UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05361
Variable Insurance Products Fund V
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | December 31 |
Date of reporting period: | June 30, 2023 |
Item 1.
Reports to Stockholders
Contents
Current 7-Day Yields | ||
Initial Class | 4.87% | |
Service Class | 4.77% | |
Service Class 2 | 4.62% | |
Investor Class | 4.85% | |
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. |
Effective Maturity Diversification (% of Fund's Investments) | ||
Days | ||
1 - 7 | 88.0 | |
8 - 30 | 2.6 | |
31 - 60 | 0.2 | |
61 - 90 | 2.1 | |
91 - 180 | 3.0 | |
> 180 | 4.1 | |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940. |
Asset Allocation (% of Fund's net assets) |
Net Other Assets (Liabilities) - (0.7)% |
U.S. Treasury Debt - 6.9% | ||||
Yield (%) (a) | Principal Amount (b) | Value ($) | ||
U.S. Treasury Inflation Protected Obligations - 1.2% | ||||
U.S. Treasury Notes | ||||
7/15/23 | 5.48 to 5.53 | 83,427,840 | 83,411,968 | |
U.S. Treasury Obligations - 5.7% | ||||
U.S. Treasury Bills | ||||
7/11/23 to 12/28/23 | 5.19 to 5.48 | 212,200,000 | 208,856,607 | |
U.S. Treasury Notes | ||||
8/31/23 to 10/31/24 (c) | 5.17 to 5.39 | 182,000,000 | 181,859,649 | |
TOTAL U.S. TREASURY OBLIGATIONS | 390,716,256 | |||
TOTAL U.S. TREASURY DEBT (Cost $474,128,224) | 474,128,224 | |||
U.S. Government Agency Debt - 24.9% | ||||
Yield (%) (a) | Principal Amount (b) | Value ($) | ||
Federal Agencies - 24.9% | ||||
Federal Farm Credit Bank | ||||
10/3/24 (c)(d)(e) | 0.00 | 2,000,000 | 2,000,000 | |
7/26/23 to 5/15/25 (c)(e) | 5.11 to 5.26 | 143,000,000 | 142,986,843 | |
Federal Home Loan Bank | ||||
7/3/23 to 5/19/25 (c) | 4.86 to 5.33 | 1,525,750,000 | 1,525,049,831 | |
Federal Home Loan Bank | ||||
8/10/23 | 5.19 | 3,000,000 | 2,993,096 | |
Freddie Mac | ||||
6/12/24 | 5.35 | 30,000,000 | 30,000,000 | |
TOTAL U.S. GOVERNMENT AGENCY DEBT (Cost $1,703,029,770) | 1,703,029,770 | |||
U.S. Government Agency Repurchase Agreement - 14.6% | |||
Maturity Amount ($) | Value ($) | ||
In a joint trading account at 5.06% dated 6/30/23 due 7/3/23 (Collateralized by U.S. Government Obligations) # | 389,286,234 | 389,122,000 | |
With: | |||
ABN AMRO Bank NV at 5.06%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Government Obligations valued at $14,286,022, 3.00% - 6.00%, 4/1/45 - 2/1/56) | 14,005,903 | 14,000,000 | |
BMO Harris Bank NA at 5.07%, dated: | |||
6/15/23 due 7/7/23 (Collateralized by U.S. Government Obligations valued at $8,180,686, 3.00% - 3.50%, 1/20/48 - 12/20/49) | 8,031,547 | 8,000,000 | |
6/16/23 due 7/7/23 (Collateralized by U.S. Government Obligations valued at $4,089,759, 3.50% - 4.50%, 1/20/48 - 10/20/49) | 4,021,386 | 4,000,000 | |
6/26/23 due 7/7/23 (Collateralized by U.S. Government Obligations valued at $2,042,011, 3.50%, 1/20/48) | 2,005,915 | 2,000,000 | |
6/27/23 due 7/5/23 (Collateralized by U.S. Government Obligations valued at $2,041,724, 3.50%, 1/20/48) | 2,002,253 | 2,000,000 | |
BNP Paribas, SA at: | |||
5.07%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Government Obligations valued at $133,235,491, 0.00% - 7.00%, 12/21/23 - 7/1/53) | 130,768,950 | 130,000,000 | |
5.09%, dated 6/20/23 due 7/27/23 (Collateralized by U.S. Treasury Obligations valued at $5,120,282, 0.00% - 5.45%, 6/13/24 - 7/1/52) | 5,026,157 | 5,000,000 | |
BNY Mellon Capital Markets Corp. at 5.1%, dated 6/15/23 due 7/27/23 (Collateralized by U.S. Treasury Obligations valued at $14,316,490, 0.00% - 0.38%, 7/27/23 - 7/31/27) | 14,083,300 | 14,000,000 | |
BofA Securities, Inc. at 5.08%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $28,632,551, 0.25%, 8/31/25) | 28,165,947 | 28,000,000 | |
CIBC Bank U.S.A. at: | |||
5.07%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Government Obligations valued at $22,496,886, 2.00% - 6.50%, 7/1/34 - 5/1/53) | 22,130,130 | 22,000,000 | |
5.11%, dated 6/15/23 due 7/27/23 (Collateralized by U.S. Government Obligations valued at $1,048,764, 0.00% - 7.00%, 10/15/23 - 8/25/55) | 1,005,962 | 1,000,000 | |
Citibank NA at 5.07%, dated 6/29/23 due 7/6/23 (Collateralized by U.S. Treasury Obligations valued at $12,246,897, 0.50% - 4.00%, 4/30/24 - 2/15/42) | 12,011,830 | 12,000,000 | |
Citigroup Global Capital Markets, Inc. at 5.07%, dated: | |||
6/15/23 due 7/7/23 (Collateralized by U.S. Government Obligations valued at $12,271,070, 1.25% - 7.00%, 9/30/28 - 12/20/52) | 12,070,980 | 12,000,000 | |
6/29/23 due 7/6/23 (Collateralized by U.S. Government Obligations valued at $14,288,102, 1.25% - 5.50%, 9/30/28 - 10/20/52) | 14,013,802 | 14,000,000 | |
Goldman Sachs & Co. at: | |||
5.06%, dated 6/27/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $23,479,786, 3.00% - 5.50%, 6/15/34 - 11/15/42) | 23,019,397 | 23,000,000 | |
5.07%, dated: | |||
6/28/23 due 7/5/23 (Collateralized by U.S. Government Obligations valued at $47,973,759, 1.13% - 4.50%, 8/31/28 - 4/1/38) | 47,046,334 | 47,000,000 | |
6/29/23 due 7/6/23 (Collateralized by U.S. Government Obligations valued at $23,473,216, 2.50% - 5.50%, 12/15/24 - 2/1/53) | 23,022,674 | 23,000,000 | |
6/30/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $67,348,472, 1.13% - 4.00%, 2/29/28 - 8/15/40) | 66,065,065 | 66,000,000 | |
ING Financial Markets LLC at: | |||
5.08%, dated 6/16/23 due 7/13/23 (Collateralized by U.S. Government Obligations valued at $6,134,681, 3.50%, 1/20/52) | 6,022,860 | 6,000,000 | |
5.09%, dated 6/15/23 due 7/27/23 (Collateralized by U.S. Government Obligations valued at $2,045,192, 4.00%, 3/20/49) | 2,011,877 | 2,000,000 | |
Mitsubishi UFJ Securities (U.S.A.), Inc. at 5.1%, dated 6/15/23 due 8/30/23 (Collateralized by U.S. Government Obligations valued at $32,723,233, 3.00% - 5.00%, 5/1/29 - 1/1/53) | 32,344,533 | 32,000,000 | |
RBC Dominion Securities at 5.07%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Government Obligations valued at $38,858,310, 0.50% - 6.50%, 2/28/26 - 5/1/53) | 38,224,770 | 38,000,000 | |
RBC Financial Group at: | |||
5.07%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $72,866,887, 0.25% - 7.00%, 4/30/24 - 6/20/53) | 71,419,965 | 71,000,000 | |
5.07%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $12,338,254, 0.50% - 6.50%, 5/15/24 - 6/1/53) | 12,070,980 | 12,000,000 | |
TD Securities (U.S.A.) at 5.07%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Government Obligations valued at $17,347,327, 2.50% - 6.50%, 6/1/46 - 6/1/53) | 17,007,183 | 17,000,000 | |
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT (Cost $994,122,000) | 994,122,000 | ||
U.S. Treasury Repurchase Agreement - 54.3% | |||
Maturity Amount ($) | Value ($) | ||
With: | |||
ABN AMRO Bank NV at 5.05%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $15,050,042, 0.50% - 2.88%, 1/31/24 - 5/15/28) | 15,006,313 | 15,000,000 | |
Barclays Bank PLC at: | |||
5.06%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $28,572,051, 1.13% - 2.75%, 10/31/26 - 2/15/28) | 28,011,807 | 28,000,000 | |
5.07%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $4,090,377, 1.13%, 10/31/26) | 4,023,660 | 4,000,000 | |
BMO Harris Bank NA at: | |||
5.07%, dated 6/29/23 due 7/6/23 (Collateralized by U.S. Treasury Obligations valued at $11,249,536, 1.38% - 4.75%, 2/15/37 - 8/15/51) | 11,010,844 | 11,000,000 | |
5.11%, dated 5/25/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $9,224,015, 2.88% - 3.13%, 11/30/23 - 8/15/28) (c)(e)(f) | 9,117,530 | 9,000,000 | |
BNP Paribas, SA at 5.13%, dated: | |||
6/1/23 due 9/1/23 (Collateralized by U.S. Treasury Obligations valued at $18,443,691, 0.00% - 5.23%, 7/27/23 - 5/15/52) (c)(e)(f) | 18,235,980 | 18,000,000 | |
6/5/23 due 9/5/23 (Collateralized by U.S. Treasury Obligations valued at $18,433,231, 0.00% - 6.75%, 7/5/23 - 8/15/52) (c)(e)(f) | 18,235,980 | 18,000,000 | |
6/15/23 due 9/13/23 (Collateralized by U.S. Treasury Obligations valued at $17,384,473, 0.00% - 6.13%, 12/21/23 - 11/15/51) (c)(e)(f) | 17,218,025 | 17,000,000 | |
CIBC Bank U.S.A. at 5.06%: | |||
dated 6/15/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $7,158,184, 0.63% - 4.00%, 2/29/24 - 8/15/50) | 7,031,484 | 7,000,000 | |
dated 6/15/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $10,225,840, 2.88% - 4.25%, 12/31/24 - 4/30/29) | 10,059,033 | 10,000,000 | |
Credit AG at 5.06%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $18,406,487, 1.25%, 3/31/28) | 18,106,260 | 18,000,000 | |
Federal Reserve Bank of New York at 5.05%, dated 6/30/23 due 7/3/23 (g) | 3,095,302,058 | 3,094,000,000 | |
Fixed Income Clearing Corp. - BNP at 5.06%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $7,143,069, 3.88% - 5.42%, 7/31/23 - 2/15/43) | 7,002,952 | 7,000,000 | |
Fixed Income Clearing Corp. - BNYM at 5.06%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $167,280,024, 4.25%, 5/15/39) | 164,069,153 | 164,000,000 | |
Fixed Income Clearing Corp. - SSB at 5.06%: | |||
dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $35,708,802, 2.88%, 8/15/28) | 35,014,758 | 35,000,000 | |
dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $58,155,538, 1.75%, 11/15/29) | 57,024,035 | 57,000,000 | |
Fixed Income Clearing Corp.- Morgan Stanley & Co LLC at 5.06%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $7,144,479, 4.63%, 6/30/25) | 7,002,952 | 7,000,000 | |
ING Financial Markets LLC at: | |||
5.06%, dated 6/30/23 due: | |||
7/3/23 (Collateralized by U.S. Treasury Obligations valued at $4,090,329, 2.88%, 5/31/25) | 4,001,687 | 4,000,000 | |
7/7/23 (Collateralized by U.S. Treasury Obligations valued at $1,020,556, 1.88% - 4.00%, 2/15/42 - 2/15/51) | 1,000,984 | 1,000,000 | |
5.08%, dated 6/15/23 due 7/27/23 (Collateralized by U.S. Treasury Obligations valued at $4,092,912, 1.88% - 2.88%, 2/15/42 - 5/15/52) | 4,023,707 | 4,000,000 | |
Lloyds Bank PLC at: | |||
5.12%, dated: | |||
6/20/23 due 7/20/23 (Collateralized by U.S. Treasury Obligations valued at $3,062,899, 2.50% - 2.88%, 1/31/25 - 6/15/25) | 3,012,800 | 3,000,000 | |
6/30/23 due 7/28/23 (Collateralized by U.S. Treasury Obligations valued at $4,078,605, 2.50%, 1/31/25) | 4,015,929 | 4,000,000 | |
5.13%, dated 6/22/23 due 7/24/23 (Collateralized by U.S. Treasury Obligations valued at $4,082,722, 0.75% - 2.50%, 11/15/24 - 1/31/25) | 4,018,240 | 4,000,000 | |
5.14%, dated 6/28/23 due 7/28/23 (Collateralized by U.S. Treasury Obligations valued at $2,039,466, 2.25% - 2.50%, 1/31/25 - 8/15/27) | 2,008,567 | 2,000,000 | |
5.33%, dated 6/30/23 due 9/29/23 (Collateralized by U.S. Treasury Obligations valued at $3,058,807, 2.50% - 2.88%, 1/31/25 - 6/15/25) | 3,040,419 | 3,000,000 | |
Mitsubishi UFJ Securities (U.S.A.), Inc. at 5.08%, dated 6/15/23 due 8/30/23 (Collateralized by U.S. Treasury Obligations valued at $9,293,551, 2.50% - 3.00%, 2/15/45 - 5/15/45) | 9,096,520 | 9,000,000 | |
Mizuho Bank, Ltd. at 5.06%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $14,352,968, 3.50%, 4/30/28) | 14,005,903 | 14,000,000 | |
MUFG Securities (Canada), Ltd. at: | |||
5.07%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $4,090,605, 0.25% - 5.29%, 3/31/24 - 8/15/52) | 4,023,660 | 4,000,000 | |
5.08%, dated: | |||
6/28/23 due 8/30/23 (Collateralized by U.S. Treasury Obligations valued at $2,041,477, 2.25% - 3.88%, 11/15/24 - 2/15/43) | 2,017,780 | 2,000,000 | |
6/29/23 due 8/30/23 (Collateralized by U.S. Treasury Obligations valued at $2,041,235, 1.50%, 9/30/24) | 2,017,498 | 2,000,000 | |
MUFG Securities EMEA PLC at 5.06%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $28,563,913, 0.00% - 4.25%, 10/12/23 - 6/30/30) | 28,011,807 | 28,000,000 | |
Natixis SA at: | |||
5.06%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $7,194,049, 1.13% - 4.75%, 3/15/26 - 5/15/53) | 7,002,952 | 7,000,000 | |
5.09%, dated 6/15/23 due 7/27/23 (Collateralized by U.S. Treasury Obligations valued at $26,591,018, 0.38% - 4.38%, 3/31/24 - 5/15/53) | 26,154,397 | 26,000,000 | |
NatWest Markets Securities, Inc. at: | |||
5.06%, dated 6/30/23 due 7/3/23 (Collateralized by U.S. Treasury Obligations valued at $3,061,336, 4.13%, 6/15/26) | 3,001,265 | 3,000,000 | |
5.07%, dated 6/29/23 due 7/6/23 (Collateralized by U.S. Treasury Obligations valued at $17,349,854, 4.13%, 6/15/26) | 17,016,759 | 17,000,000 | |
RBC Dominion Securities at 5.06%, dated 6/15/23 due 7/7/23 (Collateralized by U.S. Treasury Obligations valued at $5,112,977, 0.50% - 4.25%, 9/30/24 - 11/15/51) | 5,029,517 | 5,000,000 | |
Royal Bank of Canada at 5.06%, dated 6/30/23 due 7/5/23 (Collateralized by U.S. Treasury Obligations valued at $4,081,745, 1.50%, 8/15/26) | 4,002,811 | 4,000,000 | |
Societe Generale at 5.07%, dated: | |||
6/28/23 due 7/5/23 (Collateralized by U.S. Treasury Obligations valued at $23,476,557, 0.88% - 3.00%, 3/31/28 - 11/15/44) | 23,022,674 | 23,000,000 | |
6/29/23 due 7/6/23 (Collateralized by U.S. Treasury Obligations valued at $21,432,075, 1.13% - 4.00%, 11/15/26 - 5/15/48) | 21,020,703 | 21,000,000 | |
TOTAL U.S. TREASURY REPURCHASE AGREEMENT (Cost $3,709,000,000) | 3,709,000,000 | ||
TOTAL INVESTMENT IN SECURITIES - 100.7% (Cost $6,880,279,994) | 6,880,279,994 |
NET OTHER ASSETS (LIABILITIES) - (0.7)% | (49,764,776) |
NET ASSETS - 100.0% | 6,830,515,218 |
(a) | Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end. |
(b) | Amount is stated in United States dollars unless otherwise noted. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(e) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(f) | The maturity amount is based on the rate at period end. |
(g) | Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date. |
Other Information | ||
# Additional information on each counterparty to the repurchase agreement is as follows: | ||
Repurchase Agreement / Counterparty | Value ($) | |
$389,122,000 due 7/03/23 at 5.06% | ||
BNY Mellon Capital Markets LLC | 9,913,000 | |
Bank of America, N.A. | 28,249,000 | |
BofA Securities, Inc. | 20,112,000 | |
Citigroup Global Markets, Inc. | 19,617,000 | |
Credit Agricole CIB New York Branch | 1,947,000 | |
HSBC Securities (USA), Inc. | 3,531,000 | |
ING Financial Markets LLC | 1,414,000 | |
JP Morgan Securities LLC | 8,604,000 | |
Mitsubishi UFJ Securities Holdings Ltd | 14,124,000 | |
Mizuho Securities USA, Inc. | 7,847,000 | |
Nomura Securities International | 51,004,000 | |
RBC Dominion Securities, Inc. | 27,425,000 | |
Sumitomo Mitsui Banking Corp. | 112,154,000 | |
Sumitomo Mitsui Banking Corp. NY | 36,166,000 | |
Wells Fargo Securities LLC | 47,015,000 | |
389,122,000 | ||
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value (including repurchase agreements of $4,703,122,000) - See accompanying schedule Unaffiliated issuers (cost $6,880,279,994): | $ | 6,880,279,994 | ||
Cash | 16,000,712 | |||
Receivable for investments sold | 598,266 | |||
Receivable for fund shares sold | 23,255,776 | |||
Interest receivable | 17,424,866 | |||
Total assets | 6,937,559,614 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 79,713,932 | ||
Delayed delivery | 2,000,000 | |||
Payable for fund shares redeemed | 23,404,206 | |||
Accrued management fee | 1,184,342 | |||
Distribution and service plan fees payable | 215,656 | |||
Other affiliated payables | 490,535 | |||
Other payables and accrued expenses | 35,725 | |||
Total Liabilities | 107,044,396 | |||
Net Assets | $ | 6,830,515,218 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 6,830,215,004 | ||
Total accumulated earnings (loss) | 300,214 | |||
Net Assets | $ | 6,830,515,218 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($1,851,867,674 ÷ 1,851,991,443 shares) | $ | 1.00 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($1,928,416,367 ÷ 1,928,473,438 shares) | $ | 1.00 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($257,509,361 ÷ 257,496,208 shares) | $ | 1.00 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($2,792,721,816 ÷ 2,792,065,115 shares) | $ | 1.00 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 159,453,326 | ||
Expenses | ||||
Management fee | $ | 6,754,656 | ||
Transfer agent fees | 2,586,003 | |||
Distribution and service plan fees | 1,244,721 | |||
Accounting fees and expenses | 279,441 | |||
Custodian fees and expenses | 21,935 | |||
Independent trustees' fees and expenses | 11,439 | |||
Registration fees | 55,098 | |||
Audit | 25,149 | |||
Legal | 10,294 | |||
Miscellaneous | 10,320 | |||
Total expenses before reductions | 10,999,056 | |||
Expense reductions | (87,831) | |||
Total expenses after reductions | 10,911,225 | |||
Net Investment income (loss) | 148,542,101 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (29,356) | |||
Total net realized gain (loss) | (29,356) | |||
Net increase in net assets resulting from operations | $ | 148,512,745 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 148,542,101 | $ | 89,059,612 |
Net realized gain (loss) | (29,356) | 15,635 | ||
Net increase in net assets resulting from operations | 148,512,745 | 89,075,247 | ||
Distributions to shareholders | (148,488,537) | (89,092,946) | ||
Share transactions - net increase (decrease) | (6,332,023) | 1,738,898,144 | ||
Total increase (decrease) in net assets | (6,307,815) | 1,738,880,445 | ||
Net Assets | ||||
Beginning of period | 6,836,823,033 | 5,097,942,588 | ||
End of period | $ | 6,830,515,218 | $ | 6,836,823,033 |
VIP Government Money Market Portfolio Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A | .023 | .014 | - B | .003 | .020 | .016 | ||||||
Net realized and unrealized gain (loss) B | - | - | - | - | - | - | ||||||
Total from investment operations | .023 | .014 | - B | .003 | .020 | .016 | ||||||
Distributions from net investment income | (.023) | (.014) | - B | (.003) | (.020) | (.016) | ||||||
Total distributions | (.023) | (.014) | - B | (.003) | (.020) | (.016) | ||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 |
Total Return C,D,E | 2.28% | 1.44% | .01% | .32% | 2.02% | 1.65% | ||||||
Ratios to Average Net Assets A,F,G | ||||||||||||
Expenses before reductions | .29% H | .24% | .23% | .24% | .26% | .26% | ||||||
Expenses net of fee waivers, if any | .28% H | .22% | .08% | .20% | .26% | .26% | ||||||
Expenses net of all reductions | .28% H | .22% | .08% | .20% | .26% | .26% | ||||||
Net investment income (loss) | 4.54% H | 1.52% | .01% | .29% | 1.99% | 1.65% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 1,851,868 | $ | 2,210,498 | $ | 1,477,559 | $ | 2,255,440 | $ | 2,182,100 | $ | 2,166,787 |
VIP Government Money Market Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A | .022 | .013 | - B | .003 | .019 | .015 | ||||||
Net realized and unrealized gain (loss) | - B | .001 | - B | - B | - B | - B | ||||||
Total from investment operations | .022 | .014 | - B | .003 | .019 | .015 | ||||||
Distributions from net investment income | (.022) | (.014) | - B | (.003) | (.019) | (.015) | ||||||
Total distributions | (.022) | (.014) | - B | (.003) | (.019) | (.015) | ||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 |
Total Return C,D,E | 2.23% | 1.36% | .01% | .28% | 1.92% | 1.55% | ||||||
Ratios to Average Net Assets A,F,G | ||||||||||||
Expenses before reductions | .39% H | .34% | .33% | .34% | .36% | .36% | ||||||
Expenses net of fee waivers, if any | .38% H | .30% | .08% | .23% | .36% | .36% | ||||||
Expenses net of all reductions | .38% H | .29% | .08% | .23% | .36% | .36% | ||||||
Net investment income (loss) | 4.44% H | 1.44% | .01% | .26% | 1.89% | 1.55% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 1,928,416 | $ | 1,796,084 | $ | 1,447,279 | $ | 1,641,207 | $ | 1,179,143 | $ | 1,191,142 |
VIP Government Money Market Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A | .021 | .013 | - B | .002 | .017 | .014 | ||||||
Net realized and unrealized gain (loss) B | - | - | - | - | - | - | ||||||
Total from investment operations | .021 | .013 | - B | .002 | .017 | .014 | ||||||
Distributions from net investment income | (.021) | (.013) | - B | (.002) | (.017) | (.014) | ||||||
Total distributions | (.021) | (.013) | - B | (.002) | (.017) | (.014) | ||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 |
Total Return C,D,E | 2.15% | 1.26% | .01% | .24% | 1.76% | 1.40% | ||||||
Ratios to Average Net Assets A,F,G | ||||||||||||
Expenses before reductions | .54% H | .49% | .48% | .49% | .51% | .51% | ||||||
Expenses net of fee waivers, if any | .53% H | .40% | .08% | .28% | .51% | .51% | ||||||
Expenses net of all reductions | .53% H | .40% | .08% | .28% | .51% | .51% | ||||||
Net investment income (loss) | 4.28% H | 1.34% | .01% | .21% | 1.74% | 1.40% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 257,509 | $ | 238,428 | $ | 203,035 | $ | 221,428 | $ | 220,990 | $ | 220,358 |
VIP Government Money Market Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A | .022 | .014 | - B | .003 | .020 | .016 | ||||||
Net realized and unrealized gain (loss) B | - | - | - | - | - | - | ||||||
Total from investment operations | .022 | .014 | - B | .003 | .020 | .016 | ||||||
Distributions from net investment income | (.022) | (.014) | - B | (.003) | (.020) | (.016) | ||||||
Total distributions | (.022) | (.014) | - B | (.003) | (.020) | (.016) | ||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 |
Total Return C,D,E | 2.27% | 1.42% | .01% | .31% | 1.99% | 1.63% | ||||||
Ratios to Average Net Assets A,F,G | ||||||||||||
Expenses before reductions | .31% H | .27% | .25% | .26% | .28% | .28% | ||||||
Expenses net of fee waivers, if any | .31% H | .24% | .08% | .21% | .28% | .28% | ||||||
Expenses net of all reductions | .31% H | .24% | .08% | .21% | .28% | .28% | ||||||
Net investment income (loss) | 4.51% H | 1.50% | .01% | .28% | 1.97% | 1.62% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 2,792,722 | $ | 2,591,813 | $ | 1,970,069 | $ | 2,094,839 | $ | 1,939,981 | $ | 1,764,836 |
Gross unrealized appreciation | $- |
Gross unrealized depreciation | - |
Net unrealized appreciation (depreciation) | $- |
Tax cost | $6,880,279,991 |
Service Class | $925,647 |
Service Class 2 | 319,074 |
$1,244,721 |
Amount | % of Class-Level Average Net Assets A | |
Initial Class | $643,692 | .07 |
Service Class | 629,440 | .07 |
Service Class 2 | 86,788 | .07 |
Investor Class | 1,226,083 | .09 |
$2,586,003 |
% of Average Net Assets | |
VIP Government Money Market Portfolio | .01 |
Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Government Money Market Portfolio | ||
Distributions to shareholders | ||
Initial Class | $ 42,619,495 | $26,100,871 |
Service Class | 40,752,008 | 23,891,059 |
Service Class 2 | 5,413,061 | 3,030,060 |
Investor Class | 59,703,973 | 36,070,956 |
Total | $148,488,537 | $89,092,946 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 | Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Government Money Market Portfolio | ||||
Initial Class | ||||
Shares sold | 981,730,387 | 2,312,880,114 | $981,730,387 | $2,312,880,114 |
Reinvestment of distributions | 42,681,114 | 25,861,990 | 42,681,114 | 25,861,990 |
Shares redeemed | (1,383,037,079) | (1,605,727,372) | (1,383,037,079) | (1,605,727,372) |
Net increase (decrease) | (358,625,578) | 733,014,732 | $(358,625,578) | $733,014,732 |
Service Class | ||||
Shares sold | 695,831,383 | 1,578,838,852 | $695,831,383 | $1,578,838,852 |
Reinvestment of distributions | 40,945,026 | 23,697,767 | 40,945,026 | 23,697,767 |
Shares redeemed | (604,422,836) | (1,253,691,448) | (604,422,836) | (1,253,691,448) |
Net increase (decrease) | 132,353,573 | 348,845,171 | $132,353,573 | $348,845,171 |
Service Class 2 | ||||
Shares sold | 136,007,625 | 176,575,026 | $136,007,625 | $176,575,026 |
Reinvestment of distributions | 5,437,596 | 3,004,386 | 5,437,596 | 3,004,386 |
Shares redeemed | (122,378,522) | (144,180,470) | (122,378,522) | (144,180,470) |
Net increase (decrease) | 19,066,699 | 35,398,942 | $19,066,699 | $35,398,942 |
Investor Class | ||||
Shares sold | 386,826,436 | 1,286,781,944 | $386,826,436 | $1,286,781,944 |
Reinvestment of distributions | 59,987,276 | 35,784,583 | 59,987,276 | 35,784,583 |
Shares redeemed | (245,940,429) | (700,927,228) | (245,940,429) | (700,927,228) |
Net increase (decrease) | 200,873,283 | 621,639,299 | $200,873,283 | $621,639,299 |
Fund | Affiliated % | Number ofUnaffiliated Shareholders | Unaffiliated Shareholders % |
VIP Government Money Market Portfolio | 45% | 1 | 16% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Government Money Market Portfolio | ||||||||||
Initial Class | .28% | |||||||||
Actual | $ 1,000 | $ 1,022.80 | $ 1.40 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.41 | $ 1.40 | |||||||
Service Class | .38% | |||||||||
Actual | $ 1,000 | $ 1,022.30 | $ 1.91 | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.91 | $ 1.91 | |||||||
Service Class 2 | .53% | |||||||||
Actual | $ 1,000 | $ 1,021.50 | $ 2.66 | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.17 | $ 2.66 | |||||||
Investor Class | .31% | |||||||||
Actual | $ 1,000 | $ 1,022.70 | $ 1.55 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.26 | $ 1.56 | |||||||
Contents
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Initial Class | 38.3 | |
VIP Government Money Market Portfolio Initial Class 4.87% | 19.6 | |
Fidelity Inflation-Protected Bond Index Fund | 17.1 | |
VIP Overseas Portfolio Initial Class | 6.8 | |
VIP Emerging Markets Portfolio Initial Class | 5.0 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.1 | |
Fidelity International Bond Index Fund | 2.5 | |
VIP Growth Portfolio Initial Class | 1.7 | |
VIP High Income Portfolio Initial Class | 1.7 | |
VIP Growth & Income Portfolio Initial Class | 1.2 | |
97.0 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 5.9% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 14,322 | 650,347 | |
VIP Equity-Income Portfolio Initial Class (a) | 21,662 | 530,292 | |
VIP Growth & Income Portfolio Initial Class (a) | 27,304 | 725,191 | |
VIP Growth Portfolio Initial Class (a) | 12,117 | 1,060,702 | |
VIP Mid Cap Portfolio Initial Class (a) | 4,748 | 167,609 | |
VIP Value Portfolio Initial Class (a) | 21,016 | 377,666 | |
VIP Value Strategies Portfolio Initial Class (a) | 12,154 | 187,665 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $2,328,432) | 3,699,472 | ||
International Equity Funds - 11.8% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 299,376 | 3,119,498 | |
VIP Overseas Portfolio Initial Class (a) | 171,210 | 4,266,541 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $5,798,185) | 7,386,039 | ||
Bond Funds - 62.7% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 1,168,882 | 10,753,717 | |
Fidelity International Bond Index Fund (a) | 176,779 | 1,594,543 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 185,664 | 1,934,624 | |
VIP High Income Portfolio Initial Class (a) | 225,030 | 1,032,886 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 2,524,741 | 24,060,780 | |
TOTAL BOND FUNDS (Cost $41,971,588) | 39,376,550 | ||
Short-Term Funds - 19.6% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $12,323,660) | 12,323,660 | 12,323,660 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $62,421,865) | 62,785,721 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (6,005) |
NET ASSETS - 100.0% | 62,779,716 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 10,944,412 | 1,175,304 | 1,580,763 | 4,148 | (63,686) | 278,450 | 10,753,717 |
Fidelity International Bond Index Fund | 1,630,025 | 182,407 | 255,719 | 13,855 | (1,387) | 39,217 | 1,594,543 |
Fidelity Long-Term Treasury Bond Index Fund | 2,325,613 | 317,277 | 785,949 | 32,249 | (122,955) | 200,638 | 1,934,624 |
VIP Contrafund Portfolio Initial Class | 636,118 | 114,560 | 219,021 | 6,156 | 12,594 | 106,096 | 650,347 |
VIP Emerging Markets Portfolio Initial Class | 3,796,226 | 595,399 | 1,509,839 | 5,969 | (66,200) | 303,912 | 3,119,498 |
VIP Equity-Income Portfolio Initial Class | 569,993 | 93,515 | 154,763 | - | 5,980 | 15,567 | 530,292 |
VIP Government Money Market Portfolio Initial Class 4.87% | 12,614,424 | 2,484,520 | 2,775,284 | 283,727 | - | - | 12,323,660 |
VIP Growth & Income Portfolio Initial Class | 737,590 | 121,499 | 209,280 | 2,681 | 11,302 | 64,080 | 725,191 |
VIP Growth Portfolio Initial Class | 999,040 | 189,133 | 341,874 | 6,714 | 16,323 | 198,080 | 1,060,702 |
VIP High Income Portfolio Initial Class | 1,055,901 | 98,833 | 164,075 | 709 | (2,161) | 44,388 | 1,032,886 |
VIP Investment Grade Bond II Portfolio - Initial Class | 23,473,593 | 3,311,775 | 3,320,489 | 7,531 | (13,921) | 609,822 | 24,060,780 |
VIP Mid Cap Portfolio Initial Class | 177,905 | 20,649 | 44,702 | 414 | 2,805 | 10,952 | 167,609 |
VIP Overseas Portfolio Initial Class | 4,238,514 | 470,850 | 1,052,101 | - | 6,752 | 602,526 | 4,266,541 |
VIP Value Portfolio Initial Class | 411,018 | 51,738 | 114,939 | - | 15,226 | 14,623 | 377,666 |
VIP Value Strategies Portfolio Initial Class | 203,736 | 23,129 | 54,065 | 487 | 7,741 | 7,124 | 187,665 |
63,814,108 | 9,250,588 | 12,582,863 | 364,640 | (191,587) | 2,495,475 | 62,785,721 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 3,699,472 | 3,699,472 | - | - |
International Equity Funds | 7,386,039 | 7,386,039 | - | - |
Bond Funds | 39,376,550 | 39,376,550 | - | - |
Short-Term Funds | 12,323,660 | 12,323,660 | - | - |
Total Investments in Securities: | 62,785,721 | 62,785,721 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $62,421,865) | $ | 62,785,721 | ||
Total Investment in Securities (cost $62,421,865) | $ | 62,785,721 | ||
Receivable for investments sold | 711,740 | |||
Receivable for fund shares sold | 16,638 | |||
Total assets | 63,514,099 | |||
Liabilities | ||||
Payable for investments purchased | $ | 398,426 | ||
Payable for fund shares redeemed | 329,946 | |||
Distribution and service plan fees payable | 6,011 | |||
Total Liabilities | 734,383 | |||
Net Assets | $ | 62,779,716 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 64,529,862 | ||
Total accumulated earnings (loss) | (1,750,146) | |||
Net Assets | $ | 62,779,716 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($15,149,169 ÷ 1,388,817 shares) | $ | 10.91 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($32,299,393 ÷ 2,966,358 shares) | $ | 10.89 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($15,331,154 ÷ 1,413,919 shares) | $ | 10.84 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 348,304 | ||
Expenses | ||||
Distribution and service plan fees | $ | 36,852 | ||
Independent trustees' fees and expenses | 112 | |||
Total Expenses | 36,964 | |||
Net Investment income (loss) | 311,340 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (191,587) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 16,336 | |||
Total net realized gain (loss) | (175,251) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | �� | 2,495,475 | ||
Total change in net unrealized appreciation (depreciation) | 2,495,475 | |||
Net gain (loss) | 2,320,224 | |||
Net increase (decrease) in net assets resulting from operations | $ | 2,631,564 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 311,340 | $ | 1,716,449 |
Net realized gain (loss) | (175,251) | (1,871,724) | ||
Change in net unrealized appreciation (depreciation) | 2,495,475 | (8,851,800) | ||
Net increase (decrease) in net assets resulting from operations | 2,631,564 | (9,007,075) | ||
Distributions to shareholders | (931,148) | (3,781,431) | ||
Share transactions - net increase (decrease) | (2,728,521) | (1,573,541) | ||
Total increase (decrease) in net assets | (1,028,105) | (14,362,047) | ||
Net Assets | ||||
Beginning of period | 63,807,821 | 78,169,868 | ||
End of period | $ | 62,779,716 | $ | 63,807,821 |
VIP Freedom Income Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.61 | $ | 12.76 | $ | 12.74 | $ | 11.89 | $ | 11.08 | $ | 11.63 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .06 | .30 | .24 | .17 | .27 | .22 | ||||||
Net realized and unrealized gain (loss) | .40 | (1.79) | .18 | 1.06 | 1.03 | (.45) | ||||||
Total from investment operations | .46 | (1.49) | .42 | 1.23 | 1.30 | (.23) | ||||||
Distributions from net investment income | (.16) | (.26) | (.13) | (.16) | (.25) | (.20) | ||||||
Distributions from net realized gain | - | (.40) | (.27) | (.22) | (.25) | (.13) | ||||||
Total distributions | (.16) | (.66) | (.40) | (.38) | (.49) C | (.32) C | ||||||
Net asset value, end of period | $ | 10.91 | $ | 10.61 | $ | 12.76 | $ | 12.74 | $ | 11.89 | $ | 11.08 |
Total Return D,E,F | 4.33% | (12.05)% | 3.35% | 10.47% | 11.94% | (1.96)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | 1.08% J | 2.71% | 1.85% | 1.40% | 2.31% | 1.90% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 15,149 | $ | 15,085 | $ | 17,011 | $ | 16,854 | $ | 14,870 | $ | 14,582 |
Portfolio turnover rate K | 29% J | 91% | 52% | 66% | 40% | 48% |
VIP Freedom Income Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.60 | $ | 12.74 | $ | 12.73 | $ | 11.88 | $ | 11.07 | $ | 11.63 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .05 | .29 | .22 | .16 | .26 | .21 | ||||||
Net realized and unrealized gain (loss) | .40 | (1.77) | .18 | 1.06 | 1.03 | (.46) | ||||||
Total from investment operations | .45 | (1.48) | .40 | 1.22 | 1.29 | (.25) | ||||||
Distributions from net investment income | (.16) | (.25) | (.12) | (.15) | (.24) | (.19) | ||||||
Distributions from net realized gain | - | (.40) | (.27) | (.22) | (.25) | (.13) | ||||||
Total distributions | (.16) | (.66) C | (.39) | (.37) | (.48) C | (.31) C | ||||||
Net asset value, end of period | $ | 10.89 | $ | 10.60 | $ | 12.74 | $ | 12.73 | $ | 11.88 | $ | 11.07 |
Total Return D,E,F | 4.24% | (12.06)% | 3.17% | 10.38% | 11.87% | (2.12)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .98% I | 2.61% | 1.75% | 1.30% | 2.21% | 1.80% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 32,299 | $ | 31,739 | $ | 32,637 | $ | 32,810 | $ | 24,831 | $ | 14,591 |
Portfolio turnover rate J | 29% I | 91% | 52% | 66% | 40% | 48% |
VIP Freedom Income Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.56 | $ | 12.69 | $ | 12.68 | $ | 11.83 | $ | 11.03 | $ | 11.59 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .27 | .20 | .14 | .24 | .19 | ||||||
Net realized and unrealized gain (loss) | .40 | (1.77) | .18 | 1.06 | 1.02 | (.45) | ||||||
Total from investment operations | .44 | (1.50) | .38 | 1.20 | 1.26 | (.26) | ||||||
Distributions from net investment income | (.16) | (.22) | (.10) | (.13) | (.22) | (.17) | ||||||
Distributions from net realized gain | - | (.40) | (.27) | (.22) | (.25) | (.13) | ||||||
Total distributions | (.16) | (.63) C | (.37) | (.35) | (.46) C | (.30) | ||||||
Net asset value, end of period | $ | 10.84 | $ | 10.56 | $ | 12.69 | $ | 12.68 | $ | 11.83 | $ | 11.03 |
Total Return D,E,F | 4.16% | (12.26)% | 3.03% | 10.29% | 11.63% | (2.27)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | .83% I | 2.46% | 1.60% | 1.15% | 2.06% | 1.65% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 15,331 | $ | 16,984 | $ | 28,521 | $ | 27,518 | $ | 18,333 | $ | 15,459 |
Portfolio turnover rate J | 29% I | 91% | 52% | 66% | 40% | 48% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Initial Class | 38.2 | |
VIP Government Money Market Portfolio Initial Class 4.87% | 19.4 | |
Fidelity Inflation-Protected Bond Index Fund | 17.1 | |
VIP Overseas Portfolio Initial Class | 6.9 | |
VIP Emerging Markets Portfolio Initial Class | 5.0 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.1 | |
Fidelity International Bond Index Fund | 2.6 | |
VIP Growth Portfolio Initial Class | 1.7 | |
VIP High Income Portfolio Initial Class | 1.6 | |
VIP Growth & Income Portfolio Initial Class | 1.2 | |
96.8 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 6.1% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 2,426 | 110,167 | |
VIP Equity-Income Portfolio Initial Class (a) | 3,669 | 89,827 | |
VIP Growth & Income Portfolio Initial Class (a) | 4,625 | 122,845 | |
VIP Growth Portfolio Initial Class (a) | 2,052 | 179,666 | |
VIP Mid Cap Portfolio Initial Class (a) | 804 | 28,398 | |
VIP Value Portfolio Initial Class (a) | 3,560 | 63,975 | |
VIP Value Strategies Portfolio Initial Class (a) | 2,059 | 31,789 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $335,868) | 626,667 | ||
International Equity Funds - 11.9% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 49,121 | 511,846 | |
VIP Overseas Portfolio Initial Class (a) | 28,303 | 705,316 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $924,621) | 1,217,162 | ||
Bond Funds - 62.6% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 189,311 | 1,741,659 | |
Fidelity International Bond Index Fund (a) | 28,829 | 260,035 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 30,355 | 316,304 | |
VIP High Income Portfolio Initial Class (a) | 36,553 | 167,780 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 408,717 | 3,895,069 | |
TOTAL BOND FUNDS (Cost $6,765,538) | 6,380,847 | ||
Short-Term Funds - 19.4% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $1,974,468) | 1,974,468 | 1,974,468 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $10,000,495) | 10,199,144 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (272) |
NET ASSETS - 100.0% | 10,198,872 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 1,763,637 | 194,489 | 251,253 | - | (20,862) | 55,648 | 1,741,659 |
Fidelity International Bond Index Fund | 269,304 | 29,352 | 44,998 | 2,234 | (375) | 6,752 | 260,035 |
Fidelity Long-Term Treasury Bond Index Fund | 385,513 | 48,710 | 131,631 | 5,279 | (21,575) | 35,287 | 316,304 |
VIP Contrafund Portfolio Initial Class | 116,910 | 18,602 | 46,384 | 1,095 | 7,328 | 13,711 | 110,167 |
VIP Emerging Markets Portfolio Initial Class | 631,871 | 89,427 | 250,087 | 993 | 6,166 | 34,469 | 511,846 |
VIP Equity-Income Portfolio Initial Class | 104,759 | 13,482 | 32,304 | - | 3,403 | 487 | 89,827 |
VIP Government Money Market Portfolio Initial Class 4.87% | 1,966,265 | 441,831 | 433,628 | 41,145 | - | - | 1,974,468 |
VIP Growth & Income Portfolio Initial Class | 135,561 | 19,171 | 45,436 | 486 | 9,253 | 4,296 | 122,845 |
VIP Growth Portfolio Initial Class | 183,611 | 30,796 | 72,651 | 1,195 | 3,693 | 34,217 | 179,666 |
VIP High Income Portfolio Initial Class | 171,757 | 16,695 | 27,686 | 115 | (2,065) | 9,079 | 167,780 |
