie Mae I Pool 4% 9/15/2039  | 2674 | 2640 |
| Ginnie Mae I Pool 4% 9/15/2041  | 13886 | 13651 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 10372 | 10502 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 3943 | 3992 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 2562 | 2593 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 1449 | 1466 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 2878 | 2913 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 8402 | 8506 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 7939 | 8037 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 5744 | 5815 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 4506 | 4561 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 3584 | 3628 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 2837 | 2872 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 2510 | 2541 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 19612 | 19854 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 2197 | 2224 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 46265 | 46839 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 1234 | 1249 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 8722 | 8829 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 1563 | 1583 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 10490 | 10619 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 1214 | 1229 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 5418 | 5484 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 4990 | 5052 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 38863 | 39346 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 22587 | 22866 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 10290 | 10418 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5863 | 5935 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5665 | 5735 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 4907 | 4968 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 4511 | 4567 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 71710 | 72598 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 4419 | 4473 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 16870 | 17078 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 15179 | 15366 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 11577 | 11720 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 8802 | 8910 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 8147 | 8248 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 7484 | 7577 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 843 | 854 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 43820 | 44358 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 27971 | 28315 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 22379 | 22653 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 8925 | 9036 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 4833 | 4893 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 748 | 757 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 2555 | 2587 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 8287 | 8389 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 4089 | 4140 |
| Ginnie Mae I Pool 5% 10/15/2039  | 3126 | 3235 |
| Ginnie Mae I Pool 5% 10/15/2039  | 2427 | 2514 |
| Ginnie Mae I Pool 5% 10/15/2039  | 1921 | 1990 |
| Ginnie Mae I Pool 5% 10/15/2039  | 1237 | 1280 |
| Ginnie Mae I Pool 5% 11/15/2039  | 2973 | 3080 |
| Ginnie Mae I Pool 5% 12/15/2039  | 3087 | 3198 |
| Ginnie Mae I Pool 5% 12/15/2039  | 1778 | 1841 |
| Ginnie Mae I Pool 5% 2/15/2039  | 561 | 581 |
| Ginnie Mae I Pool 5% 3/15/2041  | 3002 | 3108 |
| Ginnie Mae I Pool 5% 4/15/2040  | 29245 | 30295 |
| Ginnie Mae I Pool 5% 4/15/2040  | 21154 | 21910 |
| Ginnie Mae I Pool 5% 4/15/2041  | 3924 | 4062 |
| Ginnie Mae I Pool 5% 4/20/2048  | 272315 | 280790 |
| Ginnie Mae I Pool 5% 5/15/2039  | 7191 | 7442 |
| Ginnie Mae I Pool 5% 5/15/2039  | 3144 | 3254 |
| Ginnie Mae I Pool 5% 6/15/2040  | 64425 | 66738 |
| Ginnie Mae I Pool 5% 6/15/2040  | 1661 | 1721 |
| Ginnie Mae I Pool 5% 6/15/2040  | 1176 | 1217 |
| Ginnie Mae I Pool 5% 6/15/2041  | 481 | 498 |
| Ginnie Mae I Pool 5% 7/15/2039  | 5442 | 5631 |
| Ginnie Mae I Pool 5% 7/15/2039  | 3026 | 3133 |
| Ginnie Mae I Pool 5% 7/15/2040  | 3934 | 4076 |
| Ginnie Mae I Pool 5% 7/15/2040  | 3149 | 3263 |
| Ginnie Mae I Pool 5% 7/15/2040  | 1697 | 1759 |
| Ginnie Mae I Pool 5% 8/15/2039  | 2616 | 2708 |
| Ginnie Mae I Pool 5% 8/15/2039  | 2315 | 2397 |
| Ginnie Mae I Pool 5% 8/15/2040  | 5581 | 5784 |
| Ginnie Mae I Pool 5% 8/15/2040  | 4701 | 4870 |
| Ginnie Mae I Pool 5% 8/15/2040  | 4171 | 4324 |
| Ginnie Mae I Pool 5% 9/15/2039  | 17720 | 18341 |
| Ginnie Mae I Pool 5% 9/15/2039  | 4133 | 4280 |
| Ginnie Mae I Pool 5% 9/15/2039  | 2570 | 2662 |
| Ginnie Mae I Pool 5% 9/15/2039  | 1119 | 1159 |
| Ginnie Mae I Pool 5% 9/15/2040  | 3070 | 3180 |
| Ginnie Mae I Pool 5% 9/15/2040  | 1736 | 1796 |
| Ginnie Mae I Pool 5% 9/15/2041  | 49136 | 50879 |
| Ginnie Mae I Pool 5.47% 8/20/2059 (b)(d) | 1183 | 1183 |
| Ginnie Mae I Pool 5.5% 1/15/2039  | 2998 | 3142 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 2371 | 2483 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 536 | 561 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 467 | 487 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 14905 | 15644 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 10353 | 10862 |
| Ginnie Mae I Pool 6% 5/15/2040  | 37267 | 39290 |
| Ginnie Mae I Pool 6% 6/15/2036  | 940757 | 990361 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 1501 | 1604 |
| Ginnie Mae I Pool 6.5% 11/15/2034  | 425 | 444 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 1953 | 2081 |
| Ginnie Mae I Pool 6.5% 8/15/2036  | 334 | 358 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 660 | 703 |
| Ginnie Mae I Pool 7% 1/15/2028  | 16 | 16 |
| Ginnie Mae I Pool 7% 1/15/2029  | 13 | 13 |
| Ginnie Mae I Pool 7% 1/15/2031  | 53 | 55 |
| Ginnie Mae I Pool 7% 1/15/2032  | 304 | 315 |
| Ginnie Mae I Pool 7% 10/15/2028  | 97 | 99 |
| Ginnie Mae I Pool 7% 12/15/2028  | 16 | 16 |
| Ginnie Mae I Pool 7% 2/15/2028  | 21 | 21 |
| Ginnie Mae I Pool 7% 2/15/2028  | 15 | 15 |
| Ginnie Mae I Pool 7% 2/15/2032  | 261 | 267 |
| Ginnie Mae I Pool 7% 3/15/2028  | 23 | 23 |
| Ginnie Mae I Pool 7% 3/15/2028  | 18 | 18 |
| Ginnie Mae I Pool 7% 3/15/2028  | 12 | 12 |
| Ginnie Mae I Pool 7% 3/15/2031  | 28 | 29 |
| Ginnie Mae I Pool 7% 3/15/2031  | 20 | 20 |
| Ginnie Mae I Pool 7% 3/15/2032  | 175 | 182 |
| Ginnie Mae I Pool 7% 4/15/2028  | 40 | 41 |
| Ginnie Mae I Pool 7% 4/15/2028  | 25 | 26 |
| Ginnie Mae I Pool 7% 4/15/2028  | 9 | 9 |
| Ginnie Mae I Pool 7% 4/15/2032  | 141 | 146 |
| Ginnie Mae I Pool 7% 4/15/2032  | 30 | 31 |
| Ginnie Mae I Pool 7% 4/20/2032  | 3015 | 3143 |
| Ginnie Mae I Pool 7% 5/15/2031  | 84 | 86 |
| Ginnie Mae I Pool 7% 5/15/2032  | 77 | 80 |
| Ginnie Mae I Pool 7% 6/15/2028  | 49 | 50 |
| Ginnie Mae I Pool 7% 6/15/2028  | 45 | 46 |
| Ginnie Mae I Pool 7% 6/15/2028  | 14 | 14 |
| Ginnie Mae I Pool 7% 6/15/2028  | 10 | 10 |
| Ginnie Mae I Pool 7% 6/15/2031  | 222 | 230 |
| Ginnie Mae I Pool 7% 6/15/2032  | 34 | 35 |
| Ginnie Mae I Pool 7% 7/15/2028  | 48 | 49 |
| Ginnie Mae I Pool 7% 7/15/2032  | 49 | 51 |
| Ginnie Mae I Pool 7% 8/15/2031  | 142 | 147 |
| Ginnie Mae I Pool 7% 8/15/2032  | 64 | 65 |
| Ginnie Mae I Pool 7% 9/15/2028  | 42 | 42 |
| Ginnie Mae I Pool 7% 9/15/2031  | 113 | 117 |
| Ginnie Mae I Pool 7% 9/15/2031  | 12 | 13 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 21 | 22 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 60 | 60 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 711 | 723 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 15 | 15 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 2 | 2 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 10 | 10 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 37 | 37 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 26 | 27 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 2 | 2 |
| Ginnie Mae I Pool 7.5% 7/15/2028  | 111 | 113 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 21 | 22 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 12 | 12 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 22 | 23 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 63 | 64 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 67 | 69 |
| Ginnie Mae I Pool 8% 12/15/2027  | 38 | 38 |
| Ginnie Mae I Pool 8% 12/15/2027  | 11 | 11 |
| Ginnie Mae I Pool 8% 7/15/2027  | 12 | 12 |
| Ginnie Mae I Pool 8% 8/15/2027  | 3 | 4 |
| Ginnie Mae I Pool 8% 8/15/2027  | 3 | 3 |
| Ginnie Mae I Pool 8.5% 1/15/2031  | 204 | 213 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 16 | 16 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 12 | 12 |
| Ginnie Mae II Pool 2% 1/20/2051  | 11647811 | 9873922 |
| Ginnie Mae II Pool 2% 10/20/2050  | 7791995 | 6603861 |
| Ginnie Mae II Pool 2% 11/20/2050  | 5093977 | 4318196 |
| Ginnie Mae II Pool 2% 12/20/2050  | 11689879 | 9906843 |
| Ginnie Mae II Pool 2% 2/20/2051  | 357668 | 303100 |
| Ginnie Mae II Pool 2% 4/20/2051  | 125152 | 106053 |
| Ginnie Mae II Pool 2% 8/20/2051  | 880456 | 746093 |
| Ginnie Mae II Pool 2% 9/20/2050  | 1858724 | 1579137 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 153088 | 135134 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 4943403 | 4363625 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 454235 | 400961 |
| Ginnie Mae II Pool 3% 1/20/2043  | 257714 | 242074 |
| Ginnie Mae II Pool 3% 10/20/2043  | 20757 | 19449 |
| Ginnie Mae II Pool 3% 12/20/2042  | 22623 | 21249 |
| Ginnie Mae II Pool 3% 8/20/2042  | 3574 | 3361 |
| Ginnie Mae II Pool 3.5% 1/20/2042  | 2294 | 2210 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 3482 | 3339 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 105752 | 101929 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 45680 | 44029 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 20837 | 20028 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 25621 | 24622 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 3898 | 3737 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 27770 | 26682 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 264229 | 252722 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 11712 | 11222 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 3331 | 3192 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 52017 | 49959 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 307554 | 295132 |
| Ginnie Mae II Pool 4% 1/20/2041  | 1670 | 1649 |
| Ginnie Mae II Pool 4% 1/20/2042  | 13815 | 13624 |
| Ginnie Mae II Pool 4% 1/20/2046  | 2949 | 2890 |
| Ginnie Mae II Pool 4% 10/20/2040  | 14732 | 14547 |
| Ginnie Mae II Pool 4% 10/20/2041  | 245640 | 242320 |
| Ginnie Mae II Pool 4% 10/20/2044  | 148925 | 146243 |
| Ginnie Mae II Pool 4% 11/20/2040  | 185093 | 182753 |
| Ginnie Mae II Pool 4% 11/20/2041  | 8177 | 8065 |
| Ginnie Mae II Pool 4% 11/20/2044  | 320792 | 314944 |
| Ginnie Mae II Pool 4% 12/20/2044  | 8691 | 8532 |
| Ginnie Mae II Pool 4% 12/20/2045  | 3319 | 3253 |
| Ginnie Mae II Pool 4% 2/20/2041  | 3953 | 3902 |
| Ginnie Mae II Pool 4% 3/20/2041  | 15505 | 15307 |
| Ginnie Mae II Pool 4% 3/20/2047  | 3262552 | 3206643 |
| Ginnie Mae II Pool 4% 4/20/2042  | 49702 | 48997 |
| Ginnie Mae II Pool 4% 4/20/2047  | 666690 | 655266 |
| Ginnie Mae II Pool 4% 5/20/2046  | 45915 | 44988 |
| Ginnie Mae II Pool 4% 6/20/2045  | 145646 | 142894 |
| Ginnie Mae II Pool 4% 7/20/2044  | 8048 | 7906 |
| Ginnie Mae II Pool 4% 8/20/2041  | 1716 | 1693 |
| Ginnie Mae II Pool 4% 8/20/2043  | 18443 | 18148 |
| Ginnie Mae II Pool 4% 8/20/2044  | 20788 | 20418 |
| Ginnie Mae II Pool 4% 8/20/2045  | 477330 | 468006 |
| Ginnie Mae II Pool 4% 9/20/2040  | 67225 | 66378 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 16978 | 17178 |
| Ginnie Mae II Pool 4.5% 10/20/2039  | 2609 | 2594 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 36704 | 36490 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 3635 | 3678 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 15425 | 15325 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 3654 | 3697 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 14523 | 14442 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 7358 | 7311 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 60999 | 61716 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 637 | 633 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 1270 | 1284 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 3992 | 4039 |
| Ginnie Mae II Pool 4.5% 4/20/2040  | 6903 | 6861 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 36785 | 37218 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 4217 | 4266 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 158221 | 160082 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 575 | 580 |
| Ginnie Mae II Pool 4.5% 6/20/2039  | 2866 | 2851 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 6696 | 6659 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 99638 | 100810 |
| Ginnie Mae II Pool 4.5% 7/20/2039  | 555 | 554 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 6992 | 7074 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 588 | 585 |
| Ginnie Mae II Pool 4.5% 8/20/2040  | 920 | 931 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 37790 | 38234 |
| Ginnie Mae II Pool 5% 9/20/2033  | 26135 | 26681 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 743292 | 754465 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (f) | 33550000 | 33981986 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (f) | 14500000 | 14671407 |
| Ginnie Mae II Pool 6% 11/20/2031  | 716 | 741 |
| Ginnie Mae II Pool 6% 12/20/2054  | 642300 | 656945 |
| Ginnie Mae II Pool 6% 3/1/2056 (f) | 21575000 | 22012658 |
| Ginnie Mae II Pool 6% 4/1/2056 (f) | 8350000 | 8513512 |
| Ginnie Mae II Pool 6% 5/20/2032  | 3366 | 3489 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 128 | 132 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 157 | 162 |
| Ginnie Mae II Pool 7% 2/20/2032  | 903 | 943 |
| Ginnie Mae II Pool 7% 3/20/2032  | 465 | 486 |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 (f) | 16750000 | 14505108 |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 (f) | 12500000 | 11780274 |
| Uniform Mortgage Backed Securities 4% 3/1/2056 (f) | 5925000 | 5759054 |
| Uniform Mortgage Backed Securities 5% 3/1/2041 (f) | 5300000 | 5380535 |
| Uniform Mortgage Backed Securities 5% 3/1/2056 (f) | 13200000 | 13259812 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (f) | 3675000 | 3728689 |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 (f) | 17100000 | 17375204 |
| Uniform Mortgage Backed Securities 6% 3/1/2056 (f) | 8600000 | 8821383 |
| TOTAL UNITED STATES |  | 535785459 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $535,916,805) |  | <br> **535785459** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 2.9%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 2.9%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 2.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 2.9%  |  |  |
| Financials - 2.6% |  |  |
| Financial Services - 2.6% |  |  |
| Federal Farm Credit Banks Funding Corp U.S. SOFR Index + 0.12%, 3.79% 6/12/2028 (b)(c) | 22930000 | 22929772 |
| Federal Farm Credit Banks Funding Corp U.S. SOFR Index + 0.165%, 3.835% 1/19/2029 (b)(c) | 17080000 | 17079717 |
| TOTAL FINANCIALS |  | 40009489 |
| Utilities - 0.3% |  |  |
| Independent Power and Renewable Electricity Producers - 0.3% |  |  |
| Tennessee Valley Authority 5.25% 9/15/2039  | 2235000 | 2430108 |
| Tennessee Valley Authority 5.375% 4/1/2056  | 2737000 | 2876575 |
| TOTAL UTILITIES |  | 5306683 |
| TOTAL UNITED STATES |  | 45316172 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $45,059,497) |  | <br> **45316172** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 51.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 51.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 51.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 51.1%** |
|  | Yield (%) (k) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 2% 8/15/2051  | 1.96 to 2.08 | 33422000 | 19985312 |
| US Treasury Bonds 2.375% 2/15/2042  | 3.19 | 353100 | 268405 |
| US Treasury Bonds 2.5% 2/15/2045  | 3.00 | 6150700 | 4514518 |
| US Treasury Bonds 2.875% 5/15/2049  | 2.57 to 2.59 | 4458100 | 3320414 |
| US Treasury Bonds 3% 2/15/2049  | 2.99 to 3.01 | 95773600 | 73214427 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.81 to 3.85 | 54399000 | 45665410 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.66 to 4.73 | 17670000 | 16734042 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.91 to 5.27 | 85314000 | 83917650 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.59 to 4.84 | 29470000 | 29747432 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.69 | 960000 | 958350 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.63 | 4970438 | 4900997 |
| US Treasury Notes 1.125% 8/31/2028  | 1.14 to 1.33 | 94478000 | 89407188 |
| US Treasury Notes 2.625% 7/31/2029  | 2.83 | 25679000 | 25027997 |
| US Treasury Notes 2.75% 7/31/2027  | 2.71 | 5260000 | 5209455 |
| US Treasury Notes 2.75% 8/15/2032  | 3.98 | 1800000 | 1703883 |
| US Treasury Notes 3.5% 1/15/2029  | 3.61 to 3.66 | 46470000 | 46611589 |
| US Treasury Notes 3.5% 10/31/2027  | 3.58 | 24689700 | 24717669 |
| US Treasury Notes 3.5% 2/15/2029  | 3.47 | 10930000 | 10964156 |
| US Treasury Notes 3.75% 11/30/2032  | 3.95 | 7250000 | 7269541 |
| US Treasury Notes 3.75% 5/15/2028  | 3.77 | 13520000 | 13622085 |
| US Treasury Notes 3.75% 5/31/2030  | 3.84 to 3.90 | 55440000 | 56018222 |
| US Treasury Notes 3.75% 6/30/2030  | 4.04 | 26780000 | 27059307 |
| US Treasury Notes 3.75% 8/31/2031  | 3.65 to 3.68 | 10970000 | 11059988 |
| US Treasury Notes 3.875% 8/15/2034  | 3.71 to 3.81 | 30820000 | 30864822 |
| US Treasury Notes 4% 1/31/2031  | 3.89 to 3.96 | 5660000 | 5778948 |
| US Treasury Notes 4% 11/15/2035  | 4.19 to 4.24 | 7670000 | 7697564 |
| US Treasury Notes 4% 7/31/2030  | 4.18 | 6990000 | 7134169 |
| US Treasury Notes 4.125% 11/15/2027  | 4.20 | 28520000 | 28849763 |
| US Treasury Notes 4.125% 11/30/2031  | 4.13 | 6510000 | 6683176 |
| US Treasury Notes 4.125% 2/15/2036  | 3.97 | 12470000 | 12635617 |
| US Treasury Notes 4.125% 3/31/2032  | 4.08 to 4.09 | 19000000 | 19499492 |
| US Treasury Notes 4.125% 5/31/2032  | 4.17 to 4.18 | 11000000 | 11285870 |
| US Treasury Notes 4.125% 8/31/2030  | 4.19 | 1950000 | 1999893 |
| US Treasury Notes 4.25% 1/15/2028  | 4.29 | 11780000 | 11958541 |
| US Treasury Notes 4.25% 2/28/2031  | 4.25 to 4.31 | 30560000 | 31553200 |
| US Treasury Notes 4.25% 6/30/2031  | 3.99 | 4940000 | 5103445 |
| US Treasury Notes 4.375% 12/15/2026  | 4.43 | 350000 | 352190 |
| US Treasury Notes 4.375% 7/15/2027  | 4.24 | 3530000 | 3573308 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $826,069,157) |  |  | **786868035** |