VIP Investment Grade Bond II Portfolio - Initial Class | 3,776,786 | 572,622 | 552,936 | 1,213 | (6,233) | 104,830 | 3,895,069 |
VIP Mid Cap Portfolio Initial Class | 32,695 | 3,119 | 9,948 | 75 | 1,724 | 808 | 28,398 |
VIP Overseas Portfolio Initial Class | 727,465 | 74,685 | 200,352 | - | 22,351 | 81,167 | 705,316 |
VIP Value Portfolio Initial Class | 75,539 | 8,500 | 25,534 | - | 4,940 | 530 | 63,975 |
VIP Value Strategies Portfolio Initial Class | 37,443 | 3,804 | 12,207 | 87 | 3,208 | (459) | 31,789 |
10,379,116 | 1,565,285 | 2,137,035 | 53,917 | 10,956 | 380,822 | 10,199,144 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 626,667 | 626,667 | - | - |
International Equity Funds | 1,217,162 | 1,217,162 | - | - |
Bond Funds | 6,380,847 | 6,380,847 | - | - |
Short-Term Funds | 1,974,468 | 1,974,468 | - | - |
Total Investments in Securities: | 10,199,144 | 10,199,144 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $10,000,495) | $ | 10,199,144 | ||
Total Investment in Securities (cost $10,000,495) | $ | 10,199,144 | ||
Cash | 13 | |||
Receivable for investments sold | 83,533 | |||
Receivable for fund shares sold | 83,817 | |||
Total assets | 10,366,507 | |||
Liabilities | ||||
Payable for investments purchased | $ | 167,189 | ||
Payable for fund shares redeemed | 158 | |||
Distribution and service plan fees payable | 288 | |||
Total Liabilities | 167,635 | |||
Net Assets | $ | 10,198,872 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 10,133,890 | ||
Total accumulated earnings (loss) | 64,982 | |||
Net Assets | $ | 10,198,872 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($7,251,587 ÷ 639,570 shares) | $ | 11.34 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($2,697,869 ÷ 236,300 shares) | $ | 11.42 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($249,416 ÷ 22,073 shares) | $ | 11.30 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 50,998 | ||
Expenses | ||||
Distribution and service plan fees | $ | 1,613 | ||
Independent trustees' fees and expenses | 18 | |||
Total Expenses | 1,631 | |||
Net Investment income (loss) | 49,367 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 10,956 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 2,919 | |||
Total net realized gain (loss) | 13,875 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 380,822 | |||
Total change in net unrealized appreciation (depreciation) | 380,822 | |||
Net gain (loss) | 394,697 | |||
Net increase (decrease) in net assets resulting from operations | $ | 444,064 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 49,367 | $ | 292,921 |
Net realized gain (loss) | 13,875 | (153,215) | ||
Change in net unrealized appreciation (depreciation) | 380,822 | (1,784,079) | ||
Net increase (decrease) in net assets resulting from operations | 444,064 | (1,644,373) | ||
Distributions to shareholders | (154,114) | (995,952) | ||
Share transactions - net increase (decrease) | (473,880) | (1,114,383) | ||
Total increase (decrease) in net assets | (183,930) | (3,754,708) | ||
Net Assets | ||||
Beginning of period | 10,382,802 | 14,137,510 | ||
End of period | $ | 10,198,872 | $ | 10,382,802 |
VIP Freedom 2005 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.03 | $ | 13.67 | $ | 13.63 | $ | 12.75 | $ | 11.65 | $ | 12.39 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .06 | .30 | .25 | .17 | .27 | .22 | ||||||
Net realized and unrealized gain (loss) | .42 | (1.90) | .30 | 1.23 | 1.32 | (.58) | ||||||
Total from investment operations | .48 | (1.60) | .55 | 1.40 | 1.59 | (.36) | ||||||
Distributions from net investment income | (.17) | (.27) | (.15) | (.17) | (.27) | (.20) | ||||||
Distributions from net realized gain | - | (.77) | (.36) | (.35) | (.22) | (.17) | ||||||
Total distributions | (.17) | (1.04) | (.51) | (.52) | (.49) | (.38) C | ||||||
Net asset value, end of period | $ | 11.34 | $ | 11.03 | $ | 13.67 | $ | 13.63 | $ | 12.75 | $ | 11.65 |
Total Return D,E,F | 4.38% | (12.37)% | 4.09% | 11.25% | 13.81% | (2.95)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .98% J | 2.57% | 1.82% | 1.31% | 2.18% | 1.80% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 7,252 | $ | 7,541 | $ | 9,853 | $ | 10,082 | $ | 9,364 | $ | 8,191 |
Portfolio turnover rate K | 30% J | 74% | 31% | 54% | 24% | 32% |
VIP Freedom 2005 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.11 | $ | 13.76 | $ | 13.71 | $ | 12.83 | $ | 11.72 | $ | 12.46 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .05 | .29 | .24 | .16 | .26 | .21 | ||||||
Net realized and unrealized gain (loss) | .43 | (1.91) | .30 | 1.23 | 1.33 | (.58) | ||||||
Total from investment operations | .48 | (1.62) | .54 | 1.39 | 1.59 | (.37) | ||||||
Distributions from net investment income | (.17) | (.26) | (.14) | (.16) | (.26) | (.20) | ||||||
Distributions from net realized gain | - | (.77) | (.36) | (.35) | (.22) | (.17) | ||||||
Total distributions | (.17) | (1.03) | (.49) C | (.51) | (.48) | (.37) | ||||||
Net asset value, end of period | $ | 11.42 | $ | 11.11 | $ | 13.76 | $ | 13.71 | $ | 12.83 | $ | 11.72 |
Total Return D,E,F | 4.34% | (12.46)% | 4.02% | 11.07% | 13.71% | (3.01)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .88% I | 2.47% | 1.72% | 1.21% | 2.08% | 1.70% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 2,698 | $ | 2,682 | $ | 4,080 | $ | 5,673 | $ | 4,248 | $ | 2,279 |
Portfolio turnover rate J | 30% I | 74% | 31% | 54% | 24% | 32% |
VIP Freedom 2005 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.01 | $ | 13.64 | $ | 13.59 | $ | 12.72 | $ | 11.62 | $ | 12.37 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .27 | .21 | .14 | .24 | .19 | ||||||
Net realized and unrealized gain (loss) | .42 | (1.89) | .30 | 1.22 | 1.32 | (.59) | ||||||
Total from investment operations | .46 | (1.62) | .51 | 1.36 | 1.56 | (.40) | ||||||
Distributions from net investment income | (.17) | (.24) | (.10) | (.14) | (.24) | (.18) | ||||||
Distributions from net realized gain | - | (.77) | (.36) | (.35) | (.22) | (.17) | ||||||
Total distributions | (.17) | (1.01) | (.46) | (.49) | (.46) | (.35) | ||||||
Net asset value, end of period | $ | 11.30 | $ | 11.01 | $ | 13.64 | $ | 13.59 | $ | 12.72 | $ | 11.62 |
Total Return C,D | 4.20% | (12.56)% | 3.82% | 10.93% | 13.60% | (3.24)% | ||||||
Ratios to Average Net Assets B,E,F | ||||||||||||
Expenses before reductions | .25% G | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% G | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% G | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | .73% G | 2.32% | 1.57% | 1.06% | 1.93% | 1.55% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 249 | $ | 160 | $ | 204 | $ | 286 | $ | 178 | $ | 121 |
Portfolio turnover rate H | 30% G | 74% | 31% | 54% | 24% | 32% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Initial Class | 35.4 | |
Fidelity Inflation-Protected Bond Index Fund | 16.0 | |
VIP Government Money Market Portfolio Initial Class 4.87% | 13.9 | |
VIP Overseas Portfolio Initial Class | 9.5 | |
VIP Emerging Markets Portfolio Initial Class | 6.0 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.4 | |
VIP Growth Portfolio Initial Class | 3.3 | |
Fidelity International Bond Index Fund | 2.8 | |
VIP Growth & Income Portfolio Initial Class | 2.2 | |
VIP Contrafund Portfolio Initial Class | 2.0 | |
94.5 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 11.4% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 129,824 | 5,895,287 | |
VIP Equity-Income Portfolio Initial Class (a) | 196,377 | 4,807,298 | |
VIP Growth & Income Portfolio Initial Class (a) | 247,515 | 6,573,995 | |
VIP Growth Portfolio Initial Class (a) | 109,829 | 9,614,452 | |
VIP Mid Cap Portfolio Initial Class (a) | 43,053 | 1,519,780 | |
VIP Value Portfolio Initial Class (a) | 190,534 | 3,423,892 | |
VIP Value Strategies Portfolio Initial Class (a) | 110,201 | 1,701,510 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $27,509,648) | 33,536,214 | ||
International Equity Funds - 15.5% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 1,681,682 | 17,523,130 | |
VIP Overseas Portfolio Initial Class (a) | 1,112,549 | 27,724,729 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $39,906,724) | 45,247,859 | ||
Bond Funds - 59.2% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 5,073,480 | 46,676,015 | |
Fidelity International Bond Index Fund (a) | 916,052 | 8,262,792 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 942,814 | 9,824,118 | |
VIP High Income Portfolio Initial Class (a) | 1,047,018 | 4,805,812 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 10,853,484 | 103,433,702 | |
TOTAL BOND FUNDS (Cost $184,178,576) | 173,002,439 | ||
Short-Term Funds - 13.9% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $40,557,388) | 40,557,388 | 40,557,388 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $292,152,336) | 292,343,900 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (54,219) |
NET ASSETS - 100.0% | 292,289,681 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | - | 219,712 | 219,712 | 28 | - | - | - | 0.0% |
Total | - | 219,712 | 219,712 | 28 | - | - | - | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 45,342,367 | 3,220,952 | 2,793,724 | 16,093 | (134,778) | 1,041,198 | 46,676,015 |
Fidelity International Bond Index Fund | 8,203,752 | 575,990 | 709,536 | 70,874 | (9,809) | 202,395 | 8,262,792 |
Fidelity Long-Term Treasury Bond Index Fund | 11,223,163 | 1,087,253 | 2,856,591 | 158,668 | (151,032) | 521,325 | 9,824,118 |
VIP Contrafund Portfolio Initial Class | 5,810,168 | 431,580 | 1,439,676 | 55,857 | (6,851) | 1,100,066 | 5,895,287 |
VIP Emerging Markets Portfolio Initial Class | 20,228,126 | 2,278,828 | 6,289,961 | 32,504 | (60,309) | 1,366,446 | 17,523,130 |
VIP Equity-Income Portfolio Initial Class | 5,206,288 | 392,316 | 994,597 | - | (39,094) | 242,385 | 4,807,298 |
VIP Government Money Market Portfolio Initial Class 4.87% | 38,322,895 | 8,171,169 | 5,936,676 | 890,848 | - | - | 40,557,388 |
VIP Growth & Income Portfolio Initial Class | 6,737,047 | 583,440 | 1,444,030 | 24,234 | 21,103 | 676,435 | 6,573,995 |
VIP Growth Portfolio Initial Class | 9,124,888 | 924,443 | 2,403,540 | 61,888 | 72,473 | 1,896,188 | 9,614,452 |
VIP High Income Portfolio Initial Class | 4,721,716 | 220,411 | 330,630 | 3,179 | (11,932) | 206,247 | 4,805,812 |
VIP Investment Grade Bond II Portfolio - Initial Class | 95,781,331 | 11,269,601 | 6,084,681 | 30,874 | 13,427 | 2,454,024 | 103,433,702 |
VIP Mid Cap Portfolio Initial Class | 1,624,817 | 70,670 | 304,353 | 3,745 | (7,261) | 135,907 | 1,519,780 |
VIP Overseas Portfolio Initial Class | 27,210,917 | 1,360,202 | 4,821,312 | - | 221,127 | 3,753,795 | 27,724,729 |
VIP Value Portfolio Initial Class | 3,754,040 | 192,696 | 806,234 | - | (17,878) | 301,268 | 3,423,892 |
VIP Value Strategies Portfolio Initial Class | 1,860,776 | 82,068 | 382,632 | 4,390 | (16,494) | 157,792 | 1,701,510 |
285,152,291 | 30,861,619 | 37,598,173 | 1,353,154 | (127,308) | 14,055,471 | 292,343,900 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 33,536,214 | 33,536,214 | - | - |
International Equity Funds | 45,247,859 | 45,247,859 | - | - |
Bond Funds | 173,002,439 | 173,002,439 | - | - |
Short-Term Funds | 40,557,388 | 40,557,388 | - | - |
Total Investments in Securities: | 292,343,900 | 292,343,900 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $292,152,336) | $ | 292,343,900 | ||
Total Investment in Securities (cost $292,152,336) | $ | 292,343,900 | ||
Cash | 28 | |||
Receivable for investments sold | 3,107,017 | |||
Receivable for fund shares sold | 77,406 | |||
Total assets | 295,528,351 | |||
Liabilities | ||||
Payable for investments purchased | $ | 3,062,222 | ||
Payable for fund shares redeemed | 122,150 | |||
Distribution and service plan fees payable | 54,298 | |||
Total Liabilities | 3,238,670 | |||
Net Assets | $ | 292,289,681 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 295,227,840 | ||
Total accumulated earnings (loss) | (2,938,159) | |||
Net Assets | $ | 292,289,681 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($19,162,922 ÷ 1,711,248 shares) | $ | 11.20 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($21,794,798 ÷ 1,950,662 shares) | $ | 11.17 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($251,331,961 ÷ 22,677,227 shares) | $ | 11.08 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 1,204,099 | ||
Income from Fidelity Central Funds | 28 | |||
Total Income | 1,204,127 | |||
Expenses | ||||
Distribution and service plan fees | $ | 328,898 | ||
Independent trustees' fees and expenses | 508 | |||
Total expenses before reductions | 329,406 | |||
Expense reductions | (1) | |||
Total expenses after reductions | 329,405 | |||
Net Investment income (loss) | 874,722 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (127,308) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 149,055 | |||
Total net realized gain (loss) | 21,747 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 14,055,471 | |||
Total change in net unrealized appreciation (depreciation) | 14,055,471 | |||
Net gain (loss) | 14,077,218 | |||
Net increase (decrease) in net assets resulting from operations | $ | 14,951,940 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 874,722 | $ | 7,023,320 |
Net realized gain (loss) | 21,747 | 16,726,375 | ||
Change in net unrealized appreciation (depreciation) | 14,055,471 | (73,116,744) | ||
Net increase (decrease) in net assets resulting from operations | 14,951,940 | (49,367,049) | ||
Distributions to shareholders | (23,495,234) | (25,871,592) | ||
Share transactions - net increase (decrease) | 15,734,218 | (11,233,633) | ||
Total increase (decrease) in net assets | 7,190,924 | (86,472,274) | ||
Net Assets | ||||
Beginning of period | 285,098,757 | 371,571,031 | ||
End of period | $ | 292,289,681 | $ | 285,098,757 |
VIP Freedom 2010 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.55 | $ | 14.45 | $ | 14.28 | $ | 13.42 | $ | 12.32 | $ | 13.43 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .05 | .30 | .26 | .18 | .28 | .22 | ||||||
Net realized and unrealized gain (loss) | .56 | (2.16) | .56 | 1.44 | 1.65 | (.75) | ||||||
Total from investment operations | .61 | (1.86) | .82 | 1.62 | 1.93 | (.53) | ||||||
Distributions from net investment income | (.16) | (.27) | (.15) | (.18) | (.28) | (.22) | ||||||
Distributions from net realized gain | (.80) | (.77) | (.50) | (.58) | (.55) | (.37) | ||||||
Total distributions | (.96) | (1.04) | (.65) | (.76) | (.83) | (.58) C | ||||||
Net asset value, end of period | $ | 11.20 | $ | 11.55 | $ | 14.45 | $ | 14.28 | $ | 13.42 | $ | 12.32 |
Total Return D,E,F | 5.42% | (13.53)% | 5.89% | 12.49% | 16.09% | (4.00)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .82% J | 2.47% | 1.82% | 1.34% | 2.15% | 1.66% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 19,163 | $ | 12,298 | $ | 16,685 | $ | 19,195 | $ | 17,895 | $ | 16,991 |
Portfolio turnover rate K | 21% J | 231% | 29% | 40% | 28% | 31% |
VIP Freedom 2010 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.54 | $ | 14.43 | $ | 14.26 | $ | 13.40 | $ | 12.30 | $ | 13.41 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .29 | .25 | .16 | .27 | .20 | ||||||
Net realized and unrealized gain (loss) | .55 | (2.15) | .56 | 1.44 | 1.64 | (.74) | ||||||
Total from investment operations | .59 | (1.86) | .81 | 1.60 | 1.91 | (.54) | ||||||
Distributions from net investment income | (.16) | (.26) | (.14) | (.16) | (.27) | (.20) | ||||||
Distributions from net realized gain | (.80) | (.77) | (.50) | (.58) | (.55) | (.37) | ||||||
Total distributions | (.96) | (1.03) | (.64) | (.74) | (.81) C | (.57) | ||||||
Net asset value, end of period | $ | 11.17 | $ | 11.54 | $ | 14.43 | $ | 14.26 | $ | 13.40 | $ | 12.30 |
Total Return D,E,F | 5.24% | (13.57)% | 5.79% | 12.39% | 16.00% | (4.10)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .72% I | 2.37% | 1.72% | 1.24% | 2.05% | 1.56% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 21,795 | $ | 21,518 | $ | 27,360 | $ | 26,484 | $ | 26,232 | $ | 23,851 |
Portfolio turnover rate J | 21% I | 231% | 29% | 40% | 28% | 31% |
VIP Freedom 2010 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.46 | $ | 14.33 | $ | 14.17 | $ | 13.32 | $ | 12.24 | $ | 13.35 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .03 | .27 | .22 | .14 | .24 | .18 | ||||||
Net realized and unrealized gain (loss) | .55 | (2.13) | .56 | 1.43 | 1.63 | (.74) | ||||||
Total from investment operations | .58 | (1.86) | .78 | 1.57 | 1.87 | (.56) | ||||||
Distributions from net investment income | (.16) | (.24) | (.12) | (.14) | (.25) | (.19) | ||||||
Distributions from net realized gain | (.80) | (.77) | (.50) | (.58) | (.55) | (.37) | ||||||
Total distributions | (.96) | (1.01) | (.62) | (.72) | (.79) C | (.55) C | ||||||
Net asset value, end of period | $ | 11.08 | $ | 11.46 | $ | 14.33 | $ | 14.17 | $ | 13.32 | $ | 12.24 |
Total Return D,E,F | 5.19% | (13.66)% | 5.60% | 12.24% | 15.75% | (4.26)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | .57% I | 2.22% | 1.57% | 1.09% | 1.90% | 1.41% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 251,332 | $ | 251,283 | $ | 327,526 | $ | 317,773 | $ | 280,783 | $ | 243,940 |
Portfolio turnover rate J | 21% I | 231% | 29% | 40% | 28% | 31% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Initial Class | 32.4 | |
Fidelity Inflation-Protected Bond Index Fund | 14.9 | |
VIP Overseas Portfolio Initial Class | 12.2 | |
VIP Government Money Market Portfolio Initial Class 4.87% | 8.4 | |
VIP Emerging Markets Portfolio Initial Class | 7.0 | |
VIP Growth Portfolio Initial Class | 4.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.4 | |
VIP Growth & Income Portfolio Initial Class | 3.3 | |
Fidelity International Bond Index Fund | 3.1 | |
VIP Contrafund Portfolio Initial Class | 3.0 | |
92.6 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 17.0% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 40,124 | 1,822,040 | |
VIP Equity-Income Portfolio Initial Class (a) | 60,698 | 1,485,889 | |
VIP Growth & Income Portfolio Initial Class (a) | 76,502 | 2,031,893 | |
VIP Growth Portfolio Initial Class (a) | 33,945 | 2,971,506 | |
VIP Mid Cap Portfolio Initial Class (a) | 13,308 | 469,759 | |
VIP Value Portfolio Initial Class (a) | 58,894 | 1,058,321 | |
VIP Value Strategies Portfolio Initial Class (a) | 34,066 | 525,974 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $3,619,147) | 10,365,382 | ||
International Equity Funds - 19.2% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 410,378 | 4,276,139 | |
VIP Overseas Portfolio Initial Class (a) | 297,045 | 7,402,357 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $7,048,348) | 11,678,496 | ||
Bond Funds - 55.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 983,990 | 9,052,705 | |
Fidelity International Bond Index Fund (a) | 208,934 | 1,884,581 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 200,481 | 2,089,010 | |
VIP High Income Portfolio Initial Class (a) | 218,070 | 1,000,942 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 2,071,928 | 19,745,477 | |
TOTAL BOND FUNDS (Cost $35,798,052) | 33,772,715 | ||
Short-Term Funds - 8.4% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $5,116,785) | 5,116,785 | 5,116,785 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $51,582,332) | 60,933,378 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (6,228) |
NET ASSETS - 100.0% | 60,927,150 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 9,340,550 | 877,857 | 1,349,187 | 3,438 | (86,829) | 270,314 | 9,052,705 |
Fidelity International Bond Index Fund | 1,986,570 | 149,751 | 297,582 | 16,339 | (15,250) | 61,092 | 1,884,581 |
Fidelity Long-Term Treasury Bond Index Fund | 2,534,370 | 262,698 | 793,854 | 34,395 | (163,326) | 249,122 | 2,089,010 |
VIP Contrafund Portfolio Initial Class | 1,878,902 | 137,635 | 530,957 | 17,653 | 155,594 | 180,866 | 1,822,040 |
VIP Emerging Markets Portfolio Initial Class | 5,128,468 | 558,169 | 1,726,916 | 8,133 | 119,002 | 197,416 | 4,276,139 |
VIP Equity-Income Portfolio Initial Class | 1,683,614 | 122,063 | 380,740 | - | 91,672 | (30,720) | 1,485,889 |
VIP Government Money Market Portfolio Initial Class 4.87% | 5,000,334 | 1,497,908 | 1,381,457 | 111,992 | - | - | 5,116,785 |
VIP Growth & Income Portfolio Initial Class | 2,178,635 | 184,354 | 544,906 | 7,659 | 171,208 | 42,602 | 2,031,893 |
VIP Growth Portfolio Initial Class | 2,950,825 | 283,711 | 868,345 | 19,545 | 31,622 | 573,693 | 2,971,506 |
VIP High Income Portfolio Initial Class | 1,045,072 | 61,008 | 146,280 | 686 | (4,621) | 45,763 | 1,000,942 |
VIP Investment Grade Bond II Portfolio - Initial Class | 19,337,016 | 2,683,011 | 2,766,608 | 6,080 | (13,077) | 505,135 | 19,745,477 |
VIP Mid Cap Portfolio Initial Class | 525,432 | 27,890 | 122,644 | 1,180 | 24,778 | 14,303 | 469,759 |
VIP Overseas Portfolio Initial Class | 7,669,123 | 447,663 | 1,792,751 | - | 382,895 | 695,427 | 7,402,357 |
VIP Value Portfolio Initial Class | 1,213,978 | 66,350 | 307,385 | - | 150,298 | (64,920) | 1,058,321 |
VIP Value Strategies Portfolio Initial Class | 601,736 | 33,791 | 152,713 | 1,383 | 75,867 | (32,707) | 525,974 |
63,074,625 | 7,393,859 | 13,162,325 | 228,483 | 919,833 | 2,707,386 | 60,933,378 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 10,365,382 | 10,365,382 | - | - |
International Equity Funds | 11,678,496 | 11,678,496 | - | - |
Bond Funds | 33,772,715 | 33,772,715 | - | - |
Short-Term Funds | 5,116,785 | 5,116,785 | - | - |
Total Investments in Securities: | 60,933,378 | 60,933,378 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $51,582,332) | $ | 60,933,378 | ||
Total Investment in Securities (cost $51,582,332) | $ | 60,933,378 | ||
Cash | 206 | |||
Receivable for investments sold | 813,892 | |||
Receivable for fund shares sold | 10,457 | |||
Total assets | 61,757,933 | |||
Liabilities | ||||
Payable for investments purchased | $ | 743,328 | ||
Payable for fund shares redeemed | 81,005 | |||
Distribution and service plan fees payable | 6,450 | |||
Total Liabilities | 830,783 | |||
Net Assets | $ | 60,927,150 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 50,962,326 | ||
Total accumulated earnings (loss) | 9,964,824 | |||
Net Assets | $ | 60,927,150 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($21,452,269 ÷ 1,902,295 shares) | $ | 11.28 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($13,970,184 ÷ 1,242,858 shares) | $ | 11.24 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($25,504,697 ÷ 2,279,874 shares) | $ | 11.19 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 181,398 | ||
Expenses | ||||
Distribution and service plan fees | $ | 39,364 | ||
Independent trustees' fees and expenses | 110 | |||
Total expenses before reductions | 39,474 | |||
Expense reductions | (3) | |||
Total expenses after reductions | 39,471 | |||
Net Investment income (loss) | 141,927 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 919,833 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 47,085 | |||
Total net realized gain (loss) | 966,918 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 2,707,386 | |||
Total change in net unrealized appreciation (depreciation) | 2,707,386 | |||
Net gain (loss) | 3,674,304 | |||
Net increase (decrease) in net assets resulting from operations | $ | 3,816,231 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 141,927 | $ | 1,560,924 |
Net realized gain (loss) | 966,918 | 1,060,165 | ||
Change in net unrealized appreciation (depreciation) | 2,707,386 | (15,296,698) | ||
Net increase (decrease) in net assets resulting from operations | 3,816,231 | (12,675,609) | ||
Distributions to shareholders | (2,003,867) | (9,283,302) | ||
Share transactions - net increase (decrease) | (3,953,271) | (6,249,597) | ||
Total increase (decrease) in net assets | (2,140,907) | (28,208,508) | ||
Net Assets | ||||
Beginning of period | 63,068,057 | 91,276,565 | ||
End of period | $ | 60,927,150 | $ | 63,068,057 |
VIP Freedom 2015 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.95 | $ | 14.42 | $ | 14.12 | $ | 13.20 | $ | 12.26 | $ | 13.68 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .03 | .27 | .25 | .17 | .28 | .20 | ||||||
Net realized and unrealized gain (loss) | .66 | (2.21) | .81 | 1.57 | 1.86 | (.87) | ||||||
Total from investment operations | .69 | (1.94) | 1.06 | 1.74 | 2.14 | (.67) | ||||||
Distributions from net investment income | (.14) | (.26) | (.16) | (.17) | (.27) | (.22) | ||||||
Distributions from net realized gain | (.22) | (1.26) | (.60) | (.65) | (.94) | (.53) | ||||||
Total distributions | (.36) | (1.53) C | (.76) | (.82) | (1.20) C | (.75) | ||||||
Net asset value, end of period | $ | 11.28 | $ | 10.95 | $ | 14.42 | $ | 14.12 | $ | 13.20 | $ | 12.26 |
Total Return D,E,F | 6.39% | (14.60)% | 7.69% | 13.76% | 18.35% | (5.07)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .58% J | 2.26% | 1.75% | 1.33% | 2.22% | 1.52% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 21,452 | $ | 21,474 | $ | 33,325 | $ | 35,010 | $ | 32,215 | $ | 29,361 |
Portfolio turnover rate K | 24% J | 73% | 43% | 58% | 39% | 33% |
VIP Freedom 2015 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.92 | $ | 14.38 | $ | 14.08 | $ | 13.17 | $ | 12.24 | $ | 13.65 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .03 | .25 | .24 | .16 | .27 | .19 | ||||||
Net realized and unrealized gain (loss) | .65 | (2.20) | .80 | 1.56 | 1.85 | (.86) | ||||||
Total from investment operations | .68 | (1.95) | 1.04 | 1.72 | 2.12 | (.67) | ||||||
Distributions from net investment income | (.14) | (.25) | (.14) | (.16) | (.26) | (.20) | ||||||
Distributions from net realized gain | (.22) | (1.26) | (.60) | (.65) | (.94) | (.53) | ||||||
Total distributions | (.36) | (1.51) | (.74) | (.81) | (1.19) C | (.74) C | ||||||
Net asset value, end of period | $ | 11.24 | $ | 10.92 | $ | 14.38 | $ | 14.08 | $ | 13.17 | $ | 12.24 |
Total Return D,E,F | 6.32% | (14.66)% | 7.59% | 13.62% | 18.21% | (5.11)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .48% I | 2.16% | 1.65% | 1.23% | 2.12% | 1.42% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 13,970 | $ | 16,217 | $ | 20,808 | $ | 27,209 | $ | 22,763 | $ | 11,777 |
Portfolio turnover rate J | 24% I | 73% | 43% | 58% | 39% | 33% |
VIP Freedom 2015 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.88 | $ | 14.33 | $ | 14.04 | $ | 13.12 | $ | 12.20 | $ | 13.61 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .23 | .21 | .14 | .25 | .17 | ||||||
Net realized and unrealized gain (loss) | .65 | (2.19) | .80 | 1.57 | 1.84 | (.86) | ||||||
Total from investment operations | .67 | (1.96) | 1.01 | 1.71 | 2.09 | (.69) | ||||||
Distributions from net investment income | (.14) | (.23) | (.12) | (.14) | (.23) | (.18) | ||||||
Distributions from net realized gain | (.22) | (1.26) | (.60) | (.65) | (.94) | (.53) | ||||||
Total distributions | (.36) | (1.49) | (.72) | (.79) | (1.17) | (.72) C | ||||||
Net asset value, end of period | $ | 11.19 | $ | 10.88 | $ | 14.33 | $ | 14.04 | $ | 13.12 | $ | 12.20 |
Total Return D,E,F | 6.25% | (14.79)% | 7.39% | 13.56% | 17.97% | (5.28)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | .33% I | 2.01% | 1.50% | 1.08% | 1.97% | 1.27% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 25,505 | $ | 25,377 | $ | 37,143 | $ | 36,840 | $ | 38,963 | $ | 35,222 |
Portfolio turnover rate J | 24% I | 73% | 43% | 58% | 39% | 33% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Initial Class | 29.4 | |
VIP Overseas Portfolio Initial Class | 14.8 | |
Fidelity Inflation-Protected Bond Index Fund | 13.8 | |
VIP Emerging Markets Portfolio Initial Class | 8.1 | |
VIP Growth Portfolio Initial Class | 6.5 | |
VIP Growth & Income Portfolio Initial Class | 4.4 | |
VIP Contrafund Portfolio Initial Class | 4.0 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.5 | |
Fidelity International Bond Index Fund | 3.4 | |
VIP Equity-Income Portfolio Initial Class | 3.2 | |
91.1 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 22.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 494,039 | 22,434,323 | |
VIP Equity-Income Portfolio Initial Class (a) | 747,391 | 18,296,140 | |
VIP Growth & Income Portfolio Initial Class (a) | 941,976 | 25,018,878 | |
VIP Growth Portfolio Initial Class (a) | 417,951 | 36,587,457 | |
VIP Mid Cap Portfolio Initial Class (a) | 163,871 | 5,784,645 | |
VIP Value Portfolio Initial Class (a) | 725,198 | 13,031,801 | |
VIP Value Strategies Portfolio Initial Class (a) | 419,481 | 6,476,792 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $57,122,483) | 127,630,036 | ||
International Equity Funds - 22.9% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 4,368,793 | 45,522,820 | |
VIP Overseas Portfolio Initial Class (a) | 3,364,558 | 83,844,787 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $85,343,078) | 129,367,607 | ||
Bond Funds - 51.7% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 8,467,481 | 77,900,825 | |
Fidelity International Bond Index Fund (a) | 2,114,620 | 19,073,876 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 1,904,886 | 19,848,914 | |
VIP High Income Portfolio Initial Class (a) | 2,024,805 | 9,293,854 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 17,469,164 | 166,481,128 | |
TOTAL BOND FUNDS (Cost $309,095,589) | 292,598,597 | ||
Short-Term Funds - 2.9% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $16,587,357) | 16,587,357 | 16,587,357 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $468,148,507) | 566,183,597 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (88,779) |
NET ASSETS - 100.0% | 566,094,818 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 77,549,586 | 7,233,347 | 8,414,321 | 25,297 | (370,498) | 1,902,711 | 77,900,825 |
Fidelity International Bond Index Fund | 19,337,659 | 1,506,086 | 2,223,257 | 161,100 | (40,933) | 494,321 | 19,073,876 |
Fidelity Long-Term Treasury Bond Index Fund | 23,054,331 | 2,341,055 | 6,336,082 | 319,732 | (397,601) | 1,187,211 | 19,848,914 |
VIP Contrafund Portfolio Initial Class | 22,185,188 | 1,240,759 | 5,061,378 | 213,281 | 1,073,308 | 2,996,446 | 22,434,323 |
VIP Emerging Markets Portfolio Initial Class | 51,804,709 | 5,220,912 | 14,644,634 | 84,931 | 477,431 | 2,664,402 | 45,522,820 |
VIP Equity-Income Portfolio Initial Class | 19,879,427 | 1,247,607 | 3,567,858 | - | 494,232 | 242,732 | 18,296,140 |
VIP Government Money Market Portfolio Initial Class 4.87% | 13,610,366 | 9,659,802 | 6,682,811 | 327,694 | - | - | 16,587,357 |
VIP Growth & Income Portfolio Initial Class | 25,724,174 | 1,899,500 | 5,194,370 | 92,809 | 1,232,099 | 1,357,475 | 25,018,878 |
VIP Growth Portfolio Initial Class | 34,841,130 | 2,829,713 | 8,409,799 | 236,071 | 199,401 | 7,127,012 | 36,587,457 |
VIP High Income Portfolio Initial Class | 9,367,555 | 445,080 | 892,625 | 6,306 | (17,022) | 390,866 | 9,293,854 |
VIP Investment Grade Bond II Portfolio - Initial Class | 156,406,107 | 21,624,913 | 15,571,899 | 50,424 | 46,523 | 3,975,484 | 166,481,128 |
VIP Mid Cap Portfolio Initial Class | 6,203,968 | 286,267 | 1,181,296 | 14,278 | 216,909 | 258,797 | 5,784,645 |
VIP Overseas Portfolio Initial Class | 83,611,475 | 3,432,285 | 15,092,765 | - | 2,756,783 | 9,137,009 | 83,844,787 |
VIP Value Portfolio Initial Class | 14,334,056 | 572,867 | 2,908,316 | - | 975,298 | 57,896 | 13,031,801 |
VIP Value Strategies Portfolio Initial Class | 7,104,904 | 374,852 | 1,528,094 | 16,744 | 444,947 | 80,183 | 6,476,792 |
565,014,635 | 59,915,045 | 97,709,505 | 1,548,667 | 7,090,877 | 31,872,545 | 566,183,597 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 127,630,036 | 127,630,036 | - | - |
International Equity Funds | 129,367,607 | 129,367,607 | - | - |
Bond Funds | 292,598,597 | 292,598,597 | - | - |
Short-Term Funds | 16,587,357 | 16,587,357 | - | - |
Total Investments in Securities: | 566,183,597 | 566,183,597 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $468,148,507) | $ | 566,183,597 | ||
Total Investment in Securities (cost $468,148,507) | $ | 566,183,597 | ||
Cash | 76 | |||
Receivable for investments sold | 7,818,372 | |||
Receivable for fund shares sold | 155,547 | |||
Total assets | 574,157,592 | |||
Liabilities | ||||
Payable for investments purchased | $ | 7,359,053 | ||
Payable for fund shares redeemed | 614,768 | |||
Distribution and service plan fees payable | 88,953 | |||
Total Liabilities | 8,062,774 | |||
Net Assets | $ | 566,094,818 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 468,270,965 | ||
Total accumulated earnings (loss) | 97,823,853 | |||
Net Assets | $ | 566,094,818 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($61,950,958 ÷ 5,083,427 shares) | $ | 12.19 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($126,486,688 ÷ 10,427,432 shares) | $ | 12.13 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($377,657,172 ÷ 31,289,612 shares) | $ | 12.07 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 1,167,984 | ||
Expenses | ||||
Distribution and service plan fees | $ | 537,315 | ||
Independent trustees' fees and expenses | 996 | |||
Total expenses before reductions | 538,311 | |||
Expense reductions | (1) | |||
Total expenses after reductions | 538,310 | |||
Net Investment income (loss) | 629,674 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 7,090,877 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 380,683 | |||
Total net realized gain (loss) | 7,471,560 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 31,872,545 | |||
Total change in net unrealized appreciation (depreciation) | 31,872,545 | |||
Net gain (loss) | 39,344,105 | |||
Net increase (decrease) in net assets resulting from operations | $ | 39,973,779 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 629,674 | $ | 12,974,454 |
Net realized gain (loss) | 7,471,560 | (2,447,498) | ||
Change in net unrealized appreciation (depreciation) | 31,872,545 | (127,606,881) | ||
Net increase (decrease) in net assets resulting from operations | 39,973,779 | (117,079,925) | ||
Distributions to shareholders | (10,488,213) | (77,888,678) | ||
Share transactions - net increase (decrease) | (28,319,002) | 1,211,478 | ||
Total increase (decrease) in net assets | 1,166,564 | (193,757,125) | ||
Net Assets | ||||
Beginning of period | 564,928,254 | 758,685,379 | ||
End of period | $ | 566,094,818 | $ | 564,928,254 |
VIP Freedom 2020 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.56 | $ | 15.42 | $ | 15.03 | $ | 14.01 | $ | 12.58 | $ | 14.03 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .28 | .27 | .17 | .28 | .21 | ||||||
Net realized and unrealized gain (loss) | .83 | (2.51) | 1.11 | 1.84 | 2.16 | (1.01) | ||||||
Total from investment operations | .85 | (2.23) | 1.38 | 2.01 | 2.44 | (.80) | ||||||
Distributions from net investment income | (.14) | (.27) | (.17) | (.18) | (.28) | (.21) | ||||||
Distributions from net realized gain | (.08) | (1.36) | (.81) | (.80) | (.73) | (.44) | ||||||
Total distributions | (.22) | (1.63) | (.99) C | (.99) C | (1.01) | (.65) | ||||||
Net asset value, end of period | $ | 12.19 | $ | 11.56 | $ | 15.42 | $ | 15.03 | $ | 14.01 | $ | 12.58 |
Total Return D,E,F | 7.39% | (15.69)% | 9.47% | 15.06% | 20.13% | (5.86)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .41% J | 2.26% | 1.77% | 1.27% | 2.08% | 1.50% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 61,951 | $ | 63,227 | $ | 82,875 | $ | 80,503 | $ | 74,801 | $ | 63,490 |
Portfolio turnover rate K | 21% J | 121% | 34% | 40% | 31% | 28% |
VIP Freedom 2020 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.51 | $ | 15.37 | $ | 14.97 | $ | 13.96 | $ | 12.54 | $ | 13.99 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .27 | .25 | .16 | .26 | .19 | ||||||
Net realized and unrealized gain (loss) | .82 | (2.52) | 1.12 | 1.82 | 2.16 | (1.00) | ||||||
Total from investment operations | .84 | (2.25) | 1.37 | 1.98 | 2.42 | (.81) | ||||||
Distributions from net investment income | (.14) | (.26) | (.16) | (.17) | (.27) | (.20) | ||||||
Distributions from net realized gain | (.08) | (1.36) | (.81) | (.80) | (.73) | (.44) | ||||||
Total distributions | (.22) | (1.61) C | (.97) | (.97) | (1.00) | (.64) | ||||||
Net asset value, end of period | $ | 12.13 | $ | 11.51 | $ | 15.37 | $ | 14.97 | $ | 13.96 | $ | 12.54 |
Total Return D,E,F | 7.34% | (15.83)% | 9.47% | 14.92% | 20.01% | (5.98)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .31% I | 2.16% | 1.67% | 1.17% | 1.98% | 1.40% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 126,487 | $ | 129,176 | $ | 167,097 | $ | 178,229 | $ | 171,842 | $ | 132,086 |
Portfolio turnover rate J | 21% I | 121% | 34% | 40% | 31% | 28% |
VIP Freedom 2020 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.46 | $ | 15.31 | $ | 14.92 | $ | 13.92 | $ | 12.50 | $ | 13.94 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .01 | .25 | .23 | .14 | .24 | .17 | ||||||
Net realized and unrealized gain (loss) | .82 | (2.51) | 1.11 | 1.81 | 2.16 | (.99) | ||||||
Total from investment operations | .83 | (2.26) | 1.34 | 1.95 | 2.40 | (.82) | ||||||
Distributions from net investment income | (.14) | (.24) | (.13) | (.14) | (.25) | (.18) | ||||||
Distributions from net realized gain | (.08) | (1.36) | (.81) | (.80) | (.73) | (.44) | ||||||
Total distributions | (.22) | (1.59) C | (.95) C | (.95) C | (.98) | (.62) | ||||||
Net asset value, end of period | $ | 12.07 | $ | 11.46 | $ | 15.31 | $ | 14.92 | $ | 13.92 | $ | 12.50 |
Total Return D,E,F | 7.28% | (15.97)% | 9.26% | 14.72% | 19.88% | (6.08)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | .16% I | 2.01% | 1.51% | 1.02% | 1.83% | 1.25% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 377,657 | $ | 372,526 | $ | 508,713 | $ | 522,637 | $ | 506,978 | $ | 464,178 |
Portfolio turnover rate J | 21% I | 121% | 34% | 40% | 31% | 28% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Initial Class | 24.7 | |
VIP Overseas Portfolio Initial Class | 17.0 | |
Fidelity Inflation-Protected Bond Index Fund | 11.6 | |
VIP Emerging Markets Portfolio Initial Class | 8.8 | |
VIP Growth Portfolio Initial Class | 7.7 | |
VIP Growth & Income Portfolio Initial Class | 5.3 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.0 | |
VIP Contrafund Portfolio Initial Class | 4.7 | |
VIP Equity-Income Portfolio Initial Class | 3.9 | |
Fidelity International Bond Index Fund | 3.3 | |
92.0 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 27.0% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 351,695 | 15,970,470 | |
VIP Equity-Income Portfolio Initial Class (a) | 532,073 | 13,025,151 | |
VIP Growth & Income Portfolio Initial Class (a) | 670,589 | 17,810,854 | |
VIP Growth Portfolio Initial Class (a) | 297,543 | 26,046,946 | |
VIP Mid Cap Portfolio Initial Class (a) | 116,665 | 4,118,289 | |
VIP Value Portfolio Initial Class (a) | 516,302 | 9,277,938 | |
VIP Value Strategies Portfolio Initial Class (a) | 298,650 | 4,611,157 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $58,501,242) | 90,860,805 | ||
International Equity Funds - 25.8% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 2,861,876 | 29,820,751 | |
VIP Overseas Portfolio Initial Class (a) | 2,291,628 | 57,107,371 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $73,199,415) | 86,928,122 | ||
Bond Funds - 46.2% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 4,235,606 | 38,967,576 | |
Fidelity International Bond Index Fund (a) | 1,242,484 | 11,207,204 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 1,619,442 | 16,874,581 | |
VIP High Income Portfolio Initial Class (a) | 1,203,920 | 5,525,992 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 8,726,538 | 83,163,913 | |
TOTAL BOND FUNDS (Cost $167,733,729) | 155,739,266 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $3,355,168) | 3,355,168 | 3,355,168 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $302,789,554) | 336,883,361 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (33,120) |
NET ASSETS - 100.0% | 336,850,241 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 36,511,027 | 6,628,952 | 4,875,298 | 14,432 | (155,217) | 858,112 | 38,967,576 |
Fidelity International Bond Index Fund | 10,731,106 | 1,822,104 | 1,596,572 | 94,480 | (28,522) | 279,088 | 11,207,204 |
Fidelity Long-Term Treasury Bond Index Fund | 17,712,275 | 2,721,599 | 4,103,636 | 259,483 | (569,562) | 1,113,905 | 16,874,581 |
VIP Contrafund Portfolio Initial Class | 15,077,751 | 1,862,629 | 3,846,019 | 142,325 | 14,451 | 2,861,658 | 15,970,470 |
VIP Emerging Markets Portfolio Initial Class | 32,281,998 | 5,238,720 | 9,729,564 | 52,885 | (606,044) | 2,635,641 | 29,820,751 |
VIP Equity-Income Portfolio Initial Class | 13,510,784 | 1,677,722 | 2,703,167 | - | 87,159 | 452,653 | 13,025,151 |
VIP Government Money Market Portfolio Initial Class 4.87% | 2,318,777 | 3,632,646 | 2,596,255 | 62,026 | - | - | 3,355,168 |
VIP Growth & Income Portfolio Initial Class | 17,483,246 | 2,443,439 | 3,950,239 | 62,634 | 192,090 | 1,642,318 | 17,810,854 |
VIP Growth Portfolio Initial Class | 23,679,396 | 3,736,494 | 6,554,664 | 157,529 | (153,781) | 5,339,501 | 26,046,946 |
VIP High Income Portfolio Initial Class | 5,371,623 | 645,014 | 711,745 | 3,583 | (8,982) | 230,082 | 5,525,992 |
VIP Investment Grade Bond II Portfolio - Initial Class | 75,863,833 | 16,222,839 | 10,851,312 | 24,275 | (3,929) | 1,932,482 | 83,163,913 |
VIP Mid Cap Portfolio Initial Class | 4,216,413 | 496,004 | 932,954 | 9,628 | 29,160 | 309,666 | 4,118,289 |
VIP Overseas Portfolio Initial Class | 54,540,086 | 5,868,402 | 11,268,883 | - | (756,461) | 8,724,227 | 57,107,371 |
VIP Value Portfolio Initial Class | 9,741,854 | 1,038,688 | 2,248,892 | - | 295,587 | 450,701 | 9,277,938 |
VIP Value Strategies Portfolio Initial Class | 4,828,725 | 593,500 | 1,190,590 | 11,295 | 151,079 | 228,443 | 4,611,157 |
323,868,894 | 54,628,752 | 67,159,790 | 894,575 | (1,512,972) | 27,058,477 | 336,883,361 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 90,860,805 | 90,860,805 | - | - |
International Equity Funds | 86,928,122 | 86,928,122 | - | - |
Bond Funds | 155,739,266 | 155,739,266 | - | - |
Short-Term Funds | 3,355,168 | 3,355,168 | - | - |
Total Investments in Securities: | 336,883,361 | 336,883,361 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $302,789,554) | $ | 336,883,361 | ||
Total Investment in Securities (cost $302,789,554) | $ | 336,883,361 | ||
Cash | 3,462 | |||
Receivable for investments sold | 4,534,027 | |||
Receivable for fund shares sold | 219,797 | |||
Total assets | 341,640,647 | |||
Liabilities | ||||
Payable for investments purchased | $ | 4,298,813 | ||
Payable for fund shares redeemed | 454,955 | |||
Distribution and service plan fees payable | 36,638 | |||
Total Liabilities | 4,790,406 | |||
Net Assets | $ | 336,850,241 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 311,835,904 | ||
Total accumulated earnings (loss) | 25,014,337 | |||
Net Assets | $ | 336,850,241 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($55,954,116 ÷ 3,802,387 shares) | $ | 14.72 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($173,287,889 ÷ 11,823,379 shares) | $ | 14.66 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($107,608,236 ÷ 7,395,368 shares) | $ | 14.55 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 513,892 | ||
Expenses | ||||
Distribution and service plan fees | $ | 220,802 | ||
Independent trustees' fees and expenses | 575 | |||
Total expenses before reductions | 221,377 | |||
Expense reductions | (11) | |||
Total expenses after reductions | 221,366 | |||
Net Investment income (loss) | 292,526 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (1,512,972) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 380,683 | |||
Total net realized gain (loss) | (1,132,289) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 27,058,477 | |||
Total change in net unrealized appreciation (depreciation) | 27,058,477 | |||
Net gain (loss) | 25,926,188 | |||
Net increase (decrease) in net assets resulting from operations | $ | 26,218,714 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 292,526 | $ | 6,957,231 |
Net realized gain (loss) | (1,132,289) | (6,505,993) | ||
Change in net unrealized appreciation (depreciation) | 27,058,477 | (64,956,862) | ||
Net increase (decrease) in net assets resulting from operations | 26,218,714 | (64,505,624) | ||
Distributions to shareholders | (3,080,157) | (27,327,030) | ||
Share transactions - net increase (decrease) | (10,123,922) | 25,960,042 | ||
Total increase (decrease) in net assets | 13,014,635 | (65,872,612) | ||
Net Assets | ||||
Beginning of period | 323,835,606 | 389,708,218 | ||
End of period | $ | 336,850,241 | $ | 323,835,606 |
VIP Freedom 2025 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 13.73 | $ | 17.82 | $ | 16.84 | $ | 15.34 | $ | 13.21 | $ | 14.64 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .32 | .32 | .20 | .30 | .23 | ||||||
Net realized and unrealized gain (loss) | 1.11 | (3.10) | 1.47 | 2.16 | 2.53 | (1.17) | ||||||
Total from investment operations | 1.13 | (2.78) | 1.79 | 2.36 | 2.83 | (.94) | ||||||
Distributions from net investment income | (.14) | (.31) | (.19) | (.19) | (.30) | (.21) | ||||||
Distributions from net realized gain | - | (1.00) | (.62) | (.67) | (.41) | (.28) | ||||||
Total distributions | (.14) | (1.31) | (.81) | (.86) | (.70) C | (.49) | ||||||
Net asset value, end of period | $ | 14.72 | $ | 13.73 | $ | 17.82 | $ | 16.84 | $ | 15.34 | $ | 13.21 |
Total Return D,E,F | 8.23% | (16.43)% | 10.83% | 15.95% | 21.86% | (6.52)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .31% J | 2.19% | 1.82% | 1.33% | 2.04% | 1.57% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 55,954 | $ | 45,943 | $ | 59,715 | $ | 55,624 | $ | 47,253 | $ | 38,096 |
Portfolio turnover rate K | 33% J | 73% | 32% | 61% | 51% | 32% |
VIP Freedom 2025 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 13.68 | $ | 17.76 | $ | 16.79 | $ | 15.30 | $ | 13.18 | $ | 14.61 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .01 | .30 | .30 | .18 | .28 | .21 | ||||||
Net realized and unrealized gain (loss) | 1.11 | (3.08) | 1.46 | 2.15 | 2.53 | (1.16) | ||||||
Total from investment operations | 1.12 | (2.78) | 1.76 | 2.33 | 2.81 | (.95) | ||||||
Distributions from net investment income | (.14) | (.29) | (.17) | (.18) | (.28) | (.19) | ||||||
Distributions from net realized gain | - | (1.00) | (.62) | (.67) | (.41) | (.28) | ||||||
Total distributions | (.14) | (1.30) C | (.79) | (.84) C | (.69) | (.48) C | ||||||
Net asset value, end of period | $ | 14.66 | $ | 13.68 | $ | 17.76 | $ | 16.79 | $ | 15.30 | $ | 13.18 |
Total Return D,E,F | 8.19% | (16.51)% | 10.71% | 15.83% | 21.70% | (6.61)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .21% I | 2.09% | 1.72% | 1.23% | 1.94% | 1.47% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 173,288 | $ | 174,000 | $ | 199,248 | $ | 147,904 | $ | 96,430 | $ | 79,033 |
Portfolio turnover rate J | 33% I | 73% | 32% | 61% | 51% | 32% |
VIP Freedom 2025 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 13.59 | $ | 17.65 | $ | 16.69 | $ | 15.21 | $ | 13.11 | $ | 14.54 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | - C | .28 | .27 | .16 | .26 | .19 | ||||||
Net realized and unrealized gain (loss) | 1.10 | (3.07) | 1.46 | 2.14 | 2.51 | (1.16) | ||||||
Total from investment operations | 1.10 | (2.79) | 1.73 | 2.30 | 2.77 | (.97) | ||||||
Distributions from net investment income | (.14) | (.27) | (.15) | (.15) | (.26) | (.18) | ||||||
Distributions from net realized gain | - | (1.00) | (.62) | (.67) | (.41) | (.28) | ||||||
Total distributions | (.14) | (1.27) | (.77) | (.82) | (.67) | (.46) | ||||||
Net asset value, end of period | $ | 14.55 | $ | 13.59 | $ | 17.65 | $ | 16.69 | $ | 15.21 | $ | 13.11 |
Total Return D,E,F | 8.10% | (16.64)% | 10.55% | 15.68% | 21.51% | (6.78)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | .06% I | 1.94% | 1.57% | 1.08% | 1.79% | 1.32% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 107,608 | $ | 103,892 | $ | 130,746 | $ | 112,114 | $ | 97,802 | $ | 69,234 |
Portfolio turnover rate J | 33% I | 73% | 32% | 61% | 51% | 32% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Initial Class | 21.9 | |
VIP Overseas Portfolio Initial Class | 18.8 | |
VIP Emerging Markets Portfolio Initial Class | 9.6 | |
VIP Growth Portfolio Initial Class | 8.9 | |
Fidelity Inflation-Protected Bond Index Fund | 7.9 | |
VIP Growth & Income Portfolio Initial Class | 6.1 | |
VIP Contrafund Portfolio Initial Class | 5.4 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.4 | |
VIP Equity-Income Portfolio Initial Class | 4.4 | |
VIP Value Portfolio Initial Class | 3.1 | |
91.5 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 30.9% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 763,093 | 34,652,062 | |
VIP Equity-Income Portfolio Initial Class (a) | 1,154,514 | 28,262,506 | |
VIP Growth & Income Portfolio Initial Class (a) | 1,455,048 | 38,646,087 | |
VIP Growth Portfolio Initial Class (a) | 645,619 | 56,517,470 | |
VIP Mid Cap Portfolio Initial Class (a) | 253,150 | 8,936,209 | |
VIP Value Portfolio Initial Class (a) | 1,120,320 | 20,132,157 | |
VIP Value Strategies Portfolio Initial Class (a) | 648,040 | 10,005,740 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $127,054,513) | 197,152,231 | ||
International Equity Funds - 28.4% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 5,867,395 | 61,138,251 | |
VIP Overseas Portfolio Initial Class (a) | 4,820,726 | 120,132,487 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $151,657,904) | 181,270,738 | ||
Bond Funds - 39.7% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 5,468,060 | 50,306,153 | |
Fidelity International Bond Index Fund (a) | 1,993,399 | 17,980,456 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 3,316,406 | 34,556,946 | |
VIP High Income Portfolio Initial Class (a) | 2,278,391 | 10,457,817 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 14,670,659 | 139,811,383 | |
TOTAL BOND FUNDS (Cost $270,635,223) | 253,112,755 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $6,349,291) | 6,349,291 | 6,349,291 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $555,696,931) | 637,885,015 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (64,596) |
NET ASSETS - 100.0% | 637,820,419 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | - | 621,425 | 621,425 | 82 | - | - | - | 0.0% |
Total | - | 621,425 | 621,425 | 82 | - | - | - | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 44,436,438 | 9,409,582 | 4,394,323 | 17,796 | (96,317) | 950,773 | 50,306,153 |
Fidelity International Bond Index Fund | 16,438,690 | 2,796,243 | 1,646,631 | 145,116 | (4,686) | 396,840 | 17,980,456 |
Fidelity Long-Term Treasury Bond Index Fund | 34,552,917 | 5,716,338 | 6,776,490 | 518,176 | (683,546) | 1,747,727 | 34,556,946 |
VIP Contrafund Portfolio Initial Class | 31,277,831 | 3,410,145 | 6,060,145 | 307,983 | 147,105 | 5,877,126 | 34,652,062 |
VIP Emerging Markets Portfolio Initial Class | 62,866,923 | 9,906,375 | 15,438,597 | 106,040 | 403,813 | 3,399,737 | 61,138,251 |
VIP Equity-Income Portfolio Initial Class | 28,027,473 | 3,329,811 | 4,193,120 | - | 24,765 | 1,073,577 | 28,262,506 |
VIP Government Money Market Portfolio Initial Class 4.87% | 4,201,322 | 6,648,786 | 4,500,817 | 114,605 | - | - | 6,349,291 |
VIP Growth & Income Portfolio Initial Class | 36,267,672 | 4,465,086 | 5,890,102 | 133,807 | 83,496 | 3,719,935 | 38,646,087 |
VIP Growth Portfolio Initial Class | 49,120,401 | 7,114,529 | 10,583,552 | 340,781 | 202,894 | 10,663,198 | 56,517,470 |
VIP High Income Portfolio Initial Class | 9,732,805 | 1,195,617 | 867,187 | 6,703 | (5,433) | 402,015 | 10,457,817 |
VIP Investment Grade Bond II Portfolio - Initial Class | 120,994,150 | 27,895,982 | 12,168,278 | 39,938 | 52,880 | 3,036,649 | 139,811,383 |
VIP Mid Cap Portfolio Initial Class | 8,746,740 | 938,147 | 1,446,862 | 20,558 | 17,428 | 680,756 | 8,936,209 |
VIP Overseas Portfolio Initial Class | 109,779,683 | 12,218,806 | 17,922,776 | - | 466,102 | 15,590,672 | 120,132,487 |
VIP Value Portfolio Initial Class | 20,208,868 | 1,874,222 | 3,463,135 | - | 337,021 | 1,175,181 | 20,132,157 |
VIP Value Strategies Portfolio Initial Class | 10,016,979 | 1,095,348 | 1,876,053 | 24,115 | 141,676 | 627,790 | 10,005,740 |
586,668,892 | 98,015,017 | 97,228,068 | 1,775,618 | 1,087,198 | 49,341,976 | 637,885,015 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 197,152,231 | 197,152,231 | - | - |
International Equity Funds | 181,270,738 | 181,270,738 | - | - |
Bond Funds | 253,112,755 | 253,112,755 | - | - |
Short-Term Funds | 6,349,291 | 6,349,291 | - | - |
Total Investments in Securities: | 637,885,015 | 637,885,015 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $555,696,931) | $ | 637,885,015 | ||
Total Investment in Securities (cost $555,696,931) | $ | 637,885,015 | ||
Cash | 2,826 | |||
Receivable for investments sold | 7,836,222 | |||
Receivable for fund shares sold | 741,858 | |||
Total assets | 646,465,921 | |||
Liabilities | ||||
Payable for investments purchased | $ | 8,226,050 | ||
Payable for fund shares redeemed | 351,929 | |||
Distribution and service plan fees payable | 67,523 | |||
Total Liabilities | 8,645,502 | |||
Net Assets | $ | 637,820,419 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 575,103,034 | ||
Total accumulated earnings (loss) | 62,717,385 | |||
Net Assets | $ | 637,820,419 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($129,207,486 ÷ 8,697,841 shares) | $ | 14.86 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($299,963,356 ÷ 20,264,726 shares) | $ | 14.80 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($208,649,577 ÷ 14,167,227 shares) | $ | 14.73 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 954,219 | ||
Income from Fidelity Central Funds | 82 | |||
Total Income | 954,301 | |||
Expenses | ||||
Distribution and service plan fees | $ | 401,129 | ||
Independent trustees' fees and expenses | 1,052 | |||
Total expenses before reductions | 402,181 | |||
Expense reductions | (39) | |||
Total expenses after reductions | 402,142 | |||
Net Investment income (loss) | 552,159 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 1,087,198 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 821,399 | |||
Total net realized gain (loss) | 1,908,597 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 49,341,976 | |||
Total change in net unrealized appreciation (depreciation) | 49,341,976 | |||
Net gain (loss) | 51,250,573 | |||
Net increase (decrease) in net assets resulting from operations | $ | 51,802,732 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 552,159 | $ | 11,017,348 |
Net realized gain (loss) | 1,908,597 | (17,349,076) | ||
Change in net unrealized appreciation (depreciation) | 49,341,976 | (111,037,986) | ||
Net increase (decrease) in net assets resulting from operations | 51,802,732 | (117,369,714) | ||
Distributions to shareholders | (3,798,410) | (50,805,872) | ||
Share transactions - net increase (decrease) | 3,209,157 | 78,950,611 | ||
Total increase (decrease) in net assets | 51,213,479 | (89,224,975) | ||
Net Assets | ||||
Beginning of period | 586,606,940 | 675,831,915 | ||
End of period | $ | 637,820,419 | $ | 586,606,940 |
VIP Freedom 2030 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 13.72 | $ | 17.93 | $ | 16.83 | $ | 15.28 | $ | 12.98 | $ | 14.67 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .29 | .31 | .19 | .30 | .20 | ||||||
Net realized and unrealized gain (loss) | 1.21 | (3.16) | 1.72 | 2.28 | 2.80 | (1.32) | ||||||
Total from investment operations | 1.23 | (2.87) | 2.03 | 2.47 | 3.10 | (1.12) | ||||||
Distributions from net investment income | (.09) | (.29) | (.19) | (.19) | (.29) | (.20) | ||||||
Distributions from net realized gain | - | (1.05) | (.74) | (.74) | (.51) | (.37) | ||||||
Total distributions | (.09) | (1.34) | (.93) | (.92) C | (.80) | (.57) | ||||||
Net asset value, end of period | $ | 14.86 | $ | 13.72 | $ | 17.93 | $ | 16.83 | $ | 15.28 | $ | 12.98 |
Total Return D,E,F | 8.98% | (16.87)% | 12.37% | 16.89% | 24.43% | (7.78)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .31% J | 1.96% | 1.77% | 1.31% | 2.09% | 1.42% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 129,207 | $ | 116,986 | $ | 138,193 | $ | 113,727 | $ | 93,564 | $ | 71,004 |
Portfolio turnover rate K | 32% J | 76% | 28% | 46% | 30% | 29% |
VIP Freedom 2030 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 13.68 | $ | 17.88 | $ | 16.79 | $ | 15.25 | $ | 12.95 | $ | 14.64 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .27 | .29 | .18 | .29 | .19 | ||||||
Net realized and unrealized gain (loss) | 1.19 | (3.14) | 1.72 | 2.27 | 2.79 | (1.32) | ||||||
Total from investment operations | 1.21 | (2.87) | 2.01 | 2.45 | 3.08 | (1.13) | ||||||
Distributions from net investment income | (.09) | (.28) | (.18) | (.17) | (.28) | (.19) | ||||||
Distributions from net realized gain | - | (1.05) | (.74) | (.74) | (.51) | (.37) | ||||||
Total distributions | (.09) | (1.33) | (.92) | (.91) | (.78) C | (.56) | ||||||
Net asset value, end of period | $ | 14.80 | $ | 13.68 | $ | 17.88 | $ | 16.79 | $ | 15.25 | $ | 12.95 |
Total Return D,E,F | 8.86% | (16.94)% | 12.24% | 16.76% | 24.37% | (7.88)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .21% I | 1.86% | 1.67% | 1.21% | 1.99% | 1.32% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 299,963 | $ | 271,187 | $ | 294,595 | $ | 225,149 | $ | 168,105 | $ | 121,155 |
Portfolio turnover rate J | 32% I | 76% | 28% | 46% | 30% | 29% |
VIP Freedom 2030 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 13.62 | $ | 17.81 | $ | 16.73 | $ | 15.19 | $ | 12.91 | $ | 14.60 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | - C | .25 | .27 | .16 | .26 | .17 | ||||||
Net realized and unrealized gain (loss) | 1.20 | (3.14) | 1.70 | 2.26 | 2.78 | (1.32) | ||||||
Total from investment operations | 1.20 | (2.89) | 1.97 | 2.42 | 3.04 | (1.15) | ||||||
Distributions from net investment income | (.09) | (.26) | (.15) | (.15) | (.26) | (.17) | ||||||
Distributions from net realized gain | - | (1.05) | (.74) | (.74) | (.51) | (.37) | ||||||
Total distributions | (.09) | (1.30) D | (.89) | (.88) D | (.76) D | (.54) | ||||||
Net asset value, end of period | $ | 14.73 | $ | 13.62 | $ | 17.81 | $ | 16.73 | $ | 15.19 | $ | 12.91 |
Total Return E,F,G | 8.83% | (17.09)% | 12.07% | 16.64% | 24.11% | (8.05)% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | .25% J | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% J | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% J | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | .06% J | 1.71% | 1.52% | 1.06% | 1.84% | 1.17% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 208,650 | $ | 198,433 | $ | 243,043 | $ | 193,997 | $ | 173,271 | $ | 130,567 |
Portfolio turnover rate K | 32% J | 76% | 28% | 46% | 30% | 29% |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Initial Class | 22.4 | |
VIP Investment Grade Bond II Portfolio - Initial Class | 14.3 | |
VIP Growth Portfolio Initial Class | 11.0 | |
VIP Emerging Markets Portfolio Initial Class | 11.0 | |
VIP Growth & Income Portfolio Initial Class | 7.5 | |
VIP Contrafund Portfolio Initial Class | 6.8 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.8 | |
VIP Equity-Income Portfolio Initial Class | 5.5 | |
VIP Value Portfolio Initial Class | 3.9 | |
Fidelity Inflation-Protected Bond Index Fund | 3.2 | |
91.4 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 38.4% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 385,068 | 17,485,954 | |
VIP Equity-Income Portfolio Initial Class (a) | 582,602 | 14,262,096 | |
VIP Growth & Income Portfolio Initial Class (a) | 734,257 | 19,501,864 | |
VIP Growth Portfolio Initial Class (a) | 325,805 | 28,520,981 | |
VIP Mid Cap Portfolio Initial Class (a) | 127,751 | 4,509,620 | |
VIP Value Portfolio Initial Class (a) | 565,374 | 10,159,771 | |
VIP Value Strategies Portfolio Initial Class (a) | 327,037 | 5,049,446 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $81,345,854) | 99,489,732 | ||
International Equity Funds - 33.4% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 2,726,080 | 28,405,749 | |
VIP Overseas Portfolio Initial Class (a) | 2,333,353 | 58,147,157 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $81,567,603) | 86,552,906 | ||
Bond Funds - 27.2% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 896,942 | 8,251,870 | |
Fidelity International Bond Index Fund (a) | 663,933 | 5,988,675 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 1,450,996 | 15,119,382 | |
VIP High Income Portfolio Initial Class (a) | 924,963 | 4,245,580 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 3,882,927 | 37,004,292 | |
TOTAL BOND FUNDS (Cost $75,227,740) | 70,609,799 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $2,577,729) | 2,577,729 | 2,577,729 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $240,718,926) | 259,230,166 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (33,287) |
NET ASSETS - 100.0% | 259,196,879 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 6,493,554 | 2,416,589 | 776,703 | - | (21,495) | 139,925 | 8,251,870 |
Fidelity International Bond Index Fund | 4,940,348 | 1,439,542 | 511,091 | 46,312 | (997) | 120,873 | 5,988,675 |
Fidelity Long-Term Treasury Bond Index Fund | 13,503,571 | 3,821,185 | 2,586,147 | 215,212 | (345,071) | 725,844 | 15,119,382 |
VIP Contrafund Portfolio Initial Class | 14,469,135 | 2,820,136 | 2,761,067 | 145,650 | 33,702 | 2,924,048 | 17,485,954 |
VIP Emerging Markets Portfolio Initial Class | 26,356,461 | 6,248,196 | 5,837,392 | 45,648 | (466,529) | 2,105,013 | 28,405,749 |
VIP Equity-Income Portfolio Initial Class | 12,964,481 | 2,644,268 | 1,897,919 | - | (1,575) | 552,841 | 14,262,096 |
VIP Government Money Market Portfolio Initial Class 4.87% | 1,545,066 | 2,772,771 | 1,740,108 | 44,936 | - | - | 2,577,729 |
VIP Growth & Income Portfolio Initial Class | 16,777,656 | 3,514,317 | 2,650,240 | 63,040 | 32,793 | 1,827,338 | 19,501,864 |
VIP Growth Portfolio Initial Class | 22,726,322 | 5,593,305 | 5,156,593 | 156,647 | 135,414 | 5,222,533 | 28,520,981 |
VIP High Income Portfolio Initial Class | 3,579,302 | 860,651 | 345,653 | 2,516 | (2,208) | 153,488 | 4,245,580 |
VIP Investment Grade Bond II Portfolio - Initial Class | 25,643,543 | 13,833,640 | 3,106,972 | 8,785 | (20,640) | 654,721 | 37,004,292 |
VIP Mid Cap Portfolio Initial Class | 4,045,802 | 804,520 | 684,578 | 9,677 | (15,405) | 359,281 | 4,509,620 |
VIP Overseas Portfolio Initial Class | 48,624,640 | 9,720,483 | 7,536,158 | - | 180,807 | 7,157,385 | 58,147,157 |
VIP Value Portfolio Initial Class | 9,347,871 | 1,695,517 | 1,628,669 | - | 42,624 | 702,428 | 10,159,771 |
VIP Value Strategies Portfolio Initial Class | 4,633,428 | 937,728 | 901,327 | 11,356 | 36,636 | 342,981 | 5,049,446 |
215,651,180 | 59,122,848 | 38,120,617 | 749,779 | (411,944) | 22,988,699 | 259,230,166 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 99,489,732 | 99,489,732 | - | - |
International Equity Funds | 86,552,906 | 86,552,906 | - | - |
Bond Funds | 70,609,799 | 70,609,799 | - | - |
Short-Term Funds | 2,577,729 | 2,577,729 | - | - |
Total Investments in Securities: | 259,230,166 | 259,230,166 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $240,718,926) | $ | 259,230,166 | ||
Total Investment in Securities (cost $240,718,926) | $ | 259,230,166 | ||
Cash | 9 | |||
Receivable for investments sold | 3,150,828 | |||
Receivable for fund shares sold | 122,957 | |||
Total assets | 262,503,960 | |||
Liabilities | ||||
Payable for investments purchased | $ | 3,175,472 | ||
Payable for fund shares redeemed | 98,265 | |||
Distribution and service plan fees payable | 33,344 | |||
Total Liabilities | 3,307,081 | |||
Net Assets | $ | 259,196,879 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 245,440,342 | ||
Total accumulated earnings (loss) | 13,756,537 | |||
Net Assets | $ | 259,196,879 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($21,187,614 ÷ 848,706 shares) | $ | 24.96 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($128,136,927 ÷ 5,151,483 shares) | $ | 24.87 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($109,872,338 ÷ 4,449,748 shares) | $ | 24.69 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 361,728 | ||
Expenses | ||||
Distribution and service plan fees | $ | 188,174 | ||
Independent trustees' fees and expenses | 396 | |||
Total expenses before reductions | 188,570 | |||
Expense reductions | (1) | |||
Total expenses after reductions | 188,569 | |||
Net Investment income (loss) | 173,159 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (411,944) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 388,051 | |||
Total net realized gain (loss) | (23,893) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 22,988,699 | |||
Total change in net unrealized appreciation (depreciation) | 22,988,699 | |||
Net gain (loss) | 22,964,806 | |||
Net increase (decrease) in net assets resulting from operations | $ | 23,137,965 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 173,159 | $ | 3,152,937 |
Net realized gain (loss) | (23,893) | (3,119,977) | ||
Change in net unrealized appreciation (depreciation) | 22,988,699 | (41,091,049) | ||
Net increase (decrease) in net assets resulting from operations | 23,137,965 | (41,058,089) | ||
Distributions to shareholders | (1,016,278) | (17,522,624) | ||
Share transactions - net increase (decrease) | 21,445,676 | 61,280,389 | ||
Total increase (decrease) in net assets | 43,567,363 | 2,699,676 | ||
Net Assets | ||||
Beginning of period | 215,629,516 | 212,929,840 | ||
End of period | $ | 259,196,879 | $ | 215,629,516 |
VIP Freedom 2035 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 22.71 | $ | 30.05 | $ | 27.34 | $ | 24.35 | $ | 20.07 | $ | 22.88 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .40 | .45 | .28 | .48 | .29 | ||||||
Net realized and unrealized gain (loss) | 2.32 | (5.43) | 3.69 | 4.01 | 4.92 | (2.39) | ||||||
Total from investment operations | 2.36 | (5.03) | 4.14 | 4.29 | 5.40 | (2.10) | ||||||
Distributions from net investment income | (.06) | (.42) | (.30) | (.27) | (.41) | (.26) | ||||||
Distributions from net realized gain | (.05) | (1.89) | (1.13) | (1.04) | (.71) | (.45) | ||||||
Total distributions | (.11) | (2.31) | (1.43) | (1.30) C | (1.12) | (.71) | ||||||
Net asset value, end of period | $ | 24.96 | $ | 22.71 | $ | 30.05 | $ | 27.34 | $ | 24.35 | $ | 20.07 |
Total Return D,E,F | 10.39% | (17.69)% | 15.46% | 18.28% | 27.49% | (9.30)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .30% J | 1.68% | 1.53% | 1.20% | 2.13% | 1.30% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 21,188 | $ | 18,619 | $ | 17,426 | $ | 17,852 | $ | 12,846 | $ | 7,977 |
Portfolio turnover rate K | 32% J | 49% | 34% | 55% | 29% | 27% |
VIP Freedom 2035 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 22.64 | $ | 29.96 | $ | 27.27 | $ | 24.30 | $ | 20.04 | $ | 22.84 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .38 | .42 | .26 | .46 | .27 | ||||||
Net realized and unrealized gain (loss) | 2.32 | (5.42) | 3.67 | 3.99 | 4.90 | (2.38) | ||||||
Total from investment operations | 2.34 | (5.04) | 4.09 | 4.25 | 5.36 | (2.11) | ||||||
Distributions from net investment income | (.06) | (.40) | (.27) | (.25) | (.39) | (.25) | ||||||
Distributions from net realized gain | (.05) | (1.89) | (1.13) | (1.04) | (.71) | (.45) | ||||||
Total distributions | (.11) | (2.28) C | (1.40) | (1.28) C | (1.10) | (.69) C | ||||||
Net asset value, end of period | $ | 24.87 | $ | 22.64 | $ | 29.96 | $ | 27.27 | $ | 24.30 | $ | 20.04 |
Total Return D,E,F | 10.33% | (17.75)% | 15.32% | 18.15% | 27.33% | (9.36)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .20% I | 1.58% | 1.43% | 1.10% | 2.03% | 1.20% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 128,137 | $ | 98,376 | $ | 82,275 | $ | 51,598 | $ | 30,573 | $ | 12,303 |
Portfolio turnover rate J | 32% I | 49% | 34% | 55% | 29% | 27% |
VIP Freedom 2035 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 22.49 | $ | 29.78 | $ | 27.11 | $ | 24.17 | $ | 19.94 | $ | 22.73 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .01 | .34 | .37 | .22 | .42 | .24 | ||||||
Net realized and unrealized gain (loss) | 2.30 | (5.38) | 3.66 | 3.97 | 4.88 | (2.37) | ||||||
Total from investment operations | 2.31 | (5.04) | 4.03 | 4.19 | 5.30 | (2.13) | ||||||
Distributions from net investment income | (.06) | (.36) | (.23) | (.21) | (.36) | (.22) | ||||||
Distributions from net realized gain | (.05) | (1.89) | (1.13) | (1.04) | (.71) | (.45) | ||||||
Total distributions | (.11) | (2.25) | (1.36) | (1.25) | (1.07) | (.66) C | ||||||
Net asset value, end of period | $ | 24.69 | $ | 22.49 | $ | 29.78 | $ | 27.11 | $ | 24.17 | $ | 19.94 |
Total Return D,E,F | 10.27% | (17.89)% | 15.18% | 17.96% | 27.13% | (9.50)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | .05% I | 1.43% | 1.28% | .95% | 1.88% | 1.05% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 109,872 | $ | 98,634 | $ | 113,228 | $ | 87,124 | $ | 71,380 | $ | 45,013 |
Portfolio turnover rate J | 32% I | 49% | 34% | 55% | 29% | 27% |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Initial Class | 26.3 | |
VIP Growth Portfolio Initial Class | 13.3 | |
VIP Emerging Markets Portfolio Initial Class | 12.4 | |
VIP Growth & Income Portfolio Initial Class | 9.1 | |
VIP Contrafund Portfolio Initial Class | 8.2 | |
VIP Equity-Income Portfolio Initial Class | 6.6 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.5 | |
VIP Investment Grade Bond II Portfolio - Initial Class | 4.8 | |
VIP Value Portfolio Initial Class | 4.7 | |
VIP Value Strategies Portfolio Initial Class | 2.4 | |
93.3 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 46.4% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 449,824 | 20,426,510 | |
VIP Equity-Income Portfolio Initial Class (a) | 680,625 | 16,661,698 | |
VIP Growth & Income Portfolio Initial Class (a) | 857,764 | 22,782,216 | |
VIP Growth Portfolio Initial Class (a) | 380,598 | 33,317,524 | |
VIP Mid Cap Portfolio Initial Class (a) | 149,244 | 5,268,328 | |
VIP Value Portfolio Initial Class (a) | 660,493 | 11,869,056 | |
VIP Value Strategies Portfolio Initial Class (a) | 382,054 | 5,898,920 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $94,039,424) | 116,224,252 | ||
International Equity Funds - 38.7% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 2,990,125 | 31,157,107 | |
VIP Overseas Portfolio Initial Class (a) | 2,643,547 | 65,877,203 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $90,685,326) | 97,034,310 | ||
Bond Funds - 13.9% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 579,518 | 5,331,566 | |
Fidelity International Bond Index Fund (a) | 330,332 | 2,979,595 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 1,331,815 | 13,877,510 | |
VIP High Income Portfolio Initial Class (a) | 146,219 | 671,147 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 1,268,577 | 12,089,535 | |
TOTAL BOND FUNDS (Cost $37,672,378) | 34,949,353 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $2,489,978) | 2,489,978 | 2,489,978 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $224,887,106) | 250,697,893 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (19,995) |
NET ASSETS - 100.0% | 250,677,898 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 4,337,525 | 1,448,011 | 537,978 | - | (15,721) | 99,729 | 5,331,566 |
Fidelity International Bond Index Fund | 1,988,506 | 1,105,021 | 165,345 | 21,200 | (1,341) | 52,754 | 2,979,595 |
Fidelity Long-Term Treasury Bond Index Fund | 12,059,389 | 3,698,348 | 2,237,151 | 196,291 | (286,931) | 643,855 | 13,877,510 |
VIP Contrafund Portfolio Initial Class | 16,234,102 | 3,517,235 | 2,721,773 | 167,909 | (25,915) | 3,422,861 | 20,426,510 |
VIP Emerging Markets Portfolio Initial Class | 27,632,686 | 7,375,155 | 5,551,119 | 49,580 | (283,964) | 1,984,349 | 31,157,107 |
VIP Equity-Income Portfolio Initial Class | 14,547,149 | 3,320,304 | 1,821,761 | - | (8,738) | 624,744 | 16,661,698 |
VIP Government Money Market Portfolio Initial Class 4.87% | 1,446,761 | 2,694,717 | 1,651,500 | 42,864 | - | - | 2,489,978 |
VIP Growth & Income Portfolio Initial Class | 18,823,995 | 4,380,490 | 2,535,753 | 72,968 | 26,500 | 2,086,984 | 22,782,216 |
VIP Growth Portfolio Initial Class | 25,494,691 | 6,804,156 | 5,115,265 | 173,001 | 3,215 | 6,130,727 | 33,317,524 |
VIP High Income Portfolio Initial Class | 548,460 | 142,257 | 43,146 | 397 | (218) | 23,794 | 671,147 |
VIP Investment Grade Bond II Portfolio - Initial Class | 5,507,299 | 7,266,538 | 823,682 | 2,017 | (4,165) | 143,545 | 12,089,535 |
VIP Mid Cap Portfolio Initial Class | 4,539,707 | 996,288 | 655,009 | 11,197 | (12,615) | 399,957 | 5,268,328 |
VIP Overseas Portfolio Initial Class | 52,998,960 | 12,600,390 | 7,908,637 | - | 290,235 | 7,896,255 | 65,877,203 |
VIP Value Portfolio Initial Class | 10,488,907 | 2,029,705 | 1,479,367 | - | 16,820 | 812,991 | 11,869,056 |
VIP Value Strategies Portfolio Initial Class | 5,198,999 | 1,123,215 | 844,249 | 13,139 | 8,091 | 412,864 | 5,898,920 |
201,847,136 | 58,501,830 | 34,091,735 | 750,563 | (294,747) | 24,735,409 | 250,697,893 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 116,224,252 | 116,224,252 | - | - |
International Equity Funds | 97,034,310 | 97,034,310 | - | - |
Bond Funds | 34,949,353 | 34,949,353 | - | - |
Short-Term Funds | 2,489,978 | 2,489,978 | - | - |
Total Investments in Securities: | 250,697,893 | 250,697,893 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $224,887,106) | $ | 250,697,893 | ||
Total Investment in Securities (cost $224,887,106) | $ | 250,697,893 | ||
Cash | 1,282 | |||
Receivable for investments sold | 2,216,287 | |||
Receivable for fund shares sold | 1,046,644 | |||
Total assets | 253,962,106 | |||
Liabilities | ||||
Payable for investments purchased | $ | 3,200,435 | ||
Payable for fund shares redeemed | 62,455 | |||
Distribution and service plan fees payable | 21,318 | |||
Total Liabilities | 3,284,208 | |||
Net Assets | $ | 250,677,898 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 230,052,581 | ||
Total accumulated earnings (loss) | 20,625,317 | |||
Net Assets | $ | 250,677,898 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($49,073,709 ÷ 2,066,543 shares) | $ | 23.75 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($159,887,850 ÷ 6,754,536 shares) | $ | 23.67 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($41,716,339 ÷ 1,772,920 shares) | $ | 23.53 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 302,956 | ||
Expenses | ||||
Distribution and service plan fees | $ | 120,238 | ||
Independent trustees' fees and expenses | 377 | |||
Total expenses before reductions | 120,615 | |||
Expense reductions | (26) | |||
Total expenses after reductions | 120,589 | |||
Net Investment income (loss) | 182,367 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (294,747) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 447,607 | |||
Total net realized gain (loss) | 152,860 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 24,735,409 | |||
Total change in net unrealized appreciation (depreciation) | 24,735,409 | |||
Net gain (loss) | 24,888,269 | |||
Net increase (decrease) in net assets resulting from operations | $ | 25,070,636 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 182,367 | $ | 2,688,051 |
Net realized gain (loss) | 152,860 | (933,424) | ||
Change in net unrealized appreciation (depreciation) | 24,735,409 | (41,754,514) | ||
Net increase (decrease) in net assets resulting from operations | 25,070,636 | (39,999,887) | ||
Distributions to shareholders | (3,495,090) | (18,183,869) | ||
Share transactions - net increase (decrease) | 27,257,178 | 53,620,006 | ||
Total increase (decrease) in net assets | 48,832,724 | (4,563,750) | ||
Net Assets | ||||
Beginning of period | 201,845,174 | 206,408,924 | ||
End of period | $ | 250,677,898 | $ | 201,845,174 |