---

---

| | | | |
|:---|:---|:---|:---|
| &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 (l)<br>(Cost $34,344,682)<br>| 3.70 | 34339966 | **34346834** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.1%** | &nbsp;&nbsp;**Purchased Swaptions - 0.1%** | &nbsp;&nbsp;**Purchased Swaptions - 0.1%** | &nbsp;&nbsp;**Purchased Swaptions - 0.1%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 4850000 | 151914 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.887% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 4850000 | 149051 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.828% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 3400000 | 22015 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.964% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 14900000 | 195700 |
| TOTAL PUT SWAPTIONS |  |  | 518680 |
| Call Swaptions - 0.1% |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 4850000 | 156038 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.887% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 4850000 | 159585 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.828% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 3400000 | 99923 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.964% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 14900000 | 636833 |
| TOTAL CALL SWAPTIONS |  |  | 1052379 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $1,447,686) |  |  | <br> **1571059** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 110.9%**<br> (Cost $1,746,632,089)<br>| <br>**1711877876** |
| **NET OTHER ASSETS (LIABILITIES) - (10.9)%**  | **(167725268)** |
| **NET ASSETS - 100.0%** | **1544152608** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 5.5% 3/1/2056 | (15350000) | (15547645) |
| Ginnie Mae II Pool 6% 3/1/2056 | (21575000) | (22012658) |
| Ginnie Mae II Pool 6% 4/1/2056 | (1450000) | (1478394) |
| Uniform Mortgage Backed Securities 2% 3/1/2056 | (14975000) | (12401757) |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 | (16750000) | (14505108) |
| Uniform Mortgage Backed Securities 2.5% 4/1/2056 | (16750000) | (14505761) |
| Uniform Mortgage Backed Securities 3% 3/1/2056 | (15900000) | (14377699) |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 | (12500000) | (11780274) |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 | (29600000) | (27884126) |
| Uniform Mortgage Backed Securities 4% 3/1/2056 | (17975000) | (17471560) |
| Uniform Mortgage Backed Securities 4.5% 3/1/2056 | (27425000) | (27118611) |
| Uniform Mortgage Backed Securities 5% 3/1/2041 | (3675000) | (3730843) |
| Uniform Mortgage Backed Securities 5% 3/1/2056 | (13200000) | (13259812) |
| Uniform Mortgage Backed Securities 5% 4/1/2056 | (13200000) | (13246407) |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 | (34200000) | (34750408) |
| Uniform Mortgage Backed Securities 6% 3/1/2056 | (8600000) | (8821383) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (252892446) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $251,017,087) |  | <br> **(252892446)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 1001 | 6/2026 | 113895031 | 838095 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 1615 | 6/2026 | 337913516 | 455731 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 5 | 6/2026 | 607813 | (95) |
| TOTAL LONG |  |  |  | 1293731 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT US Treasury Long Bond Contracts (United States) | (18) | 6/2026 | (2131313) | (21410) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **1272321** |
| The notional amount of long futures as a percentage of Net Assets is 29.2%. | The notional amount of long futures as a percentage of Net Assets is 29.2%. | The notional amount of long futures as a percentage of Net Assets is 29.2%. | The notional amount of long futures as a percentage of Net Assets is 29.2%. | The notional amount of long futures as a percentage of Net Assets is 29.2%. |
| The notional amount of short futures as a percentage of Net Assets is 0.1%. | The notional amount of short futures as a percentage of Net Assets is 0.1%. | The notional amount of short futures as a percentage of Net Assets is 0.1%. | The notional amount of short futures as a percentage of Net Assets is 0.1%. | The notional amount of short futures as a percentage of Net Assets is 0.1%. |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 | 70686000 | (184747) | 0 | (184747) |
| 4% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2056 | 3620000 | 169825 | 0 | 169825 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2030 | 28468000 | (214096) | 0 | (214096) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 | 95099000 | (579467) | 0 | (579467) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(808485)** | **0** | **(808485)** |

---

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

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

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

(4)Represents floating rate.

**Legend**

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

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

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

(d) 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.

(e) 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 $3,704,916.

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

(g) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $938,495.

(h) 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 $4,039,253.

(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) Principal Only Strips represent the right to receive the monthly principal payments.

(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 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 | 66297356 | 227837240 | 259792900 | 927427 | 5138 | - | 34346834 | 34339966 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | - | 23989226 | 23989226 | 1369 | - | - | - | - | 0.0% |
| Total | 66297356 | 251826466 | 283782126 | 928796 | 5138 | - | 34346834 |  |  |

---

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

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Collateralized Mortgage Obligations** | 150508973 | - | 150508973 | - |
|  **Commercial Mortgage Securities** | 157481344 | - | 157481344 | - |
|  **U.S. Government Agency - Mortgage Securities** | 535785459 | - | 535785459 | - |
|  **U.S. Government Agency Obligations** |  |  |  |  |
| Financials | 40009489 | - | 40009489 | - |
| Utilities | 5306683 | - | 5306683 | - |
|  **U.S. Treasury Obligations** | 786868035 | - | 786868035 | - |
|  **Money Market Funds** | 34346834 | 34346834 | - | - |
|  **Purchased Swaptions** | 1571059 | - | 1571059 | - |
| **Total Investments in Securities:** | 1711877876 | 34346834 | 1677531042 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 1293826 | 1293826 | - | - |
| Swaps | 169825 | - | 169825 | - |
| Total Assets | 1463651 | 1293826 | 169825 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (21505) | (21505) | - | - |
| Swaps | (978310) | - | (978310) | - |
| Total Liabilities | (999815) | (21505) | (978310) | - |
| **Total Derivative Instruments:** | 463836 | 1272321 | (808485) | - |
| **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (252892446) | - | (252892446) | - |
| **Total Other Financial Instruments:** | (252892446) | - | (252892446) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 1293826 | (21505) |
| Purchased Swaptions (b)  | 1571059 | - |
| Swaps (c)  | 169825 | (978310) |
| **Total Interest Rate Risk**  | 3034710 | (999815) |
| **Total Value of Derivatives** | 3034710 | (999815) |

---

(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).

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

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

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,712,287,407) | $1677531042 |  |
| Fidelity Central Funds (cost $34,344,682) | 34346834 |  |
| Total Investment in Securities (cost $1,746,632,089) |  | $1711877876 |
| Receivable for investments sold |  | 104776 |
| Receivable for TBA sale commitments |  | 251017087 |
| Receivable for fund shares sold |  | 2587087 |
| Interest receivable |  | 7018563 |
| Distributions receivable from Fidelity Central Funds |  | 70542 |
| Receivable for daily variation margin on futures contracts |  | 717159 |
| Receivable from investment adviser for expense reductions |  | 10264 |
| **Total assets** |  | 1973403354 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $14074535 |  |
| Delayed delivery | 159275373 |  |
| TBA sale commitments, at value | 252892446 |  |
| Payable for fund shares redeemed | 1716792 |  |
| Distributions payable | 266028 |  |
| Accrued management fee | 360414 |  |
| Distribution and service plan fees payable | 40579 |  |
| Payable for daily variation margin on centrally cleared swaps | 402144 |  |
| Other affiliated payables | 222313 |  |
| Other payables and accrued expenses | 122 |  |
| **Total liabilities** |  | 429250746 |
| **Net Assets**  |  | $1544152608 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $2044795483 |
| Total accumulated earnings (loss) |  | (500642875) |
| **Net Assets** |  | $1544152608 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($87,007,023 ÷ 9,256,338 shares)(a) |  | $9.40 |
| Maximum offering price per share (100/96.00 of $9.40) |  | $9.79 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($64,546,811 ÷ 6,867,945 shares)(a) |  | $9.40 |
| Maximum offering price per share (100/96.00 of $9.40) |  | $9.79 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($11,211,885 ÷ 1,200,160 shares)(a) |  | $9.34 |
| **Government Income :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,081,630,222 ÷ 115,242,454 shares) |  | $9.39 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($118,807,546 ÷ 12,638,259 shares) |  | $9.40 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($180,949,121 ÷ 19,240,254 shares) |  | $9.40 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Interest  |  | $31556285 |
| Income from Fidelity Central Funds (including $1,369 from security lending)  |  | 928796 |
| **Total income** |  | 32485081 |
| **Expenses** |  |  |
| Management fee | $2265681 |  |
| Transfer agent fees | 844964 |  |
| Distribution and service plan fees | 247979 |  |
| Fund wide operations fee | 544582 |  |
| Independent trustees' fees and expenses | 1752 |  |
| Total expenses before reductions | 3904958 |  |
| Expense reductions | (45304) |  |
| Total expenses after reductions |  | 3859654 |
| **Net Investment income (loss)** |  | 28625427 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (3665781) |  |
| Fidelity Central Funds | 5138 |  |
| Futures contracts | 1524460 |  |
| Swaps | (832034) |  |
| Total net realized gain (loss) |  | (2968217) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 35448310 |  |
| Futures contracts | 3761 |  |
| Swaps | 734014 |  |
| TBA sale commitments | (1361644) |  |
| Total change in net unrealized appreciation (depreciation) |  | 34824441 |
| **Net gain (loss)** |  | 31856224 |
| **Net increase (decrease) in net assets resulting from operations** |  | $60481651 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $28625427 | $70115600 |
| &nbsp;&nbsp;Net realized gain (loss) | (2968217)<br>| (22202841)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 34824441 | (6714963)<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 60481651<br>| 41197796<br>|
| Distributions to shareholders | (27275461)<br>| (71644983)<br>|
| Share transactions - net increase (decrease) | (189910857)<br>| (593653487)<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | (156704667)<br>| (624100674)<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 1700857275 | 2324957949<br>|
| &nbsp;&nbsp;End of period | $1544152608 | $1700857275 |

---

**Financial Highlights** 

**Fidelity Advisor® Government Income Fund Class A**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.21 | $9.35 | $9.06 | $9.51 | $10.78 | $11.17 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .151  | .310  | .277  | .189  | .076  | .052  |
| Net realized and unrealized gain (loss)  | .182  | (.133)  | .266  | (.461)  | (1.269)  | (.255)  |
| Total from investment operations  | .333  | .177  | .543  | (.272)  | (1.193)  | (.203)  |
| Distributions from net investment income  | (.143)  | (.317)  | (.253)  | (.178)  | (.077)  | (.046)  |
| Distributions from net realized gain  | -  | -  | -  | -  | -  | (.141)  |
| Total distributions  | (.143)  | (.317)  | (.253)  | (.178)  | (.077)  | (.187)  |
| Net asset value, end of period  | $9.40 | $9.21 | $9.35 | $9.06 | $9.51 | $10.78 |
| **Total Return** C,D,E | 3.64% <br>| 1.97%  | 6.11%  | (2.87)%  | (11.11)%  | (1.84)%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .80% H | .79%  | .79%  | .79%  | .77%  | .76%  |
| Expenses net of fee waivers, if any  | .80% H<br>| .79%  | .79%  | .79%  | .77%  | .76%  |
| Expenses net of all reductions, if any  | .80% H | .79%  | .79%  | .79%  | .77%  | .76%  |
| Net investment income (loss)  | 3.28% H | 3.38%  | 3.06%  | 2.05%  | .74%  | .48%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $87007 | $87002 | $97177 | $103376 | $119339 | $185323 |
| Portfolio turnover rate I | 197% H<br>| 279%  | 393%  | 354%  | 318% J | 223%  |

---

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

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

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

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

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

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

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

H*Annualized.*

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

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

**Fidelity Advisor® Government Income Fund Class M**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.21 | $9.35 | $9.06 | $9.51 | $10.77 | $11.17 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .153  | .313  | .280  | .191  | .077  | .052  |
| Net realized and unrealized gain (loss)  | .182  | (.133)  | .265  | (.460)  | (1.259)  | (.265)  |
| Total from investment operations  | .335  | .180  | .545  | (.269)  | (1.182)  | (.213)  |
| Distributions from net investment income  | (.145)  | (.320)  | (.255)  | (.181)  | (.078)  | (.046)  |
| Distributions from net realized gain  | -  | -  | -  | -  | -  | (.141)  |
| Total distributions  | (.145)  | (.320)  | (.255)  | (.181)  | (.078)  | (.187)  |
| Net asset value, end of period  | $9.40 | $9.21 | $9.35 | $9.06 | $9.51 | $10.77 |
| **Total Return** C,D,E | 3.66% <br>| 2.00%  | 6.14%  | (2.85)%  | (11.01)%  | (1.92)%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .77% H | .76%  | .76%  | .76%  | .76%  | .75%  |
| Expenses net of fee waivers, if any  | .77% H<br>| .76%  | .76%  | .76%  | .76%  | .75%  |
| Expenses net of all reductions, if any  | .76% H | .76%  | .76%  | .76%  | .76%  | .75%  |
| Net investment income (loss)  | 3.31% H | 3.42%  | 3.09%  | 2.07%  | .75%  | .48%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $64547 | $67088 | $73033 | $83063 | $95430 | $128097 |
| Portfolio turnover rate I | 197% H<br>| 279%  | 393%  | 354%  | 318% J | 223%  |

---

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

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

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

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

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

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

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

H*Annualized.*

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

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

**Fidelity Advisor® Government Income Fund Class C**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.15 | $9.29 | $9.01 | $9.45 | $10.73 | $11.16 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .115  | .240  | .208  | .119  | (.002)  | (.032)  |
| Net realized and unrealized gain (loss)  | .182  | (.134)  | .256  | (.451)  | (1.261)  | (.257)  |
| Total from investment operations  | .297  | .106  | .464  | (.332)  | (1.263)  | (.289)  |
| Distributions from net investment income  | (.107)  | (.246)  | (.184)  | (.108)  | (.017)  | - C |
| Distributions from net realized gain  | -  | -  | -  | -  | -  | (.141)  |
| Total distributions  | (.107)  | (.246)  | (.184)  | (.108)  | (.017)  | (.141)  |
| Net asset value, end of period  | $9.34 | $9.15 | $9.29 | $9.01 | $9.45 | $10.73 |
| **Total Return** D,E,F | 3.27% <br>| 1.20%  | 5.23%  | (3.52)%  | (11.78)%  | (2.61)%  |
| **Ratios to Average Net Assets** B,G,H |  |  |  |  |  |  |
| Expenses before reductions  | 1.56% I | 1.55%  | 1.54%  | 1.54%  | 1.53%  | 1.53%  |
| Expenses net of fee waivers, if any  | 1.56% I<br>| 1.55%  | 1.54%  | 1.54%  | 1.53%  | 1.53%  |
| Expenses net of all reductions, if any  | 1.56% I | 1.55%  | 1.54%  | 1.54%  | 1.53%  | 1.53%  |
| Net investment income (loss)  | 2.52% I | 2.63%  | 2.31%  | 1.29%  | (.02)%  | (.29)%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $11212 | $11555 | $15725 | $26095 | $32729 | $48354 |
| Portfolio turnover rate J | 197% I<br>| 279%  | 393%  | 354%  | 318% K | 223%  |

---

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*Amount represents less than $.0005 per share.*

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

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

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

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

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

I*Annualized.*

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

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

**Fidelity® Government Income Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.19 | $9.33 | $9.05 | $9.49 | $10.76 | $11.15 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .167  | .341  | .307  | .220  | .108  | .085  |
| Net realized and unrealized gain (loss)  | .192  | (.133)  | .256  | (.451)  | (1.269)  | (.257)  |
| Total from investment operations  | .359  | .208  | .563  | (.231)  | (1.161)  | (.172)  |
| Distributions from net investment income  | (.159)  | (.348)  | (.283)  | (.209)  | (.109)  | (.077)  |
| Distributions from net realized gain  | -  | -  | -  | -  | -  | (.141)  |
| Total distributions  | (.159)  | (.348)  | (.283)  | (.209)  | (.109)  | (.218)  |
| Net asset value, end of period  | $9.39 | $9.19 | $9.33 | $9.05 | $9.49 | $10.76 |
| **Total Return** C,D | 3.94% <br>| 2.31%  | 6.36%  | (2.44)%  | (10.84)%  | (1.56)%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .45% G | .45%  | .45%  | .45%  | .45%  | .45%  |
| Expenses net of fee waivers, if any  | .45% G<br>| .45%  | .45%  | .45%  | .45%  | .45%  |
| Expenses net of all reductions, if any  | .45% G | .45%  | .45%  | .45%  | .45%  | .45%  |
| Net investment income (loss)  | 3.62% G | 3.73%  | 3.40%  | 2.38%  | 1.06%  | .79%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $1081630 | $1160131 | $1474666 | $1556472 | $1755646 | $2130162 |
| Portfolio turnover rate H | 197% G<br>| 279%  | 393%  | 354%  | 318% I | 223%  |

---

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

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

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

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

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

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

G*Annualized.*

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

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

**Fidelity Advisor® Government Income Fund Class I**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.21 | $9.35 | $9.06 | $9.51 | $10.78 | $11.17 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .165  | .338  | .304  | .215  | .105  | .081  |
| Net realized and unrealized gain (loss)  | .182  | (.134)  | .265  | (.460)  | (1.270)  | (.257)  |
| Total from investment operations  | .347  | .204  | .569  | (.245)  | (1.165)  | (.176)  |
| Distributions from net investment income  | (.157)  | (.344)  | (.279)  | (.205)  | (.105)  | (.073)  |
| Distributions from net realized gain  | -  | -  | -  | -  | -  | (.141)  |
| Total distributions  | (.157)  | (.344)  | (.279)  | (.205)  | (.105)  | (.214)  |
| Net asset value, end of period  | $9.40 | $9.21 | $9.35 | $9.06 | $9.51 | $10.78 |
| **Total Return** C,D | 3.80% <br>| 2.27%  | 6.42%  | (2.59)%  | (10.85)%  | (1.59)%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .50% G | .49%  | .50%  | .50%  | .49%  | .49%  |
| Expenses net of fee waivers, if any  | .50% G<br>| .49%  | .50%  | .50%  | .49%  | .49%  |
| Expenses net of all reductions, if any  | .50% G | .49%  | .50%  | .50%  | .49%  | .49%  |
| Net investment income (loss)  | 3.58% G | 3.68%  | 3.35%  | 2.34%  | 1.02%  | .75%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $118808 | $135439 | $174237 | $195395 | $199012 | $280216 |
| Portfolio turnover rate H | 197% G<br>| 279%  | 393%  | 354%  | 318% I | 223%  |