VIP Freedom 2040 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 21.58 | $ | 29.04 | $ | 25.96 | $ | 23.08 | $ | 18.94 | $ | 21.76 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .03 | .34 | .41 | .24 | .40 | .27 | ||||||
Net realized and unrealized gain (loss) | 2.50 | (5.31) | 4.11 | 4.02 | 4.88 | (2.39) | ||||||
Total from investment operations | 2.53 | (4.97) | 4.52 | 4.26 | 5.28 | (2.12) | ||||||
Distributions from net investment income | (.04) | (.39) | (.26) | (.23) | (.39) | (.25) | ||||||
Distributions from net realized gain | (.32) | (2.10) | (1.18) | (1.16) | (.75) | (.45) | ||||||
Total distributions | (.36) | (2.49) | (1.44) | (1.38) C | (1.14) | (.70) | ||||||
Net asset value, end of period | $ | 23.75 | $ | 21.58 | $ | 29.04 | $ | 25.96 | $ | 23.08 | $ | 18.94 |
Total Return D,E,F | 11.81% | (18.22)% | 17.83% | 19.28% | 28.52% | (9.88)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .26% J | 1.49% | 1.45% | 1.07% | 1.86% | 1.26% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 49,074 | $ | 41,856 | $ | 45,822 | $ | 34,365 | $ | 27,284 | $ | 19,652 |
Portfolio turnover rate K | 30% J | 39% | 32% | 49% | 36% | 39% |
VIP Freedom 2040 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 21.52 | $ | 28.97 | $ | 25.91 | $ | 23.04 | $ | 18.91 | $ | 21.72 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .32 | .38 | .21 | .37 | .25 | ||||||
Net realized and unrealized gain (loss) | 2.49 | (5.30) | 4.10 | 4.02 | 4.88 | (2.38) | ||||||
Total from investment operations | 2.51 | (4.98) | 4.48 | 4.23 | 5.25 | (2.13) | ||||||
Distributions from net investment income | (.04) | (.37) | (.24) | (.21) | (.37) | (.23) | ||||||
Distributions from net realized gain | (.32) | (2.10) | (1.18) | (1.16) | (.75) | (.45) | ||||||
Total distributions | (.36) | (2.47) | (1.42) | (1.36) C | (1.12) | (.68) | ||||||
Net asset value, end of period | $ | 23.67 | $ | 21.52 | $ | 28.97 | $ | 25.91 | $ | 23.04 | $ | 18.91 |
Total Return D,E,F | 11.75% | (18.30)% | 17.68% | 19.16% | 28.39% | (9.94)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .16% I | 1.39% | 1.35% | .97% | 1.76% | 1.16% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 159,888 | $ | 124,508 | $ | 119,062 | $ | 85,197 | $ | 63,170 | $ | 48,429 |
Portfolio turnover rate J | 30% I | 39% | 32% | 49% | 36% | 39% |
VIP Freedom 2040 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 21.41 | $ | 28.83 | $ | 25.80 | $ | 22.95 | $ | 18.84 | $ | 21.65 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | - C | .28 | .33 | .18 | .34 | .22 | ||||||
Net realized and unrealized gain (loss) | 2.48 | (5.26) | 4.08 | 4.00 | 4.86 | (2.38) | ||||||
Total from investment operations | 2.48 | (4.98) | 4.41 | 4.18 | 5.20 | (2.16) | ||||||
Distributions from net investment income | (.04) | (.33) | (.20) | (.17) | (.34) | (.20) | ||||||
Distributions from net realized gain | (.32) | (2.10) | (1.18) | (1.15) | (.75) | (.45) | ||||||
Total distributions | (.36) | (2.44) D | (1.38) | (1.33) D | (1.09) | (.65) | ||||||
Net asset value, end of period | $ | 23.53 | $ | 21.41 | $ | 28.83 | $ | 25.80 | $ | 22.95 | $ | 18.84 |
Total Return E,F,G | 11.66% | (18.41)% | 17.50% | 18.99% | 28.23% | (10.12)% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | .25% J | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% J | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% J | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | .01% J | 1.24% | 1.20% | .82% | 1.61% | 1.01% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 41,716 | $ | 35,481 | $ | 41,525 | $ | 30,980 | $ | 23,721 | $ | 15,391 |
Portfolio turnover rate K | 30% J | 39% | 32% | 49% | 36% | 39% |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Initial Class | 27.3 | |
VIP Growth Portfolio Initial Class | 13.9 | |
VIP Emerging Markets Portfolio Initial Class | 12.8 | |
VIP Growth & Income Portfolio Initial Class | 9.5 | |
VIP Contrafund Portfolio Initial Class | 8.5 | |
VIP Equity-Income Portfolio Initial Class | 6.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.5 | |
VIP Value Portfolio Initial Class | 5.0 | |
VIP Value Strategies Portfolio Initial Class | 2.5 | |
VIP Mid Cap Portfolio Initial Class | 2.2 | |
94.1 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 48.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 239,456 | 10,873,675 | |
VIP Equity-Income Portfolio Initial Class (a) | 362,320 | 8,869,598 | |
VIP Growth & Income Portfolio Initial Class (a) | 456,620 | 12,127,818 | |
VIP Growth Portfolio Initial Class (a) | 202,607 | 17,736,218 | |
VIP Mid Cap Portfolio Initial Class (a) | 79,450 | 2,804,587 | |
VIP Value Portfolio Initial Class (a) | 351,610 | 6,318,440 | |
VIP Value Strategies Portfolio Initial Class (a) | 203,386 | 3,140,278 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $51,243,634) | 61,870,614 | ||
International Equity Funds - 40.1% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 1,570,406 | 16,363,634 | |
VIP Overseas Portfolio Initial Class (a) | 1,397,844 | 34,834,275 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $48,053,496) | 51,197,909 | ||
Bond Funds - 10.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 294,943 | 2,713,473 | |
Fidelity International Bond Index Fund (a) | 77,058 | 695,065 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 677,840 | 7,063,089 | |
VIP High Income Portfolio Initial Class (a) | 74,418 | 341,577 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 260,391 | 2,481,527 | |
TOTAL BOND FUNDS (Cost $14,645,776) | 13,294,731 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $1,267,290) | 1,267,290 | 1,267,290 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $115,210,196) | 127,630,544 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (19,245) |
NET ASSETS - 100.0% | 127,611,299 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 2,243,834 | 692,743 | 265,326 | - | (11,355) | 53,577 | 2,713,473 |
Fidelity International Bond Index Fund | 577,290 | 145,997 | 42,366 | 5,402 | (293) | 14,437 | 695,065 |
Fidelity Long-Term Treasury Bond Index Fund | 6,238,707 | 1,668,168 | 1,026,765 | 91,186 | (164,053) | 347,032 | 7,063,089 |
VIP Contrafund Portfolio Initial Class | 8,649,739 | 1,555,887 | 1,122,411 | 87,491 | 6,474 | 1,783,986 | 10,873,675 |
VIP Emerging Markets Portfolio Initial Class | 14,575,329 | 3,425,818 | 2,548,526 | 25,472 | (75,112) | 986,125 | 16,363,634 |
VIP Equity-Income Portfolio Initial Class | 7,750,902 | 1,543,868 | 758,856 | - | 4,431 | 329,253 | 8,869,598 |
VIP Government Money Market Portfolio Initial Class 4.87% | 748,462 | 1,354,703 | 835,875 | 21,716 | - | - | 1,267,290 |
VIP Growth & Income Portfolio Initial Class | 10,029,666 | 2,040,817 | 1,062,765 | 37,878 | 23,475 | 1,096,625 | 12,127,818 |
VIP Growth Portfolio Initial Class | 13,583,940 | 3,179,147 | 2,265,228 | 96,682 | 52,446 | 3,185,913 | 17,736,218 |
VIP High Income Portfolio Initial Class | 283,720 | 65,435 | 19,645 | 200 | (158) | 12,225 | 341,577 |
VIP Investment Grade Bond II Portfolio - Initial Class | 837,385 | 1,853,256 | 230,569 | 282 | (72) | 21,527 | 2,481,527 |
VIP Mid Cap Portfolio Initial Class | 2,418,825 | 467,188 | 288,436 | 5,812 | (2,841) | 209,851 | 2,804,587 |
VIP Overseas Portfolio Initial Class | 28,112,666 | 6,013,643 | 3,570,004 | - | 90,351 | 4,187,619 | 34,834,275 |
VIP Value Portfolio Initial Class | 5,588,640 | 933,760 | 647,998 | - | 14,467 | 429,571 | 6,318,440 |
VIP Value Strategies Portfolio Initial Class | 2,770,104 | 509,772 | 365,541 | 6,818 | 7,978 | 217,965 | 3,140,278 |
104,409,209 | 25,450,202 | 15,050,311 | 378,939 | (54,262) | 12,875,706 | 127,630,544 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 61,870,614 | 61,870,614 | - | - |
International Equity Funds | 51,197,909 | 51,197,909 | - | - |
Bond Funds | 13,294,731 | 13,294,731 | - | - |
Short-Term Funds | 1,267,290 | 1,267,290 | - | - |
Total Investments in Securities: | 127,630,544 | 127,630,544 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $115,210,196) | $ | 127,630,544 | ||
Total Investment in Securities (cost $115,210,196) | $ | 127,630,544 | ||
Cash | 900 | |||
Receivable for investments sold | 862,417 | |||
Receivable for fund shares sold | 276,293 | |||
Total assets | 128,770,154 | |||
Liabilities | ||||
Payable for investments purchased | $ | 1,073,097 | ||
Payable for fund shares redeemed | 65,591 | |||
Distribution and service plan fees payable | 20,167 | |||
Total Liabilities | 1,158,855 | |||
Net Assets | $ | 127,611,299 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 118,418,096 | ||
Total accumulated earnings (loss) | 9,193,203 | |||
Net Assets | $ | 127,611,299 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($9,521,018 ÷ 397,228 shares) | $ | 23.97 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($32,538,751 ÷ 1,362,335 shares) | $ | 23.88 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($85,551,530 ÷ 3,605,712 shares) | $ | 23.73 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 145,912 | ||
Expenses | ||||
Distribution and service plan fees | $ | 113,519 | ||
Independent trustees' fees and expenses | 193 | |||
Total expenses before reductions | 113,712 | |||
Expense reductions | (17) | |||
Total expenses after reductions | 113,695 | |||
Net Investment income (loss) | 32,217 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (54,262) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 233,027 | |||
Total net realized gain (loss) | 178,765 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 12,875,706 | |||
Total change in net unrealized appreciation (depreciation) | 12,875,706 | |||
Net gain (loss) | 13,054,471 | |||
Net increase (decrease) in net assets resulting from operations | $ | 13,086,688 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 32,217 | $ | 1,322,004 |
Net realized gain (loss) | 178,765 | (853,218) | ||
Change in net unrealized appreciation (depreciation) | 12,875,706 | (21,362,869) | ||
Net increase (decrease) in net assets resulting from operations | 13,086,688 | (20,894,083) | ||
Distributions to shareholders | (1,973,833) | (9,640,257) | ||
Share transactions - net increase (decrease) | 12,096,653 | 27,456,282 | ||
Total increase (decrease) in net assets | 23,209,508 | (3,078,058) | ||
Net Assets | ||||
Beginning of period | 104,401,791 | 107,479,849 | ||
End of period | $ | 127,611,299 | $ | 104,401,791 |
VIP Freedom 2045 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 21.76 | $ | 29.30 | $ | 26.09 | $ | 23.08 | $ | 18.91 | $ | 21.64 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .03 | .34 | .40 | .25 | .43 | .27 | ||||||
Net realized and unrealized gain (loss) | 2.59 | (5.35) | 4.16 | 4.03 | 4.85 | (2.39) | ||||||
Total from investment operations | 2.62 | (5.01) | 4.56 | 4.28 | 5.28 | (2.12) | ||||||
Distributions from net investment income | (.04) | (.38) | (.27) | (.22) | (.37) | (.25) | ||||||
Distributions from net realized gain | (.36) | (2.15) | (1.08) | (1.05) | (.74) | (.37) | ||||||
Total distributions | (.41) C | (2.53) | (1.35) | (1.27) | (1.11) | (.61) C | ||||||
Net asset value, end of period | $ | 23.97 | $ | 21.76 | $ | 29.30 | $ | 26.09 | $ | 23.08 | $ | 18.91 |
Total Return D,E,F | 12.11% | (18.21)% | 17.83% | 19.27% | 28.57% | (9.89)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .25% J | 1.50% | 1.42% | 1.12% | 2.01% | 1.25% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 9,521 | $ | 7,366 | $ | 6,866 | $ | 5,282 | $ | 3,686 | $ | 2,583 |
Portfolio turnover rate K | 26% J | 39% | 29% | 38% | 25% | 42% |
VIP Freedom 2045 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 21.69 | $ | 29.22 | $ | 26.03 | $ | 23.03 | $ | 18.88 | $ | 21.61 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .32 | .37 | .23 | .41 | .24 | ||||||
Net realized and unrealized gain (loss) | 2.58 | (5.34) | 4.14 | 4.02 | 4.83 | (2.37) | ||||||
Total from investment operations | 2.60 | (5.02) | 4.51 | 4.25 | 5.24 | (2.13) | ||||||
Distributions from net investment income | (.04) | (.36) | (.24) | (.21) | (.35) | (.23) | ||||||
Distributions from net realized gain | (.36) | (2.15) | (1.08) | (1.05) | (.74) | (.37) | ||||||
Total distributions | (.41) C | (2.51) | (1.32) | (1.25) C | (1.09) | (.60) | ||||||
Net asset value, end of period | $ | 23.88 | $ | 21.69 | $ | 29.22 | $ | 26.03 | $ | 23.03 | $ | 18.88 |
Total Return D,E,F | 12.06% | (18.30)% | 17.69% | 19.18% | 28.40% | (9.97)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% I | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .15% I | 1.40% | 1.32% | 1.02% | 1.91% | 1.15% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 32,539 | $ | 23,628 | $ | 22,218 | $ | 13,322 | $ | 7,345 | $ | 3,900 |
Portfolio turnover rate J | 26% I | 39% | 29% | 38% | 25% | 42% |
VIP Freedom 2045 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 21.57 | $ | 29.07 | $ | 25.90 | $ | 22.93 | $ | 18.80 | $ | 21.52 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | - C | .28 | .33 | .19 | .37 | .21 | ||||||
Net realized and unrealized gain (loss) | 2.57 | (5.30) | 4.12 | 4.00 | 4.82 | (2.37) | ||||||
Total from investment operations | 2.57 | (5.02) | 4.45 | 4.19 | 5.19 | (2.16) | ||||||
Distributions from net investment income | (.04) | (.33) | (.20) | (.17) | (.33) | (.20) | ||||||
Distributions from net realized gain | (.36) | (2.15) | (1.08) | (1.05) | (.74) | (.37) | ||||||
Total distributions | (.41) D | (2.48) | (1.28) | (1.22) | (1.06) D | (.56) D | ||||||
Net asset value, end of period | $ | 23.73 | $ | 21.57 | $ | 29.07 | $ | 25.90 | $ | 22.93 | $ | 18.80 |
Total Return E,F,G | 11.99% | (18.42)% | 17.53% | 18.97% | 28.25% | (10.13)% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | .25% J | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% J | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% J | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | -% J,K | 1.25% | 1.17% | .87% | 1.76% | 1.00% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 85,552 | $ | 73,408 | $ | 78,396 | $ | 63,126 | $ | 45,871 | $ | 28,298 |
Portfolio turnover rate L | 26% J | 39% | 29% | 38% | 25% | 42% |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Initial Class | 27.3 | |
VIP Growth Portfolio Initial Class | 13.9 | |
VIP Emerging Markets Portfolio Initial Class | 12.8 | |
VIP Growth & Income Portfolio Initial Class | 9.5 | |
VIP Contrafund Portfolio Initial Class | 8.5 | |
VIP Equity-Income Portfolio Initial Class | 6.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.5 | |
VIP Value Portfolio Initial Class | 5.0 | |
VIP Value Strategies Portfolio Initial Class | 2.5 | |
VIP Mid Cap Portfolio Initial Class | 2.2 | |
94.1 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 48.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 219,475 | 9,966,379 | |
VIP Equity-Income Portfolio Initial Class (a) | 332,090 | 8,129,554 | |
VIP Growth & Income Portfolio Initial Class (a) | 418,521 | 11,115,905 | |
VIP Growth Portfolio Initial Class (a) | 185,701 | 16,256,301 | |
VIP Mid Cap Portfolio Initial Class (a) | 72,821 | 2,570,581 | |
VIP Value Portfolio Initial Class (a) | 322,274 | 5,791,267 | |
VIP Value Strategies Portfolio Initial Class (a) | 186,417 | 2,878,272 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $47,421,071) | 56,708,259 | ||
International Equity Funds - 40.1% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 1,439,384 | 14,998,385 | |
VIP Overseas Portfolio Initial Class (a) | 1,281,206 | 31,927,662 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $44,753,764) | 46,926,047 | ||
Bond Funds - 10.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 270,335 | 2,487,082 | |
Fidelity International Bond Index Fund (a) | 70,629 | 637,076 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 621,277 | 6,473,704 | |
VIP High Income Portfolio Initial Class (a) | 68,209 | 313,080 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 238,667 | 2,274,494 | |
TOTAL BOND FUNDS (Cost $13,386,879) | 12,185,436 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $1,161,545) | 1,161,545 | 1,161,545 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $106,723,259) | 116,981,287 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (14,213) |
NET ASSETS - 100.0% | 116,967,074 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 2,050,699 | 627,313 | 229,085 | - | (12,501) | 50,656 | 2,487,082 |
Fidelity International Bond Index Fund | 527,600 | 131,986 | 35,292 | 4,955 | (634) | 13,416 | 637,076 |
Fidelity Long-Term Treasury Bond Index Fund | 5,701,520 | 1,504,228 | 895,362 | 83,749 | (157,244) | 320,562 | 6,473,704 |
VIP Contrafund Portfolio Initial Class | 7,905,227 | 1,400,979 | 975,712 | 80,406 | (5,691) | 1,641,576 | 9,966,379 |
VIP Emerging Markets Portfolio Initial Class | 13,321,170 | 3,072,436 | 2,213,244 | 23,416 | (68,914) | 886,937 | 14,998,385 |
VIP Equity-Income Portfolio Initial Class | 7,083,821 | 1,386,016 | 643,279 | - | (2,417) | 305,413 | 8,129,554 |
VIP Government Money Market Portfolio Initial Class 4.87% | 683,991 | 1,233,440 | 755,886 | 19,888 | - | - | 1,161,545 |
VIP Growth & Income Portfolio Initial Class | 9,166,352 | 1,826,711 | 900,002 | 34,821 | 12,548 | 1,010,296 | 11,115,905 |
VIP Growth Portfolio Initial Class | 12,414,508 | 2,871,006 | 1,988,052 | 88,852 | (5,716) | 2,964,555 | 16,256,301 |
VIP High Income Portfolio Initial Class | 259,298 | 59,423 | 16,615 | 184 | (244) | 11,218 | 313,080 |
VIP Investment Grade Bond II Portfolio - Initial Class | 765,323 | 1,678,529 | 188,652 | 259 | (268) | 19,562 | 2,274,494 |
VIP Mid Cap Portfolio Initial Class | 2,210,656 | 412,602 | 241,366 | 5,343 | (1,950) | 190,639 | 2,570,581 |
VIP Overseas Portfolio Initial Class | 25,693,626 | 5,283,814 | 2,960,798 | - | 60,489 | 3,850,531 | 31,927,662 |
VIP Value Portfolio Initial Class | 5,107,647 | 819,988 | 541,231 | - | 5,378 | 399,485 | 5,791,267 |
VIP Value Strategies Portfolio Initial Class | 2,531,710 | 448,992 | 308,217 | 6,271 | 2,078 | 203,709 | 2,878,272 |
95,423,148 | 22,757,463 | 12,892,793 | 348,144 | (175,086) | 11,868,555 | 116,981,287 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 56,708,259 | 56,708,259 | - | - |
International Equity Funds | 46,926,047 | 46,926,047 | - | - |
Bond Funds | 12,185,436 | 12,185,436 | - | - |
Short-Term Funds | 1,161,545 | 1,161,545 | - | - |
Total Investments in Securities: | 116,981,287 | 116,981,287 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $106,723,259) | $ | 116,981,287 | ||
Total Investment in Securities (cost $106,723,259) | $ | 116,981,287 | ||
Cash | 617 | |||
Receivable for investments sold | 779,008 | |||
Receivable for fund shares sold | 381,763 | |||
Total assets | 118,142,675 | |||
Liabilities | ||||
Payable for investments purchased | $ | 1,078,409 | ||
Payable for fund shares redeemed | 82,347 | |||
Distribution and service plan fees payable | 14,845 | |||
Total Liabilities | 1,175,601 | |||
Net Assets | $ | 116,967,074 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 109,699,485 | ||
Total accumulated earnings (loss) | 7,267,589 | |||
Net Assets | $ | 116,967,074 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($21,205,517 ÷ 979,681 shares) | $ | 21.65 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($37,782,274 ÷ 1,752,030 shares) | $ | 21.56 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($57,979,283 ÷ 2,703,476 shares) | $ | 21.45 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 133,974 | ||
Expenses | ||||
Distribution and service plan fees | $ | 82,476 | ||
Independent trustees' fees and expenses | 175 | |||
Total expenses before reductions | 82,651 | |||
Expense reductions | (12) | |||
Total expenses after reductions | 82,639 | |||
Net Investment income (loss) | 51,335 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (175,086) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 214,170 | |||
Total net realized gain (loss) | 39,084 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 11,868,555 | |||
Total change in net unrealized appreciation (depreciation) | 11,868,555 | |||
Net gain (loss) | 11,907,639 | |||
Net increase (decrease) in net assets resulting from operations | $ | 11,958,974 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 51,335 | $ | 1,224,057 |
Net realized gain (loss) | 39,084 | (483,296) | ||
Change in net unrealized appreciation (depreciation) | 11,868,555 | (19,435,171) | ||
Net increase (decrease) in net assets resulting from operations | 11,958,974 | (18,694,410) | ||
Distributions to shareholders | (1,767,854) | (8,386,812) | ||
Share transactions - net increase (decrease) | 11,356,293 | 25,492,667 | ||
Total increase (decrease) in net assets | 21,547,413 | (1,588,555) | ||
Net Assets | ||||
Beginning of period | 95,419,661 | 97,008,216 | ||
End of period | $ | 116,967,074 | $ | 95,419,661 |
VIP Freedom 2050 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 19.64 | $ | 26.36 | $ | 23.45 | $ | 20.68 | $ | 16.88 | $ | 19.50 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .03 | .31 | .38 | .22 | .37 | .26 | ||||||
Net realized and unrealized gain (loss) | 2.34 | (4.83) | 3.72 | 3.63 | 4.36 | (2.15) | ||||||
Total from investment operations | 2.37 | (4.52) | 4.10 | 3.85 | 4.73 | (1.89) | ||||||
Distributions from net investment income | (.04) | (.35) | (.24) | (.20) | (.34) | (.21) | ||||||
Distributions from net realized gain | (.32) | (1.85) | (.95) | (.88) | (.59) | (.52) | ||||||
Total distributions | (.36) | (2.20) | (1.19) | (1.08) | (.93) | (.73) | ||||||
Net asset value, end of period | $ | 21.65 | $ | 19.64 | $ | 26.36 | $ | 23.45 | $ | 20.68 | $ | 16.88 |
Total Return C,D,E | 12.15% | (18.22)% | 17.83% | 19.28% | 28.51% | (9.89)% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .25% I | 1.50% | 1.48% | 1.08% | 1.96% | 1.35% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 21,206 | $ | 17,775 | $ | 19,102 | $ | 13,644 | $ | 10,317 | $ | 7,056 |
Portfolio turnover rate J | 24% I | 38% | 30% | 43% | 30% | 111% |
VIP Freedom 2050 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 19.58 | $ | 26.29 | $ | 23.39 | $ | 20.63 | $ | 16.84 | $ | 19.47 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .29 | .35 | .20 | .35 | .24 | ||||||
Net realized and unrealized gain (loss) | 2.32 | (4.82) | 3.72 | 3.62 | 4.35 | (2.15) | ||||||
Total from investment operations | 2.34 | (4.53) | 4.07 | 3.82 | 4.70 | (1.91) | ||||||
Distributions from net investment income | (.04) | (.33) | (.22) | (.18) | (.32) | (.20) | ||||||
Distributions from net realized gain | (.32) | (1.85) | (.95) | (.88) | (.59) | (.52) | ||||||
Total distributions | (.36) | (2.18) | (1.17) | (1.06) | (.91) | (.72) | ||||||
Net asset value, end of period | $ | 21.56 | $ | 19.58 | $ | 26.29 | $ | 23.39 | $ | 20.63 | $ | 16.84 |
Total Return C,D,E | 12.03% | (18.31)% | 17.73% | 19.17% | 28.39% | (10.03)% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .10% H | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of fee waivers, if any | .10% H | .10% | .10% | .10% | .10% | .10% | ||||||
Expenses net of all reductions | .10% H | .10% | .10% | .10% | .10% | .10% | ||||||
Net investment income (loss) | .15% H | 1.40% | 1.38% | .98% | 1.86% | 1.25% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 37,782 | $ | 31,042 | $ | 30,244 | $ | 21,593 | $ | 14,242 | $ | 10,203 |
Portfolio turnover rate I | 24% H | 38% | 30% | 43% | 30% | 111% |
VIP Freedom 2050 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 19.48 | $ | 26.18 | $ | 23.31 | $ | 20.57 | $ | 16.80 | $ | 19.42 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | - C | .26 | .31 | .17 | .32 | .21 | ||||||
Net realized and unrealized gain (loss) | 2.33 | (4.81) | 3.69 | 3.60 | 4.34 | (2.13) | ||||||
Total from investment operations | 2.33 | (4.55) | 4.00 | 3.77 | 4.66 | (1.92) | ||||||
Distributions from net investment income | (.04) | (.30) | (.18) | (.15) | (.30) | (.18) | ||||||
Distributions from net realized gain | (.32) | (1.85) | (.95) | (.88) | (.59) | (.52) | ||||||
Total distributions | (.36) | (2.15) | (1.13) | (1.03) | (.89) | (.70) | ||||||
Net asset value, end of period | $ | 21.45 | $ | 19.48 | $ | 26.18 | $ | 23.31 | $ | 20.57 | $ | 16.80 |
Total Return D,E,F | 12.04% | (18.47)% | 17.51% | 18.99% | 28.22% | (10.13)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Expenses net of all reductions | .25% I | .25% | .25% | .25% | .25% | .25% | ||||||
Net investment income (loss) | -% I,J | 1.25% | 1.23% | .83% | 1.71% | 1.10% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 57,979 | $ | 46,602 | $ | 47,661 | $ | 33,256 | $ | 20,551 | $ | 10,262 |
Portfolio turnover rate K | 24% I | 38% | 30% | 43% | 30% | 111% |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Initial Class | 27.3 | |
VIP Growth Portfolio Initial Class | 13.9 | |
VIP Emerging Markets Portfolio Initial Class | 12.8 | |
VIP Growth & Income Portfolio Initial Class | 9.5 | |
VIP Contrafund Portfolio Initial Class | 8.5 | |
VIP Equity-Income Portfolio Initial Class | 6.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.5 | |
VIP Value Portfolio Initial Class | 5.0 | |
VIP Value Strategies Portfolio Initial Class | 2.5 | |
VIP Mid Cap Portfolio Initial Class | 2.2 | |
94.1 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 48.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 18,442 | 837,438 | |
VIP Equity-Income Portfolio Initial Class (a) | 27,904 | 683,092 | |
VIP Growth & Income Portfolio Initial Class (a) | 35,167 | 934,025 | |
VIP Growth Portfolio Initial Class (a) | 15,604 | 1,365,967 | |
VIP Mid Cap Portfolio Initial Class (a) | 6,119 | 215,996 | |
VIP Value Portfolio Initial Class (a) | 27,079 | 486,615 | |
VIP Value Strategies Portfolio Initial Class (a) | 15,664 | 241,849 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $4,346,278) | 4,764,982 | ||
International Equity Funds - 40.1% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 120,943 | 1,260,229 | |
VIP Overseas Portfolio Initial Class (a) | 107,656 | 2,682,791 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $3,918,779) | 3,943,020 | ||
Bond Funds - 10.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 22,715 | 208,978 | |
Fidelity International Bond Index Fund (a) | 5,935 | 53,530 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 52,205 | 543,972 | |
VIP High Income Portfolio Initial Class (a) | 5,731 | 26,306 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 20,054 | 191,114 | |
TOTAL BOND FUNDS (Cost $1,098,695) | 1,023,900 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $97,604) | 97,604 | 97,604 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $9,461,356) | 9,829,506 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (1,337) |
NET ASSETS - 100.0% | 9,828,169 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 144,228 | 85,758 | 23,472 | - | (754) | 3,218 | 208,978 |
Fidelity International Bond Index Fund | 37,107 | 19,845 | 4,372 | 386 | (31) | 981 | 53,530 |
Fidelity Long-Term Treasury Bond Index Fund | 400,988 | 218,701 | 85,747 | 6,641 | (7,951) | 17,981 | 543,972 |
VIP Contrafund Portfolio Initial Class | 555,988 | 244,125 | 93,666 | 5,888 | 4,279 | 126,712 | 837,438 |
VIP Emerging Markets Portfolio Initial Class | 936,922 | 457,250 | 198,858 | 1,697 | (257) | 65,172 | 1,260,229 |
VIP Equity-Income Portfolio Initial Class | 498,232 | 230,733 | 71,255 | - | 54 | 25,328 | 683,092 |
VIP Government Money Market Portfolio Initial Class 4.87% | 48,104 | 110,219 | 60,719 | 1,577 | - | - | 97,604 |
VIP Growth & Income Portfolio Initial Class | 644,681 | 307,552 | 99,598 | 2,523 | 2,127 | 79,263 | 934,025 |
VIP Growth Portfolio Initial Class | 873,086 | 444,312 | 189,983 | 6,505 | 8,277 | 230,275 | 1,365,967 |
VIP High Income Portfolio Initial Class | 18,237 | 9,192 | 1,969 | 13 | (4) | 850 | 26,306 |
VIP Investment Grade Bond II Portfolio - Initial Class | 53,827 | 158,180 | 22,124 | 19 | (132) | 1,363 | 191,114 |
VIP Mid Cap Portfolio Initial Class | 155,484 | 71,071 | 25,909 | 387 | 400 | 14,950 | 215,996 |
VIP Overseas Portfolio Initial Class | 1,807,101 | 874,180 | 295,546 | - | 13,823 | 283,233 | 2,682,791 |
VIP Value Portfolio Initial Class | 359,239 | 151,706 | 57,020 | - | 951 | 31,739 | 486,615 |
VIP Value Strategies Portfolio Initial Class | 178,065 | 78,415 | 31,366 | 455 | 602 | 16,133 | 241,849 |
6,711,289 | 3,461,239 | 1,261,604 | 26,091 | 21,384 | 897,198 | 9,829,506 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 4,764,982 | 4,764,982 | - | - |
International Equity Funds | 3,943,020 | 3,943,020 | - | - |
Bond Funds | 1,023,900 | 1,023,900 | - | - |
Short-Term Funds | 97,604 | 97,604 | - | - |
Total Investments in Securities: | 9,829,506 | 9,829,506 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $9,461,356) | $ | 9,829,506 | ||
Total Investment in Securities (cost $9,461,356) | $ | 9,829,506 | ||
Cash | 16 | |||
Receivable for investments sold | 63,693 | |||
Receivable for fund shares sold | 10,645 | |||
Total assets | 9,903,860 | |||
Liabilities | ||||
Payable for investments purchased | $ | 72,833 | ||
Payable for fund shares redeemed | 1,501 | |||
Distribution and service plan fees payable | 1,357 | |||
Total Liabilities | 75,691 | |||
Net Assets | $ | 9,828,169 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 9,743,721 | ||
Total accumulated earnings (loss) | 84,448 | |||
Net Assets | $ | 9,828,169 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($937,962 ÷ 77,345 shares) | $ | 12.13 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($3,803,670 ÷ 314,049 shares) | $ | 12.11 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($5,086,537 ÷ 421,173 shares) | $ | 12.08 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 10,444 | ||
Expenses | ||||
Distribution and service plan fees | $ | 7,013 | ||
Independent trustees' fees and expenses | 13 | |||
Total Expenses | 7,026 | |||
Net Investment income (loss) | 3,418 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 21,384 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 15,647 | |||
Total net realized gain (loss) | 37,031 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 897,198 | |||
Total change in net unrealized appreciation (depreciation) | 897,198 | |||
Net gain (loss) | 934,229 | |||
Net increase (decrease) in net assets resulting from operations | $ | 937,647 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 3,418 | $ | 84,197 |
Net realized gain (loss) | 37,031 | (198,321) | ||
Change in net unrealized appreciation (depreciation) | 897,198 | (1,067,767) | ||
Net increase (decrease) in net assets resulting from operations | 937,647 | (1,181,891) | ||
Distributions to shareholders | (88,250) | (373,119) | ||
Share transactions - net increase (decrease) | 2,267,874 | 2,553,281 | ||
Total increase (decrease) in net assets | 3,117,271 | 998,271 | ||
Net Assets | ||||
Beginning of period | 6,710,898 | 5,712,627 | ||
End of period | $ | 9,828,169 | $ | 6,710,898 |
VIP Freedom 2055 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 10.94 | $ | 14.28 | $ | 12.67 | $ | 10.98 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .01 | .18 | .23 | .12 | .16 | |||||
Net realized and unrealized gain (loss) | 1.32 | (2.69) | 2.02 | 1.99 | 1.02 | |||||
Total from investment operations | 1.33 | (2.51) | 2.25 | 2.11 | 1.18 | |||||
Distributions from net investment income | - D | (.16) | (.17) | (.10) | (.15) | |||||
Distributions from net realized gain | (.13) | (.67) | (.46) | (.32) | (.06) | |||||
Total distributions | (.14) E | (.83) | (.64) E | (.42) | (.20) E | |||||
Net asset value, end of period | $ | 12.13 | $ | 10.94 | $ | 14.28 | $ | 12.67 | $ | 10.98 |
Total Return F,G | 12.18% | (18.26)% | 17.79% | 19.28% | 11.85% | |||||
Ratios to Average Net Assets C,H,I | ||||||||||
Expenses before reductions J | -% K | -% | -% | -% | -% K | |||||
Expenses net of fee waivers, if any J | -% K | -% | -% | -% | -% K | |||||
Expenses net of all reductions J | -% K | -% | -% | -% | -% K | |||||
Net investment income (loss) | .25% K | 1.57% | 1.64% | 1.09% | 2.12% K | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 938 | $ | 746 | $ | 501 | $ | 423 | $ | 366 |
Portfolio turnover rate L | 30% K | 58% | 35% | 64% | 24% K |
VIP Freedom 2055 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 10.93 | $ | 14.27 | $ | 12.66 | $ | 10.98 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .01 | .17 | .22 | .11 | .15 | |||||
Net realized and unrealized gain (loss) | 1.31 | (2.69) | 2.02 | 1.99 | 1.03 | |||||
Total from investment operations | 1.32 | (2.52) | 2.24 | 2.10 | 1.18 | |||||
Distributions from net investment income | - D | (.14) | (.16) | (.09) | (.14) | |||||
Distributions from net realized gain | (.13) | (.67) | (.46) | (.32) | (.06) | |||||
Total distributions | (.14) E | (.82) E | (.63) E | (.42) E | (.20) | |||||
Net asset value, end of period | $ | 12.11 | $ | 10.93 | $ | 14.27 | $ | 12.66 | $ | 10.98 |
Total Return F,G | 12.10% | (18.36)% | 17.72% | 19.11% | 11.78% | |||||
Ratios to Average Net Assets C,H,I | ||||||||||
Expenses before reductions | .10% J | .10% | .10% | .10% | .10% J | |||||
Expenses net of fee waivers, if any | .10% J | .10% | .10% | .10% | .10% J | |||||
Expenses net of all reductions | .10% J | .10% | .10% | .10% | .10% J | |||||
Net investment income (loss) | .15% J | 1.47% | 1.54% | .99% | 2.02% J | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 3,804 | $ | 2,306 | $ | 2,549 | $ | 814 | $ | 399 |
Portfolio turnover rate K | 30% J | 58% | 35% | 64% | 24% J |
VIP Freedom 2055 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 10.91 | $ | 14.25 | $ | 12.65 | $ | 10.97 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | - D | .15 | .20 | .09 | .14 | |||||
Net realized and unrealized gain (loss) | 1.31 | (2.68) | 2.01 | 1.99 | 1.02 | |||||
Total from investment operations | 1.31 | (2.53) | 2.21 | 2.08 | 1.16 | |||||
Distributions from net investment income | - D | (.13) | (.15) | (.08) | (.13) | |||||
Distributions from net realized gain | (.13) | (.67) | (.46) | (.32) | (.06) | |||||
Total distributions | (.14) E | (.81) E | (.61) | (.40) | (.19) | |||||
Net asset value, end of period | $ | 12.08 | $ | 10.91 | $ | 14.25 | $ | 12.65 | $ | 10.97 |
Total Return F,G | 12.03% | (18.46)% | 17.52% | 19.01% | 11.60% | |||||
Ratios to Average Net Assets C,H,I | ||||||||||
Expenses before reductions | .25% J | .25% | .25% | .25% | .25% J | |||||
Expenses net of fee waivers, if any | .25% J | .25% | .25% | .25% | .25% J | |||||
Expenses net of all reductions | .25% J | .25% | .25% | .25% | .25% J | |||||
Net investment income (loss) | -% J,K | 1.32% | 1.39% | .84% | 1.87% J | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 5,087 | $ | 3,659 | $ | 2,663 | $ | 1,180 | $ | 590 |
Portfolio turnover rate L | 30% J | 58% | 35% | 64% | 24% J |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Initial Class | 27.3 | |
VIP Growth Portfolio Initial Class | 13.9 | |
VIP Emerging Markets Portfolio Initial Class | 12.8 | |
VIP Growth & Income Portfolio Initial Class | 9.5 | |
VIP Contrafund Portfolio Initial Class | 8.5 | |
VIP Equity-Income Portfolio Initial Class | 6.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.5 | |
VIP Value Portfolio Initial Class | 5.0 | |
VIP Value Strategies Portfolio Initial Class | 2.5 | |
VIP Mid Cap Portfolio Initial Class | 2.2 | |
94.1 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 48.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 28,679 | 1,302,307 | |
VIP Equity-Income Portfolio Initial Class (a) | 43,394 | 1,062,283 | |
VIP Growth & Income Portfolio Initial Class (a) | 54,688 | 1,452,510 | |
VIP Growth Portfolio Initial Class (a) | 24,266 | 2,124,206 | |
VIP Mid Cap Portfolio Initial Class (a) | 9,515 | 335,896 | |
VIP Value Portfolio Initial Class (a) | 42,111 | 756,738 | |
VIP Value Strategies Portfolio Initial Class (a) | 24,359 | 376,100 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $6,648,239) | 7,410,040 | ||
International Equity Funds - 40.1% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 188,080 | 1,959,797 | |
VIP Overseas Portfolio Initial Class (a) | 167,416 | 4,172,009 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $6,016,594) | 6,131,806 | ||
Bond Funds - 10.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 35,324 | 324,983 | |
Fidelity International Bond Index Fund (a) | 9,229 | 83,245 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 81,181 | 845,903 | |
VIP High Income Portfolio Initial Class (a) | 8,913 | 40,910 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 31,186 | 297,205 | |
TOTAL BOND FUNDS (Cost $1,728,750) | 1,592,246 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $151,773) | 151,773 | 151,773 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $14,545,356) | 15,285,865 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (1,713) |
NET ASSETS - 100.0% | 15,284,152 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 255,475 | 99,881 | 35,250 | - | (2,294) | 7,171 | 324,983 |
Fidelity International Bond Index Fund | 65,728 | 21,712 | 5,834 | 655 | (76) | 1,715 | 83,245 |
Fidelity Long-Term Treasury Bond Index Fund | 710,208 | 246,755 | 130,841 | 10,984 | (16,104) | 35,885 | 845,903 |
VIP Contrafund Portfolio Initial Class | 984,825 | 256,775 | 151,043 | 10,356 | (2,098) | 213,848 | 1,302,307 |
VIP Emerging Markets Portfolio Initial Class | 1,659,547 | 505,006 | 306,613 | 2,952 | (7,377) | 109,234 | 1,959,797 |
VIP Equity-Income Portfolio Initial Class | 882,486 | 242,404 | 100,964 | - | (2,151) | 40,508 | 1,062,283 |
VIP Government Money Market Portfolio Initial Class 4.87% | 85,199 | 169,403 | 102,829 | 2,594 | - | - | 151,773 |
VIP Growth & Income Portfolio Initial Class | 1,141,939 | 320,335 | 139,697 | 4,390 | (248) | 130,181 | 1,452,510 |
VIP Growth Portfolio Initial Class | 1,546,615 | 483,746 | 288,901 | 11,441 | (4,341) | 387,087 | 2,124,206 |
VIP High Income Portfolio Initial Class | 32,303 | 10,052 | 2,834 | 23 | (50) | 1,439 | 40,910 |
VIP Investment Grade Bond II Portfolio - Initial Class | 95,346 | 231,046 | 31,631 | 33 | (35) | 2,479 | 297,205 |
VIP Mid Cap Portfolio Initial Class | 275,397 | 73,217 | 36,287 | 674 | (901) | 24,470 | 335,896 |