---

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

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

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

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

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

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

G*Annualized.*

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

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

**Fidelity Advisor® Government Income Fund Class Z**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.21 | $9.35 | $9.07 | $9.51 | $10.78 | $11.18 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | .171  | .352  | .318  | .228  | .116  | .095  |
| Net realized and unrealized gain (loss)  | .183  | (.136)  | .254  | (.450)  | (1.268)  | (.267)  |
| Total from investment operations  | .354  | .216  | .572  | (.222)  | (1.152)  | (.172)  |
| Distributions from net investment income  | (.164)  | (.356)  | (.292)  | (.218)  | (.118)  | (.087)  |
| Distributions from net realized gain  | -  | -  | -  | -  | -  | (.141)  |
| Total distributions  | (.164)  | (.356)  | (.292)  | (.218)  | (.118)  | (.228)  |
| Net asset value, end of period  | $9.40 | $9.21 | $9.35 | $9.07 | $9.51 | $10.78 |
| **Total Return** C,D | 3.87% <br>| 2.41%  | 6.45%  | (2.35)%  | (10.74)%  | (1.55)%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions  | .40% G | .40%  | .40%  | .40%  | .40%  | .40%  |
| Expenses net of fee waivers, if any  | .36% G<br>| .36%  | .36%  | .36%  | .36%  | .36%  |
| Expenses net of all reductions, if any  | .36% G | .36%  | .36%  | .36%  | .36%  | .36%  |
| Net investment income (loss)  | 3.72% G | 3.82%  | 3.49%  | 2.47%  | 1.15%  | .88%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $180949 | $239641 | $490120 | $1698760 | $1393640 | $735265 |
| Portfolio turnover rate H | 197% G<br>| 279%  | 393%  | 354%  | 318% I | 223%  |

---

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

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

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

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

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

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

G*Annualized.*

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

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

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

For the period ended February 28, 2026

**1. Organization.**

Fidelity Government Income Fund (the Fund) is a fund of Fidelity Income Fund (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, Government Income, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

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

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

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

---

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

---

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

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

**3. Significant Accounting Policies.**

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

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

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

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

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

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

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

Book-tax differences are primarily due to futures contracts, swaps, market discount, 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** | $36305212 |
| **Gross unrealized depreciation** | <u>(64913272)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$(28608060)</u> |
| **Tax cost** | <u>$1739074413</u> |

---

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

---

| | |
|:---|:---|
| Short-term | $(191336267) |
| Long-term | <u>(273460703)</u> |
| **Total capital loss carryforward** | <u>$(464796970)</u> |

---

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

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

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

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. A fund realizes a gain or loss on settlement, either through the acquisition of an offsetting TBA purchase commitment on or before the sale commitment date, or by delivery of the securities under the commitment.

**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):

<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, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

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

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

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Government Income Fund** |  |  |
| **Interest Rate Risk** |  |  |
| Futures Contracts | 1524460 | 3761 |
| Purchased Options | (549816) | 432328 |
| Swaps | <u>(832034)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>734014</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>142610</u> | <u>1170103</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp; <u>142610</u> | <u>1170103</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 Government Income Fund** | 438540790 |

---

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 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.

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.

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 Government Income Fund** | 192062833 |

---

**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 Government Income Fund** | 941540713 | 1028145105 |

---

**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.

In addition, under the expense contract, the investment adviser pays class-level expenses for Government Income, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.

**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% | 108306 | 3198 |
| **Class M** | - % | .25% | 83122 | 782 |
| **Class C** | .75% | .25% | &nbsp;&nbsp;&nbsp;&nbsp; <u>56551</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>5771</u> |
|  |  |  | <u>247979</u> | <u>9751</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** | 6796 |
| **Class M** | 436 |
| **Class C** A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>374</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>7606</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 Government Income and Class Z. FIIOC receives an asset-based fee of Government Income's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Amount ($)** | **% of Class-Level Average Net AssetsA** |
| **Class A** | 83214 | .19 |
| **Class M** | 52920 | .16 |
| **Class C** | 11198 | .20 |
| **Government Income** | 556598 | .10 |
| **Class I** | 90381 | .14 |
| **Class Z** | &nbsp;&nbsp;&nbsp;&nbsp; <u>50653</u> | .05 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; <u>844964</u> |  |

---

*A Annualized*

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

---

| | |
|:---|:---|
| **Fidelity Government Income Fund** | .07% |

---

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

**7. Committed Line of Credit.**

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

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

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

The line of credit agreement will expire in March 2027 unless extended or renewed.

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

**8. Security Lending.** 

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Government Income Fund** | 146 | - | - |

---

**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% | 43233 |

---

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $2,071.

**10. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Six months ended** <br> **February 28, 2026** | **Year ended**<br> **August 31, 2025** |
| **Fidelity Government Income Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $1334871 | $3115217 |
| Class M | 1035456 | 2348087 |
| Class C | 131671 | 372769 |
| Government Income | 19056205 | 48559587 |
| Class I | 2141961 | 5565821 |
| Class Z | <u>3575297</u> | <u>11683502</u> |
| Total  | <u>$27275461</u> | <u>$71644983</u> |

---

**11. Share Transactions.**

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** |
| **Fidelity Government Income Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 727346 | 2027823 | $6766573 | $18603526 |
| Reinvestment of distributions  | 139510 | 329052 | 1297841 | 3012239 |
| Shares redeemed | <u>(1058548)</u> | <u>(3305417)</u> | <u>(9839618)</u> | <u>(30238850)</u> |
| Net increase (decrease) | <u>(191692)</u> | <u>(948542)</u> | <u>$(1775204)</u> | <u>$(8623085)</u> |
| **Class M** |  |  |  |  |
| Shares sold | 865569 | 1630118 | $8039363 | $14919763 |
| Reinvestment of distributions  | 107808 | 246888 | 1002894 | 2259607 |
| Shares redeemed | <u>(1391991)</u> | <u>(2405085)</u> | <u>(12945418)</u> | <u>(22020853)</u> |
| Net increase (decrease) | <u>(418614)</u> | <u>(528079)</u> | <u>$(3903161)</u> | <u>$(4841483)</u> |
| **Class C** |  |  |  |  |
| Shares sold | 127730 | 303471 | $1178715 | $2765080 |
| Reinvestment of distributions  | 14121 | 40454 | 130563 | 367737 |
| Shares redeemed | <u>(204295)</u> | <u>(774104)</u> | <u>(1885985)</u> | <u>(7030364)</u> |
| Net increase (decrease) | <u>(62444)</u> | <u>(430179)</u> | <u>$(576707)</u> | <u>$(3897547)</u> |
| **Government Income** |  |  |  |  |
| Shares sold | 10824637 | 28608495 | $100503882 | $261610576 |
| Reinvestment of distributions  | 1911844 | 4973468 | 17763292 | 45466475 |
| Shares redeemed | <u>(23667284)</u> | <u>(65407666)</u> | <u>(219745236)</u> | <u>(599219560)</u> |
| Net increase (decrease) | <u>(10930803)</u> | <u>(31825703)</u> | <u>$(101478062)</u> | <u>$(292142509)</u> |
| **Class I** |  |  |  |  |
| Shares sold | 1719566 | 5793249 | $15991771 | $53184218 |
| Reinvestment of distributions  | 224789 | 592799 | 2091543 | 5427985 |
| Shares redeemed | <u>(4012750)</u> | <u>(10319903)</u> | <u>(37275113)</u> | <u>(94718260)</u> |
| Net increase (decrease) | <u>(2068395)</u> | <u>(3933855)</u> | <u>$(19191799)</u> | <u>$(36106057)</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 3591109 | 12843407 | $33377768 | $117504489 |
| Reinvestment of distributions  | 347146 | 1196042 | 3231054 | 10953058 |
| Shares redeemed | <u>(10708085)</u> | <u>(40435808)</u> | <u>(99594746)</u> | <u>(376500353)</u> |
| Net increase (decrease) | <u>(6769830)</u> | <u>(26396359)</u> | <u>$(62985924)</u> | <u>$(248042806)</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. Risk and Uncertainties.**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

**Fidelity Government Income Fund**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The Board also considered that the total expenses for Class C of the fund ranked in the 3rd quartile of the total peer group. The Board noted that Class C has a 1.00% 12b-1 fee, while Lipper's level load definition is broad and includes both traditionally priced (1.00%) 12b-1 fee classes and funds without sales loads that have relatively lower distribution and service fees. The Board considered that, when excluding 12b-1 fees, the fund was below median.

<u>Other Contractual Arrangements</u>. The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. The Board also considered that current contractual arrangements oblige FMR to pay all "class-level" expenses of the retail class of the fund to the extent necessary to limit total operating expenses, with certain exceptions, to 0.45%. These contractual arrangements may not be amended to increase the fees or expenses payable except by a vote of a majority of the Board and by a vote of a majority of the outstanding voting securities of the fund or class, as applicable.

The Board further considered that FMR has contractually agreed to reimburse Class Z of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.36% through December 31, 2026.

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

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

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

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

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

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

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

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

![](img126680_4.jpg)<br>

1.700523.128 GOV-SANN-0426

**Fidelity® Environmental Bond Fund**

**Semi-Annual Report**

**February 28, 2026**

Includes Fidelity and Fidelity Advisor share classes

![](img126694_1.jpg)

![](img126694_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_ENB-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Environmental Bond Fund](#Sub_Sec_Fund_6379_ENB-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements6379_ENB-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_ENB-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_ENB-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_ENB-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_ENB-SANN)** |