VIP Overseas Portfolio Initial Class | 3,200,932 | 936,097 | 467,386 | - | 21,839 | 480,527 | 4,172,009 |
VIP Value Portfolio Initial Class | 636,299 | 150,505 | 80,450 | - | (416) | 50,800 | 756,738 |
VIP Value Strategies Portfolio Initial Class | 315,394 | 79,735 | 44,473 | 789 | (243) | 25,687 | 376,100 |
11,887,693 | 3,826,669 | 1,925,033 | 44,891 | (14,495) | 1,511,031 | 15,285,865 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 7,410,040 | 7,410,040 | - | - |
International Equity Funds | 6,131,806 | 6,131,806 | - | - |
Bond Funds | 1,592,246 | 1,592,246 | - | - |
Short-Term Funds | 151,773 | 151,773 | - | - |
Total Investments in Securities: | 15,285,865 | 15,285,865 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $14,545,356) | $ | 15,285,865 | ||
Total Investment in Securities (cost $14,545,356) | $ | 15,285,865 | ||
Receivable for investments sold | 96,351 | |||
Receivable for fund shares sold | 24,485 | |||
Total assets | 15,406,701 | |||
Liabilities | ||||
Payable for investments purchased | $ | 115,971 | ||
Payable for fund shares redeemed | 4,863 | |||
Distribution and service plan fees payable | 1,715 | |||
Total Liabilities | 122,549 | |||
Net Assets | $ | 15,284,152 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 14,915,472 | ||
Total accumulated earnings (loss) | 368,680 | |||
Net Assets | $ | 15,284,152 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($609,724 ÷ 50,861 shares) | $ | 11.99 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($10,270,450 ÷ 857,986 shares) | $ | 11.97 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($4,403,978 ÷ 368,923 shares) | $ | 11.94 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 17,433 | ||
Expenses | ||||
Distribution and service plan fees | $ | 9,429 | ||
Independent trustees' fees and expenses | 22 | |||
Total expenses before reductions | 9,451 | |||
Expense reductions | (1) | |||
Total expenses after reductions | 9,450 | |||
Net Investment income (loss) | 7,983 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (14,495) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 27,458 | |||
Total net realized gain (loss) | 12,963 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 1,511,031 | |||
Total change in net unrealized appreciation (depreciation) | 1,511,031 | |||
Net gain (loss) | 1,523,994 | |||
Net increase (decrease) in net assets resulting from operations | $ | 1,531,977 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 7,983 | $ | 147,047 |
Net realized gain (loss) | 12,963 | (76,977) | ||
Change in net unrealized appreciation (depreciation) | 1,511,031 | (1,853,231) | ||
Net increase (decrease) in net assets resulting from operations | 1,531,977 | (1,783,161) | ||
Distributions to shareholders | (155,841) | (649,220) | ||
Share transactions - net increase (decrease) | 2,011,639 | 5,427,786 | ||
Total increase (decrease) in net assets | 3,387,775 | 2,995,405 | ||
Net Assets | ||||
Beginning of period | 11,896,377 | 8,900,972 | ||
End of period | $ | 15,284,152 | $ | 11,896,377 |
VIP Freedom 2060 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 10.82 | $ | 14.18 | $ | 12.65 | $ | 10.99 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .01 | .19 | .21 | .13 | .16 | |||||
Net realized and unrealized gain (loss) | 1.30 | (2.67) | 2.04 | 1.99 | 1.02 | |||||
Total from investment operations | 1.31 | (2.48) | 2.25 | 2.12 | 1.18 | |||||
Distributions from net investment income | - D | (.16) | (.18) | (.11) | (.15) | |||||
Distributions from net realized gain | (.13) | (.72) | (.54) | (.35) | (.05) | |||||
Total distributions | (.14) E | (.88) | (.72) | (.46) | (.19) E | |||||
Net asset value, end of period | $ | 11.99 | $ | 10.82 | $ | 14.18 | $ | 12.65 | $ | 10.99 |
Total Return F,G,H | 12.12% | (18.19)% | 17.79% | 19.30% | 11.86% | |||||
Ratios to Average Net Assets C,I,J | ||||||||||
Expenses before reductions K | -% L | -% | -% | -% | -% L | |||||
Expenses net of fee waivers, if any K | -% L | -% | -% | -% | -% L | |||||
Expenses net of all reductions K | -% L | -% | -% | -% | -% L | |||||
Net investment income (loss) | .25% L | 1.69% | 1.51% | 1.18% | 2.18% L | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 610 | $ | 471 | $ | 523 | $ | 422 | $ | 366 |
Portfolio turnover rate M | 28% L | 45% | 60% | 68% | 23% L |
VIP Freedom 2060 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 10.81 | $ | 14.17 | $ | 12.65 | $ | 10.99 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .01 | .18 | .20 | .12 | .15 | |||||
Net realized and unrealized gain (loss) | 1.29 | (2.67) | 2.03 | 1.99 | 1.03 | |||||
Total from investment operations | 1.30 | (2.49) | 2.23 | 2.11 | 1.18 | |||||
Distributions from net investment income | - D | (.15) | (.17) | (.10) | (.14) | |||||
Distributions from net realized gain | (.13) | (.72) | (.54) | (.35) | (.05) | |||||
Total distributions | (.14) E | (.87) | (.71) | (.45) | (.19) | |||||
Net asset value, end of period | $ | 11.97 | $ | 10.81 | $ | 14.17 | $ | 12.65 | $ | 10.99 |
Total Return F,G,H | 12.04% | (18.27)% | 17.62% | 19.22% | 11.80% | |||||
Ratios to Average Net Assets C,I,J | ||||||||||
Expenses before reductions | .10% K | .10% | .10% | .10% | .10% K | |||||
Expenses net of fee waivers, if any | .10% K | .10% | .10% | .10% | .10% K | |||||
Expenses net of all reductions | .10% K | .10% | .10% | .10% | .10% K | |||||
Net investment income (loss) | .15% K | 1.59% | 1.41% | 1.08% | 2.08% K | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 10,270 | $ | 8,331 | $ | 6,124 | $ | 3,530 | $ | 445 |
Portfolio turnover rate L | 28% K | 45% | 60% | 68% | 23% K |
VIP Freedom 2060 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 10.79 | $ | 14.15 | $ | 12.63 | $ | 10.98 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | - D | .16 | .18 | .10 | .14 | |||||
Net realized and unrealized gain (loss) | 1.29 | (2.66) | 2.03 | 1.99 | 1.02 | |||||
Total from investment operations | 1.29 | (2.50) | 2.21 | 2.09 | 1.16 | |||||
Distributions from net investment income | - D | (.14) | (.15) | (.09) | (.13) | |||||
Distributions from net realized gain | (.13) | (.72) | (.54) | (.35) | (.05) | |||||
Total distributions | (.14) E | (.86) | (.69) | (.44) | (.18) | |||||
Net asset value, end of period | $ | 11.94 | $ | 10.79 | $ | 14.15 | $ | 12.63 | $ | 10.98 |
Total Return F,G,H | 11.97% | (18.38)% | 17.52% | 19.04% | 11.61% | |||||
Ratios to Average Net Assets B,I,J | ||||||||||
Expenses before reductions | .25% K | .25% | .25% | .25% | .25% K | |||||
Expenses net of fee waivers, if any | .25% K | .25% | .25% | .25% | .25% K | |||||
Expenses net of all reductions | .25% K | .25% | .25% | .25% | .25% K | |||||
Net investment income (loss) | -% K,L | 1.44% | 1.26% | .93% | 1.93% K | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 4,404 | $ | 3,094 | $ | 2,254 | $ | 1,161 | $ | 475 |
Portfolio turnover rate M | 28% K | 45% | 60% | 68% | 23% K |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Initial Class | 27.3 | |
VIP Growth Portfolio Initial Class | 13.9 | |
VIP Emerging Markets Portfolio Initial Class | 12.8 | |
VIP Growth & Income Portfolio Initial Class | 9.5 | |
VIP Contrafund Portfolio Initial Class | 8.5 | |
VIP Equity-Income Portfolio Initial Class | 6.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.5 | |
VIP Value Portfolio Initial Class | 5.0 | |
VIP Value Strategies Portfolio Initial Class | 2.5 | |
VIP Mid Cap Portfolio Initial Class | 2.2 | |
94.1 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 48.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Initial Class (a) | 4,685 | 212,731 | |
VIP Equity-Income Portfolio Initial Class (a) | 7,088 | 173,522 | |
VIP Growth & Income Portfolio Initial Class (a) | 8,933 | 237,266 | |
VIP Growth Portfolio Initial Class (a) | 3,964 | 346,990 | |
VIP Mid Cap Portfolio Initial Class (a) | 1,554 | 54,868 | |
VIP Value Portfolio Initial Class (a) | 6,879 | 123,612 | |
VIP Value Strategies Portfolio Initial Class (a) | 3,979 | 61,435 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $1,029,512) | 1,210,424 | ||
International Equity Funds - 40.1% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Initial Class (a) | 30,722 | 320,124 | |
VIP Overseas Portfolio Initial Class (a) | 27,347 | 681,500 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $955,977) | 1,001,624 | ||
Bond Funds - 10.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 5,770 | 53,085 | |
Fidelity International Bond Index Fund (a) | 1,508 | 13,598 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 13,261 | 138,181 | |
VIP High Income Portfolio Initial Class (a) | 1,456 | 6,682 | |
VIP Investment Grade Bond II Portfolio - Initial Class (a) | 5,094 | 48,547 | |
TOTAL BOND FUNDS (Cost $284,089) | 260,093 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Initial Class 4.87% (a)(b) (Cost $24,793) | 24,793 | 24,793 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $2,294,371) | 2,496,934 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (208) |
NET ASSETS - 100.0% | 2,496,726 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 48,411 | 28,012 | 24,289 | - | (1,611) | 2,562 | 53,085 |
Fidelity International Bond Index Fund | 12,455 | 6,701 | 5,866 | 110 | (116) | 424 | 13,598 |
Fidelity Long-Term Treasury Bond Index Fund | 134,595 | 71,902 | 72,336 | 2,082 | (8,198) | 12,218 | 138,181 |
VIP Contrafund Portfolio Initial Class | 186,618 | 84,481 | 95,429 | 1,929 | (6,812) | 43,873 | 212,731 |
VIP Emerging Markets Portfolio Initial Class | 314,462 | 150,587 | 162,819 | 565 | (21,458) | 39,352 | 320,124 |
VIP Equity-Income Portfolio Initial Class | 167,226 | 76,749 | 77,064 | - | (5,541) | 12,152 | 173,522 |
VIP Government Money Market Portfolio Initial Class 4.87% | 16,147 | 33,381 | 24,735 | 449 | - | - | 24,793 |
VIP Growth & Income Portfolio Initial Class | 216,390 | 102,077 | 104,250 | 841 | (3,282) | 26,331 | 237,266 |
VIP Growth Portfolio Initial Class | 293,073 | 148,953 | 162,042 | 1,963 | (10,170) | 77,176 | 346,990 |
VIP High Income Portfolio Initial Class | 6,121 | 3,152 | 2,842 | 4 | (133) | 384 | 6,682 |
VIP Investment Grade Bond II Portfolio - Initial Class | 18,067 | 50,780 | 20,824 | 6 | 59 | 465 | 48,547 |
VIP Mid Cap Portfolio Initial Class | 52,186 | 23,972 | 25,529 | 129 | (2,716) | 6,955 | 54,868 |
VIP Overseas Portfolio Initial Class | 606,530 | 294,516 | 311,239 | - | (24,594) | 116,287 | 681,500 |
VIP Value Portfolio Initial Class | 120,575 | 52,007 | 57,947 | - | (2,613) | 11,590 | 123,612 |
VIP Value Strategies Portfolio Initial Class | 59,765 | 26,692 | 29,528 | 150 | (2,043) | 6,549 | 61,435 |
2,252,621 | 1,153,962 | 1,176,739 | 8,228 | (89,228) | 356,318 | 2,496,934 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 1,210,424 | 1,210,424 | - | - |
International Equity Funds | 1,001,624 | 1,001,624 | - | - |
Bond Funds | 260,093 | 260,093 | - | - |
Short-Term Funds | 24,793 | 24,793 | - | - |
Total Investments in Securities: | 2,496,934 | 2,496,934 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $2,294,371) | $ | 2,496,934 | ||
Total Investment in Securities (cost $2,294,371) | $ | 2,496,934 | ||
Cash | 11 | |||
Receivable for investments sold | 17,955 | |||
Receivable for fund shares sold | 349 | |||
Total assets | 2,515,249 | |||
Liabilities | ||||
Payable for investments purchased | $ | 17,411 | ||
Payable for fund shares redeemed | 888 | |||
Distribution and service plan fees payable | 224 | |||
Total Liabilities | 18,523 | |||
Net Assets | $ | 2,496,726 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 2,476,814 | ||
Total accumulated earnings (loss) | 19,912 | |||
Net Assets | $ | 2,496,726 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($739,411 ÷ 62,662 shares) | $ | 11.80 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($1,102,996 ÷ 93,601 shares) | $ | 11.78 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($654,319 ÷ 55,591 shares) | $ | 11.77 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 3,083 | ||
Expenses | ||||
Distribution and service plan fees | $ | 1,333 | ||
Independent trustees' fees and expenses | 4 | |||
Total Expenses | 1,337 | |||
Net Investment income (loss) | 1,746 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (89,228) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 5,145 | |||
Total net realized gain (loss) | (84,083) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 356,318 | |||
Total change in net unrealized appreciation (depreciation) | 356,318 | |||
Net gain (loss) | 272,235 | |||
Net increase (decrease) in net assets resulting from operations | $ | 273,981 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 1,746 | $ | 30,075 |
Net realized gain (loss) | (84,083) | (57,140) | ||
Change in net unrealized appreciation (depreciation) | 356,318 | (418,713) | ||
Net increase (decrease) in net assets resulting from operations | 273,981 | (445,778) | ||
Distributions to shareholders | (28,584) | (144,339) | ||
Share transactions - net increase (decrease) | (1,284) | 577,377 | ||
Total increase (decrease) in net assets | 244,113 | (12,740) | ||
Net Assets | ||||
Beginning of period | 2,252,613 | 2,265,353 | ||
End of period | $ | 2,496,726 | $ | 2,252,613 |
VIP Freedom 2065 Portfolio℠ Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 10.65 | $ | 13.92 | $ | 12.47 | $ | 10.96 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .01 | .17 | .25 | .12 | .15 | |||||
Net realized and unrealized gain (loss) | 1.27 | (2.61) | 1.96 | 1.99 | 1.03 | |||||
Total from investment operations | 1.28 | (2.44) | 2.21 | 2.11 | 1.18 | |||||
Distributions from net investment income | - D | (.15) | (.18) | (.11) | (.15) | |||||
Distributions from net realized gain | (.13) | (.67) | (.58) | (.49) | (.07) | |||||
Total distributions | (.13) | (.83) E | (.76) | (.60) | (.22) | |||||
Net asset value, end of period | $ | 11.80 | $ | 10.65 | $ | 13.92 | $ | 12.47 | $ | 10.96 |
Total Return F,G | 12.09% | (18.22)% | 17.81% | 19.35% | 11.79% | |||||
Ratios to Average Net Assets C,H,I | ||||||||||
Expenses before reductions J | -% K | -% | -% | -% | -% K | |||||
Expenses net of fee waivers, if any J | -% K | -% | -% | -% | -% K | |||||
Expenses net of all reductions J | -% K | -% | -% | -% | -% K | |||||
Net investment income (loss) | .25% K | 1.50% | 1.82% | 1.07% | 2.01% K | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 739 | $ | 537 | $ | 482 | $ | 416 | $ | 365 |
Portfolio turnover rate L | 95% K | 48% | 24% | 34% | 24% K |
VIP Freedom 2065 Portfolio℠ Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 10.64 | $ | 13.91 | $ | 12.46 | $ | 10.96 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .01 | .16 | .24 | .11 | .14 | |||||
Net realized and unrealized gain (loss) | 1.26 | (2.61) | 1.97 | 1.98 | 1.03 | |||||
Total from investment operations | 1.27 | (2.45) | 2.21 | 2.09 | 1.17 | |||||
Distributions from net investment income | - D | (.14) | (.17) | (.10) | (.14) | |||||
Distributions from net realized gain | (.13) | (.67) | (.58) | (.49) | (.07) | |||||
Total distributions | (.13) | (.82) E | (.76) E | (.59) | (.21) | |||||
Net asset value, end of period | $ | 11.78 | $ | 10.64 | $ | 13.91 | $ | 12.46 | $ | 10.96 |
Total Return F,G | 12.01% | (18.32)% | 17.77% | 19.16% | 11.72% | |||||
Ratios to Average Net Assets C,H,I | ||||||||||
Expenses before reductions | .10% J | .10% | .10% | .10% | .10% J | |||||
Expenses net of fee waivers, if any | .10% J | .10% | .10% | .10% | .10% J | |||||
Expenses net of all reductions | .10% J | .10% | .10% | .10% | .10% J | |||||
Net investment income (loss) | .15% J | 1.40% | 1.72% | .97% | 1.91% J | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 1,103 | $ | 1,181 | $ | 1,224 | $ | 416 | $ | 365 |
Portfolio turnover rate K | 95% J | 48% | 24% | 34% | 24% J |
VIP Freedom 2065 Portfolio℠ Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 10.63 | $ | 13.90 | $ | 12.46 | $ | 10.96 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | - D | .14 | .22 | .09 | .13 | |||||
Net realized and unrealized gain (loss) | 1.27 | (2.61) | 1.95 | 1.99 | 1.03 | |||||
Total from investment operations | 1.27 | (2.47) | 2.17 | 2.08 | 1.16 | |||||
Distributions from net investment income | - D | (.13) | (.15) | (.09) | (.13) | |||||
Distributions from net realized gain | (.13) | (.67) | (.58) | (.49) | (.07) | |||||
Total distributions | (.13) | (.80) | (.73) | (.58) | (.20) | |||||
Net asset value, end of period | $ | 11.77 | $ | 10.63 | $ | 13.90 | $ | 12.46 | $ | 10.96 |
Total Return E,F | 12.02% | (18.44)% | 17.47% | 19.03% | 11.61% | |||||
Ratios to Average Net Assets C,G,H | ||||||||||
Expenses before reductions | .25% I | .25% | .25% | .25% | .25% I | |||||
Expenses net of fee waivers, if any | .25% I | .25% | .25% | .25% | .25% I | |||||
Expenses net of all reductions | .25% I | .25% | .25% | .25% | .25% I | |||||
Net investment income (loss) | -% I,J | 1.25% | 1.57% | .82% | 1.76% I | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 654 | $ | 534 | $ | 559 | $ | 459 | $ | 365 |
Portfolio turnover rate K | 95% I | 48% | 24% | 34% | 24% I |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
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% |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
VIP Freedom Income Portfolio | $62,518,630 | $2,968,185 | $ (2,701,094) | $267,091 |
VIP Freedom 2005 Portfolio | 10,023,414 | 577,603 | (401,873) | 175,730 |
VIP Freedom 2010 Portfolio | 294,977,386 | 11,746,728 | (14,380,214) | (2,633,486) |
VIP Freedom 2015 Portfolio | 51,858,574 | 11,395,867 | (2,321,063) | 9,074,804 |
VIP Freedom 2020 Portfolio | 473,196,744 | 114,493,961 | (21,507,108) | 92,986,853 |
VIP Freedom 2025 Portfolio | 303,833,565 | 47,024,263 | (13,974,467) | 33,049,796 |
VIP Freedom 2030 Portfolio | 565,161,353 | 98,986,846 | (26,263,184) | 72,723,662 |
VIP Freedom 2035 Portfolio | 244,447,991 | 25,664,389 | (10,882,214) | 14,782,175 |
VIP Freedom 2040 Portfolio | 229,379,236 | 31,241,528 | (9,922,871) | 21,318,657 |
VIP Freedom 2045 Portfolio | 118,253,197 | 14,668,404 | (5,291,057) | 9,377,347 |
VIP Freedom 2050 Portfolio | 109,608,005 | 12,852,019 | (5,478,737) | 7,373,282 |
VIP Freedom 2055 Portfolio | 9,743,980 | 632,838 | (547,312) | 85,526 |
VIP Freedom 2060 Portfolio | 14,896,842 | 1,094,010 | (704,987) | 389,023 |
VIP Freedom 2065 Portfolio | 2,444,245 | 224,902 | (172,213) | 52,689 |
Short-term | Long-term | Total capital loss carryforward | |
VIP Freedom Income Portfolio | $ (89,004) | $ (1,559,508) | $ (1,648,512) |
VIP Freedom 2005 Portfolio | (52,428) | (78,431) | (130,859) |
VIP Freedom 2025 Portfolio | (1,377,047) | (3,358,965) | (4,736,012) |
VIP Freedom 2030 Portfolio | (2,969,123) | (1,941,848) | (4,910,971) |
Purchases ($) | Sales ($) | |
VIP Freedom Income Portfolio | 9,250,588 | 12,582,863 |
VIP Freedom 2005 Portfolio | 1,565,285 | 2,137,035 |
VIP Freedom 2010 Portfolio | 30,861,619 | 37,598,173 |
VIP Freedom 2015 Portfolio | 7,393,859 | 13,162,325 |
VIP Freedom 2020 Portfolio | 59,915,045 | 97,709,505 |
VIP Freedom 2025 Portfolio | 54,628,752 | 67,159,790 |
VIP Freedom 2030 Portfolio | 98,015,017 | 97,228,068 |
VIP Freedom 2035 Portfolio | 59,122,848 | 38,120,617 |
VIP Freedom 2040 Portfolio | 58,501,830 | 34,091,735 |
VIP Freedom 2045 Portfolio | 25,450,202 | 15,050,311 |
VIP Freedom 2050 Portfolio | 22,757,463 | 12,892,793 |
VIP Freedom 2055 Portfolio | 3,461,239 | 1,261,604 |
VIP Freedom 2060 Portfolio | 3,826,669 | 1,925,033 |
VIP Freedom 2065 Portfolio | 1,153,962 | 1,176,739 |
Service Class | Service Class 2 | Total | |
VIP Freedom Income Portfolio | $16,334 | $20,518 | $36,852 |
VIP Freedom 2005 Portfolio | 1,406 | 207 | 1,613 |
VIP Freedom 2010 Portfolio | 10,984 | 317,914 | 328,898 |
VIP Freedom 2015 Portfolio | 7,264 | 32,100 | 39,364 |
VIP Freedom 2020 Portfolio | 62,974 | 474,341 | 537,315 |
VIP Freedom 2025 Portfolio | 86,659 | 134,143 | 220,802 |
VIP Freedom 2030 Portfolio | 141,898 | 259,231 | 401,129 |
VIP Freedom 2035 Portfolio | 57,623 | 130,551 | 188,174 |
VIP Freedom 2040 Portfolio | 73,265 | 46,973 | 120,238 |
VIP Freedom 2045 Portfolio | 14,169 | 99,350 | 113,519 |
VIP Freedom 2050 Portfolio | 17,409 | 65,067 | 82,476 |
VIP Freedom 2055 Portfolio | 1,538 | 5,475 | 7,013 |
VIP Freedom 2060 Portfolio | 4,803 | 4,626 | 9,429 |
VIP Freedom 2065 Portfolio | 588 | 745 | 1,333 |
Value of Investments and Cash reallocated ($) | Net realized Gain (Loss) on redemptions of Underlying Fund ($) | |
VIP Freedom Income Portfolio | 24,063,653 | (2,225,116) |
VIP Freedom 2005 Portfolio | 4,228,828 | (340,290) |
VIP Freedom 2010 Portfolio | 105,753,642 | 7,009 |
VIP Freedom 2015 Portfolio | 22,630,876 | (1,609,011) |
VIP Freedom 2020 Portfolio | 172,263,520 | (4,804,929) |
VIP Freedom 2025 Portfolio | 83,934,925 | (10,205,652) |
VIP Freedom 2030 Portfolio | 132,331,625 | (12,266,991) |
VIP Freedom 2035 Portfolio | 24,445,585 | (3,282,347) |
VIP Freedom 2040 Portfolio | 2,452,480 | (203,764) |
VIP Freedom 2045 Portfolio | 396,953 | (14,383) |
VIP Freedom 2050 Portfolio | 351,354 | (12,600) |
VIP Freedom 2055 Portfolio | 22,559 | (931) |
VIP Freedom 2060 Portfolio | 33,969 | (1,241) |
VIP Freedom 2065 Portfolio | 8,415 | (408) |
Custodian credits | |
VIP Freedom 2010 Portfolio | 1 |
VIP Freedom 2015 Portfolio | 3 |
VIP Freedom 2020 Portfolio | 1 |
VIP Freedom 2025 Portfolio | 11 |
VIP Freedom 2030 Portfolio | 39 |
VIP Freedom 2035 Portfolio | 1 |
VIP Freedom 2040 Portfolio | 26 |
VIP Freedom 2045 Portfolio | 17 |
VIP Freedom 2050 Portfolio | 12 |
VIP Freedom 2060 Portfolio | 1 |
Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Freedom Income Portfolio | ||
Distributions to shareholders | ||
Initial Class | $226,175 | $913,359 |
Service Class | 466,206 | 1,600,765 |
Service Class 2 | 238,767 | 1,267,307 |
Total | $931,148 | $3,781,431 |
VIP Freedom 2005 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $111,081 | $720,865 |
Service Class | 40,566 | 260,003 |
Service Class 2 | 2,467 | 15,084 |
Total | $154,114 | $995,952 |
VIP Freedom 2010 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $983,563 | $1,109,009 |
Service Class | 1,783,496 | 1,988,260 |
Service Class 2 | 20,728,175 | 22,774,323 |
Total | $23,495,234 | $25,871,592 |
VIP Freedom 2015 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $703,746 | $3,407,784 |
Service Class | 470,596 | 2,072,204 |
Service Class 2 | 829,525 | 3,803,314 |
Total | $2,003,867 | $9,283,302 |
VIP Freedom 2020 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $1,142,083 | $8,482,915 |
Service Class | 2,349,238 | 17,165,357 |
Service Class 2 | 6,996,892 | 52,240,406 |
Total | $10,488,213 | $77,888,678 |
VIP Freedom 2025 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $443,442 | $4,337,116 |
Service Class | 1,608,602 | 13,608,369 |
Service Class 2 | 1,028,113 | 9,381,545 |
Total | $3,080,157 | $27,327,030 |
VIP Freedom 2030 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $757,507 | $10,585,679 |
Service Class | 1,746,808 | 22,368,379 |
Service Class 2 | 1,294,095 | 17,851,814 |
Total | $3,798,410 | $50,805,872 |
VIP Freedom 2035 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $84,317 | $1,523,027 |
Service Class | 475,925 | 7,297,109 |
Service Class 2 | 456,036 | 8,702,488 |
Total | $1,016,278 | $17,522,624 |
VIP Freedom 2040 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $702,124 | $4,061,933 |
Service Class | 2,221,558 | 10,541,626 |
Service Class 2 | 571,408 | 3,580,310 |
Total | $3,495,090 | $18,183,869 |
VIP Freedom 2045 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $139,563 | $640,649 |
Service Class | 456,226 | 2,109,546 |
Service Class 2 | 1,378,044 | 6,890,062 |
Total | $1,973,833 | $9,640,257 |
VIP Freedom 2050 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $328,596 | $1,698,271 |
Service Class | 576,553 | 2,602,597 |
Service Class 2 | 862,705 | 4,085,944 |
Total | $1,767,854 | $8,386,812 |
VIP Freedom 2055 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $9,376 | $34,927 |
Service Class | 30,755 | 156,751 |
Service Class 2 | 48,119 | 181,441 |
Total | $88,250 | $373,119 |
VIP Freedom 2060 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $6,062 | $33,614 |
Service Class | 109,156 | 450,086 |
Service Class 2 | 40,623 | 165,520 |
Total | $155,841 | $649,220 |
VIP Freedom 2065 Portfolio | ||
Distributions to shareholders | ||
Initial Class | $6,788 | $32,932 |
Service Class | 15,107 | 75,021 |
Service Class 2 | 6,689 | 36,386 |
Total | $28,584 | $144,339 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 | Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Freedom Income Portfolio | ||||
Initial Class | ||||
Shares sold | 64,052 | 276,663 | $702,730 | $3,145,145 |
Reinvestment of distributions | 21,079 | 78,679 | 226,175 | 913,359 |
Shares redeemed | (117,654) | (267,555) | (1,267,719) | (2,984,979) |
Net increase (decrease) | (32,523) | 87,787 | $(338,814) | $1,073,525 |
Service Class | ||||
Shares sold | 534,457 | 2,155,940 | $5,783,267 | $23,880,198 |
Reinvestment of distributions | 43,489 | 138,564 | 466,206 | 1,600,765 |
Shares redeemed | (605,838) | (1,861,372) | (6,541,432) | (21,263,575) |
Net increase (decrease) | (27,892) | 433,132 | $(291,959) | $4,217,388 |
Service Class 2 | ||||
Shares sold | 58,466 | 478,698 | $628,421 | $5,297,957 |
Reinvestment of distributions | 22,356 | 108,739 | 238,767 | 1,267,307 |
Shares redeemed | (274,597) | (1,227,701) | (2,964,936) | (13,429,718) |
Net increase (decrease) | (193,775) | (640,264) | $(2,097,748) | $(6,864,454) |
VIP Freedom 2005 Portfolio | ||||
Initial Class | ||||
Shares sold | 4,753 | 3,813 | $53,135 | $43,779 |
Reinvestment of distributions | 9,962 | 59,089 | 111,081 | 720,865 |
Shares redeemed | (58,718) | (100,297) | (662,409) | (1,195,515) |
Net increase (decrease) | (44,003) | (37,395) | $(498,193) | $(430,871) |
Service Class | ||||
Shares sold | 65,734 | 131,674 | $744,413 | $1,599,731 |
Reinvestment of distributions | 3,609 | 21,120 | 40,566 | 260,003 |
Shares redeemed | (74,355) | (208,037) | (845,917) | (2,540,092) |
Net increase (decrease) | (5,012) | (55,243) | $(60,938) | $(680,358) |
Service Class 2 | ||||
Shares sold | 7,610 | 7,142 | $85,959 | $87,252 |
Reinvestment of distributions | 222 | 1,235 | 2,467 | 15,084 |
Shares redeemed | (283) | (8,817) | (3,175) | (105,490) |
Net increase (decrease) | 7,549 | (440) | $85,251 | $(3,154) |
VIP Freedom 2010 Portfolio | ||||
Initial Class | ||||
Shares sold | 693,857 | 86,399 | $7,551,146 | $1,063,637 |
Reinvestment of distributions | 89,659 | 86,121 | 983,563 | 1,109,009 |
Shares redeemed | (136,531) | (263,061) | (1,543,574) | (3,422,719) |
Net increase (decrease) | 646,985 | (90,541) | $6,991,135 | $(1,250,073) |
Service Class | ||||
Shares sold | 123,719 | 1,351,116 | $1,392,613 | $16,823,842 |
Reinvestment of distributions | 162,876 | 154,351 | 1,783,496 | 1,988,260 |
Shares redeemed | (201,207) | (1,536,794) | (2,251,040) | (18,814,007) |
Net increase (decrease) | 85,388 | (31,327) | $925,069 | $(1,905) |
Service Class 2 | ||||
Shares sold | 150,045 | 427,292 | $1,651,385 | $5,208,536 |
Reinvestment of distributions | 1,906,916 | 1,777,124 | 20,728,175 | 22,774,323 |
Shares redeemed | (1,308,886) | (3,123,905) | (14,561,546) | (37,964,514) |
Net increase (decrease) | 748,075 | (919,489) | $7,818,014 | $(9,981,655) |
VIP Freedom 2015 Portfolio | ||||
Initial Class | ||||
Shares sold | 15,039 | 65,195 | $168,194 | $802,763 |
Reinvestment of distributions | 63,977 | 274,521 | 703,746 | 3,407,784 |
Shares redeemed | (137,902) | (689,586) | (1,531,087) | (8,180,898) |
Net increase (decrease) | (58,886) | (349,870) | $(659,147) | $(3,970,351) |
Service Class | ||||
Shares sold | 231,313 | 809,091 | $2,559,417 | $9,599,095 |
Reinvestment of distributions | 42,898 | 167,719 | 470,596 | 2,072,204 |
Shares redeemed | (516,409) | (938,438) | (5,732,733) | (11,087,994) |
Net increase (decrease) | (242,198) | 38,372 | $(2,702,720) | $583,305 |
Service Class 2 | ||||
Shares sold | 115,135 | 207,966 | $1,280,074 | $2,496,123 |
Reinvestment of distributions | 75,894 | 308,037 | 829,525 | 3,803,314 |
Shares redeemed | (244,072) | (774,826) | (2,701,003) | (9,161,988) |
Net increase (decrease) | (53,043) | (258,823) | $(591,404) | $(2,862,551) |
VIP Freedom 2020 Portfolio | ||||
Initial Class | ||||
Shares sold | 320,145 | 844,889 | $3,823,720 | $10,415,910 |
Reinvestment of distributions | 96,460 | 643,296 | 1,142,083 | 8,482,915 |
Shares redeemed | (803,988) | (1,391,159) | (9,628,862) | (17,683,348) |
Net increase (decrease) | (387,383) | 97,026 | $(4,663,059) | $1,215,477 |
Service Class | ||||
Shares sold | 984,972 | 4,142,794 | $11,692,530 | $51,946,699 |
Reinvestment of distributions | 199,257 | 1,305,652 | 2,349,238 | 17,165,357 |
Shares redeemed | (1,979,631) | (5,099,975) | (23,354,917) | (63,629,821) |
Net increase (decrease) | (795,402) | 348,471 | $(9,313,149) | $5,482,235 |
Service Class 2 | ||||
Shares sold | 583,058 | 901,438 | $6,886,572 | $11,028,931 |
Reinvestment of distributions | 595,987 | 3,981,339 | 6,996,892 | 52,240,406 |
Shares redeemed | (2,389,730) | (5,617,149) | (28,226,258) | (68,755,571) |
Net increase (decrease) | (1,210,685) | (734,372) | $(14,342,794) | $(5,486,234) |
VIP Freedom 2025 Portfolio | ||||
Initial Class | ||||
Shares sold | 893,437 | 424,779 | $12,465,633 | $6,412,476 |
Reinvestment of distributions | 31,119 | 277,031 | 443,442 | 4,337,116 |
Shares redeemed | (468,705) | (706,751) | (6,739,881) | (10,356,306) |
Net increase (decrease) | 455,851 | (4,941) | $6,169,194 | $393,286 |
Service Class | ||||
Shares sold | 1,634,943 | 4,534,301 | $23,256,079 | $67,593,995 |
Reinvestment of distributions | 113,282 | 874,587 | 1,608,602 | 13,608,369 |
Shares redeemed | (2,643,451) | (3,908,985) | (37,657,154) | (59,736,307) |
Net increase (decrease) | (895,226) | 1,499,903 | $(12,792,473) | $21,466,057 |
Service Class 2 | ||||
Shares sold | 582,971 | 1,463,863 | $8,265,350 | $21,281,943 |
Reinvestment of distributions | 72,916 | 603,312 | 1,028,113 | 9,381,545 |
Shares redeemed | (903,466) | (1,830,614) | (12,794,106) | (26,562,789) |
Net increase (decrease) | (247,579) | 236,561 | $(3,500,643) | $4,100,699 |
VIP Freedom 2030 Portfolio | ||||
Initial Class | ||||
Shares sold | 956,032 | 1,617,157 | $13,761,860 | $23,899,876 |
Reinvestment of distributions | 52,825 | 675,464 | 757,507 | 10,585,679 |
Shares redeemed | (838,300) | (1,473,671) | (12,076,496) | (21,351,529) |
Net increase (decrease) | 170,557 | 818,950 | $2,442,871 | $13,134,026 |
Service Class | ||||
Shares sold | 3,155,869 | 6,636,066 | $45,332,332 | $98,340,267 |
Reinvestment of distributions | 122,240 | 1,432,289 | 1,746,808 | 22,368,379 |
Shares redeemed | (2,840,900) | (4,719,175) | (40,529,817) | (69,390,004) |
Net increase (decrease) | 437,209 | 3,349,180 | $6,549,323 | $51,318,642 |
Service Class 2 | ||||
Shares sold | 954,874 | 2,025,325 | $13,633,401 | $29,665,149 |
Reinvestment of distributions | 90,941 | 1,142,872 | 1,294,095 | 17,851,814 |
Shares redeemed | (1,448,973) | (2,247,149) | (20,710,533) | (33,019,020) |
Net increase (decrease) | (403,158) | 921,048 | $(5,783,037) | $14,497,943 |
VIP Freedom 2035 Portfolio | ||||
Initial Class | ||||
Shares sold | 148,317 | 268,660 | $3,566,975 | $6,628,673 |
Reinvestment of distributions | 3,521 | 58,486 | 84,317 | 1,523,027 |
Shares redeemed | (122,872) | (87,363) | (2,970,891) | (2,087,141) |
Net increase (decrease) | 28,966 | 239,783 | $680,401 | $6,064,559 |
Service Class | ||||
Shares sold | 1,513,460 | 2,018,826 | $36,218,442 | $50,299,348 |
Reinvestment of distributions | 19,938 | 281,461 | 475,925 | 7,297,109 |
Shares redeemed | (726,676) | (701,305) | (17,490,600) | (16,756,941) |
Net increase (decrease) | 806,722 | 1,598,982 | $19,203,767 | $40,839,516 |
Service Class 2 | ||||
Shares sold | 372,478 | 917,472 | $8,852,261 | $21,977,498 |
Reinvestment of distributions | 19,234 | 335,318 | 456,036 | 8,702,488 |
Shares redeemed | (326,790) | (669,779) | (7,746,789) | (16,303,672) |
Net increase (decrease) | 64,922 | 583,011 | $1,561,508 | $14,376,314 |
VIP Freedom 2040 Portfolio | ||||
Initial Class | ||||
Shares sold | 229,434 | 394,145 | $5,207,161 | $9,048,673 |
Reinvestment of distributions | 31,026 | 162,837 | 702,124 | 4,061,933 |
Shares redeemed | (133,774) | (195,094) | (3,044,432) | (4,438,074) |
Net increase (decrease) | 126,686 | 361,888 | $2,864,853 | $8,672,532 |
Service Class | ||||
Shares sold | 1,589,946 | 2,126,200 | $35,743,394 | $49,583,289 |
Reinvestment of distributions | 98,430 | 424,227 | 2,221,558 | 10,541,626 |
Shares redeemed | (719,590) | (874,463) | (16,226,451) | (20,384,179) |
Net increase (decrease) | 968,786 | 1,675,964 | $21,738,501 | $39,740,736 |
Service Class 2 | ||||
Shares sold | 295,190 | 423,352 | $6,670,795 | $9,642,417 |
Reinvestment of distributions | 25,453 | 143,973 | 571,408 | 3,580,310 |
Shares redeemed | (205,013) | (350,130) | (4,588,379) | (8,015,989) |
Net increase (decrease) | 115,630 | 217,195 | $2,653,824 | $5,206,738 |
VIP Freedom 2045 Portfolio | ||||
Initial Class | ||||
Shares sold | 71,000 | 105,301 | $1,613,822 | $2,499,842 |
Reinvestment of distributions | 6,119 | 25,532 | 139,563 | 640,649 |
Shares redeemed | (18,482) | (26,558) | (427,301) | (638,200) |
Net increase (decrease) | 58,637 | 104,275 | $1,326,084 | $2,502,291 |
Service Class | ||||
Shares sold | 451,754 | 600,854 | $10,346,736 | $14,118,304 |
Reinvestment of distributions | 20,072 | 84,265 | 456,226 | 2,109,546 |
Shares redeemed | (198,770) | (356,093) | (4,617,884) | (8,255,528) |
Net increase (decrease) | 273,056 | 329,026 | $6,185,078 | $7,972,322 |
Service Class 2 | ||||
Shares sold | 339,612 | 844,834 | $7,721,433 | $19,380,407 |
Reinvestment of distributions | 60,975 | 275,403 | 1,378,044 | 6,890,062 |
Shares redeemed | (198,722) | (413,001) | (4,513,986) | (9,288,800) |
Net increase (decrease) | 201,865 | 707,236 | $4,585,491 | $16,981,669 |
VIP Freedom 2050 Portfolio | ||||
Initial Class | ||||
Shares sold | 107,952 | 257,108 | $2,233,814 | $5,470,589 |
Reinvestment of distributions | 15,959 | 74,825 | 328,596 | 1,698,271 |
Shares redeemed | (49,347) | (151,469) | (1,027,241) | (3,179,525) |
Net increase (decrease) | 74,564 | 180,464 | $1,535,169 | $3,989,335 |
Service Class | ||||
Shares sold | 345,039 | 664,941 | $7,088,150 | $13,884,423 |
Reinvestment of distributions | 28,083 | 115,136 | 576,553 | 2,602,597 |
Shares redeemed | (206,783) | (344,968) | (4,257,723) | (7,135,090) |
Net increase (decrease) | 166,339 | 435,109 | $3,406,980 | $9,351,930 |
Service Class 2 | ||||
Shares sold | 385,894 | 635,605 | $7,922,862 | $13,067,095 |
Reinvestment of distributions | 42,248 | 180,954 | 862,705 | 4,085,944 |
Shares redeemed | (116,379) | (245,596) | (2,371,423) | (5,001,637) |
Net increase (decrease) | 311,763 | 570,963 | $6,414,144 | $12,151,402 |
VIP Freedom 2055 Portfolio | ||||
Initial Class | ||||
Shares sold | 13,075 | 37,768 | $148,529 | $444,861 |
Reinvestment of distributions | 420 | 646 | 4,843 | 7,327 |
Shares redeemed | (4,285) | (5,365) | (50,068) | (60,755) |
Net increase (decrease) | 9,210 | 33,049 | $103,304 | $391,433 |
Service Class | ||||
Shares sold | 170,556 | 189,371 | $1,970,761 | $2,190,203 |
Reinvestment of distributions | 2,630 | 11,182 | 30,326 | 139,204 |
Shares redeemed | (70,063) | (168,248) | (826,166) | (1,861,983) |
Net increase (decrease) | 103,123 | 32,305 | $1,174,921 | $467,424 |
Service Class 2 | ||||
Shares sold | 94,860 | 160,669 | $1,094,325 | $1,844,077 |
Reinvestment of distributions | 4,015 | 13,241 | 46,175 | 162,838 |
Shares redeemed | (13,047) | (25,468) | (150,851) | (312,491) |
Net increase (decrease) | 85,828 | 148,442 | $989,649 | $1,694,424 |
VIP Freedom 2060 Portfolio | ||||
Initial Class | ||||
Shares sold | 9,472 | 7,992 | $107,351 | $89,335 |
Reinvestment of distributions | 137 | 365 | 1,562 | 4,347 |
Shares redeemed | (2,308) | (1,660) | (26,386) | (18,043) |
Net increase (decrease) | 7,301 | 6,697 | $82,527 | $75,639 |
Service Class | ||||
Shares sold | 204,414 | 475,432 | $2,337,545 | $5,440,849 |
Reinvestment of distributions | 9,583 | 36,205 | 109,156 | 440,103 |
Shares redeemed | (126,877) | (172,839) | (1,455,378) | (1,973,913) |
Net increase (decrease) | 87,120 | 338,798 | $991,323 | $3,907,039 |
Service Class 2 | ||||
Shares sold | 87,062 | 132,561 | $994,449 | $1,505,881 |
Reinvestment of distributions | 3,366 | 11,965 | 38,272 | 144,571 |
Shares redeemed | (8,389) | (16,900) | (94,932) | (205,344) |
Net increase (decrease) | 82,039 | 127,626 | $937,789 | $1,445,108 |
VIP Freedom 2065 Portfolio | ||||
Initial Class | ||||
Shares sold | 28,470 | 15,737 | $319,669 | $179,606 |
Reinvestment of distributions | 216 | 468 | 2,422 | 5,365 |
Shares redeemed | (16,508) | (339) | (188,056) | (3,742) |
Net increase (decrease) | 12,178 | 15,866 | $134,035 | $181,229 |
Service Class | ||||
Shares sold | 55,558 | 53,666 | $610,313 | $613,275 |
Reinvestment of distributions | 1,083 | 4,142 | 12,146 | 49,654 |
Shares redeemed | (74,069) | (34,813) | (817,829) | (389,354) |
Net increase (decrease) | (17,428) | 22,995 | $(195,370) | $273,575 |
Service Class 2 | ||||
Shares sold | 5,336 | 9,796 | $59,679 | $119,509 |
Reinvestment of distributions | 207 | 804 | 2,323 | 9,686 |
Shares redeemed | (172) | (613) | (1,951) | (6,622) |
Net increase (decrease) | 5,371 | 9,987 | $60,051 | $122,573 |
Fund | Affiliated % | Number ofUnaffiliated Shareholders | Unaffiliated Shareholders % |
VIP Freedom Income Portfolio | 15% | 3 | 54% |
VIP Freedom 2005 Portfolio | 71% | 2 | 26% |
VIP Freedom 2010 Portfolio | - | 1 | 85% |
VIP Freedom 2015 Portfolio | 28% | 2 | 31% |
VIP Freedom 2020 Portfolio | - | 1 | 69% |
VIP Freedom 2025 Portfolio | - | 2 | 46% |
VIP Freedom 2030 Portfolio | - | 1 | 45% |
VIP Freedom 2035 Portfolio | - | 5 | 82% |
VIP Freedom 2040 Portfolio | - | 3 | 67% |
VIP Freedom 2045 Portfolio | - | 5 | 82% |
VIP Freedom 2050 Portfolio | - | 4 | 76% |
VIP Freedom 2055 Portfolio | - | 3 | 86% |
VIP Freedom 2060 Portfolio | - | 2 | 93% |