---

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Environmental Bond Fund**

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

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 0.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.5%  |  |  |
| Helios Issuer LLC Series 2022-A Class A, 2.79% 2/22/2049 (f) | 196677 | 167645 |
| Hertz Vehicle Financing III LLC Series 2023-1A Class A, 5.49% 6/25/2027 (f) | 83333 | 83422 |
| TOTAL UNITED STATES |  | 251067 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $277,277) |  | <br> **251067** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 1.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.9%  |  |  |
| DC Commercial Mortgage Trust Series 2023-DC Class A, 6.3143% 9/12/2040 (f) | 100000 | 103018 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-KG03 Class A2, 1.297% 6/25/2030 (e) | 160000 | 144334 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-KG07 Class A2, 3.123% 8/25/2032  | 200000 | 189897 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-KSG4 Class A2, 3.4% 8/25/2032 (e) | 200000 | 192650 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-KG08 Class A2, 4.134% 5/25/2033  | 300000 | 300173 |
| TOTAL UNITED STATES |  | 930072 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $937,732) |  | <br> **930072** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.8%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.8%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.8%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.8%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.0%  |  |  |  |
| Treasury Corp of Victoria 2% 9/17/2035  | AUD | 12000 | 6455 |
| GERMANY - 0.6%  |  |  |  |
| German Federal Republic 0% 8/15/2030 (c) | EUR | 115000 | 123610 |
| German Federal Republic 2.3% 2/15/2033 (c) | EUR | 70000 | 82145 |
| German Federal Republic 2.5% 2/15/2035 (c) | EUR | 70000 | 82273 |
| TOTAL GERMANY |  |  | 288028 |
| URUGUAY - 0.2%  |  |  |  |
| Uruguay Republic 5.75% 10/28/2034  |  | 100000 | 107430 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $387,716) |  |  | <br> **401913** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 36.4%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 36.4%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 36.4%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 36.4%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Lendlease Finance Ltd 3.4% 10/27/2027 (c) | AUD | 20000 | 13785 |
| BELGIUM - 0.4%  |  |  |  |
| Financials - 0.4% |  |  |  |
| Banks - 0.4% |  |  |  |
| KBC Group NV 4.932% 10/16/2030 (e)(f) |  | 200000 | 205120 |
| CANADA - 0.8%  |  |  |  |
| Communication Services - 0.6% |  |  |  |
| Diversified Telecommunication Services - 0.6% |  |  |  |
| TELUS Corp 3.4% 5/13/2032  |  | 300000 | 280505 |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| Bank of Nova Scotia/The 4.247% 2/2/2030 (e) |  | 100000 | 100493 |
| TOTAL CANADA |  |  | 380998 |
| DENMARK - 0.3%  |  |  |  |
| Financials - 0.3% |  |  |  |
| Banks - 0.3% |  |  |  |
| Danske Bank A/S 4.75% 6/21/2030 (c)(e) | EUR | 100000 | 125139 |
| FINLAND - 0.2%  |  |  |  |
| Real Estate - 0.2% |  |  |  |
| Real Estate Management & Development - 0.2% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (c) | EUR | 100000 | 114824 |
| FRANCE - 0.3%  |  |  |  |
| Financials - 0.3% |  |  |  |
| Banks - 0.3% |  |  |  |
| BNP Paribas SA 3.739% 4/20/2034 (c)(e) | EUR | 100000 | 119375 |
| BNP Paribas SA 5.786% 1/13/2033 (e)(f) |  | 39000 | 41307 |
| TOTAL FRANCE |  |  | 160682 |
| GERMANY - 1.4%  |  |  |  |
| Financials - 0.9% |  |  |  |
| Banks - 0.6% |  |  |  |
| Commerzbank AG 3.625% 1/14/2032 (c)(e) | EUR | 100000 | 120258 |
| Volkswagen Bank GmbH 2.75% 6/19/2028 (c) | EUR | 100000 | 118186 |
|  |  |  | 238444 |
| Capital Markets - 0.3% |  |  |  |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (e) |  | 150000 | 156879 |
| TOTAL FINANCIALS |  |  | 395323 |
| Materials - 0.0% |  |  |  |
| Construction Materials - 0.0% |  |  |  |
| Heidelberg Materials AG 3.95% 7/19/2034 (c) | EUR | 10000 | 12188 |
| Utilities - 0.5% |  |  |  |
| Electric Utilities - 0.2% |  |  |  |
| Amprion GmbH 3.162% 1/15/2031 (c) | EUR | 100000 | 118978 |
| Independent Power and Renewable Electricity Producers - 0.3% |  |  |  |
| RWE Finance US LLC 5.125% 9/18/2035 (f) |  | 150000 | 150377 |
| TOTAL UTILITIES |  |  | 269355 |
| TOTAL GERMANY |  |  | 676866 |
| IRELAND - 1.7%  |  |  |  |
| Financials - 0.9% |  |  |  |
| Banks - 0.6% |  |  |  |
| AIB Group PLC 2.875% 5/30/2031 (c)(e) | EUR | 125000 | 147779 |
| Bank of Ireland Group PLC 5% 7/4/2031 (c)(e) | EUR | 100000 | 127399 |
|  |  |  | 275178 |
| Consumer Finance - 0.3% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5% 11/15/2035  |  | 150000 | 149780 |
| TOTAL FINANCIALS |  |  | 424958 |
| Materials - 0.8% |  |  |  |
| Containers & Packaging - 0.8% |  |  |  |
| Smurfit Kappa Treasury ULC 5.2% 1/15/2030  |  | 200000 | 207087 |
| Smurfit Westrock Financing DAC 5.418% 1/15/2035  |  | 200000 | 207574 |
| TOTAL MATERIALS |  |  | 414661 |
| TOTAL IRELAND |  |  | 839619 |
| ITALY - 0.8%  |  |  |  |
| Utilities - 0.8% |  |  |  |
| Electric Utilities - 0.4% |  |  |  |
| Enel Finance International NV 4.375% 9/30/2030 (f) |  | 200000 | 201022 |
| Gas Utilities - 0.4% |  |  |  |
| Snam SpA 5% 5/28/2030 (f) |  | 200000 | 205675 |
| TOTAL ITALY |  |  | 406697 |
| JAPAN - 0.6%  |  |  |  |
| Communication Services - 0.6% |  |  |  |
| Diversified Telecommunication Services - 0.6% |  |  |  |
| NTT Finance Corp 4.372% 7/27/2027 (f) |  | 100000 | 100637 |
| NTT Finance Corp 5.171% 7/16/2032 (f) |  | 200000 | 206769 |
| TOTAL JAPAN |  |  | 307406 |
| LUXEMBOURG - 0.7%  |  |  |  |
| Real Estate - 0.7% |  |  |  |
| Real Estate Management & Development - 0.7% |  |  |  |
| Blackstone Property Partners Europe Holdings Sarl 1.625% 4/20/2030 (c) | EUR | 100000 | 110916 |
| CBRE Open-Ended Funds SCA SICAV-SIF 4.75% 3/27/2034 (c) | EUR | 100000 | 125280 |
| P3 Group Sarl 4% 4/19/2032 (c) | EUR | 100000 | 121107 |
| TOTAL LUXEMBOURG |  |  | 357303 |
| NETHERLANDS - 0.8%  |  |  |  |
| Consumer Staples - 0.3% |  |  |  |
| Consumer Staples Distribution & Retail - 0.3% |  |  |  |
| REWE International Finance BV 4.875% 9/13/2030 (c) | EUR | 100000 | 126700 |
| Information Technology - 0.3% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 2.5% 5/11/2031  |  | 100000 | 91589 |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  |  | 14000 | 14243 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  |  | 41000 | 41881 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 147713 |
| Real Estate - 0.2% |  |  |  |
| Real Estate Management & Development - 0.2% |  |  |  |
| CTP NV 1.5% 9/27/2031 (c) | EUR | 100000 | 106602 |
| TOTAL NETHERLANDS |  |  | 381015 |
| NORWAY - 0.2%  |  |  |  |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| DNB Bank ASA 4% 3/14/2029 (c)(e) | EUR | 100000 | 121619 |
| SPAIN - 0.4%  |  |  |  |
| Utilities - 0.4% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.4% |  |  |  |
| Atlantica Sustainable Infrastructure Ltd 4.125% 6/15/2028 (f) |  | 200000 | 195285 |
| UNITED KINGDOM - 2.5%  |  |  |  |
| Communication Services - 0.2% |  |  |  |
| Wireless Telecommunication Services - 0.2% |  |  |  |
| Vmed O2 UK Financing I PLC 4.75% 7/15/2031 (f) |  | 100000 | 89010 |
| Financials - 1.3% |  |  |  |
| Banks - 1.3% |  |  |  |
| Barclays PLC 5.367% 2/25/2031 (e) |  | 200000 | 207606 |
| Lloyds Banking Group PLC 3.875% 5/14/2032 (c)(e) | EUR | 100000 | 122171 |
| NatWest Group PLC 3.673% 8/5/2031 (c)(e) | EUR | 100000 | 121060 |
| NatWest Group PLC 4.964% 8/15/2030 (e) |  | 200000 | 205041 |
| TOTAL FINANCIALS |  |  | 655878 |
| Utilities - 1.0% |  |  |  |
| Electric Utilities - 0.5% |  |  |  |
| National Grid Electricity Transmission PLC 3.563% 2/3/2034 (c) | EUR | 100000 | 119521 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/2032 (c) | EUR | 100000 | 119567 |
|  |  |  | 239088 |
| Water Utilities - 0.5% |  |  |  |
| Severn Trent Utilities Finance PLC 4% 3/5/2034 (c) | EUR | 100000 | 122004 |
| South West Water Finance PLC 5.25% 9/15/2031 (c) | GBP | 100000 | 136544 |
|  |  |  | 258548 |
| TOTAL UTILITIES |  |  | 497636 |
| TOTAL UNITED KINGDOM |  |  | 1242524 |
| UNITED STATES - 25.3%  |  |  |  |
| Communication Services - 2.2% |  |  |  |
| Diversified Telecommunication Services - 1.5% |  |  |  |
| AT&T Inc 5.4% 2/15/2034  |  | 150000 | 157222 |
| Verizon Communications Inc 2.55% 3/21/2031  |  | 50000 | 46262 |
| Verizon Communications Inc 3.875% 2/8/2029  |  | 450000 | 450550 |
| Verizon Communications Inc 5.05% 5/9/2033  |  | 100000 | 103726 |
|  |  |  | 757760 |
| Media - 0.5% |  |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.384% 10/23/2035  |  | 120000 | 125348 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.7% 12/1/2055  |  | 120000 | 117041 |
|  |  |  | 242389 |
| Wireless Telecommunication Services - 0.2% |  |  |  |
| T-Mobile USA Inc 4.2% 10/1/2029  |  | 100000 | 100805 |
| TOTAL COMMUNICATION SERVICES |  |  | 1100954 |
| Consumer Discretionary - 0.4% |  |  |  |
| Automobiles - 0.2% |  |  |  |
| General Motors Financial Co Inc 4.9% 10/6/2029  |  | 100000 | 102258 |
| Leisure Products - 0.2% |  |  |  |
| Mattel Inc 5% 11/17/2030  |  | 98000 | 99505 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 201763 |
| Consumer Staples - 2.1% |  |  |  |
| Beverages - 0.2% |  |  |  |
| PepsiCo Inc 3.9% 7/18/2032  |  | 100000 | 99219 |
| Consumer Staples Distribution & Retail - 0.5% |  |  |  |
| Walmart Inc 1.8% 9/22/2031  |  | 300000 | 270513 |
| Food Products - 1.4% |  |  |  |
| Bunge Ltd Finance Corp 4.1% 1/7/2028  |  | 55000 | 55272 |
| Bunge Ltd Finance Corp 4.2% 9/17/2029  |  | 100000 | 100648 |
| General Mills Inc 2.25% 10/14/2031  |  | 450000 | 403857 |
| Mondelez International Inc 4.75% 8/28/2034  |  | 100000 | 100586 |
|  |  |  | 660363 |
| TOTAL CONSUMER STAPLES |  |  | 1030095 |
| Financials - 9.9% |  |  |  |
| Banks - 3.6% |  |  |  |
| Bank of America Corp 4.456% 2/6/2032 (e) |  | 100000 | 100748 |
| Bank of America Corp 5.425% 8/15/2035 (e) |  | 100000 | 102441 |
| Bank of America Corp 6.204% 11/10/2028 (e) |  | 290000 | 300316 |
| Citigroup Inc 4.542% 9/19/2030 (e) |  | 100000 | 101180 |
| Fifth Third Bancorp 4.895% 9/6/2030 (e) |  | 100000 | 102090 |
| HAT Holdings I LLC / HAT Holdings II LLC 3.75% 9/15/2030 (f) |  | 100000 | 93815 |
| JPMorgan Chase & Co 4.255% 10/22/2031 (e) |  | 300000 | 300897 |
| JPMorgan Chase & Co 4.603% 10/22/2030 (e) |  | 150000 | 152772 |
| PNC Financial Services Group Inc/The 4.812% 10/21/2032 (e) |  | 200000 | 204491 |
| PNC Financial Services Group Inc/The 5.401% 7/23/2035 (e) |  | 100000 | 104162 |
| PNC Financial Services Group Inc/The 5.676% 1/22/2035 (e) |  | 150000 | 159203 |
| Wells Fargo & Co 5.244% 1/24/2031 (e) |  | 55000 | 57061 |
|  |  |  | 1779176 |
| Capital Markets - 4.2% |  |  |  |
| Athene Global Funding 2.5% 3/24/2028 (f) |  | 250000 | 240939 |
| Blackstone Private Credit Fund 3.25% 3/15/2027  |  | 200000 | 196417 |
| GA Global Funding Trust 5.2% 12/9/2031 (f) |  | 150000 | 151400 |
| GA Global Funding Trust 5.4% 1/13/2030 (f) |  | 150000 | 153704 |
| Goldman Sachs Group Inc/The 4.516% 1/21/2032 (e) |  | 66000 | 66408 |
| HPS Corporate Lending Fund 5.45% 11/15/2030 (f) |  | 98000 | 96301 |
| Moody's Corp 5% 8/5/2034  |  | 100000 | 102929 |
| Morgan Stanley 4.356% 10/22/2031 (e) |  | 150000 | 150353 |
| Morgan Stanley 4.493% 1/16/2032 (e) |  | 39000 | 39226 |
| Morgan Stanley 4.654% 10/18/2030 (e) |  | 100000 | 101632 |
| Morgan Stanley 5.23% 1/15/2031 (e) |  | 79000 | 81811 |
| Morgan Stanley 5.449% 7/20/2029 (e) |  | 150000 | 154677 |
| MSCI Inc 5.15% 3/15/2036  |  | 14000 | 13872 |
| MSCI Inc 5.25% 9/1/2035  |  | 113000 | 113143 |
| Nuveen LLC 5.55% 1/15/2030 (f) |  | 18000 | 18788 |
| S&P Global Inc 2.7% 3/1/2029  |  | 400000 | 386660 |
|  |  |  | 2068260 |
| Consumer Finance - 0.9% |  |  |  |
| American Express Co 4.456% 2/10/2032 (e) |  | 150000 | 151470 |
| Capital One Financial Corp 7.149% 10/29/2027 (e) |  | 100000 | 101984 |
| Ford Motor Credit Co LLC 5.125% 11/5/2026  |  | 200000 | 201154 |
|  |  |  | 454608 |
| Financial Services - 0.2% |  |  |  |
| Mastercard Inc 4.35% 1/15/2032  |  | 100000 | 101355 |
| Insurance - 1.0% |  |  |  |
| Arthur J Gallagher & Co 5% 2/15/2032  |  | 12000 | 12264 |
| Arthur J Gallagher & Co 5.15% 2/15/2035  |  | 150000 | 152053 |
| Assurant Inc 5.55% 2/15/2036  |  | 47000 | 47752 |
| MetLife Inc 5.3% 12/15/2034  |  | 90000 | 93630 |
| Pine Street Trust III 6.223% 5/15/2054 (f) |  | 200000 | 203668 |
|  |  |  | 509367 |
| TOTAL FINANCIALS |  |  | 4912766 |
| Health Care - 2.2% |  |  |  |
| Health Care Providers & Services - 1.6% |  |  |  |
| CVS Health Corp 4.3% 3/25/2028  |  | 200000 | 201175 |
| CVS Health Corp 5.25% 1/30/2031  |  | 100000 | 104223 |
| CVS Health Corp 5.875% 6/1/2053  |  | 50000 | 49026 |
| Humana Inc 5.375% 4/15/2031  |  | 122000 | 125730 |
| Icon Investments Six DAC 6% 5/8/2034  |  | 200000 | 205231 |
| Kaiser Foundation Hospitals 3.15% 5/1/2027  |  | 50000 | 49721 |
| UnitedHealth Group Inc 5.3% 6/15/2035  |  | 49000 | 51131 |
|  |  |  | 786237 |
| Pharmaceuticals - 0.6% |  |  |  |
| Merck & Co Inc 1.9% 12/10/2028  |  | 300000 | 286431 |
| TOTAL HEALTH CARE |  |  | 1072668 |
| Industrials - 0.5% |  |  |  |
| Ground Transportation - 0.3% |  |  |  |
| Uber Technologies Inc 4.8% 9/15/2034  |  | 100000 | 100290 |
| Uber Technologies Inc 4.8% 9/15/2035  |  | 18000 | 17918 |
|  |  |  | 118208 |
| Marine Transportation - 0.2% |  |  |  |
| AP Moller - Maersk A/S 5.875% 9/14/2033 (f) |  | 100000 | 107692 |
| Professional Services - 0.0% |  |  |  |
| Verisk Analytics Inc 4.45% 3/15/2031  |  | 6000 | 6029 |
| TOTAL INDUSTRIALS |  |  | 231929 |
| Information Technology - 2.2% |  |  |  |
| Electronic Equipment, Instruments & Components - 0.2% |  |  |  |
| Dell International LLC / EMC Corp 4.75% 10/6/2032  |  | 32000 | 32299 |
| Dell International LLC / EMC Corp 4.85% 2/1/2035  |  | 100000 | 99353 |
|  |  |  | 131652 |
| Semiconductors & Semiconductor Equipment - 1.3% |  |  |  |
| Analog Devices Inc 1.7% 10/1/2028  |  | 300000 | 285032 |
| Broadcom Inc 4.55% 2/15/2032  |  | 200000 | 202702 |
| Broadcom Inc 4.9% 7/15/2032  |  | 150000 | 154496 |
|  |  |  | 642230 |
| Software - 0.7% |  |  |  |
| Autodesk Inc 2.4% 12/15/2031  |  | 300000 | 268970 |
| Oracle Corp 4.8% 9/26/2032  |  | 29000 | 28337 |
| Oracle Corp 5.2% 9/26/2035  |  | 27000 | 26091 |
|  |  |  | 323398 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 1097280 |
| Materials - 0.4% |  |  |  |
| Chemicals - 0.4% |  |  |  |
| Dow Chemical Co/The 5.15% 2/15/2034  |  | 200000 | 198552 |
| Real Estate - 2.3% |  |  |  |
| Diversified REITs - 0.3% |  |  |  |
| WP Carey Inc 2.45% 2/1/2032  |  | 150000 | 134233 |
| Health Care REITs - 0.5% |  |  |  |
| Healthpeak OP LLC 2.125% 12/1/2028  |  | 150000 | 142680 |
| Healthpeak OP LLC 5.375% 2/15/2035  |  | 100000 | 103160 |
|  |  |  | 245840 |
| Office REITs - 0.4% |  |  |  |
| Boston Properties LP 6.75% 12/1/2027  |  | 22000 | 22957 |
| Kilroy Realty LP 2.5% 11/15/2032  |  | 200000 | 167684 |
|  |  |  | 190641 |
| Residential REITs - 1.0% |  |  |  |
| American Homes 4 Rent LP 5.5% 2/1/2034  |  | 50000 | 51641 |
| UDR Inc 1.9% 3/15/2033  |  | 525000 | 440123 |
|  |  |  | 491764 |
| Retail REITs - 0.0% |  |  |  |
| Regency Centers LP 4.5% 3/15/2033  |  | 9000 | 9003 |
| Specialized REITs - 0.1% |  |  |  |
| American Tower Corp 4.7% 12/15/2032  |  | 68000 | 68782 |
| TOTAL REAL ESTATE |  |  | 1140263 |
| Utilities - 3.1% |  |  |  |
| Electric Utilities - 2.2% |  |  |  |
| Clearway Energy Operating LLC 3.75% 1/15/2032 (f) |  | 200000 | 186007 |
| Consolidated Edison Co of New York Inc 3.35% 4/1/2030  |  | 325000 | 317132 |
| MidAmerican Energy Co 5.35% 1/15/2034  |  | 150000 | 157645 |
| Oncor Electric Delivery Co LLC 4.15% 6/1/2032  |  | 100000 | 99094 |
| Pacific Gas and Electric Co 5.9% 10/1/2054  |  | 53000 | 51577 |
| Public Service Electric and Gas Co 4.65% 3/15/2033  |  | 100000 | 101184 |
| Puget Sound Energy Inc 5.448% 6/1/2053  |  | 100000 | 97869 |
| Wisconsin Power and Light Co 4.95% 4/1/2033  |  | 50000 | 51199 |
|  |  |  | 1061707 |
| Independent Power and Renewable Electricity Producers - 0.7% |  |  |  |
| AES Corp/The 2.45% 1/15/2031  |  | 400000 | 370918 |
| Multi-Utilities - 0.2% |  |  |  |
| New York State Electric & Gas Corp 5.3% 8/15/2034 (f) |  | 100000 | 104420 |
| TOTAL UTILITIES |  |  | 1537045 |
| TOTAL UNITED STATES |  |  | 12523315 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $17,744,899) |  |  | <br> **18052197** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.5%** | &nbsp;&nbsp;**Preferred Securities - 0.5%** | &nbsp;&nbsp;**Preferred Securities - 0.5%** | &nbsp;&nbsp;**Preferred Securities - 0.5%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ITALY - 0.2%  |  |  |  |
| Utilities - 0.2% |  |  |  |
| Electric Utilities - 0.2% |  |  |  |
| Terna - Rete Elettrica Nazionale 2.375% (c)(d)(e) | EUR | 100000 | 116833 |
| NETHERLANDS - 0.3%  |  |  |  |
| Utilities - 0.3% |  |  |  |
| Electric Utilities - 0.3% |  |  |  |
| TenneT Holding BV 4.625% (c)(d)(e) | EUR | 100000 | 126157 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $221,136) |  |  | <br> **242990** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 14.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 14.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 14.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 14.9%  |  |  |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 192785 | 171988 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036  | 101410 | 94674 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 173753 | 145130 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 82367 | 71687 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 819815 | 743375 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 494132 | 490612 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2054  | 238840 | 240623 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2053  | 169401 | 170809 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2053  | 174001 | 175545 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2053  | 87511 | 88288 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  | 114870 | 117151 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 44625 | 46433 |
| Freddie Mac Gold Pool 1.5% 12/1/2031  | 118988 | 113988 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 656831 | 547397 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 957238 | 795260 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 189355 | 157807 |
| Freddie Mac Gold Pool 2% 4/1/2051  | 69724 | 58304 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 646501 | 562673 |
| Freddie Mac Gold Pool 2.5% 3/1/2052  | 817459 | 711463 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 73730 | 69640 |
| Freddie Mac Gold Pool 4% 12/1/2052  | 291183 | 283275 |
| Freddie Mac Gold Pool 5% 6/1/2053  | 163304 | 164819 |
| Freddie Mac Gold Pool 5% 7/1/2054  | 498749 | 501974 |
| Freddie Mac Gold Pool 5.5% 10/1/2053  | 156253 | 159357 |
| Freddie Mac Gold Pool 6% 10/1/2053  | 456950 | 470326 |
| Freddie Mac Gold Pool 6.5% 1/1/2053  | 43188 | 45130 |
| Freddie Mac Gold Pool 6.5% 6/1/2053  | 39089 | 40763 |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 (b) | 175000 | 151546 |
| TOTAL UNITED STATES |  | 7390037 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $7,468,023) |  | <br> **7390037** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.4%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.4%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.4%  |  |  |
| Utilities - 0.4% |  |  |
| Independent Power and Renewable Electricity Producers - 0.4% |  |  |
| Tennessee Valley Authority 1.5% 9/15/2031 <br>(Cost $199,979)<br>| 200000 | **178505** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 41.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 41.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 41.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 41.5%** |
|  | Yield (%) (g) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 3/19/2026  | 4.08 | 500000 | 499143 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.03 to 4.79 | 455000 | 426225 |
| US Treasury Bonds 4.25% 8/15/2054  | 3.97 to 4.97 | 530000 | 496585 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.77 to 4.80 | 530000 | 517785 |
| US Treasury Bonds 4.625% 11/15/2045  | 4.68 to 4.79 | 1260000 | 1268269 |
| US Treasury Bonds 4.625% 2/15/2055 (h) | 4.50 to 5.05 | 1720000 | 1715431 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.43 to 4.64 | 350000 | 348879 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.79 to 4.93 | 700000 | 712387 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.73 | 180000 | 183290 |
| US Treasury Notes 2.875% 5/15/2032  | 3.00 | 63000 | 60259 |
| US Treasury Notes 3.5% 1/31/2028  | 3.59 to 4.86 | 53000 | 53101 |
| US Treasury Notes 3.625% 9/30/2031  | 3.60 to 4.23 | 1450000 | 1452436 |
| US Treasury Notes 3.75% 2/28/2033  | 3.72 | 13000 | 13021 |
| US Treasury Notes 3.75% 8/31/2031  | 3.61 to 3.82 | 730000 | 735988 |
| US Treasury Notes 3.875% 12/31/2032  | 3.95 | 1160000 | 1171419 |
| US Treasury Notes 3.875% 8/31/2032  | 3.87 | 300000 | 303305 |
| US Treasury Notes 3.875% 9/30/2029  | 3.46 | 55000 | 55795 |
| US Treasury Notes 4% 1/31/2031  | 4.16 to 4.72 | 800000 | 816813 |
| US Treasury Notes 4% 1/31/2033  | 4.06 | 620000 | 630656 |
| US Treasury Notes 4% 11/15/2035  | 4.12 to 4.19 | 1175000 | 1179223 |
| US Treasury Notes 4% 4/30/2032  | 3.93 | 350000 | 356713 |
| US Treasury Notes 4% 6/30/2032  | 4.18 | 400000 | 407531 |
| US Treasury Notes 4.125% 10/31/2031  | 4.39 | 300000 | 307992 |
| US Treasury Notes 4.125% 11/30/2031  | 4.13 | 100000 | 102660 |
| US Treasury Notes 4.125% 2/28/2027  | 4.05 | 600000 | 603469 |
| US Treasury Notes 4.125% 2/29/2032  | 3.88 to 4.19 | 1330000 | 1364861 |
| US Treasury Notes 4.125% 3/31/2032  | 4.23 | 350000 | 359201 |
| US Treasury Notes 4.125% 7/31/2031  | 3.96 to 4.19 | 1550000 | 1592190 |
| US Treasury Notes 4.25% 2/28/2029  | 4.21 | 105000 | 107531 |
| US Treasury Notes 4.25% 5/15/2035  | 4.25 to 4.40 | 1120000 | 1148744 |
| US Treasury Notes 4.25% 8/15/2035  | 4.10 to 4.22 | 490000 | 502173 |
| US Treasury Notes 4.625% 2/15/2035  | 4.16 to 4.34 | 800000 | 844125 |
| US Treasury Notes 4.625% 9/30/2028  | 4.60 | 190000 | 195782 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $20,189,136) |  |  | **20532982** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 3.3%** | &nbsp;&nbsp;**Money Market Funds - 3.3%** | &nbsp;&nbsp;**Money Market Funds - 3.3%** | &nbsp;&nbsp;**Money Market Funds - 3.3%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (i)<br>(Cost $1,650,736)<br>| 3.70 | 1650406 | **1650736** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.2%**<br> (Cost $49,076,634)<br>| <br>**49630499** |
| **NET OTHER ASSETS (LIABILITIES) - (0.2)%**  | **(78821)** |
| **NET ASSETS - 100.0%** | **49551678** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 5Y US Treasury Notes Contracts (United States) | 4 | 6/2026 | 440469 | 2611 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| Eurex Euro-Bobl Contracts (Germany) | (10) | 3/2026 | (1387907) | (10471) |
| Eurex Euro-Bund Contracts (Germany) | (3) | 3/2026 | (461639) | (6471) |
| Eurex Euro-Schatz Contracts (Germany) | (5) | 3/2026 | (632333) | (860) |
| TOTAL SHORT |  |  |  | (17802) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **(15191)** |
| The notional amount of long futures as a percentage of Net Assets is 0.9%. | The notional amount of long futures as a percentage of Net Assets is 0.9%. | The notional amount of long futures as a percentage of Net Assets is 0.9%. | The notional amount of long futures as a percentage of Net Assets is 0.9%. | The notional amount of long futures as a percentage of Net Assets is 0.9%. |
| The notional amount of short futures as a percentage of Net Assets is 5.0%. | The notional amount of short futures as a percentage of Net Assets is 5.0%. | The notional amount of short futures as a percentage of Net Assets is 5.0%. | The notional amount of short futures as a percentage of Net Assets is 5.0%. | The notional amount of short futures as a percentage of Net Assets is 5.0%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| EUR | 54000 | USD | 63798 | Goldman Sachs Bank USA | 3/2026 | 8 |
| EUR | 67000 | USD | 79213 | JPMorgan Chase Bank NA | 4/2026 | 162 |
| USD | 20209 | AUD | 29000 | JPMorgan Chase Bank NA | 4/2026 | (424) |
| USD | 2954509 | EUR | 2460000 | BNP Paribas SA | 4/2026 | 40150 |
| USD | 66325 | EUR | 56000 | Goldman Sachs Bank USA | 4/2026 | (18) |
| USD | 7143 | EUR | 6000 | JPMorgan Chase Bank NA | 4/2026 | 34 |
| USD | 23864 | EUR | 20000 | JPMorgan Chase Bank NA | 4/2026 | 170 |
| USD | 156886 | GBP | 114000 | Goldman Sachs Bank USA | 4/2026 | 3227 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **43309** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 43751 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (442) |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| USD | - | United States Dollar |