VIP Freedom 2065 Portfolio | 42% | 2 | 37% |
Fund | % of shares held |
VIP Emerging Markets Portfolio | 25% |
VIP Overseas Portfolio | 28% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Freedom Income Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,043.30 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,042.40 | $ .51 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,041.60 | $ 1.27 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2005 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,043.80 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,043.40 | $ .51 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,042.00 | $ 1.27 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2010 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,054.20 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,052.40 | $ .51 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,051.90 | $ 1.27 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2015 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,063.90 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,063.20 | $ .51 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,062.50 | $ 1.28 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2020 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,073.90 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,073.40 | $ .51 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,072.80 | $ 1.28 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2025 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,082.30 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,081.90 | $ .52 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,081.00 | $ 1.29 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2030 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,089.80 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,088.60 | $ .52 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,088.30 | $ 1.29 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2035 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,103.90 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,103.30 | $ .52 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,102.70 | $ 1.30 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2040 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,118.10 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,117.50 | $ .53 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,116.60 | $ 1.31 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2045 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,121.10 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,120.60 | $ .53 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,119.90 | $ 1.31 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2050 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,121.50 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,120.30 | $ .53 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,120.40 | $ 1.31 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2055 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,121.80 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,121.00 | $ .53 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,120.30 | $ 1.31 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2060 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,121.20 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,120.40 | $ .53 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,119.70 | $ 1.31 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
VIP Freedom 2065 Portfolio℠ | ||||||||||
Initial Class | -%- D | |||||||||
Actual | $ 1,000 | $ 1,120.90 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,120.10 | $ .53 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,120.20 | $ 1.31 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Top Holdings (% of Fund's net assets) | ||
Fidelity Total Bond Fund | 23.9 | |
VIP Investment Grade Bond II Portfolio - Investor Class | 23.8 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% | 19.3 | |
VIP Stock Selector All Cap Portfolio Investor Class | 12.8 | |
Fidelity Cash Central Fund 5.14% | 3.3 | |
Fidelity Overseas Fund | 2.4 | |
Fidelity Emerging Markets Fund | 1.8 | |
Fidelity Hedged Equity Fund | 1.3 | |
Fidelity Floating Rate High Income Fund | 1.3 | |
Fidelity U.S. Low Volatility Equity Fund | 1.2 | |
91.1 | ||
Asset Allocation (% of Fund's net assets) |
Net Other Assets (Liabilities) - (0.1)% |
Futures - 5.3% |
Equity Funds - 25.3% | |||
Shares | Value ($) | ||
Fidelity Canada Fund (a) | 26,179 | 1,650,569 | |
Fidelity Commodity Strategy Fund (a) | 22,823 | 2,159,491 | |
Fidelity Contrafund (a) | 93,852 | 1,400,278 | |
Fidelity Emerging Markets Discovery Fund (a) | 474,278 | 7,436,685 | |
Fidelity Emerging Markets Fund (a) | 410,307 | 14,327,909 | |
Fidelity Equity-Income Fund (a) | 36,786 | 2,421,961 | |
Fidelity Hedged Equity Fund (a) | 949,318 | 9,958,345 | |
Fidelity Infrastructure Fund (a) | 65,888 | 799,216 | |
Fidelity International Capital Appreciation Fund (a) | 153,449 | 3,797,859 | |
Fidelity International Discovery Fund (a) | 103,411 | 4,558,336 | |
Fidelity International Enhanced Index Fund (a) | 478,234 | 5,035,806 | |
Fidelity International Small Cap Fund (a) | 66,466 | 1,957,412 | |
Fidelity International Small Cap Opportunities Fund (a) | 131,661 | 2,526,579 | |
Fidelity International Value Fund (a) | 329,566 | 3,041,897 | |
Fidelity Large Cap Value Enhanced Index Fund (a) | 46,309 | 691,856 | |
Fidelity Low-Priced Stock Fund (a) | 54,356 | 2,613,454 | |
Fidelity Overseas Fund (a) | 323,582 | 18,783,920 | |
Fidelity Real Estate Investment Portfolio (a) | 103,340 | 3,999,268 | |
Fidelity U.S. Low Volatility Equity Fund (a) | 928,017 | 9,623,541 | |
Fidelity Value Discovery Fund (a) | 34,338 | 1,209,386 | |
VIP Stock Selector All Cap Portfolio Investor Class (a) | 10,567,206 | 100,177,115 | |
TOTAL EQUITY FUNDS (Cost $191,714,396) | 198,170,883 | ||
Fixed-Income Funds - 51.8% | |||
Shares | Value ($) | ||
Fidelity Floating Rate High Income Fund (a) | 1,082,433 | 9,925,912 | |
Fidelity High Income Fund (a) | 664,031 | 4,913,832 | |
Fidelity Inflation-Protected Bond Index Fund (a) | 634,586 | 5,838,192 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 920,423 | 9,590,805 | |
Fidelity New Markets Income Fund (a) | 128,714 | 1,495,651 | |
Fidelity Total Bond Fund (a) | 19,908,567 | 187,737,791 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 19,631,481 | 186,891,696 | |
TOTAL FIXED-INCOME FUNDS (Cost $422,024,363) | 406,393,879 | ||
Money Market Funds - 22.6% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (b) | 25,731,192 | 25,736,338 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% (a)(c) | 151,742,208 | 151,742,208 | |
TOTAL MONEY MARKET FUNDS (Cost $177,478,546) | 177,478,546 | ||
U.S. Treasury Obligations - 0.4% | |||
Principal Amount (d) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.19% to 5.19% 7/27/23 to 9/7/23 (e) (Cost $3,233,090) | 3,250,000 | 3,234,215 | |
TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $794,450,395) | 785,277,523 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (538,854) |
NET ASSETS - 100.0% | 784,738,669 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI EAFE Index Contracts (United States) | 85 | Sep 2023 | 9,160,875 | 67,141 | 67,141 |
ICE MSCI Emerging Markets Index Contracts (United States) | 44 | Sep 2023 | 2,195,380 | (22,808) | (22,808) |
TOTAL EQUITY INDEX CONTRACTS | 44,333 | ||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 18 | Sep 2023 | 1,927,688 | (38,146) | (38,146) |
TOTAL PURCHASED | 6,187 | ||||
Sold | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 245 | Sep 2023 | 54,981,063 | (1,703,275) | (1,703,275) |
TOTAL FUTURES CONTRACTS | (1,697,088) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 1.7% | |||||
The notional amount of futures sold as a percentage of Net Assets is 7.0% |
(a) | Affiliated Fund |
(b) | 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. |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) | Amount is stated in United States dollars unless otherwise noted. |
(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 $3,234,215. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 4,033,248 | 47,319,552 | 25,616,462 | 195,193 | - | - | 25,736,338 | 0.1% |
Total | 4,033,248 | 47,319,552 | 25,616,462 | 195,193 | - | - | 25,736,338 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Canada Fund | 1,378,388 | 373,274 | 227,776 | - | (5,485) | 132,168 | 1,650,569 |
Fidelity Commodity Strategy Fund | 3,435,327 | 11 | 1,065,441 | - | (347,381) | 136,975 | 2,159,491 |
Fidelity Contrafund | 1,445,287 | 23,485 | 355,823 | 21,090 | 9,871 | 277,458 | 1,400,278 |
Fidelity Emerging Markets Discovery Fund | 6,739,780 | 17,375 | 175,147 | - | (21,071) | 875,748 | 7,436,685 |
Fidelity Emerging Markets Fund | 12,284,109 | 2,168,751 | 1,559,703 | - | (293,456) | 1,728,208 | 14,327,909 |
Fidelity Equity-Income Fund | 3,191,190 | 17,837 | 874,030 | 12,822 | 93,482 | (6,518) | 2,421,961 |
Fidelity Floating Rate High Income Fund | 23,455,231 | 860,326 | 14,840,390 | 713,718 | (463,224) | 913,969 | 9,925,912 |
Fidelity Global Commodity Stock Fund | 10,302,333 | 74,515 | 9,854,837 | - | 2,903,261 | (3,425,272) | - |
Fidelity Gold Portfolio | - | 10,467,479 | 9,155,238 | 49,095 | (1,312,241) | - | - |
Fidelity Hedged Equity Fund | 2,105,509 | 7,533,843 | - | 1,328 | - | 318,993 | 9,958,345 |
Fidelity High Income Fund | 6,064,330 | 208,885 | 1,454,835 | 158,247 | (59,377) | 154,829 | 4,913,832 |
Fidelity Inflation-Protected Bond Index Fund | 9,793,899 | 638,387 | 4,807,936 | 3,775 | (253,474) | 467,316 | 5,838,192 |
Fidelity Infrastructure Fund | - | 826,172 | 34,333 | 2,344 | (330) | 7,707 | 799,216 |
Fidelity International Capital Appreciation Fund | 2,795,765 | 790,232 | 361,964 | - | 10,620 | 563,206 | 3,797,859 |
Fidelity International Discovery Fund | 3,601,493 | 982,223 | 473,614 | - | (36,204) | 484,438 | 4,558,336 |
Fidelity International Enhanced Index Fund | 3,858,739 | 1,067,952 | 422,271 | - | (8,838) | 540,224 | 5,035,806 |
Fidelity International Small Cap Fund | 1,547,864 | 430,573 | 188,198 | - | 3,579 | 163,594 | 1,957,412 |
Fidelity International Small Cap Opportunities Fund | 2,314,879 | 23,616 | - | - | - | 188,084 | 2,526,579 |
Fidelity International Value Fund | 2,383,180 | 655,943 | 247,343 | - | 120 | 249,997 | 3,041,897 |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% | 166,262,113 | 4,973,213 | 19,493,118 | 3,650,399 | - | - | 151,742,208 |
Fidelity Large Cap Value Enhanced Index Fund | 876,309 | 2,978 | 217,839 | - | 21,602 | 8,806 | 691,856 |
Fidelity Long-Term Treasury Bond Index Fund | 3,890,763 | 6,136,481 | 473,331 | 84,168 | (118,384) | 155,276 | 9,590,805 |
Fidelity Low-Priced Stock Fund | 3,914,990 | 6,394 | 1,448,338 | - | 60,501 | 79,907 | 2,613,454 |
Fidelity New Markets Income Fund | 1,591,971 | 56,098 | 166,911 | 39,216 | (37,309) | 51,802 | 1,495,651 |
Fidelity Overseas Fund | 14,257,471 | 3,970,251 | 1,789,118 | - | 59,009 | 2,286,307 | 18,783,920 |
Fidelity Real Estate Investment Portfolio | 5,971,621 | 57,156 | 2,220,561 | 12,033 | (107,063) | 298,115 | 3,999,268 |
Fidelity Total Bond Fund | 188,763,112 | 15,428,118 | 18,606,959 | 3,886,979 | (299,480) | 2,453,000 | 187,737,791 |
Fidelity U.S. Low Volatility Equity Fund | 18,318,297 | 135,927 | 8,851,077 | 24,383 | (193,510) | 213,904 | 9,623,541 |
Fidelity Value Discovery Fund | 1,571,764 | 3,277 | 364,687 | - | 60,084 | (61,052) | 1,209,386 |
VIP Investment Grade Bond II Portfolio - Investor Class | 188,816,281 | 11,323,905 | 18,151,542 | 80,222 | (517,159) | 5,420,211 | 186,891,696 |
VIP Stock Selector All Cap Portfolio Investor Class | 114,102,757 | 501,036 | 30,702,264 | - | (4,587,806) | 20,863,392 | 100,177,115 |
805,034,752 | 69,755,713 | 148,584,624 | 8,739,819 | (5,439,663) | 35,540,792 | 756,306,970 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 198,170,883 | 198,170,883 | - | - |
Fixed-Income Funds | 406,393,879 | 406,393,879 | - | - |
Money Market Funds | 177,478,546 | 177,478,546 | - | - |
Other Short-Term Investments and Net Other Assets | 3,234,215 | - | 3,234,215 | - |
Total Investments in Securities: | 785,277,523 | 782,043,308 | 3,234,215 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 67,141 | 67,141 | - | - |
Total Assets | 67,141 | 67,141 | - | - |
Liabilities | ||||
Futures Contracts | (1,764,229) | (1,764,229) | - | - |
Total Liabilities | (1,764,229) | (1,764,229) | - | - |
Total Derivative Instruments: | (1,697,088) | (1,697,088) | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Futures Contracts (a) | 67,141 | (1,726,083) |
Total Equity Risk | 67,141 | (1,726,083) |
Interest Rate Risk | ||
Futures Contracts (a) | 0 | (38,146) |
Total Interest Rate Risk | 0 | (38,146) |
Total Value of Derivatives | 67,141 | (1,764,229) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $3,233,090) | $ | 3,234,215 | ||
Fidelity Central Funds (cost $25,736,338) | 25,736,338 | |||
Other affiliated issuers (cost $765,480,967) | 756,306,970 | |||
Total Investment in Securities (cost $794,450,395) | $ | 785,277,523 | ||
Receivable for investments sold | 441,166 | |||
Receivable for fund shares sold | 748 | |||
Distributions receivable from Fidelity Central Funds | 47,119 | |||
Total assets | 785,766,556 | |||
Liabilities | ||||
Payable for investments purchased | $ | 968 | ||
Payable for fund shares redeemed | 440,946 | |||
Accrued management fee | 65,662 | |||
Distribution and service plan fees payable | 1,431 | |||
Payable for daily variation margin on futures contracts | 518,880 | |||
Total Liabilities | 1,027,887 | |||
Net Assets | $ | 784,738,669 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 817,236,435 | ||
Total accumulated earnings (loss) | (32,497,766) | |||
Net Assets | $ | 784,738,669 | ||
Net Asset Value and Maximum Offering Price | ||||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($57,396 ÷ 5,503 shares) | $ | 10.43 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($11,207,272 ÷ 1,079,364 shares) | $ | 10.38 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($773,474,001 ÷ 74,242,218 shares) | $ | 10.42 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 8,717,859 | ||
Interest | 70,521 | |||
Income from Fidelity Central Funds | 195,193 | |||
Total Income | 8,983,573 | |||
Expenses | ||||
Management fee | $ | 604,247 | ||
Distribution and service plan fees | 14,339 | |||
Independent trustees' fees and expenses | 1,424 | |||
Total expenses before reductions | 620,010 | |||
Expense reductions | (207,690) | |||
Total expenses after reductions | 412,320 | |||
Net Investment income (loss) | 8,571,253 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 23 | |||
Affiliated issuers | (5,439,663) | |||
Futures contracts | (3,653,907) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 21,960 | |||
Total net realized gain (loss) | (9,071,587) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 166 | |||
Affiliated issuers | 35,540,792 | |||
Futures contracts | (2,979,837) | |||
Total change in net unrealized appreciation (depreciation) | 32,561,121 | |||
Net gain (loss) | 23,489,534 | |||
Net increase (decrease) in net assets resulting from operations | $ | 32,060,787 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 8,571,253 | $ | 19,754,588 |
Net realized gain (loss) | (9,071,587) | (20,707,274) | ||
Change in net unrealized appreciation (depreciation) | 32,561,121 | (93,309,136) | ||
Net increase (decrease) in net assets resulting from operations | 32,060,787 | (94,261,822) | ||
Distributions to shareholders | (2,069,168) | (82,937,596) | ||
Share transactions - net increase (decrease) | (57,526,896) | (6,922,519) | ||
Total increase (decrease) in net assets | (27,535,277) | (184,121,937) | ||
Net Assets | ||||
Beginning of period | 812,273,946 | 996,395,883 | ||
End of period | $ | 784,738,669 | $ | 812,273,946 |
VIP FundsManager® 20% Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.05 | $ | 12.18 | $ | 11.89 | $ | 11.19 | $ | 10.75 | $ | 11.63 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .11 | .24 | .14 | .13 | .22 | .21 | ||||||
Net realized and unrealized gain (loss) | .30 | (1.35) | .30 | .77 | .86 | (.40) | ||||||
Total from investment operations | .41 | (1.11) | .44 | .90 | 1.08 | (.19) | ||||||
Distributions from net investment income | (.03) | (.25) | (.13) | (.13) | (.21) | (.21) | ||||||
Distributions from net realized gain | - | (.77) | (.03) | (.07) | (.43) | (.48) | ||||||
Total distributions | (.03) | (1.02) | (.15) C | (.20) | (.64) | (.69) | ||||||
Net asset value, end of period | $ | 10.43 | $ | 10.05 | $ | 12.18 | $ | 11.89 | $ | 11.19 | $ | 10.75 |
Total Return D,E,F | 4.04% | (9.59)% | 3.74% | 8.11% | 10.39% | (1.67)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .30% | .35% | .35% | .35% | .35% | ||||||
Expenses net of fee waivers, if any | .10% I | .15% | .20% | .20% | .20% | .20% | ||||||
Expenses net of all reductions | .10% I | .15% | .20% | .20% | .20% | .20% | ||||||
Net investment income (loss) | 2.13% I | 2.24% | 1.12% | 1.17% | 2.01% | 1.87% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 57 | $ | 54 | $ | 63 | $ | 61 | $ | 57 | $ | 55 |
Portfolio turnover rate J | 18% I | 70% K | 45% K | 32% K | 33% | 47% |
VIP FundsManager® 20% Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.02 | $ | 12.14 | $ | 11.86 | $ | 11.16 | $ | 10.72 | $ | 11.60 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .10 | .22 | .12 | .12 | .20 | .19 | ||||||
Net realized and unrealized gain (loss) | .29 | (1.34) | .30 | .77 | .87 | (.40) | ||||||
Total from investment operations | .39 | (1.12) | .42 | .89 | 1.07 | (.21) | ||||||
Distributions from net investment income | (.03) | (.23) | (.11) | (.11) | (.20) | (.19) | ||||||
Distributions from net realized gain | - | (.77) | (.03) | (.07) | (.43) | (.48) | ||||||
Total distributions | (.03) | (1.00) | (.14) | (.19) C | (.63) | (.67) | ||||||
Net asset value, end of period | $ | 10.38 | $ | 10.02 | $ | 12.14 | $ | 11.86 | $ | 11.16 | $ | 10.72 |
Total Return D,E,F | 3.86% | (9.67)% | 3.52% | 7.97% | 10.26% | (1.82)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .40% I | .44% | .50% | .50% | .50% | .50% | ||||||
Expenses net of fee waivers, if any | .25% I | .29% | .35% | .35% | .35% | .35% | ||||||
Expenses net of all reductions | .25% I | .29% | .35% | .35% | .35% | .35% | ||||||
Net investment income (loss) | 1.98% I | 2.09% | .97% | 1.02% | 1.86% | 1.72% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 11,207 | $ | 11,376 | $ | 10,257 | $ | 9,323 | $ | 8,978 | $ | 8,286 |
Portfolio turnover rate J | 18% I | 70% K | 45% K | 32% K | 33% | 47% |
VIP FundsManager® 20% Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.04 | $ | 12.17 | $ | 11.89 | $ | 11.18 | $ | 10.74 | $ | 11.62 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .11 | .24 | .14 | .13 | .22 | .21 | ||||||
Net realized and unrealized gain (loss) | .30 | (1.35) | .29 | .78 | .86 | (.40) | ||||||
Total from investment operations | .41 | (1.11) | .43 | .91 | 1.08 | (.19) | ||||||
Distributions from net investment income | (.03) | (.25) | (.13) | (.13) | (.21) | (.21) | ||||||
Distributions from net realized gain | - | (.77) | (.03) | (.07) | (.43) | (.48) | ||||||
Total distributions | (.03) | (1.02) | (.15) C | (.20) | (.64) | (.69) | ||||||
Net asset value, end of period | $ | 10.42 | $ | 10.04 | $ | 12.17 | $ | 11.89 | $ | 11.18 | $ | 10.74 |
Total Return D,E,F | 4.05% | (9.60)% | 3.65% | 8.21% | 10.40% | (1.67)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .15% I | .19% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Expenses net of all reductions | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Net investment income (loss) | 2.13% I | 2.24% | 1.12% | 1.17% | 2.01% | 1.87% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 773,474 | $ | 800,844 | $ | 986,076 | $ | 925,096 | $ | 812,070 | $ | 719,784 |
Portfolio turnover rate J | 18% I | 70% K | 45% K | 32% K | 33% | 47% |
Top Holdings (% of Fund's net assets) | ||
Fidelity Total Bond Fund | 23.4 | |
VIP Investment Grade Bond II Portfolio - Investor Class | 23.3 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% | 13.5 | |
VIP Stock Selector All Cap Portfolio Investor Class | 11.0 | |
Fidelity Overseas Fund | 4.2 | |
Fidelity Cash Central Fund 5.14% | 4.1 | |
Fidelity Emerging Markets Fund | 4.0 | |
Fidelity Hedged Equity Fund | 1.3 | |
Fidelity Floating Rate High Income Fund | 1.3 | |
Fidelity U.S. Low Volatility Equity Fund | 1.2 | |
87.3 | ||
Asset Allocation (% of Fund's net assets) |
Equity Funds - 30.6% | |||
Shares | Value ($) | ||
Fidelity Canada Fund (a) | 172 | 10,833 | |
Fidelity Commodity Strategy Fund (a) | 54 | 5,081 | |
Fidelity Contrafund (a) | 344 | 5,126 | |
Fidelity Emerging Markets Discovery Fund (a) | 580 | 9,088 | |
Fidelity Emerging Markets Fund (a) | 2,310 | 80,670 | |
Fidelity Equity-Income Fund (a) | 191 | 12,560 | |
Fidelity Hedged Equity Fund (a) | 2,456 | 25,761 | |
Fidelity Infrastructure Fund (a) | 167 | 2,029 | |
Fidelity International Capital Appreciation Fund (a) | 712 | 17,620 | |
Fidelity International Discovery Fund (a) | 517 | 22,787 | |
Fidelity International Enhanced Index Fund (a) | 1,914 | 20,150 | |
Fidelity International Small Cap Fund (a) | 303 | 8,922 | |
Fidelity International Small Cap Opportunities Fund (a) | 602 | 11,548 | |
Fidelity International Value Fund (a) | 1,289 | 11,901 | |
Fidelity Japan Smaller Companies Fund (a) | 348 | 5,163 | |
Fidelity Large Cap Value Enhanced Index Fund (a) | 412 | 6,157 | |
Fidelity Low-Priced Stock Fund (a) | 314 | 15,091 | |
Fidelity Overseas Fund (a) | 1,482 | 86,026 | |
Fidelity Real Estate Investment Portfolio (a) | 268 | 10,352 | |
Fidelity U.S. Low Volatility Equity Fund (a) | 2,449 | 25,395 | |
Fidelity Value Discovery Fund (a) | 194 | 6,815 | |
VIP Stock Selector All Cap Portfolio Investor Class (a) | 23,573 | 223,471 | |
TOTAL EQUITY FUNDS (Cost $604,499) | 622,546 | ||
Fixed-Income Funds - 51.3% | |||
Shares | Value ($) | ||
Fidelity Floating Rate High Income Fund (a) | 2,800 | 25,679 | |
Fidelity High Income Fund (a) | 1,728 | 12,785 | |
Fidelity Inflation-Protected Bond Index Fund (a) | 2,189 | 20,141 | |
Fidelity Intermediate Treasury Bond Index Fund (a) | 530 | 5,105 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 2,401 | 25,020 | |
Fidelity New Markets Income Fund (a) | 445 | 5,175 | |
Fidelity Total Bond Fund (a) | 50,409 | 475,357 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 49,716 | 473,298 | |
TOTAL FIXED-INCOME FUNDS (Cost $1,047,382) | 1,042,560 | ||
Money Market Funds - 17.6% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (b) | 82,733 | 82,749 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% (a)(c) | 275,742 | 275,742 | |
TOTAL MONEY MARKET FUNDS (Cost $358,491) | 358,491 | ||
TOTAL INVESTMENT IN SECURITIES - 99.5% (Cost $2,010,372) | 2,023,597 |
NET OTHER ASSETS (LIABILITIES) - 0.5% | 9,940 |
NET ASSETS - 100.0% | 2,033,537 |
(a) | Affiliated Fund |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | - | 1,068,249 | 985,500 | 310 | - | - | 82,749 | 0.0% |
Total | - | 1,068,249 | 985,500 | 310 | - | - | 82,749 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Canada Fund | - | 10,835 | 99 | - | - | 97 | 10,833 |
Fidelity Commodity Strategy Fund | - | 5,694 | 486 | - | (19) | (108) | 5,081 |
Fidelity Contrafund | - | 4,799 | 50 | - | - | 377 | 5,126 |
Fidelity Emerging Markets Discovery Fund | - | 8,816 | 66 | - | - | 338 | 9,088 |
Fidelity Emerging Markets Fund | - | 79,378 | 587 | - | (16) | 1,895 | 80,670 |
Fidelity Equity-Income Fund | - | 12,450 | 128 | - | - | 238 | 12,560 |
Fidelity Floating Rate High Income Fund | - | 38,631 | 13,237 | 467 | 41 | 244 | 25,679 |
Fidelity Global Commodity Stock Fund | - | 17,186 | 16,303 | - | (883) | - | - |
Fidelity Gold Portfolio | - | 25,531 | 21,813 | 56 | (3,718) | - | - |
Fidelity Hedged Equity Fund | - | 25,458 | 208 | - | - | 511 | 25,761 |
Fidelity High Income Fund | - | 15,410 | 2,647 | 125 | (25) | 47 | 12,785 |
Fidelity Inflation-Protected Bond Index Fund | - | 30,577 | 10,183 | 6 | (142) | (111) | 20,141 |
Fidelity Infrastructure Fund | - | 2,045 | 19 | - | - | 3 | 2,029 |
Fidelity Intermediate Treasury Bond Index Fund | - | 15,333 | 10,019 | 48 | (155) | (54) | 5,105 |
Fidelity International Capital Appreciation Fund | - | 17,357 | 157 | - | (1) | 421 | 17,620 |
Fidelity International Discovery Fund | - | 22,739 | 205 | - | (3) | 256 | 22,787 |
Fidelity International Enhanced Index Fund | - | 20,209 | 183 | - | (3) | 127 | 20,150 |
Fidelity International Small Cap Fund | - | 8,975 | 80 | - | (2) | 29 | 8,922 |
Fidelity International Small Cap Opportunities Fund | - | 11,828 | 107 | - | (3) | (170) | 11,548 |
Fidelity International Value Fund | - | 11,828 | 107 | - | (2) | 182 | 11,901 |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% | - | 278,258 | 2,516 | 2,088 | - | - | 275,742 |
Fidelity Japan Smaller Companies Fund | - | 5,095 | 47 | - | (1) | 116 | 5,163 |
Fidelity Large Cap Value Enhanced Index Fund | - | 6,022 | 63 | - | - | 198 | 6,157 |
Fidelity Long-Term Treasury Bond Index Fund | - | 25,540 | 301 | 73 | (10) | (209) | 25,020 |
Fidelity Low-Priced Stock Fund | - | 15,018 | 156 | - | - | 229 | 15,091 |
Fidelity New Markets Income Fund | - | 5,137 | 47 | 41 | - | 85 | 5,175 |
Fidelity Overseas Fund | - | 85,784 | 773 | - | (9) | 1,024 | 86,026 |
Fidelity Real Estate Investment Portfolio | - | 10,217 | 93 | 27 | - | 228 | 10,352 |
Fidelity Total Bond Fund | - | 489,868 | 11,597 | 3,049 | (134) | (2,780) | 475,357 |
Fidelity U.S. Low Volatility Equity Fund | - | 25,532 | 233 | - | (2) | 98 | 25,395 |
Fidelity Value Discovery Fund | - | 6,836 | 72 | - | - | 51 | 6,815 |
VIP Investment Grade Bond II Portfolio - Investor Class | - | 486,801 | 11,372 | - | (87) | (2,044) | 473,298 |
VIP Stock Selector All Cap Portfolio Investor Class | - | 214,149 | 2,589 | - | 4 | 11,907 | 223,471 |
- | 2,039,336 | 106,543 | 5,980 | (5,170) | 13,225 | 1,940,848 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 622,546 | 622,546 | - | - |
Fixed-Income Funds | 1,042,560 | 1,042,560 | - | - |
Money Market Funds | 358,491 | 358,491 | - | - |
Total Investments in Securities: | 2,023,597 | 2,023,597 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Fidelity Central Funds (cost $82,749) | $ | 82,749 | ||
Other affiliated issuers (cost $1,927,623) | 1,940,848 | |||
Total Investment in Securities (cost $2,010,372) | $ | 2,023,597 | ||
Cash | 10,401 | |||
Receivable for investments sold | 15,924 | |||
Distributions receivable from Fidelity Central Funds | 80 | |||
Total assets | 2,050,002 | |||
Liabilities | ||||
Payable for investments purchased | $ | 80 | ||
Payable for fund shares redeemed | 16,182 | |||
Accrued management fee | 161 | |||
Distribution and service plan fees payable | 42 | |||
Total Liabilities | 16,465 | |||
Net Assets | $ | 2,033,537 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 2,019,616 | ||
Total accumulated earnings (loss) | 13,921 | |||
Net Assets | $ | 2,033,537 | ||
Net Asset Value and Maximum Offering Price | ||||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($334,243 ÷ 33,300 shares) | $ | 10.04 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($334,133 ÷ 33,300 shares) | $ | 10.03 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($1,365,161 ÷ 136,017 shares) | $ | 10.04 |
Statement of Operations | ||||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 5,980 | ||
Income from Fidelity Central Funds | 310 | |||
Total Income | 6,290 | |||
Expenses | ||||
Management fee | $ | 471 | ||
Distribution and service plan fees | 255 | |||
Total expenses before reductions | 726 | |||
Expense reductions | (302) | |||
Total expenses after reductions | 424 | |||
Net Investment income (loss) | 5,866 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (5,170) | |||
Total net realized gain (loss) | (5,170) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 13,225 | |||
Total change in net unrealized appreciation (depreciation) | 13,225 | |||
Net gain (loss) | 8,055 | |||
Net increase (decrease) in net assets resulting from operations | $ | 13,921 |
Statement of Changes in Net Assets | ||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 5,866 |
Net realized gain (loss) | (5,170) | |
Change in net unrealized appreciation (depreciation) | 13,225 | |
Net increase (decrease) in net assets resulting from operations | 13,921 | |
Share transactions - net increase (decrease) | 2,019,616 | |
Total increase (decrease) in net assets | 2,033,537 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 2,033,537 |
VIP FundsManager® 30% Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .04 | |
Net realized and unrealized gain (loss) | - D | |
Total from investment operations | .04 | |
Net asset value, end of period | $ | 10.04 |
Total Return E,F,G | .40% | |
Ratios to Average Net Assets C,H,I | ||
Expenses before reductions | .25% J | |
Expenses net of fee waivers, if any | .10% J | |
Expenses net of all reductions | .10% J | |
Net investment income (loss) | 1.89% J | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 334 |
Portfolio turnover rate K | 7% L |
VIP FundsManager® 30% Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .04 | |
Net realized and unrealized gain (loss) | (.01) D | |
Total from investment operations | .03 | |
Net asset value, end of period | $ | 10.03 |
Total Return E,F,G | .30% | |
Ratios to Average Net Assets C,H,I | ||
Expenses before reductions | .40% J | |
Expenses net of fee waivers, if any | .25% J | |
Expenses net of all reductions | .25% J | |
Net investment income (loss) | 1.74% J | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 334 |
Portfolio turnover rate K | 7% L |
VIP FundsManager® 30% Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .04 | |
Net realized and unrealized gain (loss) | - D | |
Total from investment operations | .04 | |
Net asset value, end of period | $ | 10.04 |
Total Return E,F,G | .40% | |
Ratios to Average Net Assets C,H,I | ||
Expenses before reductions | .15% J | |
Expenses net of fee waivers, if any | .10% J | |
Expenses net of all reductions | .10% J | |
Net investment income (loss) | 1.89% J | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,365 |
Portfolio turnover rate K | 7% L |
Top Holdings (% of Fund's net assets) | ||
Fidelity Total Bond Fund | 20.8 | |
VIP Investment Grade Bond II Portfolio - Investor Class | 20.8 | |
VIP Stock Selector All Cap Portfolio Investor Class | 15.5 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% | 8.5 | |
Fidelity Overseas Fund | 5.6 | |
Fidelity Emerging Markets Fund | 5.0 | |
Fidelity Cash Central Fund 5.14% | 3.8 | |
Fidelity International Discovery Fund | 1.5 | |
Fidelity Low-Priced Stock Fund | 1.3 | |
Fidelity International Enhanced Index Fund | 1.3 | |
84.1 | ||
Asset Allocation (% of Fund's net assets) |
Equity Funds - 41.0% | |||
Shares | Value ($) | ||
Fidelity Canada Fund (a) | 268 | 16,908 | |
Fidelity Commodity Strategy Fund (a) | 78 | 7,364 | |
Fidelity Contrafund (a) | 707 | 10,554 | |
Fidelity Emerging Markets Discovery Fund (a) | 849 | 13,318 | |
Fidelity Emerging Markets Fund (a) | 3,399 | 118,676 | |
Fidelity Equity-Income Fund (a) | 394 | 25,937 | |
Fidelity Hedged Equity Fund (a) | 2,823 | 29,613 | |
Fidelity Infrastructure Fund (a) | 196 | 2,372 | |
Fidelity International Capital Appreciation Fund (a) | 1,102 | 27,271 | |
Fidelity International Discovery Fund (a) | 800 | 35,244 | |
Fidelity International Enhanced Index Fund (a) | 2,956 | 31,124 | |
Fidelity International Small Cap Fund (a) | 468 | 13,770 | |
Fidelity International Small Cap Opportunities Fund (a) | 931 | 17,869 | |
Fidelity International Value Fund (a) | 1,982 | 18,296 | |
Fidelity Japan Smaller Companies Fund (a) | 405 | 6,017 | |
Fidelity Large Cap Value Enhanced Index Fund (a) | 852 | 12,727 | |
Fidelity Low-Priced Stock Fund (a) | 650 | 31,249 | |
Fidelity Overseas Fund (a) | 2,291 | 133,003 | |
Fidelity Real Estate Investment Portfolio (a) | 312 | 12,089 | |
Fidelity U.S. Low Volatility Equity Fund (a) | 2,875 | 29,816 | |
Fidelity Value Discovery Fund (a) | 402 | 14,145 | |
VIP Stock Selector All Cap Portfolio Investor Class (a) | 39,109 | 370,750 | |
TOTAL EQUITY FUNDS (Cost $954,535) | 978,112 | ||
Fixed-Income Funds - 46.2% | |||
Shares | Value ($) | ||
Fidelity Floating Rate High Income Fund (a) | 3,281 | 30,089 | |
Fidelity High Income Fund (a) | 2,015 | 14,911 | |
Fidelity Inflation-Protected Bond Index Fund (a) | 2,567 | 23,616 | |
Fidelity Intermediate Treasury Bond Index Fund (a) | 608 | 5,853 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 2,829 | 29,475 | |
Fidelity New Markets Income Fund (a) | 520 | 6,040 | |
Fidelity Total Bond Fund (a) | 52,795 | 497,858 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 52,093 | 495,927 | |
TOTAL FIXED-INCOME FUNDS (Cost $1,112,266) | 1,103,769 | ||
Money Market Funds - 12.3% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (b) | 90,584 | 90,602 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% (a)(c) | 203,746 | 203,746 | |
TOTAL MONEY MARKET FUNDS (Cost $294,348) | 294,348 | ||
TOTAL INVESTMENT IN SECURITIES - 99.5% (Cost $2,361,149) | 2,376,229 |
NET OTHER ASSETS (LIABILITIES) - 0.5% | 12,366 |
NET ASSETS - 100.0% | 2,388,595 |
(a) | Affiliated Fund |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | - | 1,076,002 | 985,400 | 313 | - | - | 90,602 | 0.0% |
Total | - | 1,076,002 | 985,400 | 313 | - | - | 90,602 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Canada Fund | - | 16,744 | 4 | - | - | 168 | 16,908 |
Fidelity Commodity Strategy Fund | - | 8,128 | 571 | - | (22) | (171) | 7,364 |
Fidelity Contrafund | - | 9,908 | 2 | - | - | 648 | 10,554 |
Fidelity Emerging Markets Discovery Fund | - | 12,965 | 3 | - | - | 356 | 13,318 |
Fidelity Emerging Markets Fund | - | 117,091 | 27 | - | - | 1,612 | 118,676 |
Fidelity Equity-Income Fund | - | 25,512 | 6 | - | - | 431 | 25,937 |
Fidelity Floating Rate High Income Fund | - | 44,681 | 14,872 | 481 | 49 | 231 | 30,089 |
Fidelity Global Commodity Stock Fund | - | 24,037 | 22,928 | - | (1,109) | - | - |
Fidelity Gold Portfolio | - | 29,332 | 25,348 | 56 | (3,984) | - | - |
Fidelity Hedged Equity Fund | - | 29,085 | 1 | - | - | 529 | 29,613 |
Fidelity High Income Fund | - | 17,857 | 2,924 | 128 | (28) | 6 | 14,911 |
Fidelity Inflation-Protected Bond Index Fund | - | 35,462 | 11,493 | 6 | (166) | (187) | 23,616 |
Fidelity Infrastructure Fund | - | 2,374 | - | - | - | (2) | 2,372 |
Fidelity Intermediate Treasury Bond Index Fund | - | 17,615 | 11,487 | 49 | (220) | (55) | 5,853 |
Fidelity International Capital Appreciation Fund | - | 26,690 | 6 | - | - | 587 | 27,271 |
Fidelity International Discovery Fund | - | 34,960 | 8 | - | - | 292 | 35,244 |
Fidelity International Enhanced Index Fund | - | 31,027 | 7 | - | - | 104 | 31,124 |
Fidelity International Small Cap Fund | - | 13,796 | 3 | - | - | (23) | 13,770 |
Fidelity International Small Cap Opportunities Fund | - | 18,106 | 4 | - | - | (233) | 17,869 |
Fidelity International Value Fund | - | 18,106 | 4 | - | - | 194 | 18,296 |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% | - | 203,794 | 48 | 1,356 | - | - | 203,746 |
Fidelity Japan Smaller Companies Fund | - | 5,935 | 1 | - | - | 83 | 6,017 |
Fidelity Large Cap Value Enhanced Index Fund | - | 12,389 | 3 | - | - | 341 | 12,727 |
Fidelity Long-Term Treasury Bond Index Fund | - | 29,869 | 4 | 74 | - | (390) | 29,475 |
Fidelity Low-Priced Stock Fund | - | 30,813 | 7 | - | - | 443 | 31,249 |
Fidelity New Markets Income Fund | - | 5,978 | 1 | 42 | - | 63 | 6,040 |
Fidelity Overseas Fund | - | 131,776 | 31 | - | (1) | 1,259 | 133,003 |
Fidelity Real Estate Investment Portfolio | - | 11,896 | 3 | 24 | - | 196 | 12,089 |
Fidelity Total Bond Fund | - | 506,751 | 4,419 | 2,797 | (42) | (4,432) | 497,858 |
Fidelity U.S. Low Volatility Equity Fund | - | 29,734 | 7 | 54 | - | 89 | 29,816 |
Fidelity Value Discovery Fund | - | 14,053 | 3 | - | - | 95 | 14,145 |
VIP Investment Grade Bond II Portfolio - Investor Class | - | 503,936 | 4,244 | - | (33) | (3,732) | 495,927 |
VIP Stock Selector All Cap Portfolio Investor Class | - | 354,257 | 85 | - | - | 16,578 | 370,750 |
- | 2,374,657 | 98,554 | 5,067 | (5,556) | 15,080 | 2,285,627 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 978,112 | 978,112 | - | - |
Fixed-Income Funds | 1,103,769 | 1,103,769 | - | - |
Money Market Funds | 294,348 | 294,348 | - | - |
Total Investments in Securities: | 2,376,229 | 2,376,229 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Fidelity Central Funds (cost $90,602) | $ | 90,602 | ||
Other affiliated issuers (cost $2,270,547) | 2,285,627 | |||
Total Investment in Securities (cost $2,361,149) | $ | 2,376,229 | ||
Cash | 11,923 | |||
Receivable for investments sold | 3 | |||
Receivable for fund shares sold | 32,314 | |||
Distributions receivable from Fidelity Central Funds | 83 | |||
Total assets | 2,420,552 | |||
Liabilities | ||||
Payable for investments purchased | $ | 31,751 | ||
Accrued management fee | 164 | |||
Distribution and service plan fees payable | 42 | |||
Total Liabilities | 31,957 | |||
Net Assets | $ | 2,388,595 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 2,374,122 | ||
Total accumulated earnings (loss) | 14,473 | |||
Net Assets | $ | 2,388,595 | ||
Net Asset Value and Maximum Offering Price | ||||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($335,511 ÷ 33,300 shares) | $ | 10.08 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($335,401 ÷ 33,300 shares) | $ | 10.07 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($1,717,683 ÷ 170,489 shares) | $ | 10.08 |
Statement of Operations | ||||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 5,067 | ||
Income from Fidelity Central Funds | 313 | |||
Total Income | 5,380 | |||
Expenses | ||||
Management fee | $ | 482 | ||
Distribution and service plan fees | 255 | |||