---

**Legend**

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

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

(c) 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 $3,002,020 or 6.1% of net assets.

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

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $3,106,021 or 6.3% of net assets.

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

(h) 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 $59,841.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 2361549 | 6301084 | 7011743 | 38652 | (154) | - | 1650736 | 1650406 | 0.0% |
| Total | 2361549 | 6301084 | 7011743 | 38652 | (154) | - | 1650736 |  |  |

---

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 251067 | - | 251067 | - |
|  **Commercial Mortgage Securities** | 930072 | - | 930072 | - |
|  **Foreign Government and Government Agency Obligations** | 401913 | - | 401913 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 1777875 | - | 1777875 | - |
| Consumer Discretionary | 201763 | - | 201763 | - |
| Consumer Staples | 1156795 | - | 1156795 | - |
| Financials | 7101978 | - | 7101978 | - |
| Health Care | 1072668 | - | 1072668 | - |
| Industrials | 231929 | - | 231929 | - |
| Information Technology | 1244993 | - | 1244993 | - |
| Materials | 625401 | - | 625401 | - |
| Real Estate | 1732777 | - | 1732777 | - |
| Utilities | 2906018 | - | 2906018 | - |
|  **Preferred Securities** |  |  |  |  |
| Utilities | 242990 | - | 242990 | - |
|  **U.S. Government Agency - Mortgage Securities** | 7390037 | - | 7390037 | - |
|  **U.S. Government Agency Obligations** |  |  |  |  |
| Utilities | 178505 | - | 178505 | - |
|  **U.S. Treasury Obligations** | 20532982 | - | 20532982 | - |
|  **Money Market Funds** | 1650736 | 1650736 | - | - |
| **Total Investments in Securities:** | 49630499 | 1650736 | 47979763 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 2611 | 2611 | - | - |
| Forward Foreign Currency Contracts | 43751 | - | 43751 | - |
| Total Assets | 46362 | 2611 | 43751 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (17802) | (17802) | - | - |
| Forward Foreign Currency Contracts | (442) | - | (442) | - |
| Total Liabilities | (18244) | (17802) | (442) | - |
| **Total Derivative Instruments:** | 28118 | (15191) | 43309 | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (a)  | 43751 | (442) |
| **Total Foreign Exchange Risk**  | 43751 | (442) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 2611 | (17802) |
| **Total Interest Rate Risk**  | 2611 | (17802) |
| **Total Value of Derivatives** | 46362 | (18244) |

---

(a)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

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

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $47,425,898) | $47979763 |  |
| Fidelity Central Funds (cost $1,650,736) | 1650736 |  |
| Total Investment in Securities (cost $49,076,634) |  | $49630499 |
| Foreign currency held at value (cost $28,695) |  | 28511 |
| Unrealized appreciation on forward foreign currency contracts |  | 43751 |
| Receivable for fund shares sold |  | 208988 |
| Dividends receivable |  | 61 |
| Interest receivable |  | 449306 |
| Distributions receivable from Fidelity Central Funds |  | 4693 |
| Receivable from investment adviser for expense reductions |  | 2071 |
| **Total assets** |  | 50367880 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $77587 |  |
| Delayed delivery | 148313 |  |
| Unrealized depreciation on forward foreign currency contracts | 442 |  |
| Payable for fund shares redeemed | 451546 |  |
| Distributions payable | 99188 |  |
| Accrued management fee | 14461 |  |
| Distribution and service plan fees payable | 1091 |  |
| Payable for daily variation margin on futures contracts | 4165 |  |
| Other affiliated payables | 2654 |  |
| Other payables and accrued expenses | 16755 |  |
| **Total liabilities** |  | 816202 |
| **Net Assets**  |  | $49551678 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $60353657 |
| Total accumulated earnings (loss) |  | (10801979) |
| **Net Assets** |  | $49551678 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($1,260,806 ÷ 144,704 shares)(a) |  | $8.71 |
| Maximum offering price per share (100/96.00 of $8.71) |  | $9.07 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($832,051 ÷ 95,498 shares)(a) |  | $8.71 |
| Maximum offering price per share (100/96.00 of $8.71) |  | $9.07 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($803,615 ÷ 92,324 shares)(a) |  | $8.70 |
| **Fidelity Environmental Bond Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($10,777,231 ÷ 1,236,922 shares) |  | $8.71 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($765,124 ÷ 87,887 shares) |  | $8.71 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($35,112,851 ÷ 4,030,037 shares) |  | $8.71 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $3207 |
| Interest  |  | 996999 |
| Income from Fidelity Central Funds  |  | 38652 |
| **Total income** |  | 1038858 |
| **Expenses** |  |  |
| Management fee | $85957 |  |
| Transfer agent fees | 15950 |  |
| Distribution and service plan fees | 6489 |  |
| Independent trustees' fees and expenses | 52 |  |
| Total expenses before reductions | 108448 |  |
| Expense reductions | (8302) |  |
| Total expenses after reductions |  | 100146 |
| **Net Investment income (loss)** |  | 938712 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (408317) |  |
| Fidelity Central Funds | (154) |  |
| Forward foreign currency contracts | (21183) |  |
| Foreign currency transactions | 3645 |  |
| Futures contracts | 21991 |  |
| Total net realized gain (loss) |  | (404018) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 1293980 |  |
| Forward foreign currency contracts | 17497 |  |
| Assets and liabilities in foreign currencies | (854) |  |
| Futures contracts | (29535) |  |
| TBA sale commitments | 1507 |  |
| Total change in net unrealized appreciation (depreciation) |  | 1282595 |
| **Net gain (loss)** |  | 878577 |
| **Net increase (decrease) in net assets resulting from operations** |  | $1817289 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $938712 | $1626795 |
| &nbsp;&nbsp;Net realized gain (loss) | (404018)<br>| (478620)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 1282595 | 218917<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 1817289<br>| 1367092<br>|
| Distributions to shareholders | (958873)<br>| (1558498)<br>|
| Share transactions - net increase (decrease) | 1203095<br>| 10179638<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 2061511<br>| 9988232<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 47490167 | 37501935<br>|
| &nbsp;&nbsp;End of period | $49551678 | $47490167 |

---

**Financial Highlights** 

**Fidelity Advisor® Environmental Bond Fund Class A**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021** A  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $8.56 | $8.62 | $8.29 | $8.71 | $10.10 | $10.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) B,C | .153  | .309  | .289  | .223  | .101  | .010  |
| Net realized and unrealized gain (loss)  | .153  | (.073)  | .304  | (.337)  | (1.386)  | .101  |
| Total from investment operations  | .306  | .236  | .593  | (.114)  | (1.285)  | .111  |
| Distributions from net investment income  | (.156)  | (.296)  | (.263)  | (.306)  | (.100) D | (.011)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005) D | -  |
| Total distributions  | (.156)  | (.296)  | (.263)  | (.306)  | (.105)  | (.011)  |
| Net asset value, end of period  | $8.71 | $8.56 | $8.62 | $8.29 | $8.71 | $10.10 |
| **Total Return** E,F,G | 3.61% <br>| 2.81%  | 7.31%  | (1.30)%  | (12.79)%  | 1.11%  |
| **Ratios to Average Net Assets** C,H,I |  |  |  |  |  |  |
| Expenses before reductions  | .70% J | .69%  | .69%  | .71%  | .67%  | .65% J |
| Expenses net of fee waivers, if any  | .70% J<br>| .69%  | .69%  | .71%  | .67%  | .65% J |
| Expenses net of all reductions, if any  | .70% J | .69%  | .69%  | .70%  | .67%  | .65% J |
| Net investment income (loss)  | 3.57% J | 3.64%  | 3.47%  | 2.66%  | 1.07%  | .50% J |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $1261 | $1174 | $1011 | $1000 | $778 | $809 |
| Portfolio turnover rate K | 47% J<br>| 50%  | 97%  | 84%  | 198%  | 12% L |

---

A*For the period June 15, 2021 (commencement of operations) through August 31, 2021.*

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

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

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

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

H*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.*

I*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.*

J*Annualized.*

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

L*Amount not annualized.*

**Fidelity Advisor® Environmental Bond Fund Class M**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021** A  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $8.56 | $8.62 | $8.29 | $8.71 | $10.10 | $10.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) B,C | .154  | .311  | .290  | .225  | .101  | .010  |
| Net realized and unrealized gain (loss)  | .154  | (.074)  | .305  | (.337)  | (1.386)  | .101  |
| Total from investment operations  | .308  | .237  | .595  | (.112)  | (1.285)  | .111  |
| Distributions from net investment income  | (.158)  | (.297)  | (.265)  | (.308)  | (.100) D | (.011)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005) D | -  |
| Total distributions  | (.158)  | (.297)  | (.265)  | (.308)  | (.105)  | (.011)  |
| Net asset value, end of period  | $8.71 | $8.56 | $8.62 | $8.29 | $8.71 | $10.10 |
| **Total Return** E,F,G | 3.62% <br>| 2.84%  | 7.33%  | (1.28)%  | (12.78)%  | 1.11%  |
| **Ratios to Average Net Assets** C,H,I |  |  |  |  |  |  |
| Expenses before reductions  | .67% J | .67%  | .68%  | .69%  | .67%  | .65% J |
| Expenses net of fee waivers, if any  | .67% J<br>| .67%  | .68%  | .69%  | .67%  | .65% J |
| Expenses net of all reductions, if any  | .67% J | .67%  | .67%  | .69%  | .66%  | .65% J |
| Net investment income (loss)  | 3.59% J | 3.66%  | 3.48%  | 2.68%  | 1.07%  | .50% J |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $832 | $804 | $780 | $729 | $736 | $809 |
| Portfolio turnover rate K | 47% J<br>| 50%  | 97%  | 84%  | 198%  | 12% L |

---

A*For the period June 15, 2021 (commencement of operations) through August 31, 2021.*

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

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

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

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

H*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.*

I*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.*

J*Annualized.*

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

L*Amount not annualized.*

**Fidelity Advisor® Environmental Bond Fund Class C**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021** A  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $8.55 | $8.62 | $8.28 | $8.70 | $10.09 | $10.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) B,C | .121  | .246  | .226  | .162  | .030  | (.005)  |
| Net realized and unrealized gain (loss)  | .154  | (.084)  | .315  | (.337)  | (1.382)  | .095  |
| Total from investment operations  | .275  | .162  | .541  | (.175)  | (1.352)  | .090  |
| Distributions from net investment income  | (.125)  | (.232)  | (.201)  | (.245)  | (.033) D | - E |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005) D | -  |
| Total distributions  | (.125)  | (.232)  | (.201)  | (.245)  | (.038)  | - E |
| Net asset value, end of period  | $8.70 | $8.55 | $8.62 | $8.28 | $8.70 | $10.09 |
| **Total Return** F,G,H | 3.23% <br>| 1.93%  | 6.65%  | (2.02)%  | (13.42)%  | .90%  |
| **Ratios to Average Net Assets** C,I,J |  |  |  |  |  |  |
| Expenses before reductions  | 1.44% K | 1.44%  | 1.44%  | 1.43%  | 1.42%  | 1.39% K |
| Expenses net of fee waivers, if any  | 1.44% K<br>| 1.44%  | 1.44%  | 1.43%  | 1.42%  | 1.39% K |
| Expenses net of all reductions, if any  | 1.44% K | 1.44%  | 1.43%  | 1.43%  | 1.42%  | 1.39% K |
| Net investment income (loss)  | 2.82% K | 2.90%  | 2.72%  | 1.93%  | .32%  | (.25)% K |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $804 | $771 | $777 | $732 | $741 | $808 |
| Portfolio turnover rate L | 47% K<br>| 50%  | 97%  | 84%  | 198%  | 12% M |

---

A*For the period June 15, 2021 (commencement of operations) through August 31, 2021.*

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

E*Amount represents less than $.0005 per share.*

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

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

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

I*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.*

J*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.*

K*Annualized.*

L*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.*

M*Amount not annualized.*

**Fidelity® Environmental Bond Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021** A  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $8.56 | $8.62 | $8.29 | $8.71 | $10.10 | $10.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) B,C | .163  | .330  | .309  | .245  | .120  | .015  |
| Net realized and unrealized gain (loss)  | .154  | (.074)  | .304  | (.337)  | (1.385)  | .101  |
| Total from investment operations  | .317  | .256  | .613  | (.092)  | (1.265)  | .116  |
| Distributions from net investment income  | (.167)  | (.316)  | (.283)  | (.328)  | (.120) D | (.016)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005) D | -  |
| Total distributions  | (.167)  | (.316)  | (.283)  | (.328)  | (.125)  | (.016)  |
| Net asset value, end of period  | $8.71 | $8.56 | $8.62 | $8.29 | $8.71 | $10.10 |
| **Total Return** E,F | 3.74% <br>| 3.06%  | 7.57%  | (1.05)%  | (12.60)%  | 1.16%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |  |  |
| Expenses before reductions  | .45% I | .45%  | .45%  | .45%  | .45%  | .45% I |
| Expenses net of fee waivers, if any  | .45% I<br>| .45%  | .45%  | .45%  | .45%  | .45% I |
| Expenses net of all reductions, if any  | .45% I | .45%  | .45%  | .45%  | .45%  | .45% I |
| Net investment income (loss)  | 3.81% I | 3.89%  | 3.71%  | 2.91%  | 1.29%  | .70% I |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $10777 | $11332 | $11610 | $10241 | $10796 | $7663 |
| Portfolio turnover rate J | 47% I<br>| 50%  | 97%  | 84%  | 198%  | 12% K |

---

A*For the period June 15, 2021 (commencement of operations) through August 31, 2021.*

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

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

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

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

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

I*Annualized.*

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

K*Amount not annualized.*

**Fidelity Advisor® Environmental Bond Fund Class I**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021** A  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $8.56 | $8.62 | $8.28 | $8.70 | $10.10 | $10.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) B,C | .163  | .329  | .303  | .236  | .109  | .016  |
| Net realized and unrealized gain (loss)  | .154  | (.073)  | .315  | (.339)  | (1.372)  | .100  |
| Total from investment operations  | .317  | .256  | .618  | (.103)  | (1.263)  | .116  |
| Distributions from net investment income  | (.167)  | (.316)  | (.278)  | (.317)  | (.132) D | (.016)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005) D | -  |
| Total distributions  | (.167)  | (.316)  | (.278)  | (.317)  | (.137)  | (.016)  |
| Net asset value, end of period  | $8.71 | $8.56 | $8.62 | $8.28 | $8.70 | $10.10 |
| **Total Return** E,F | 3.74% <br>| 3.06%  | 7.63%  | (1.18)%  | (12.58)%  | 1.16%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |  |  |
| Expenses before reductions  | .55% I | .58%  | .57%  | .58%  | .60%  | .40% I |
| Expenses net of fee waivers, if any  | .45% I<br>| .45%  | .52%  | .58%  | .60%  | .40% I |
| Expenses net of all reductions, if any  | .45% I | .45%  | .52%  | .57%  | .59%  | .40% I |
| Net investment income (loss)  | 3.82% I | 3.89%  | 3.64%  | 2.79%  | 1.14%  | .74% I |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $765 | $495 | $393 | $482 | $996 | $809 |
| Portfolio turnover rate J | 47% I<br>| 50%  | 97%  | 84%  | 198%  | 12% K |

---

A*For the period June 15, 2021 (commencement of operations) through August 31, 2021.*

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

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

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

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

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

I*Annualized.*

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

K*Amount not annualized.*

**Fidelity Advisor® Environmental Bond Fund Class Z**<br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021** A  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $8.56 | $8.62 | $8.29 | $8.71 | $10.10 | $10.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) B,C | .167  | .336  | .316  | .252  | .130  | .017  |
| Net realized and unrealized gain (loss)  | .154  | (.072)  | .305  | (.337)  | (1.386)  | .101  |
| Total from investment operations  | .321  | .264  | .621  | (.085)  | (1.256)  | .118  |
| Distributions from net investment income  | (.171)  | (.324)  | (.291)  | (.335)  | (.129) D | (.018)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.005) D | -  |
| Total distributions  | (.171)  | (.324)  | (.291)  | (.335)  | (.134)  | (.018)  |
| Net asset value, end of period  | $8.71 | $8.56 | $8.62 | $8.29 | $8.71 | $10.10 |
| **Total Return** E,F | 3.78% <br>| 3.15%  | 7.67%  | (.96)%  | (12.52)%  | 1.18%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |  |  |
| Expenses before reductions  | .40% I | .40%  | .40%  | .40%  | .40%  | .40% I |
| Expenses net of fee waivers, if any  | .36% I<br>| .36%  | .36%  | .36%  | .36%  | .36% I |
| Expenses net of all reductions, if any  | .36% I | .36%  | .36%  | .36%  | .36%  | .36% I |
| Net investment income (loss)  | 3.91% I | 3.98%  | 3.80%  | 3.00%  | 1.38%  | .78% I |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $35113 | $32913 | $22930 | $19580 | $16331 | $809 |
| Portfolio turnover rate J | 47% I<br>| 50%  | 97%  | 84%  | 198%  | 12% K |

---

A*For the period June 15, 2021 (commencement of operations) through August 31, 2021.*

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

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

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

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

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

I*Annualized.*

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

K*Amount not annualized.*

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

For the period ended February 28, 2026

**1. Organization.**

Fidelity Environmental Bond Fund (the Fund) is a fund of Fidelity Income Fund (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 Environmental 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. The Fund normally invests in issuers whose products or services are intended or likely to have a positive environmental impact. Some industries and sectors might be more likely to issue environmental bonds, and events or factors impacting these sectors may have a greater effect on, and may more adversely affect, the Fund than they would a fund that does not invest in issuers with a common purpose. The Fund also will be affected by a decrease in governmental or other support for environmental initiatives.

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

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

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

---

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

---

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

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

**3. Significant Accounting Policies.**

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

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

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

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

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

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

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

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

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

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

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

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

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

Book-tax differences are primarily due to futures contracts, foreign currency transactions, market discount, capital loss carry forwards 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** | $1276541 |
| **Gross unrealized depreciation** | <u>(589896)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$686645</u> |
| **Tax cost** | <u>$48971972</u> |

---

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

---

| | |
|:---|:---|
| Short-term | $(8868493) |
| Long-term | <u>(2022539)</u> |
| **Total capital loss carryforward** | <u>$(10891032)</u> |

---

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

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

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

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

**4. Derivative Instruments.**

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

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

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

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| | |
|:---|:---|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

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

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

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

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Environmental Bond Fund** |  |  |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp; <u>(21183)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>17497</u> |
| **Total Foreign Exchange Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(21183)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>17497</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; <u>21991</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(29535)</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>21991</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(29535)</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>808</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(12038)</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Environmental Bond Fund** | 4779782 | 3729630 |

---

**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .35% of the Fund's average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as transfer agent and distribution and service plan fees and other expenses such as interest expense.

**Distribution and Service Plan Fees.** In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A** | - % | .25% | 1552 | 1200 |
| **Class M** | - % | .25% | 1021 | 977 |
| **Class C** | .75% | .25% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>3916</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>3815</u> |
|  |  |  | <u>6489</u> | <u>5992</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:

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| | |
|:---|:---|
|  | **Retained by FDC ($)** |
| **Class A** | 231 |
| **Class M** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>1</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>232</u> |

---

**Transfer Agent Fees.** Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

For the period, transfer agent fees for each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Amount ($)** | **% of Class-Level Average Net Assets** |
| **Class A** | 589 | .10 |
| **Class M** | 277 | .07 |
| **Class C** | 323 | .08 |
| **Fidelity Environmental Bond Fund** | 5570 | .10 |
| **Class I** | 543 | .20 |
| **Class Z** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>8648</u> | .05 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>15950</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 2027 unless extended or renewed.

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

**8. Expense Reductions.** 

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2026. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

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| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class I** | .45% | 284 |
| **Class Z** | .36% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>7455</u> |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>7739</u> |

---

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $563.

**9. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Six months ended** <br> **February 28, 2026** | **Year ended**<br> **August 31, 2025** |
| **Fidelity Environmental Bond Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $22483 | $38043 |
| Class M | 14909 | 27545 |
| Class C | 11300 | 20826 |
| Fidelity Environmental Bond Fund | 215488 | 413996 |
| Class I | 10531 | 15173 |
| Class Z | &nbsp;&nbsp;&nbsp;&nbsp; <u>684162</u> | <u>1042915</u> |
| Total  | <u>$958873</u> | <u>$1558498</u> |

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**10. Share Transactions.**

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** | **Six months ended** <br> **February 28, 2026**  | **Year ended**<br> **August 31, 2025** |
| **Fidelity Environmental Bond Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 9973 | 30663 | $86073 | $257506 |
| Reinvestment of distributions  | 2600 | 4461 | 22461 | 37921 |
| Shares redeemed | <u>(5022)</u> | <u>(15213)</u> | <u>(43284)</u> | <u>(128206)</u> |
| Net increase (decrease) | <u>7551</u> | <u>19911</u> | <u>$65250</u> | <u>$167221</u> |
| **Class M** |  |  |  |  |
| Shares sold | 242 | 6053 | $2098 | $51387 |
| Reinvestment of distributions  | 1726 | 3238 | 14905 | 27516 |
| Shares redeemed | <u>(393)</u> | <u>(5821)</u> | <u>(3377)</u> | <u>(49049)</u> |
| Net increase (decrease) | <u>1575</u> | <u>3470</u> | <u>$13626</u> | <u>$29854</u> |
| **Class C** |  |  |  |  |
| Shares sold | 933 | 1428 | $8071 | $12038 |
| Reinvestment of distributions  | 1310 | 2450 | 11300 | 20797 |
| Shares redeemed | <u>-</u> | <u>(4042)</u> | <u>-</u> | <u>(33780)</u> |
| Net increase (decrease) | <u>2243</u> | <u>(164)</u> | <u>$19371</u> | <u>$(945)</u> |
| **Fidelity Environmental Bond Fund** |  |  |  |  |
| Shares sold | 150426 | 194941 | $1300494 | $1657944 |
| Reinvestment of distributions  | 22784 | 44480 | 196792 | 378037 |
| Shares redeemed | <u>(259769)</u> | <u>(262273)</u> | <u>(2243604)</u> | <u>(2228692)</u> |
| Net increase (decrease) | <u>(86559)</u> | <u>(22852)</u> | <u>$(746318)</u> | <u>$(192711)</u> |
| **Class I** |  |  |  |  |
| Shares sold | 31496 | 17793 | $271312 | $150528 |
| Reinvestment of distributions  | 1119 | 1646 | 9665 | 13979 |
| Shares redeemed | <u>(2644)</u> | <u>(7131)</u> | <u>(22889)</u> | <u>(60971)</u> |
| Net increase (decrease) | <u>29971</u> | <u>12308</u> | <u>$258088</u> | <u>$103536</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 541780 | 1425959 | $4671306 | $12120303 |
| Reinvestment of distributions  | 2863 | 4930 | 24738 | 41896 |
| Shares redeemed | <u>(358616)</u> | <u>(245938)</u> | <u>(3102966)</u> | <u>(2089516)</u> |
| Net increase (decrease) | <u>186027</u> | <u>1184951</u> | <u>$1593078</u> | <u>$10072683</u> |

---

**11. Other.**

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

At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:

---

| | |
|:---|:---|
| **Fund** | **Affiliated %**  |
| **Fidelity Environmental Bond Fund**  | 11 |

---

**12. Risk and Uncertainties.**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

**Fidelity Environmental Bond Fund**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

<u>Other Contractual Arrangements</u>. The Board further considered that FMR has contractually agreed to reimburse Class I and Class Z of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.45% and 0.36%, respectively, through December 31, 2026.

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

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

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

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

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

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

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

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

![](img126694_4.jpg)<br>

1.9901919.104 ENB-SANN-0426

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Income Fund's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Income Fund's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

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

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) Not applicable.

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT](ex99cert.htm) .

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT](ex99.906cert.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 Income Fund

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; April 22, 2026 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; April 22, 2026 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; April 22, 2026 |

---

## 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 Income Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

April 22, 2026

---

| |
|:---|
| &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 Income Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

April 22, 2026

---

| |
|:---|
| &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 Income Fund (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: April 22, 2026

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp;Laura M. Del Prato |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

Dated: April 22, 2026

---

| |
|:---|
| &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>