Total expenses before reductions | 737 | |||
Expense reductions | (306) | |||
Total expenses after reductions | 431 | |||
Net Investment income (loss) | 4,949 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (5,556) | |||
Total net realized gain (loss) | (5,556) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 15,080 | |||
Total change in net unrealized appreciation (depreciation) | 15,080 | |||
Net gain (loss) | 9,524 | |||
Net increase (decrease) in net assets resulting from operations | $ | 14,473 |
Statement of Changes in Net Assets | ||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 4,949 |
Net realized gain (loss) | (5,556) | |
Change in net unrealized appreciation (depreciation) | 15,080 | |
Net increase (decrease) in net assets resulting from operations | 14,473 | |
Share transactions - net increase (decrease) | 2,374,122 | |
Total increase (decrease) in net assets | 2,388,595 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 2,388,595 |
VIP FundsManager® 40% Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .03 | |
Net realized and unrealized gain (loss) | .05 | |
Total from investment operations | .08 | |
Net asset value, end of period | $ | 10.08 |
Total Return D,E,F | .80% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | .25% I | |
Expenses net of fee waivers, if any | .10% I | |
Expenses net of all reductions | .10% I | |
Net investment income (loss) | 1.56% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 336 |
Portfolio turnover rate J | 6% K |
VIP FundsManager® 40% Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .03 | |
Net realized and unrealized gain (loss) | .04 | |
Total from investment operations | .07 | |
Net asset value, end of period | $ | 10.07 |
Total Return D,E,F | .70% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | .40% I | |
Expenses net of fee waivers, if any | .25% I | |
Expenses net of all reductions | .25% I | |
Net investment income (loss) | 1.41% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 335 |
Portfolio turnover rate J | 6% K |
VIP FundsManager® 40% Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .03 | |
Net realized and unrealized gain (loss) | .05 | |
Total from investment operations | .08 | |
Net asset value, end of period | $ | 10.08 |
Total Return D,E,F | .80% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | .15% I | |
Expenses net of fee waivers, if any | .10% I | |
Expenses net of all reductions | .10% I | |
Net investment income (loss) | 1.56% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,718 |
Portfolio turnover rate J | 6% K |
Top Holdings (% of Fund's net assets) | ||
VIP Stock Selector All Cap Portfolio Investor Class | 28.5 | |
Fidelity Total Bond Fund | 17.8 | |
VIP Investment Grade Bond II Portfolio - Investor Class | 17.8 | |
Fidelity Overseas Fund | 6.5 | |
Fidelity Emerging Markets Fund | 5.5 | |
Fidelity International Enhanced Index Fund | 1.7 | |
Fidelity Cash Central Fund 5.14% | 1.6 | |
Fidelity International Discovery Fund | 1.6 | |
Fidelity Long-Term Treasury Bond Index Fund | 1.5 | |
Fidelity Low-Priced Stock Fund | 1.4 | |
83.9 | ||
Asset Allocation (% of Fund's net assets) |
Net Other Assets (Liabilities) - (0.1)% |
Futures - 5.9% |
Equity Funds - 57.7% | |||
Shares | Value ($) | ||
Fidelity Canada Fund (a) | 466,006 | 29,381,684 | |
Fidelity Commodity Strategy Fund (a) | 148,640 | 14,064,313 | |
Fidelity Contrafund (a) | 919,271 | 13,715,524 | |
Fidelity Emerging Markets Discovery Fund (a) | 2,931,589 | 45,967,310 | |
Fidelity Emerging Markets Fund (a) | 7,008,522 | 244,737,579 | |
Fidelity Equity-Income Fund (a) | 662,631 | 43,627,621 | |
Fidelity Global Commodity Stock Fund (a) | 386,032 | 6,855,926 | |
Fidelity Hedged Equity Fund (a) | 5,425,829 | 56,916,947 | |
Fidelity Infrastructure Fund (a) | 360,099 | 4,367,999 | |
Fidelity International Capital Appreciation Fund (a) | 2,375,958 | 58,804,968 | |
Fidelity International Discovery Fund (a) | 1,597,632 | 70,423,638 | |
Fidelity International Enhanced Index Fund (a) | 7,454,907 | 78,500,173 | |
Fidelity International Small Cap Fund (a) | 1,037,791 | 30,562,959 | |
Fidelity International Small Cap Opportunities Fund (a) | 2,022,865 | 38,818,773 | |
Fidelity International Value Fund (a) | 5,163,618 | 47,660,190 | |
Fidelity Japan Smaller Companies Fund (a) | 2,804,268 | 41,615,333 | |
Fidelity Large Cap Value Enhanced Index Fund (a) | 1,556,158 | 23,248,993 | |
Fidelity Low-Priced Stock Fund (a) | 1,325,411 | 63,725,758 | |
Fidelity Overseas Fund (a) | 5,023,574 | 291,618,449 | |
Fidelity Real Estate Investment Portfolio (a) | 578,860 | 22,401,891 | |
Fidelity U.S. Low Volatility Equity Fund (a) | 5,226,498 | 54,198,788 | |
Fidelity Value Discovery Fund (a) | 737,457 | 25,973,247 | |
VIP Stock Selector All Cap Portfolio Investor Class (a) | 134,447,828 | 1,274,565,414 | |
TOTAL EQUITY FUNDS (Cost $2,447,433,531) | 2,581,753,477 | ||
Fixed-Income Funds - 40.4% | |||
Shares | Value ($) | ||
Fidelity Floating Rate High Income Fund (a) | 6,146,773 | 56,365,910 | |
Fidelity High Income Fund (a) | 3,805,730 | 28,162,403 | |
Fidelity Inflation-Protected Bond Index Fund (a) | 5,991,059 | 55,117,744 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 6,158,120 | 64,167,615 | |
Fidelity New Markets Income Fund (a) | 865,313 | 10,054,943 | |
Fidelity Total Bond Fund (a) | 84,573,639 | 797,529,418 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 83,402,019 | 793,987,223 | |
TOTAL FIXED-INCOME FUNDS (Cost $1,870,735,557) | 1,805,385,256 | ||
Money Market Funds - 1.6% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (b) (Cost $71,942,699) | 71,928,314 | 71,942,700 | |
U.S. Treasury Obligations - 0.4% | |||
Principal Amount (c) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.19% to 5.19% 7/27/23 to 9/7/23 (d) (Cost $18,179,203) | 18,250,000 | 18,185,995 | |
TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $4,408,290,990) | 4,477,267,428 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (3,613,865) |
NET ASSETS - 100.0% | 4,473,653,563 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI EAFE Index Contracts (United States) | 222 | Sep 2023 | 23,926,050 | 175,412 | 175,412 |
ICE MSCI Emerging Markets Index Contracts (United States) | 320 | Sep 2023 | 15,966,400 | (166,281) | (166,281) |
TOTAL EQUITY INDEX CONTRACTS | 9,131 | ||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 103 | Sep 2023 | 11,030,656 | (218,278) | (218,278) |
TOTAL PURCHASED | (209,147) | ||||
Sold | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 1,403 | Sep 2023 | 314,850,738 | (9,753,330) | (9,753,330) |
TOTAL FUTURES CONTRACTS | (9,962,477) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 1.1% | |||||
The notional amount of futures sold as a percentage of Net Assets is 7.0% |
(a) | Affiliated Fund |
(b) | 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. |
(c) | Amount is stated in United States dollars unless otherwise noted. |
(d) | 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 $17,164,422. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 21,835,280 | 195,716,506 | 145,609,087 | 333,197 | - | 1 | 71,942,700 | 0.2% |
Total | 21,835,280 | 195,716,506 | 145,609,087 | 333,197 | - | 1 | 71,942,700 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Canada Fund | 26,268,920 | 4,103,029 | 3,208,164 | - | (57,452) | 2,275,351 | 29,381,684 |
Fidelity Commodity Strategy Fund | 24,871,022 | - | 9,211,386 | - | (2,847,625) | 1,252,302 | 14,064,313 |
Fidelity Contrafund | 13,608,890 | 241,987 | 2,937,326 | 196,512 | 155,074 | 2,646,899 | 13,715,524 |
Fidelity Emerging Markets Discovery Fund | 42,141,029 | 745,961 | 2,236,838 | - | (78,525) | 5,395,683 | 45,967,310 |
Fidelity Emerging Markets Fund | 205,358,125 | 35,481,844 | 19,891,417 | - | (256,152) | 24,045,179 | 244,737,579 |
Fidelity Equity-Income Fund | 50,452,266 | 343,256 | 8,633,333 | 226,697 | 894,566 | 570,866 | 43,627,621 |
Fidelity Floating Rate High Income Fund | 130,813,894 | 4,199,379 | 81,155,145 | 3,986,326 | (2,740,550) | 5,248,332 | 56,365,910 |
Fidelity Global Commodity Stock Fund | 75,011,683 | 149,176 | 64,342,403 | - | 25,090,018 | (29,052,548) | 6,855,926 |
Fidelity Gold Portfolio | - | 57,893,237 | 50,528,044 | 271,613 | (7,365,193) | - | - |
Fidelity Hedged Equity Fund | 11,893,817 | 43,212,319 | - | 7,504 | - | 1,810,811 | 56,916,947 |
Fidelity High Income Fund | 35,001,084 | 987,294 | 8,379,509 | 909,369 | (294,378) | 847,912 | 28,162,403 |
Fidelity Inflation-Protected Bond Index Fund | 88,299,178 | 5,451,379 | 40,535,883 | 25,926 | (2,073,386) | 3,976,456 | 55,117,744 |
Fidelity Infrastructure Fund | - | 4,577,771 | 249,311 | 12,892 | (2,672) | 42,211 | 4,367,999 |
Fidelity International Capital Appreciation Fund | 47,135,419 | 7,750,435 | 5,118,838 | - | 95,521 | 8,942,431 | 58,804,968 |
Fidelity International Discovery Fund | 60,575,710 | 9,554,385 | 6,701,688 | - | (200,436) | 7,195,667 | 70,423,638 |
Fidelity International Enhanced Index Fund | 65,483,051 | 10,496,419 | 5,950,007 | - | 32,473 | 8,438,237 | 78,500,173 |
Fidelity International Small Cap Fund | 26,266,552 | 4,215,514 | 2,639,407 | - | 49,300 | 2,671,000 | 30,562,959 |
Fidelity International Small Cap Opportunities Fund | 35,812,076 | 100,454 | - | - | - | 2,906,243 | 38,818,773 |
Fidelity International Value Fund | 40,625,387 | 6,460,602 | 3,480,444 | - | 10,293 | 4,044,352 | 47,660,190 |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% | 56,933,955 | 390,646 | 57,324,601 | 423,248 | - | - | - |
Fidelity Japan Smaller Companies Fund | 37,773,487 | - | - | - | - | 3,841,846 | 41,615,333 |
Fidelity Large Cap Value Enhanced Index Fund | 26,582,548 | 56,411 | 4,390,557 | - | 430,147 | 570,444 | 23,248,993 |
Fidelity Long-Term Treasury Bond Index Fund | 21,746,072 | 45,646,272 | 2,867,183 | 541,467 | (411,976) | 54,430 | 64,167,615 |
Fidelity Low-Priced Stock Fund | 72,404,093 | 140,716 | 11,598,842 | - | 562,017 | 2,217,774 | 63,725,758 |
Fidelity New Markets Income Fund | 10,554,427 | 286,316 | 884,688 | 260,340 | (204,536) | 303,424 | 10,054,943 |
Fidelity Overseas Fund | 240,984,879 | 38,973,680 | 25,262,361 | - | 493,295 | 36,428,956 | 291,618,449 |
Fidelity Real Estate Investment Portfolio | 30,398,075 | 131,068 | 9,144,912 | 66,991 | (550,750) | 1,568,410 | 22,401,891 |
Fidelity Total Bond Fund | 789,565,602 | 73,319,065 | 74,316,902 | 16,177,791 | (1,897,247) | 10,858,900 | 797,529,418 |
Fidelity U.S. Low Volatility Equity Fund | 102,120,955 | 300,300 | 48,373,735 | 136,882 | 2,404,546 | (2,253,278) | 54,198,788 |
Fidelity Value Discovery Fund | 30,864,615 | 63,815 | 4,969,038 | - | 955,324 | (941,469) | 25,973,247 |
VIP Investment Grade Bond II Portfolio - Investor Class | 789,769,458 | 58,151,362 | 74,289,246 | 331,624 | (2,171,224) | 22,526,873 | 793,987,223 |
VIP Stock Selector All Cap Portfolio Investor Class | 1,268,321,115 | 2,059,420 | 190,967,146 | - | (28,766,465) | 223,918,490 | 1,274,565,414 |
4,457,637,384 | 415,483,512 | 819,588,354 | 23,575,182 | (18,745,993) | 352,352,184 | 4,387,138,733 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 2,581,753,477 | 2,581,753,477 | - | - |
Fixed-Income Funds | 1,805,385,256 | 1,805,385,256 | - | - |
Money Market Funds | 71,942,700 | 71,942,700 | - | - |
Other Short-Term Investments and Net Other Assets | 18,185,995 | - | 18,185,995 | - |
Total Investments in Securities: | 4,477,267,428 | 4,459,081,433 | 18,185,995 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 175,412 | 175,412 | - | - |
Total Assets | 175,412 | 175,412 | - | - |
Liabilities | ||||
Futures Contracts | (10,137,889) | (10,137,889) | - | - |
Total Liabilities | (10,137,889) | (10,137,889) | - | - |
Total Derivative Instruments: | (9,962,477) | (9,962,477) | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Futures Contracts (a) | 175,412 | (9,919,611) |
Total Equity Risk | 175,412 | (9,919,611) |
Interest Rate Risk | ||
Futures Contracts (a) | 0 | (218,278) |
Total Interest Rate Risk | 0 | (218,278) |
Total Value of Derivatives | 175,412 | (10,137,889) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $18,179,203) | $ | 18,185,995 | ||
Fidelity Central Funds (cost $71,942,699) | 71,942,700 | |||
Other affiliated issuers (cost $4,318,169,088) | 4,387,138,733 | |||
Total Investment in Securities (cost $4,408,290,990) | $ | 4,477,267,428 | ||
Receivable for investments sold | 1,862,501 | |||
Receivable for fund shares sold | 7,655 | |||
Distributions receivable from Fidelity Central Funds | 48,424 | |||
Total assets | 4,479,186,008 | |||
Liabilities | ||||
Payable for investments purchased | $ | 5,188 | ||
Payable for fund shares redeemed | 1,864,966 | |||
Accrued management fee | 372,118 | |||
Distribution and service plan fees payable | 9,728 | |||
Payable for daily variation margin on futures contracts | 3,280,445 | |||
Total Liabilities | 5,532,445 | |||
Net Assets | $ | 4,473,653,563 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 4,546,322,831 | ||
Total accumulated earnings (loss) | (72,669,268) | |||
Net Assets | $ | 4,473,653,563 | ||
Net Asset Value and Maximum Offering Price | ||||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($52,755 ÷ 4,773 shares) | $ | 11.05 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($78,342,031 ÷ 7,127,875 shares) | $ | 10.99 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($4,395,258,777 ÷ 397,743,682 shares) | $ | 11.05 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 23,363,142 | ||
Interest | 398,939 | |||
Income from Fidelity Central Funds | 333,197 | |||
Total Income | 24,095,278 | |||
Expenses | ||||
Management fee | $ | 3,380,783 | ||
Distribution and service plan fees | 97,094 | |||
Independent trustees' fees and expenses | 7,951 | |||
Total expenses before reductions | 3,485,828 | |||
Expense reductions | (1,168,548) | |||
Total expenses after reductions | 2,317,280 | |||
Net Investment income (loss) | 21,777,998 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 125 | |||
Affiliated issuers | (18,745,993) | |||
Futures contracts | (20,048,925) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 212,040 | |||
Total net realized gain (loss) | (38,582,753) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 1,329 | |||
Fidelity Central Funds | 1 | |||
Other affiliated issuers | 352,352,184 | |||
Futures contracts | (16,209,266) | |||
Total change in net unrealized appreciation (depreciation) | 336,144,248 | |||
Net gain (loss) | 297,561,495 | |||
Net increase (decrease) in net assets resulting from operations | $ | 319,339,493 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 21,777,998 | $ | 93,972,934 |
Net realized gain (loss) | (38,582,753) | (113,948,148) | ||
Change in net unrealized appreciation (depreciation) | 336,144,248 | (796,941,538) | ||
Net increase (decrease) in net assets resulting from operations | 319,339,493 | (816,916,752) | ||
Distributions to shareholders | (11,931,895) | (979,815,592) | ||
Share transactions - net increase (decrease) | (329,275,818) | 310,287,644 | ||
Total increase (decrease) in net assets | (21,868,220) | (1,486,444,700) | ||
Net Assets | ||||
Beginning of period | 4,495,521,783 | 5,981,966,483 | ||
End of period | $ | 4,473,653,563 | $ | 4,495,521,783 |
VIP FundsManager® 50% Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.33 | $ | 14.51 | $ | 13.57 | $ | 12.28 | $ | 11.68 | $ | 13.53 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .05 | .21 | .15 | .14 | .20 | .19 | ||||||
Net realized and unrealized gain (loss) | .70 | (2.00) | 1.19 | 1.55 | 1.76 | (.86) | ||||||
Total from investment operations | .75 | (1.79) | 1.34 | 1.69 | 1.96 | (.67) | ||||||
Distributions from net investment income | (.03) | (.23) | (.16) | (.14) | (.20) | (.18) | ||||||
Distributions from net realized gain | - | (2.16) | (.24) | (.26) | (1.15) | (1.00) | ||||||
Total distributions | (.03) | (2.39) | (.40) | (.40) | (1.36) C | (1.18) | ||||||
Net asset value, end of period | $ | 11.05 | $ | 10.33 | $ | 14.51 | $ | 13.57 | $ | 12.28 | $ | 11.68 |
Total Return D,E,F | 7.25% | (13.91)% | 10.01% | 14.06% | 17.89% | (5.28)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .30% | .35% | .35% | .35% | .35% | ||||||
Expenses net of fee waivers, if any | .10% I | .15% | .20% | .20% | .20% | .20% | ||||||
Expenses net of all reductions | .10% I | .15% | .20% | .20% | .20% | .20% | ||||||
Net investment income (loss) | .97% I | 1.86% | 1.10% | 1.12% | 1.68% | 1.52% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 53 | $ | 49 | $ | 69 | $ | 64 | $ | 58 | $ | 55 |
Portfolio turnover rate J | 19% I | 51% K | 51% K | 24% K | 25% | 80% |
VIP FundsManager® 50% Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.28 | $ | 14.45 | $ | 13.51 | $ | 12.23 | $ | 11.64 | $ | 13.48 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .19 | .13 | .12 | .18 | .17 | ||||||
Net realized and unrealized gain (loss) | .70 | (1.99) | 1.18 | 1.55 | 1.75 | (.85) | ||||||
Total from investment operations | .74 | (1.80) | 1.31 | 1.67 | 1.93 | (.68) | ||||||
Distributions from net investment income | (.03) | (.21) | (.14) | (.13) | (.19) | (.16) | ||||||
Distributions from net realized gain | - | (2.16) | (.24) | (.26) | (1.15) | (1.00) | ||||||
Total distributions | (.03) | (2.37) | (.37) C | (.39) | (1.34) | (1.16) | ||||||
Net asset value, end of period | $ | 10.99 | $ | 10.28 | $ | 14.45 | $ | 13.51 | $ | 12.23 | $ | 11.64 |
Total Return D,E,F | 7.19% | (14.04)% | 9.88% | 13.89% | 17.69% | (5.38)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .40% I | .45% | .50% | .50% | .50% | .50% | ||||||
Expenses net of fee waivers, if any | .25% I | .30% | .35% | .35% | .35% | .35% | ||||||
Expenses net of all reductions | .25% I | .30% | .35% | .35% | .35% | .35% | ||||||
Net investment income (loss) | .82% I | 1.71% | .95% | .97% | 1.53% | 1.37% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 78,342 | $ | 75,580 | $ | 94,708 | $ | 114,211 | $ | 103,031 | $ | 90,234 |
Portfolio turnover rate J | 19% I | 51% K | 51% K | 24% K | 25% | 80% |
VIP FundsManager® 50% Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.32 | $ | 14.50 | $ | 13.56 | $ | 12.28 | $ | 11.68 | $ | 13.52 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .05 | .21 | .15 | .14 | .20 | .19 | ||||||
Net realized and unrealized gain (loss) | .71 | (2.00) | 1.19 | 1.54 | 1.76 | (.85) | ||||||
Total from investment operations | .76 | (1.79) | 1.34 | 1.68 | 1.96 | (.66) | ||||||
Distributions from net investment income | (.03) | (.23) | (.16) | (.14) | (.20) | (.18) | ||||||
Distributions from net realized gain | - | (2.16) | (.24) | (.26) | (1.15) | (1.00) | ||||||
Total distributions | (.03) | (2.39) | (.40) | (.40) | (1.36) C | (1.18) | ||||||
Net asset value, end of period | $ | 11.05 | $ | 10.32 | $ | 14.50 | $ | 13.56 | $ | 12.28 | $ | 11.68 |
Total Return D,E,F | 7.35% | (13.94)% | 10.02% | 13.98% | 17.89% | (5.20)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .15% I | .20% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .10% I | .15% | .20% | .20% | .20% | .20% | ||||||
Expenses net of all reductions | .10% I | .15% | .20% | .20% | .20% | .20% | ||||||
Net investment income (loss) | .97% I | 1.86% | 1.10% | 1.12% | 1.68% | 1.52% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 4,395,259 | $ | 4,419,893 | $ | 5,887,190 | $ | 5,731,732 | $ | 5,630,795 | $ | 5,535,648 |
Portfolio turnover rate J | 19% I | 51% K | 51% K | 24% K | 25% | 80% |
Top Holdings (% of Fund's net assets) | ||
VIP Stock Selector All Cap Portfolio Investor Class | 28.8 | |
Fidelity Total Bond Fund | 14.8 | |
VIP Investment Grade Bond II Portfolio - Investor Class | 14.8 | |
Fidelity Overseas Fund | 7.0 | |
Fidelity Emerging Markets Fund | 6.5 | |
Fidelity Low-Priced Stock Fund | 2.2 | |
Fidelity Equity-Income Fund | 2.0 | |
Fidelity Cash Central Fund 5.14% | 2.0 | |
Fidelity International Enhanced Index Fund | 1.8 | |
Fidelity International Discovery Fund | 1.7 | |
81.6 | ||
Asset Allocation (% of Fund's net assets) |
Futures - 1.2% |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Equity Funds - 63.0% | |||
Shares | Value ($) | ||
Fidelity Canada Fund (a) | 755,070 | 47,607,148 | |
Fidelity Commodity Strategy Fund (a) | 200,408 | 18,962,622 | |
Fidelity Contrafund (a) | 4,007,529 | 59,792,336 | |
Fidelity Emerging Markets Discovery Fund (a) | 3,208,022 | 50,301,786 | |
Fidelity Emerging Markets Fund (a) | 11,606,626 | 405,303,373 | |
Fidelity Equity-Income Fund (a) | 1,929,853 | 127,061,526 | |
Fidelity Global Commodity Stock Fund (a) | 576,006 | 10,229,871 | |
Fidelity Hedged Equity Fund (a) | 7,494,178 | 78,613,925 | |
Fidelity Infrastructure Fund (a) | 487,762 | 5,916,555 | |
Fidelity International Capital Appreciation Fund (a) | 3,530,724 | 87,385,431 | |
Fidelity International Discovery Fund (a) | 2,446,084 | 107,823,403 | |
Fidelity International Enhanced Index Fund (a) | 10,450,818 | 110,047,109 | |
Fidelity International Small Cap Fund (a) | 1,614,652 | 47,551,505 | |
Fidelity International Small Cap Opportunities Fund (a) | 2,820,167 | 54,119,003 | |
Fidelity International Value Fund (a) | 7,432,207 | 68,599,269 | |
Fidelity Japan Smaller Companies Fund (a) | 2,911,911 | 43,212,763 | |
Fidelity Large Cap Value Enhanced Index Fund (a) | 3,540,511 | 52,895,229 | |
Fidelity Low-Priced Stock Fund (a) | 2,873,772 | 138,170,934 | |
Fidelity Overseas Fund (a) | 7,513,905 | 436,182,193 | |
Fidelity Real Estate Investment Portfolio (a) | 799,501 | 30,940,687 | |
Fidelity U.S. Low Volatility Equity Fund (a) | 7,323,863 | 75,948,459 | |
Fidelity Value Discovery Fund (a) | 1,762,289 | 62,067,829 | |
VIP Stock Selector All Cap Portfolio Investor Class (a) | 188,703,638 | 1,788,910,490 | |
TOTAL EQUITY FUNDS (Cost $3,683,560,594) | 3,907,643,446 | ||
Fixed-Income Funds - 34.6% | |||
Shares | Value ($) | ||
Fidelity Floating Rate High Income Fund (a) | 6,812,962 | 62,474,863 | |
Fidelity High Income Fund (a) | 5,273,366 | 39,022,912 | |
Fidelity Inflation-Protected Bond Index Fund (a) | 9,954,530 | 91,581,673 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 10,063,957 | 104,866,432 | |
Fidelity New Markets Income Fund (a) | 1,266,395 | 14,715,514 | |
Fidelity Total Bond Fund (a) | 97,535,715 | 919,761,796 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 96,191,409 | 915,742,209 | |
TOTAL FIXED-INCOME FUNDS (Cost $2,231,630,445) | 2,148,165,399 | ||
Money Market Funds - 2.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (b) (Cost $126,214,217) | 126,188,980 | 126,214,217 | |
U.S. Treasury Obligations - 0.4% | |||
Principal Amount (c) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.14% to 5.26% 7/27/23 to 9/14/23 (d) (Cost $21,986,637) | 22,080,000 | 21,994,663 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $6,063,391,893) | 6,204,017,725 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (1,486,872) |
NET ASSETS - 100.0% | 6,202,530,853 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI EAFE Index Contracts (United States) | 1,481 | Sep 2023 | 159,614,775 | 1,170,547 | 1,170,547 |
ICE MSCI Emerging Markets Index Contracts (United States) | 706 | Sep 2023 | 35,225,870 | (366,795) | (366,795) |
TOTAL EQUITY INDEX CONTRACTS | 803,752 | ||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 142 | Sep 2023 | 15,207,313 | (300,926) | (300,926) |
TOTAL PURCHASED | 502,826 | ||||
Sold | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 1,260 | Sep 2023 | 282,759,750 | (8,758,939) | (8,758,939) |
TOTAL FUTURES CONTRACTS | (8,256,113) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 3.4% | |||||
The notional amount of futures sold as a percentage of Net Assets is 4.6% |
(a) | Affiliated Fund |
(b) | 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. |
(c) | Amount is stated in United States dollars unless otherwise noted. |
(d) | 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 $20,326,721. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 23,270,110 | 211,584,065 | 108,639,958 | 722,031 | - | - | 126,214,217 | 0.3% |
Total | 23,270,110 | 211,584,065 | 108,639,958 | 722,031 | - | - | 126,214,217 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Canada Fund | 42,045,692 | 4,422,001 | 2,415,606 | - | (79,139) | 3,634,200 | 47,607,148 |
Fidelity Commodity Strategy Fund | 34,874,076 | 10,230 | 13,656,793 | - | (8,475,002) | 6,210,111 | 18,962,622 |
Fidelity Contrafund | 51,837,667 | 2,386,684 | 5,961,957 | 778,800 | 30,460 | 11,499,482 | 59,792,336 |
Fidelity Emerging Markets Discovery Fund | 43,365,633 | 2,943,512 | 1,643,818 | - | (32,012) | 5,668,471 | 50,301,786 |
Fidelity Emerging Markets Fund | 310,103,807 | 73,252,285 | 14,735,846 | - | (39,257) | 36,722,384 | 405,303,373 |
Fidelity Equity-Income Fund | 132,722,232 | 4,729,590 | 14,495,401 | 625,879 | 332,561 | 3,772,544 | 127,061,526 |
Fidelity Floating Rate High Income Fund | 147,661,871 | 9,216,396 | 97,262,465 | 4,617,211 | (2,992,186) | 5,851,247 | 62,474,863 |
Fidelity Global Commodity Stock Fund | 106,092,672 | 3,477,989 | 94,455,646 | - | 35,306,681 | (40,191,825) | 10,229,871 |
Fidelity Gold Portfolio | - | 76,811,778 | 66,896,632 | 360,285 | (9,915,146) | - | - |
Fidelity Hedged Equity Fund | 14,700,174 | 61,565,341 | - | 9,275 | - | 2,348,410 | 78,613,925 |
Fidelity High Income Fund | 44,809,789 | 3,132,523 | 9,632,821 | 1,210,343 | (586,738) | 1,300,159 | 39,022,912 |
Fidelity Inflation-Protected Bond Index Fund | 108,830,605 | 15,546,656 | 35,091,043 | 40,997 | (2,035,860) | 4,331,315 | 91,581,673 |
Fidelity Infrastructure Fund | - | 6,036,474 | 176,746 | 16,881 | (909) | 57,736 | 5,916,555 |
Fidelity International Capital Appreciation Fund | 70,545,333 | 7,353,444 | 3,847,048 | - | 16,723 | 13,316,979 | 87,385,431 |
Fidelity International Discovery Fund | 92,816,122 | 9,477,641 | 5,039,620 | - | (366,187) | 10,935,447 | 107,823,403 |
Fidelity International Enhanced Index Fund | 93,691,610 | 8,957,027 | 4,479,149 | - | (175,415) | 12,053,036 | 110,047,109 |
Fidelity International Small Cap Fund | 41,324,509 | 3,964,255 | 1,981,130 | - | 40,753 | 4,203,118 | 47,551,505 |
Fidelity International Small Cap Opportunities Fund | 47,311,853 | 2,940,948 | - | - | - | 3,866,202 | 54,119,003 |
Fidelity International Value Fund | 59,869,481 | 5,408,312 | 2,619,591 | - | 19,071 | 5,921,996 | 68,599,269 |
Fidelity Japan Smaller Companies Fund | 39,223,445 | - | - | - | - | 3,989,318 | 43,212,763 |
Fidelity Large Cap Value Enhanced Index Fund | 54,978,890 | 1,985,477 | 6,289,409 | - | 188,913 | 2,031,358 | 52,895,229 |
Fidelity Long-Term Treasury Bond Index Fund | 55,441,582 | 51,190,746 | 2,681,054 | 1,071,248 | (231,362) | 1,146,520 | 104,866,432 |
Fidelity Low-Priced Stock Fund | 143,904,503 | 4,962,640 | 16,452,730 | - | (1,601,002) | 7,357,523 | 138,170,934 |
Fidelity New Markets Income Fund | 14,120,986 | 1,007,273 | 553,968 | 363,724 | (18,450) | 159,673 | 14,715,514 |
Fidelity Overseas Fund | 363,754,111 | 36,656,775 | 19,009,298 | - | 930,104 | 53,850,501 | 436,182,193 |
Fidelity Real Estate Investment Portfolio | 38,623,985 | 1,647,595 | 10,636,628 | 91,543 | (654,371) | 1,960,106 | 30,940,687 |
Fidelity Total Bond Fund | 822,570,426 | 123,526,288 | 35,126,214 | 17,834,485 | (371,723) | 9,163,019 | 919,761,796 |
Fidelity U.S. Low Volatility Equity Fund | 130,016,987 | 4,338,377 | 58,680,348 | 190,017 | 2,528,057 | (2,254,614) | 75,948,459 |
Fidelity Value Discovery Fund | 67,129,783 | 2,258,656 | 7,395,878 | - | 985,972 | (910,704) | 62,067,829 |
VIP Investment Grade Bond II Portfolio - Investor Class | 822,788,307 | 106,783,083 | 35,124,475 | 351,511 | (677,657) | 21,972,951 | 915,742,209 |
VIP Stock Selector All Cap Portfolio Investor Class | 1,660,776,208 | 60,888,468 | 197,294,008 | - | (25,585,031) | 290,124,853 | 1,788,910,490 |
5,655,932,339 | 696,878,464 | 763,635,322 | 27,562,199 | (13,458,152) | 480,091,516 | 6,055,808,845 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 3,907,643,446 | 3,907,643,446 | - | - |
Fixed-Income Funds | 2,148,165,399 | 2,148,165,399 | - | - |
Money Market Funds | 126,214,217 | 126,214,217 | - | - |
Other Short-Term Investments and Net Other Assets | 21,994,663 | - | 21,994,663 | - |
Total Investments in Securities: | 6,204,017,725 | 6,182,023,062 | 21,994,663 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 1,170,547 | 1,170,547 | - | - |
Total Assets | 1,170,547 | 1,170,547 | - | - |
Liabilities | ||||
Futures Contracts | (9,426,660) | (9,426,660) | - | - |
Total Liabilities | (9,426,660) | (9,426,660) | - | - |
Total Derivative Instruments: | (8,256,113) | (8,256,113) | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Futures Contracts (a) | 1,170,547 | (9,125,734) |
Total Equity Risk | 1,170,547 | (9,125,734) |
Interest Rate Risk | ||
Futures Contracts (a) | 0 | (300,926) |
Total Interest Rate Risk | 0 | (300,926) |
Total Value of Derivatives | 1,170,547 | (9,426,660) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $21,986,637) | $ | 21,994,663 | ||
Fidelity Central Funds (cost $126,214,217) | 126,214,217 | |||
Other affiliated issuers (cost $5,915,191,039) | 6,055,808,845 | |||
Total Investment in Securities (cost $6,063,391,893) | $ | 6,204,017,725 | ||
Receivable for investments sold | 917,728 | |||
Receivable for fund shares sold | 2,394,675 | |||
Distributions receivable from Fidelity Central Funds | 219,640 | |||
Total assets | 6,207,549,768 | |||
Liabilities | ||||
Payable for investments purchased | $ | 1,657,609 | ||
Payable for fund shares redeemed | 1,612,472 | |||
Accrued management fee | 512,382 | |||
Distribution and service plan fees payable | 70,697 | |||
Payable for daily variation margin on futures contracts | 1,165,755 | |||
Total Liabilities | 5,018,915 | |||
Net Assets | $ | 6,202,530,853 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 6,173,488,027 | ||
Total accumulated earnings (loss) | 29,042,826 | |||
Net Assets | $ | 6,202,530,853 | ||
Net Asset Value and Maximum Offering Price | ||||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($86,110,008 ÷ 9,184,314 shares) | $ | 9.38 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($569,009,429 ÷ 60,962,421 shares) | $ | 9.33 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($5,547,411,416 ÷ 591,681,441 shares) | $ | 9.38 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 26,741,196 | ||
Interest | 474,694 | |||
Income from Fidelity Central Funds | 722,031 | |||
Total Income | 27,937,921 | |||
Expenses | ||||
Management fee | $ | 4,475,644 | ||
Distribution and service plan fees | 733,190 | |||
Independent trustees' fees and expenses | 10,268 | |||
Total expenses before reductions | 5,219,102 | |||
Expense reductions | (1,811,760) | |||
Total expenses after reductions | 3,407,342 | |||
Net Investment income (loss) | 24,530,579 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 106 | |||
Affiliated issuers | (13,458,152) | |||
Futures contracts | (12,366,451) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 821,003 | |||
Total net realized gain (loss) | (25,003,494) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 2,087 | |||
Affiliated issuers | 480,091,516 | |||
Futures contracts | (12,805,124) | |||
Total change in net unrealized appreciation (depreciation) | 467,288,479 | |||
Net gain (loss) | 442,284,985 | |||
Net increase (decrease) in net assets resulting from operations | $ | 466,815,564 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 24,530,579 | $ | 106,349,204 |
Net realized gain (loss) | (25,003,494) | (101,932,942) | ||
Change in net unrealized appreciation (depreciation) | 467,288,479 | (1,081,979,436) | ||
Net increase (decrease) in net assets resulting from operations | 466,815,564 | (1,077,563,174) | ||
Distributions to shareholders | (14,341,100) | (1,199,936,759) | ||
Share transactions - net increase (decrease) | 53,548,314 | 781,927,644 | ||
Total increase (decrease) in net assets | 506,022,778 | (1,495,572,289) | ||
Net Assets | ||||
Beginning of period | 5,696,508,075 | 7,192,080,364 | ||
End of period | $ | 6,202,530,853 | $ | 5,696,508,075 |
VIP FundsManager® 60% Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 8.69 | $ | 12.40 | $ | 11.35 | $ | 10.20 | $ | 10.22 | $ | 12.50 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .16 | .13 | .11 | .16 | .16 | ||||||
Net realized and unrealized gain (loss) | .67 | (1.82) | 1.25 | 1.40 | 1.71 | (.87) | ||||||
Total from investment operations | .71 | (1.66) | 1.38 | 1.51 | 1.87 | (.71) | ||||||
Distributions from net investment income | (.02) | (.17) | (.14) | (.11) | (.15) | (.14) | ||||||
Distributions from net realized gain | - | (1.88) | (.20) | (.25) | (1.74) | (1.42) | ||||||
Total distributions | (.02) | (2.05) | (.33) C | (.36) | (1.89) | (1.57) C | ||||||
Net asset value, end of period | $ | 9.38 | $ | 8.69 | $ | 12.40 | $ | 11.35 | $ | 10.20 | $ | 10.22 |
Total Return D,E,F | 8.20% | (15.06)% | 12.34% | 15.12% | 20.49% | (6.44)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .29% | .35% | .35% | .35% | .35% | ||||||
Expenses net of fee waivers, if any | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Expenses net of all reductions | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Net investment income (loss) | .83% I | 1.73% | 1.08% | 1.06% | 1.61% | 1.40% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 86,110 | $ | 68,120 | $ | 58,353 | $ | 28,621 | $ | 9,951 | $ | 50 |
Portfolio turnover rate J | 24% I | 43% K | 54% K | 22% K | 33% | 91% |
VIP FundsManager® 60% Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 8.65 | $ | 12.36 | $ | 11.31 | $ | 10.17 | $ | 10.20 | $ | 12.47 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .03 | .15 | .11 | .09 | .14 | .14 | ||||||
Net realized and unrealized gain (loss) | .67 | (1.82) | 1.25 | 1.39 | 1.71 | (.86) | ||||||
Total from investment operations | .70 | (1.67) | 1.36 | 1.48 | 1.85 | (.72) | ||||||
Distributions from net investment income | (.02) | (.16) | (.12) | (.09) | (.14) | (.13) | ||||||
Distributions from net realized gain | - | (1.88) | (.20) | (.25) | (1.74) | (1.42) | ||||||
Total distributions | (.02) | (2.04) | (.31) C | (.34) | (1.88) | (1.55) | ||||||
Net asset value, end of period | $ | 9.33 | $ | 8.65 | $ | 12.36 | $ | 11.31 | $ | 10.17 | $ | 10.20 |
Total Return D,E,F | 8.12% | (15.25)% | 12.21% | 14.92% | 20.25% | (6.51)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .40% I | .45% | .50% | .50% | .50% | .50% | ||||||
Expenses net of fee waivers, if any | .25% I | .29% | .35% | .35% | .35% | .35% | ||||||
Expenses net of all reductions | .25% I | .29% | .35% | .35% | .35% | .35% | ||||||
Net investment income (loss) | .68% I | 1.58% | .93% | .91% | 1.46% | 1.25% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 569,009 | $ | 534,692 | $ | 640,658 | $ | 656,402 | $ | 594,140 | $ | 533,024 |
Portfolio turnover rate J | 24% I | 43% K | 54% K | 22% K | 33% | 91% |
VIP FundsManager® 60% Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 8.69 | $ | 12.40 | $ | 11.35 | $ | 10.20 | $ | 10.22 | $ | 12.50 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .16 | .13 | .11 | .16 | .16 | ||||||
Net realized and unrealized gain (loss) | .67 | (1.82) | 1.25 | 1.40 | 1.71 | (.87) | ||||||
Total from investment operations | .71 | (1.66) | 1.38 | 1.51 | 1.87 | (.71) | ||||||
Distributions from net investment income | (.02) | (.17) | (.14) | (.11) | (.15) | (.14) | ||||||
Distributions from net realized gain | - | (1.88) | (.20) | (.25) | (1.74) | (1.42) | ||||||
Total distributions | (.02) | (2.05) | (.33) C | (.36) | (1.89) | (1.57) C | ||||||
Net asset value, end of period | $ | 9.38 | $ | 8.69 | $ | 12.40 | $ | 11.35 | $ | 10.20 | $ | 10.22 |
Total Return D,E,F | 8.20% | (15.06)% | 12.34% | 15.12% | 20.49% | (6.44)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .15% I | .19% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Expenses net of all reductions | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Net investment income (loss) | .83% I | 1.73% | 1.08% | 1.06% | 1.61% | 1.40% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 5,547,411 | $ | 5,093,696 | $ | 6,493,070 | $ | 5,919,107 | $ | 5,375,333 | $ | 4,777,580 |
Portfolio turnover rate J | 24% I | 43% K | 54% K | 22% K | 33% | 91% |
Top Holdings (% of Fund's net assets) | ||
VIP Stock Selector All Cap Portfolio Investor Class | 33.8 | |
Fidelity Total Bond Fund | 9.9 | |
VIP Investment Grade Bond II Portfolio - Investor Class | 9.8 | |
Fidelity Overseas Fund | 8.5 | |
Fidelity Emerging Markets Fund | 7.5 | |
Fidelity Low-Priced Stock Fund | 2.6 | |
Fidelity Equity-Income Fund | 2.2 | |
Fidelity International Enhanced Index Fund | 2.1 | |
Fidelity International Discovery Fund | 2.1 | |
Fidelity Cash Central Fund 5.14% | 2.0 | |
80.5 | ||
Asset Allocation (% of Fund's net assets) |
Futures - 1.5% |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Equity Funds - 73.2% | |||
Shares | Value ($) | ||
Fidelity Canada Fund (a) | 278,718 | 17,573,169 | |
Fidelity Commodity Strategy Fund (a) | 76,774 | 7,264,352 | |
Fidelity Contrafund (a) | 1,608,057 | 23,992,214 | |
Fidelity Emerging Markets Discovery Fund (a) | 1,050,514 | 16,472,056 | |
Fidelity Emerging Markets Fund (a) | 4,286,759 | 149,693,631 | |
Fidelity Equity-Income Fund (a) | 663,456 | 43,681,917 | |
Fidelity Global Commodity Stock Fund (a) | 107,803 | 1,914,581 | |
Fidelity Hedged Equity Fund (a) | 2,398,221 | 25,157,341 | |
Fidelity Infrastructure Fund (a) | 154,967 | 1,879,753 | |
Fidelity International Capital Appreciation Fund (a) | 1,361,754 | 33,703,404 | |
Fidelity International Discovery Fund (a) | 937,593 | 41,329,116 | |
Fidelity International Enhanced Index Fund (a) | 4,011,142 | 42,237,321 | |
Fidelity International Small Cap Fund (a) | 616,881 | 18,167,143 | |
Fidelity International Small Cap Opportunities Fund (a) | 952,690 | 18,282,113 | |
Fidelity International Value Fund (a) | 2,847,648 | 26,283,795 | |
Fidelity Japan Smaller Companies Fund (a) | 963,982 | 14,305,489 | |
Fidelity Large Cap Value Enhanced Index Fund (a) | 1,696,236 | 25,341,769 | |
Fidelity Low-Priced Stock Fund (a) | 1,057,695 | 50,853,954 | |
Fidelity Overseas Fund (a) | 2,893,754 | 167,982,395 | |
Fidelity Real Estate Investment Portfolio (a) | 253,729 | 9,819,325 | |
Fidelity U.S. Low Volatility Equity Fund (a) | 2,320,377 | 24,062,311 | |
Fidelity Value Discovery Fund (a) | 614,528 | 21,643,688 | |
VIP Stock Selector All Cap Portfolio Investor Class (a) | 70,670,506 | 669,956,398 | |
TOTAL EQUITY FUNDS (Cost $1,392,930,941) | 1,451,597,235 | ||
Fixed-Income Funds - 24.5% | |||
Shares | Value ($) | ||
Fidelity Floating Rate High Income Fund (a) | 1,633,717 | 14,981,186 | |
Fidelity High Income Fund (a) | 1,679,985 | 12,431,892 | |
Fidelity Inflation-Protected Bond Index Fund (a) | 3,176,481 | 29,223,622 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 3,208,412 | 33,431,654 | |
Fidelity New Markets Income Fund (a) | 425,156 | 4,940,311 | |
Fidelity Total Bond Fund (a) | 20,747,892 | 195,652,618 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 20,458,500 | 194,764,923 | |
TOTAL FIXED-INCOME FUNDS (Cost $502,477,854) | 485,426,206 | ||
Money Market Funds - 2.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (b) (Cost $40,112,116) | 40,104,095 | 40,112,116 | |
U.S. Treasury Obligations - 0.3% | |||
Principal Amount (c) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.14% to 5.26% 7/27/23 to 9/14/23 (d) (Cost $7,060,402) | 7,090,000 | 7,062,988 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $1,942,581,313) | 1,984,198,545 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (546,796) |
NET ASSETS - 100.0% | 1,983,651,749 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI EAFE Index Contracts (United States) | 441 | Sep 2023 | 47,528,775 | 348,466 | 348,466 |
ICE MSCI Emerging Markets Index Contracts (United States) | 235 | Sep 2023 | 11,725,325 | (122,135) | (122,135) |
TOTAL EQUITY INDEX CONTRACTS | 226,331 | ||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 45 | Sep 2023 | 4,819,219 | (95,364) | (95,364) |
TOTAL PURCHASED | 130,967 | ||||
Sold | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 415 | Sep 2023 | 93,131,188 | (2,884,900) | (2,884,900) |
TOTAL FUTURES CONTRACTS | (2,753,933) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 3.2% | |||||
The notional amount of futures sold as a percentage of Net Assets is 4.7% |
(a) | Affiliated Fund |
(b) | 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. |
(c) | Amount is stated in United States dollars unless otherwise noted. |
(d) | 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 $6,544,727. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 12,365,776 | 64,993,255 | 37,246,915 | 237,517 | - | - | 40,112,116 | 0.1% |
Total | 12,365,776 | 64,993,255 | 37,246,915 | 237,517 | - | - | 40,112,116 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Canada Fund | 15,892,931 | 1,074,039 | 727,852 | - | (15,190) | 1,349,241 | 17,573,169 |
Fidelity Commodity Strategy Fund | 11,568,566 | 2,067 | 3,536,314 | - | (2,324,685) | 1,554,718 | 7,264,352 |
Fidelity Contrafund | 20,623,975 | 528,910 | 1,781,184 | 315,132 | 9,895 | 4,610,618 | 23,992,214 |
Fidelity Emerging Markets Discovery Fund | 13,843,850 | 1,288,349 | 489,905 | - | 11 | 1,829,751 | 16,472,056 |
Fidelity Emerging Markets Fund | 127,486,180 | 12,011,124 | 4,401,916 | - | 35,701 | 14,562,542 | 149,693,631 |
Fidelity Equity-Income Fund | 45,423,472 | 763,955 | 3,893,292 | 218,632 | 68,473 | 1,319,309 | 43,681,917 |
Fidelity Floating Rate High Income Fund | 48,879,552 | 1,783,191 | 36,610,217 | 1,365,355 | (1,150,910) | 2,079,570 | 14,981,186 |
Fidelity Global Commodity Stock Fund | 34,355,146 | 397,524 | 30,756,202 | - | 11,092,555 | (13,174,442) | 1,914,581 |
Fidelity Gold Portfolio | - | 24,232,898 | 21,077,722 | 115,610 | (3,155,176) | - | - |
Fidelity Hedged Equity Fund | 4,662,933 | 19,746,539 | - | 2,942 | - | 747,869 | 25,157,341 |
Fidelity High Income Fund | 14,598,746 | 580,925 | 2,978,908 | 390,406 | (220,812) | 451,941 | 12,431,892 |
Fidelity Inflation-Protected Bond Index Fund | 35,229,701 | 4,138,978 | 10,896,946 | 14,283 | (668,812) | 1,420,701 | 29,223,622 |
Fidelity Infrastructure Fund | - | 1,910,126 | 48,105 | 5,445 | (138) | 17,870 | 1,879,753 |
Fidelity International Capital Appreciation Fund | 27,730,111 | 1,909,868 | 1,159,424 | - | (74,704) | 5,297,553 | 33,703,404 |
Fidelity International Discovery Fund | 36,308,000 | 2,422,265 | 1,518,597 | - | (181,863) | 4,299,311 | 41,329,116 |
Fidelity International Enhanced Index Fund | 36,554,133 | 2,405,904 | 1,350,400 | - | (12,192) | 4,639,876 | 42,237,321 |
Fidelity International Small Cap Fund | 16,060,002 | 1,060,404 | 598,020 | - | (6,627) | 1,651,384 | 18,167,143 |
Fidelity International Small Cap Opportunities Fund | 16,599,446 | 335,114 | - | - | - | 1,347,553 | 18,282,113 |
Fidelity International Value Fund | 23,282,315 | 1,493,172 | 788,030 | - | 15,154 | 2,281,184 | 26,283,795 |
Fidelity Japan Smaller Companies Fund | 12,984,834 | - | - | - | - | 1,320,655 | 14,305,489 |
Fidelity Large Cap Value Enhanced Index Fund | 26,175,444 | 264,886 | 2,138,325 | - | 32,784 | 1,006,980 | 25,341,769 |
Fidelity Long-Term Treasury Bond Index Fund | 18,039,266 | 15,789,356 | 708,505 | 345,472 | (34,533) | 346,070 | 33,431,654 |
Fidelity Low-Priced Stock Fund | 52,783,219 | 659,621 | 4,664,104 | - | (467,430) | 2,542,648 | 50,853,954 |
Fidelity New Markets Income Fund | 9,386,569 | 364,456 | 4,909,456 | 237,966 | (1,157,263) | 1,256,005 | 4,940,311 |
Fidelity Overseas Fund | 142,670,380 | 9,600,609 | 5,730,360 | - | (164,295) | 21,606,061 | 167,982,395 |
Fidelity Real Estate Investment Portfolio | 12,537,884 | 186,607 | 3,320,869 | 29,082 | (263,428) | 679,131 | 9,819,325 |
Fidelity Total Bond Fund | 170,873,330 | 29,161,009 | 6,298,773 | 3,723,050 | (87,692) | 2,004,744 | 195,652,618 |
Fidelity U.S. Low Volatility Equity Fund | 42,200,674 | 484,371 | 18,702,340 | 60,366 | 827,905 | (748,299) | 24,062,311 |
Fidelity Value Discovery Fund | 23,355,632 | 300,212 | 2,022,666 | - | 273,560 | (263,050) | 21,643,688 |
VIP Investment Grade Bond II Portfolio - Investor Class | 170,913,838 | 25,581,513 | 6,298,749 | 73,003 | (217,158) | 4,785,479 | 194,764,923 |
VIP Stock Selector All Cap Portfolio Investor Class | 619,127,921 | 7,459,563 | 55,369,187 | - | (7,355,170) | 106,093,271 | 669,956,398 |
1,830,148,050 | 167,937,555 | 232,776,368 | 6,896,744 | (5,202,040) | 176,916,244 | 1,937,023,441 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 1,451,597,235 | 1,451,597,235 | - | - |
Fixed-Income Funds | 485,426,206 | 485,426,206 | - | - |
Money Market Funds | 40,112,116 | 40,112,116 | - | - |
Other Short-Term Investments and Net Other Assets | 7,062,988 | - | 7,062,988 | - |
Total Investments in Securities: | 1,984,198,545 | 1,977,135,557 | 7,062,988 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 348,466 | 348,466 | - | - |
Total Assets | 348,466 | 348,466 | - | - |
Liabilities | ||||
Futures Contracts | (3,102,399) | (3,102,399) | - | - |
Total Liabilities | (3,102,399) | (3,102,399) | - | - |
Total Derivative Instruments: | (2,753,933) | (2,753,933) | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Futures Contracts (a) | 348,466 | (3,007,035) |
Total Equity Risk | 348,466 | (3,007,035) |
Interest Rate Risk | ||
Futures Contracts (a) | 0 | (95,364) |
Total Interest Rate Risk | 0 | (95,364) |
Total Value of Derivatives | 348,466 | (3,102,399) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $7,060,402) | $ | 7,062,988 | ||
Fidelity Central Funds (cost $40,112,116) | 40,112,116 | |||
Other affiliated issuers (cost $1,895,408,795) | 1,937,023,441 | |||
Total Investment in Securities (cost $1,942,581,313) | $ | 1,984,198,545 | ||
Receivable for investments sold | 654,916 | |||
Receivable for fund shares sold | 130,540 | |||
Distributions receivable from Fidelity Central Funds | 67,322 | |||
Total assets | 1,985,051,323 | |||
Liabilities | ||||
Payable for investments purchased | $ | 2,217 | ||
Payable for fund shares redeemed | 783,239 | |||
Accrued management fee | 163,752 | |||
Distribution and service plan fees payable | 8,156 | |||
Payable for daily variation margin on futures contracts | 442,210 | |||
Total Liabilities | 1,399,574 | |||
Net Assets | $ | 1,983,651,749 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 1,971,257,455 | ||
Total accumulated earnings (loss) | 12,394,294 | |||
Net Assets | $ | 1,983,651,749 | ||
Net Asset Value and Maximum Offering Price | ||||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($63,357 ÷ 5,410 shares) | $ | 11.71 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($65,918,948 ÷ 5,670,953 shares) | $ | 11.62 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($1,917,669,444 ÷ 163,872,741 shares) | $ | 11.70 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 6,566,799 | ||
Interest | 151,414 | |||
Income from Fidelity Central Funds | 237,517 | |||
Total Income | 6,955,730 | |||
Expenses | ||||
Management fee | $ | 1,443,566 | ||
Distribution and service plan fees | 80,323 | |||
Independent trustees' fees and expenses | 3,311 | |||
Total expenses before reductions | 1,527,200 | |||
Expense reductions | (514,461) | |||
Total expenses after reductions | 1,012,739 | |||
Net Investment income (loss) | 5,942,991 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (6) | |||
Affiliated issuers | (5,202,040) | |||
Futures contracts | (3,973,055) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 329,945 | |||
Total net realized gain (loss) | (8,845,156) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 889 | |||
Affiliated issuers | 176,916,244 | |||
Futures contracts | (4,041,903) | |||
Total change in net unrealized appreciation (depreciation) | 172,875,230 | |||
Net gain (loss) | 164,030,074 | |||
Net increase (decrease) in net assets resulting from operations | $ | 169,973,065 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 5,942,991 | $ | 30,568,709 |
Net realized gain (loss) | (8,845,156) | (23,256,101) | ||
Change in net unrealized appreciation (depreciation) | 172,875,230 | (356,677,081) | ||
Net increase (decrease) in net assets resulting from operations | 169,973,065 | (349,364,473) | ||
Distributions to shareholders | (4,272,475) | (383,634,704) | ||
Share transactions - net increase (decrease) | (29,820,656) | 369,760,949 | ||
Total increase (decrease) in net assets | 135,879,934 | (363,238,228) | ||
Net Assets | ||||
Beginning of period | 1,847,771,815 | 2,211,010,043 | ||
End of period | $ | 1,983,651,749 | $ | 1,847,771,815 |
VIP FundsManager® 70% Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.74 | $ | 15.55 | $ | 13.90 | $ | 12.37 | $ | 11.71 | $ | 14.04 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .18 | .15 | .12 | .17 | .17 | ||||||
Net realized and unrealized gain (loss) | .96 | (2.33) | 1.86 | 1.82 | 2.26 | (1.13) | ||||||
Total from investment operations | 1.00 | (2.15) | 2.01 | 1.94 | 2.43 | (.96) | ||||||
Distributions from net investment income | (.03) | (.19) | (.16) | (.12) | (.16) | (.13) | ||||||
Distributions from net realized gain | - | (2.47) | (.20) | (.30) | (1.61) | (1.24) | ||||||
Total distributions | (.03) | (2.66) | (.36) | (.41) C | (1.77) | (1.37) | ||||||
Net asset value, end of period | $ | 11.71 | $ | 10.74 | $ | 15.55 | $ | 13.90 | $ | 12.37 | $ | 11.71 |
Total Return D,E,F | 9.27% | (15.65)% | 14.60% | 16.10% | 22.65% | (7.50)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .29% | .35% | .35% | .35% | .35% | ||||||
Expenses net of fee waivers, if any | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Expenses net of all reductions | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Net investment income (loss) | .62% I | 1.58% | .99% | .95% | 1.47% | 1.27% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 63 | $ | 58 | $ | 84 | $ | 75 | $ | 67 | $ | 63 |
Portfolio turnover rate J | 18% I | 33% K | 60% K | 24% K | 39% | 98% |
VIP FundsManager® 70% Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.67 | $ | 15.47 | $ | 13.83 | $ | 12.31 | $ | 11.67 | $ | 13.99 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .03 | .16 | .12 | .10 | .15 | .15 | ||||||
Net realized and unrealized gain (loss) | .95 | (2.31) | 1.85 | 1.82 | 2.25 | (1.12) | ||||||
Total from investment operations | .98 | (2.15) | 1.97 | 1.92 | 2.40 | (.97) | ||||||
Distributions from net investment income | (.03) | (.17) | (.13) | (.10) | (.15) | (.11) | ||||||
Distributions from net realized gain | - | (2.47) | (.20) | (.30) | (1.61) | (1.24) | ||||||
Total distributions | (.03) | (2.65) C | (.33) | (.40) | (1.76) | (1.35) | ||||||
Net asset value, end of period | $ | 11.62 | $ | 10.67 | $ | 15.47 | $ | 13.83 | $ | 12.31 | $ | 11.67 |
Total Return D,E,F | 9.15% | (15.79)% | 14.44% | 15.94% | 22.39% | (7.60)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .40% I | .44% | .50% | .50% | .50% | .50% | ||||||
Expenses net of fee waivers, if any | .25% I | .29% | .35% | .35% | .35% | .35% | ||||||
Expenses net of all reductions | .25% I | .29% | .35% | .35% | .35% | .35% | ||||||
Net investment income (loss) | .47% I | 1.43% | .84% | .80% | 1.32% | 1.13% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 65,919 | $ | 61,541 | $ | 74,699 | $ | 66,433 | $ | 57,129 | $ | 46,406 |
Portfolio turnover rate J | 18% I | 33% K | 60% K | 24% K | 39% | 98% |
VIP FundsManager® 70% Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.73 | $ | 15.54 | $ | 13.90 | $ | 12.37 | $ | 11.71 | $ | 14.04 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .18 | .15 | .12 | .17 | .17 | ||||||
Net realized and unrealized gain (loss) | .96 | (2.33) | 1.85 | 1.82 | 2.26 | (1.13) | ||||||
Total from investment operations | 1.00 | (2.15) | 2.00 | 1.94 | 2.43 | (.96) | ||||||
Distributions from net investment income | (.03) | (.19) | (.16) | (.12) | (.16) | (.13) | ||||||
Distributions from net realized gain | - | (2.47) | (.20) | (.30) | (1.61) | (1.24) | ||||||
Total distributions | (.03) | (2.66) | (.36) | (.41) C | (1.77) | (1.37) | ||||||
Net asset value, end of period | $ | 11.70 | $ | 10.73 | $ | 15.54 | $ | 13.90 | $ | 12.37 | $ | 11.71 |
Total Return D,E,F | 9.28% | (15.67)% | 14.52% | 16.10% | 22.66% | (7.49)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .15% I | .19% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Expenses net of all reductions | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Net investment income (loss) | .62% I | 1.58% | .99% | .95% | 1.47% | 1.28% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 1,917,669 | $ | 1,786,172 | $ | 2,136,227 | $ | 1,769,102 | $ | 1,605,820 | $ | 1,335,076 |
Portfolio turnover rate J | 18% I | 33% K | 60% K | 24% K | 39% | 98% |
Top Holdings (% of Fund's net assets) | ||
VIP Stock Selector All Cap Portfolio Investor Class | 38.2 | |
Fidelity Overseas Fund | 9.9 | |
Fidelity Emerging Markets Fund | 9.4 | |
Fidelity Total Bond Fund | 3.9 | |
VIP Investment Grade Bond II Portfolio - Investor Class | 3.9 | |
Fidelity Low-Priced Stock Fund | 3.7 | |
Fidelity Equity-Income Fund | 3.0 | |
Fidelity International Enhanced Index Fund | 2.6 | |
Fidelity International Discovery Fund | 2.5 | |
Fidelity Long-Term Treasury Bond Index Fund | 2.3 | |
79.4 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Equity Funds - 87.4% | |||
Shares | Value ($) | ||
Fidelity Canada Fund (a) | 123,192 | 7,767,233 | |
Fidelity Commodity Strategy Fund (a) | 25,050 | 2,370,270 | |
Fidelity Contrafund (a) | 713,026 | 10,638,343 | |
Fidelity Emerging Markets Discovery Fund (a) | 335,338 | 5,258,097 | |
Fidelity Emerging Markets Fund (a) | 2,033,248 | 71,001,008 | |
Fidelity Equity-Income Fund (a) | 346,201 | 22,793,906 | |
Fidelity Global Commodity Stock Fund (a) | 172,446 | 3,062,639 | |
Fidelity Hedged Equity Fund (a) | 908,466 | 9,529,812 | |
Fidelity Infrastructure Fund (a) | 58,077 | 704,473 | |
Fidelity International Capital Appreciation Fund (a) | 623,282 | 15,426,221 | |
Fidelity International Discovery Fund (a) | 427,449 | 18,841,939 | |
Fidelity International Enhanced Index Fund (a) | 1,828,284 | 19,251,831 | |
Fidelity International Small Cap Fund (a) | 281,028 | 8,276,262 | |
Fidelity International Small Cap Opportunities Fund (a) | 437,490 | 8,395,426 | |
Fidelity International Value Fund (a) | 1,289,485 | 11,901,947 | |
Fidelity Japan Fund (a) | 109,007 | 1,760,461 | |
Fidelity Japan Smaller Companies Fund (a) | 440,740 | 6,540,577 | |
Fidelity Large Cap Value Enhanced Index Fund (a) | 1,021,542 | 15,261,840 | |
Fidelity Low-Priced Stock Fund (a) | 572,886 | 27,544,381 | |
Fidelity Overseas Fund (a) | 1,279,037 | 74,248,088 | |
Fidelity Real Estate Investment Portfolio (a) | 95,837 | 3,708,911 | |
Fidelity U.S. Low Volatility Equity Fund (a) | 1,059,715 | 10,989,244 | |
Fidelity Value Discovery Fund (a) | 414,102 | 14,584,673 | |
VIP Stock Selector All Cap Portfolio Investor Class (a) | 30,328,562 | 287,514,763 | |
TOTAL EQUITY FUNDS (Cost $632,030,556) | 657,372,345 | ||
Fixed-Income Funds - 12.1% | |||
Shares | Value ($) | ||
Fidelity Floating Rate High Income Fund (a) | 207,681 | 1,904,436 | |
Fidelity Inflation-Protected Bond Index Fund (a) | 1,201,535 | 11,054,121 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 1,688,054 | 17,589,526 | |
Fidelity New Markets Income Fund (a) | 160,847 | 1,869,038 | |
Fidelity Total Bond Fund (a) | 3,136,637 | 29,578,484 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 3,089,679 | 29,413,740 | |
TOTAL FIXED-INCOME FUNDS (Cost $96,597,437) | 91,409,345 | ||
Money Market Funds - 0.2% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (b) (Cost $1,358,006) | 1,357,734 | 1,358,006 | |
U.S. Treasury Obligations - 0.3% | |||
Principal Amount (c) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.14% to 5.26% 7/27/23 to 9/14/23 (d) (Cost $2,553,595) | 2,570,000 | 2,554,422 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $732,539,594) | 752,694,118 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (96,270) |
NET ASSETS - 100.0% | 752,597,848 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI EAFE Index Contracts (United States) | 212 | Sep 2023 | 22,848,300 | 167,541 | 167,541 |
ICE MSCI Emerging Markets Index Contracts (United States) | 100 | Sep 2023 | 4,989,500 | (51,988) | (51,988) |
TOTAL EQUITY INDEX CONTRACTS | 115,553 | ||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 17 | Sep 2023 | 1,820,594 | (36,026) | (36,026) |
TOTAL PURCHASED | 79,527 | ||||
Sold | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 131 | Sep 2023 | 29,398,038 | (910,639) | (910,639) |
TOTAL FUTURES CONTRACTS | (831,112) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 3.9% | |||||
The notional amount of futures sold as a percentage of Net Assets is 3.9% |
(a) | Affiliated Fund |
(b) | 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. |
(c) | Amount is stated in United States dollars unless otherwise noted. |
(d) | 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 $2,350,108. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 1,903,369 | 12,183,467 | 12,728,830 | 54,608 | - | - | 1,358,006 | 0.0% |
Total | 1,903,369 | 12,183,467 | 12,728,830 | 54,608 | - | - | 1,358,006 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Canada Fund | 6,845,527 | 675,201 | 341,130 | - | (3,772) | 591,407 | 7,767,233 |
Fidelity Commodity Strategy Fund | 2,584,051 | 754 | 397 | - | (189) | (213,949) | 2,370,270 |
Fidelity Contrafund | 8,953,197 | 363,748 | 719,270 | 136,005 | (131,608) | 2,172,276 | 10,638,343 |
Fidelity Emerging Markets Discovery Fund | 4,368,240 | 535,721 | 229,327 | - | 5,884 | 577,579 | 5,258,097 |
Fidelity Emerging Markets Fund | 59,596,171 | 6,574,126 | 2,061,693 | - | (287,870) | 7,180,274 | 71,001,008 |
Fidelity Equity-Income Fund | 23,140,386 | 692,872 | 1,773,861 | 113,319 | (43,295) | 777,804 | 22,793,906 |
Fidelity Floating Rate High Income Fund | 5,508,343 | 170,973 | 3,892,138 | 104,813 | (62,380) | 179,638 | 1,904,436 |
Fidelity Global Commodity Stock Fund | 14,440,820 | 338,763 | 10,962,658 | - | 3,652,896 | (4,407,182) | 3,062,639 |
Fidelity Gold Portfolio | - | 9,127,748 | 7,947,728 | 43,324 | (1,180,020) | - | - |
Fidelity Hedged Equity Fund | 1,708,247 | 7,543,402 | - | 1,078 | - | 278,163 | 9,529,812 |
Fidelity Inflation-Protected Bond Index Fund | 13,029,222 | 1,840,211 | 4,093,511 | 5,292 | (378,644) | 656,843 | 11,054,121 |
Fidelity Infrastructure Fund | - | 719,067 | 21,355 | 2,033 | (78) | 6,839 | 704,473 |
Fidelity International Capital Appreciation Fund | 12,392,522 | 1,209,224 | 543,741 | - | (5,565) | 2,373,781 | 15,426,221 |
Fidelity International Discovery Fund | 16,151,164 | 1,537,132 | 711,449 | - | (29,231) | 1,894,323 | 18,841,939 |
Fidelity International Enhanced Index Fund | 16,285,536 | 1,506,129 | 632,817 | - | 16,662 | 2,076,321 | 19,251,831 |
Fidelity International Small Cap Fund | 7,150,477 | 665,186 | 280,080 | - | 2,030 | 738,649 | 8,276,262 |
Fidelity International Small Cap Opportunities Fund | 7,456,802 | 327,709 | - | - | - | 610,915 | 8,395,426 |
Fidelity International Value Fund | 10,312,461 | 926,215 | 369,831 | - | 6,719 | 1,026,383 | 11,901,947 |
Fidelity Japan Fund | 1,570,699 | 442 | 362 | - | (5) | 189,687 | 1,760,461 |
Fidelity Japan Smaller Companies Fund | 5,936,763 | - | - | - | - | 603,814 | 6,540,577 |
Fidelity Large Cap Value Enhanced Index Fund | 15,403,332 | 281,057 | 1,054,314 | - | (54,710) | 686,475 | 15,261,840 |
Fidelity Long-Term Treasury Bond Index Fund | 8,398,988 | 9,405,297 | 333,216 | 184,541 | (714) | 119,171 | 17,589,526 |
Fidelity Low-Priced Stock Fund | 27,890,209 | 701,071 | 2,170,561 | - | (118,812) | 1,242,474 | 27,544,381 |
Fidelity New Markets Income Fund | 3,473,777 | 191,375 | 1,833,160 | 88,651 | (192,673) | 229,719 | 1,869,038 |
Fidelity Overseas Fund | 61,599,631 | 5,930,070 | 2,683,440 | - | 36,248 | 9,365,579 | 74,248,088 |
Fidelity Real Estate Investment Portfolio | 6,192,407 | 182,574 | 2,857,976 | 10,998 | (209,952) | 401,858 | 3,708,911 |
Fidelity Total Bond Fund | 24,928,584 | 5,943,170 | 1,558,729 | 514,119 | (28,892) | 294,351 | 29,578,484 |
Fidelity U.S. Low Volatility Equity Fund | 15,592,323 | 405,949 | 5,126,919 | 27,524 | 187,034 | (69,143) | 10,989,244 |
Fidelity Value Discovery Fund | 15,326,165 | 319,339 | 1,082,111 | - | 10,606 | 10,674 | 14,584,673 |
VIP Investment Grade Bond II Portfolio - Investor Class | 24,933,297 | 5,304,142 | 1,437,693 | 10,707 | (26,937) | 640,931 | 29,413,740 |
VIP Stock Selector All Cap Portfolio Investor Class | 259,699,156 | 7,332,850 | 21,659,041 | - | (2,206,230) | 44,348,028 | 287,514,763 |
680,868,497 | 70,751,517 | 76,378,508 | 1,242,404 | (1,043,498) | 74,583,682 | 748,781,690 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 657,372,345 | 657,372,345 | - | - |
Fixed-Income Funds | 91,409,345 | 91,409,345 | - | - |
Money Market Funds | 1,358,006 | 1,358,006 | - | - |
Other Short-Term Investments and Net Other Assets | 2,554,422 | - | 2,554,422 | - |
Total Investments in Securities: | 752,694,118 | 750,139,696 | 2,554,422 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 167,541 | 167,541 | - | - |
Total Assets | 167,541 | 167,541 | - | - |
Liabilities | ||||
Futures Contracts | (998,653) | (998,653) | - | - |
Total Liabilities | (998,653) | (998,653) | - | - |
Total Derivative Instruments: | (831,112) | (831,112) | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Futures Contracts (a) | 167,541 | (962,627) |
Total Equity Risk | 167,541 | (962,627) |
Interest Rate Risk | ||
Futures Contracts (a) | 0 | (36,026) |
Total Interest Rate Risk | 0 | (36,026) |
Total Value of Derivatives | 167,541 | (998,653) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $2,553,595) | $ | 2,554,422 | ||
Fidelity Central Funds (cost $1,358,006) | 1,358,006 | |||
Other affiliated issuers (cost $728,627,993) | 748,781,690 | |||
Total Investment in Securities (cost $732,539,594) | $ | 752,694,118 | ||
Receivable for investments sold | 96,729 | |||
Receivable for fund shares sold | 3,365 | |||
Distributions receivable from Fidelity Central Funds | 10,033 | |||
Total assets | 752,804,245 | |||
Liabilities | ||||
Payable for fund shares redeemed | $ | 100,095 | ||
Accrued management fee | 61,929 | |||
Distribution and service plan fees payable | 6,678 | |||
Payable for daily variation margin on futures contracts | 37,695 | |||
Total Liabilities | 206,397 | |||
Net Assets | $ | 752,597,848 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 746,614,372 | ||
Total accumulated earnings (loss) | 5,983,476 | |||
Net Assets | $ | 752,597,848 | ||
Net Asset Value and Maximum Offering Price | ||||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($104,784 ÷ 8,999 shares) | $ | 11.64 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($54,010,040 ÷ 4,708,327 shares) | $ | 11.47 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($698,483,024 ÷ 60,267,675 shares) | $ | 11.59 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 1,098,764 | ||
Interest | 55,699 | |||
Income from Fidelity Central Funds | 54,608 | |||
Total Income | 1,209,071 | |||
Expenses | ||||
Management fee | $ | 541,629 | ||
Distribution and service plan fees | 64,916 | |||
Independent trustees' fees and expenses | 1,233 | |||
Total expenses before reductions | 607,778 | |||
Expense reductions | (207,038) | |||
Total expenses after reductions | 400,740 | |||
Net Investment income (loss) | 808,331 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 10 | |||
Affiliated issuers | (1,043,498) | |||
Futures contracts | (902,171) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 143,640 | |||
Total net realized gain (loss) | (1,802,019) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 276 | |||
Affiliated issuers | 74,583,682 | |||
Futures contracts | (1,056,351) | |||
Total change in net unrealized appreciation (depreciation) | 73,527,607 | |||
Net gain (loss) | 71,725,588 | |||
Net increase (decrease) in net assets resulting from operations | $ | 72,533,919 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 808,331 | $ | 8,340,054 |
Net realized gain (loss) | (1,802,019) | (11,707,201) | ||
Change in net unrealized appreciation (depreciation) | 73,527,607 | (137,393,930) | ||
Net increase (decrease) in net assets resulting from operations | 72,533,919 | (140,761,077) | ||
Distributions to shareholders | (1,421,197) | (154,125,976) | ||
Share transactions - net increase (decrease) | (3,279,824) | 166,361,141 | ||
Total increase (decrease) in net assets | 67,832,898 | (128,525,912) | ||
Net Assets | ||||
Beginning of period | 684,764,950 | 813,290,862 | ||
End of period | $ | 752,597,848 | $ | 684,764,950 |
VIP FundsManager® 85% Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.55 | $ | 15.82 | $ | 13.88 | $ | 12.25 | $ | 11.65 | $ | 14.30 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .01 | .12 | .12 | .09 | .15 | .15 | ||||||
Net realized and unrealized gain (loss) | 1.10 | (2.46) | 2.34 | 2.04 | 2.58 | (1.29) | ||||||
Total from investment operations | 1.11 | (2.34) | 2.46 | 2.13 | 2.73 | (1.14) | ||||||
Distributions from net investment income | (.02) | (.13) | (.15) | (.10) | (.14) | (.10) | ||||||
Distributions from net realized gain | - | (2.80) | (.37) | (.39) | (1.99) | (1.41) | ||||||
Total distributions | (.02) | (2.93) | (.52) | (.50) C | (2.13) | (1.51) | ||||||
Net asset value, end of period | $ | 11.64 | $ | 10.55 | $ | 15.82 | $ | 13.88 | $ | 12.25 | $ | 11.65 |
Total Return D,E,F | 10.55% | (17.01)% | 18.02% | 17.93% | 26.05% | (8.90)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .25% I | .29% | .25% | .25% | .25% | .33% J | ||||||
Expenses net of fee waivers, if any | .10% I | .14% | .20% | .20% | .20% | .17% J | ||||||
Expenses net of all reductions | .10% I | .14% | .20% | .20% | .20% | .17% J | ||||||
Net investment income (loss) | .23% I | 1.18% | .78% | .82% | 1.26% | 1.11% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 105 | $ | 100 | $ | - | $ | - | $ | - | $ | - |
Portfolio turnover rate K | 20% I | 28% L | 68% L | 37% L | 38% | 116% |
VIP FundsManager® 85% Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.40 | $ | 15.65 | $ | 13.76 | $ | 12.20 | $ | 11.59 | $ | 14.24 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | - C | .11 | .10 | .08 | .13 | .12 | ||||||
Net realized and unrealized gain (loss) | 1.09 | (2.45) | 2.29 | 1.96 | 2.60 | (1.28) | ||||||
Total from investment operations | 1.09 | (2.34) | 2.39 | 2.04 | 2.73 | (1.16) | ||||||
Distributions from net investment income | (.02) | (.11) | (.13) | (.09) | (.13) | (.09) | ||||||
Distributions from net realized gain | - | (2.80) | (.37) | (.39) | (1.99) | (1.41) | ||||||
Total distributions | (.02) | (2.91) | (.50) | (.48) | (2.12) | (1.49) D | ||||||
Net asset value, end of period | $ | 11.47 | $ | 10.40 | $ | 15.65 | $ | 13.76 | $ | 12.20 | $ | 11.59 |
Total Return E,F,G | 10.50% | (17.19)% | 17.64% | 17.27% | 26.14% | (9.08)% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | .40% J | .44% | .50% | .50% | .50% | .50% | ||||||
Expenses net of fee waivers, if any | .25% J | .29% | .35% | .35% | .35% | .35% | ||||||
Expenses net of all reductions | .25% J | .29% | .35% | .35% | .35% | .35% | ||||||
Net investment income (loss) | .08% J | 1.03% | .68% | .68% | 1.16% | .93% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 54,010 | $ | 48,826 | $ | 58,047 | $ | 48,373 | $ | 40,928 | $ | 31,555 |
Portfolio turnover rate K | 20% J | 28% L | 68% L | 37% L | 38% | 116% |
VIP FundsManager® 85% Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.50 | $ | 15.77 | $ | 13.86 | $ | 12.28 | $ | 11.66 | $ | 14.31 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .01 | .13 | .12 | .10 | .15 | .14 | ||||||
Net realized and unrealized gain (loss) | 1.10 | (2.47) | 2.31 | 1.98 | 2.60 | (1.28) | ||||||
Total from investment operations | 1.11 | (2.34) | 2.43 | 2.08 | 2.75 | (1.14) | ||||||
Distributions from net investment income | (.02) | (.13) | (.15) | (.10) | (.14) | (.10) | ||||||
Distributions from net realized gain | - | (2.80) | (.37) | (.39) | (1.99) | (1.41) | ||||||
Total distributions | (.02) | (2.93) | (.52) | (.50) C | (2.13) | (1.51) | ||||||
Net asset value, end of period | $ | 11.59 | $ | 10.50 | $ | 15.77 | $ | 13.86 | $ | 12.28 | $ | 11.66 |
Total Return D,E,F | 10.60% | (17.07)% | 17.83% | 17.46% | 26.21% | (8.89)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .15% I | .19% | .25% | .25% | .25% | .25% | ||||||
Expenses net of fee waivers, if any | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Expenses net of all reductions | .10% I | .14% | .20% | .20% | .20% | .20% | ||||||
Net investment income (loss) | .23% I | 1.18% | .83% | .83% | 1.31% | 1.08% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 698,483 | $ | 635,839 | $ | 755,243 | $ | 615,808 | $ | 548,925 | $ | 459,354 |
Portfolio turnover rate J | 20% I | 28% K | 68% K | 37% K | 38% | 116% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
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% |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
VIP FundsManager 20% Portfolio | $795,107,222 | $12,784,391 | $(24,311,178) | $(11,526,787) |
VIP FundsManager 30% Portfolio | 2,010,637 | 20,305 | (7,345) | 12,960 |
VIP FundsManager 40% Portfolio | 2,361,577 | 26,336 | (11,684) | 14,652 |
VIP FundsManager 50% Portfolio | 4,416,476,652 | 213,933,573 | (163,105,274) | 50,828,299 |
VIP FundsManager 60% Portfolio | 6,078,251,808 | 334,639,014 | (217,129,210) | 117,509,804 |
VIP FundsManager 70% Portfolio | 1,945,471,400 | 106,181,864 | (70,208,652) | 35,973,212 |
VIP FundsManager 85% Portfolio | 735,427,840 | 45,338,530 | (28,903,364) | 16,435,166 |
Short-term | Long-term | Total capital loss carryforward | |
VIP FundsManager 20% Portfolio | $(4,764,728) | $(14,018,373) | $(18,783,101) |
VIP FundsManager 50% Portfolio | (33,753,934) | (65,919,981) | (99,673,915) |
VIP FundsManager 60% Portfolio | (85,235,840) | (2,632,272) | (87,868,112) |
VIP FundsManager 70% Portfolio | (18,104,690) | (-) | (18,104,690) |
VIP FundsManager 85% Portfolio | (8,971,275) | (-) | (8,971,275) |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
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. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
VIP FundsManager 20% Portfolio | ||
Equity Risk | ||
Futures Contracts | (3,479,077) | (2,939,703) |
Total Equity Risk | (3,479,077) | (2,939,703) |
Interest Rate Risk | ||
Futures Contracts | (174,830) | (40,134) |
Total Interest Rate Risk | (174,830) | (40,134) |
Totals | $ (3,653,907) | $ (2,979,837) |
VIP FundsManager 50% Portfolio | ||
Equity Risk | ||
Futures Contracts | (19,067,165) | (15,979,835) |
Total Equity Risk | (19,067,165) | (15,979,835) |
Interest Rate Risk | ||
Futures Contracts | (981,760) | (229,431) |
Total Interest Rate Risk | (981,760) | (229,431) |
Totals | $ (20,048,925) | $ (16,209,266) |
VIP FundsManager 60% Portfolio | ||
Equity Risk | ||
Futures Contracts | (10,979,526) | (12,490,267) |
Total Equity Risk | (10,979,526) | (12,490,267) |
Interest Rate Risk | ||
Futures Contracts | (1,386,925) | (314,857) |
Total Interest Rate Risk | (1,386,925) | (314,857) |
Totals | $ (12,366,451) | $ (12,805,124) |
VIP FundsManager 70% Portfolio | ||
Equity Risk | ||
Futures Contracts | (3,530,418) | (3,942,086) |
Total Equity Risk | (3,530,418) | (3,942,086) |
Interest Rate Risk | ||
Futures Contracts | (442,637) | (99,817) |
Total Interest Rate Risk | (442,637) | (99,817) |
Totals | $ (3,973,055) | $ (4,041,903) |
VIP FundsManager 85% Portfolio | ||
Equity Risk | ||
Futures Contracts | (741,731) | (1,018,691) |
Total Equity Risk | (741,731) | (1,018,691) |
Interest Rate Risk | ||
Futures Contracts | (160,440) | (37,660) |
Total Interest Rate Risk | (160,440) | (37,660) |
Totals | $ (902,171) | $ (1,056,351) |
Purchases ($) | Sales ($) | |
VIP FundsManager 20% Portfolio | 69,755,713 | 148,584,624 |
VIP FundsManager 30% Portfolio | 2,039,336 | 106,543 |
VIP FundsManager 40% Portfolio | 2,374,657 | 98,554 |
VIP FundsManager 50% Portfolio | 415,483,512 | 819,588,354 |
VIP FundsManager 60% Portfolio | 696,878,464 | 763,635,322 |
VIP FundsManager 70% Portfolio | 167,937,555 | 232,776,368 |
VIP FundsManager 85% Portfolio | 70,751,517 | 76,378,508 |
Service Class | Service Class 2 | Total | |
VIP FundsManager 20% Portfolio | $28 | $14,311 | $14,339 |
VIP FundsManager 30% Portfolio | 73 | 182 | 255 |
VIP FundsManager 40% Portfolio | 73 | 182 | 255 |
VIP FundsManager 50% Portfolio | 26 | 97,068 | 97,094 |
VIP FundsManager 60% Portfolio | 38,452 | 694,738 | 733,190 |
VIP FundsManager 70% Portfolio | 31 | 80,292 | 80,323 |
VIP FundsManager 85% Portfolio | 51 | 64,865 | 64,916 |
Value of Investments and Cash reallocated ($) | Net realized gain (loss) on redemptions of Underlying Fund ($) | |
VIP FundsManager 20% | 187,389,729 | (14,920,156) |
VIP FundsManager 50% | 779,091,389 | (46,361,043) |
VIP FundsManager 60% | 745,543,252 | (40,143,696) |
VIP FundsManager 70% | 130,830,130 | (6,126,544) |
VIP FundsManager 85% | 9,299,799 | (528,879) |
Management Fee Waiver | |
VIP FundsManager 20% Portfolio | $ 201,890 |
VIP FundsManager 30% Portfolio | $ 156 |
VIP FundsManager 40% Portfolio | $ 160 |
VIP FundsManager 50% Portfolio | $ 1,129,579 |
VIP FundsManager 60% Portfolio | $ 1,495,303 |
VIP FundsManager 70% Portfolio | $ 482,292 |
VIP FundsManager 85% Portfolio | $ 180,954 |
Reimbursement | |
VIP FundsManager 20% Portfolio | |
Service Class | $ 28 |
Service Class 2 | 5,724 |
VIP FundsManager 30% Portfolio | |
Service Class | 73 |
Service Class 2 | 73 |
VIP FundsManager 40% Portfolio | |
Service Class | 73 |
Service Class 2 | 73 |
VIP FundsManager 50% Portfolio | |
Service Class | 26 |
Service Class 2 | 38,827 |
VIP FundsManager 60% Portfolio | |
Service Class | 38,452 |
Service Class 2 | 277,895 |
VIP FundsManager 70% Portfolio | |
Service Class | 31 |
Service Class 2 | 32,117 |
VIP FundsManager 85% Portfolio | |
Service Class | 51 |
Service Class 2 | 25,946 |
Custodian credits | |
VIP FundsManager 20% Portfolio | $48 |
VIP FundsManager 50% Portfolio | 116 |
VIP FundsManager 60% Portfolio | 110 |
VIP FundsManager 70% Portfolio | 21 |
VIP FundsManager 85% Portfolio | 87 |
Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP FundsManager 20% Portfolio | ||
Distributions to shareholders | ||
Service Class | $144 | $5,358 |
Service Class 2 | 29,079 | 920,725 |
Investor Class | 2,039,945 | 82,011,513 |
Total | $2,069,168 | $82,937,596 |
VIP FundsManager 50% Portfolio | ||
Distributions to shareholders | ||
Service Class | $133 | $11,269 |
Service Class 2 | 203,369 | 15,448,757 |
Investor Class | 11,728,393 | 964,355,566 |
Total | $11,931,895 | $979,815,592 |
VIP FundsManager 60% Portfolio | ||
Distributions to shareholders | ||
Service Class | $179,976 | $10,680,270 |
Service Class 2 | 1,349,693 | 107,081,686 |
Investor Class | 12,811,431 | 1,082,174,803 |
Total | $14,341,100 | $1,199,936,759 |
VIP FundsManager 70% Portfolio | ||
Distributions to shareholders | ||
Service Class | $135 | $14,338 |
Service Class 2 | 143,484 | 12,911,451 |
Investor Class | 4,128,856 | 370,708,915 |
Total | $4,272,475 | $383,634,704 |
VIP FundsManager 85% Portfolio | ||
Distributions to shareholders | ||
Service Class | $204 | $1,055 |
Service Class 2 | 98,888 | 10,888,189 |
Investor Class | 1,322,105 | 143,236,732 |
Total | $1,421,197 | $154,125,976 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 | Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP FundsManager 20% Portfolio | ||||
Service Class | ||||
Shares sold | 353 | 690 | $3,660 | $7,334 |
Reinvestment of distributions | 1 | 26 | 14 | 277 |
Shares redeemed | (262) | (505) | (2,692) | (5,404) |
Net increase (decrease) | 92 | 211 | $982 | $2,207 |
Service Class 2 | ||||
Shares sold | 43,964 | 708,311 | $452,276 | $7,560,516 |
Reinvestment of distributions | 2,837 | 85,602 | 29,079 | 920,725 |
Shares redeemed | (103,300) | (502,882) | (1,063,869) | (5,272,129) |
Net increase (decrease) | (56,499) | 291,031 | $(582,514) | $3,209,112 |
Investor Class | ||||
Shares sold | 704,022 | 3,751,045 | $7,222,587 | $40,594,904 |
Reinvestment of distributions | 198,438 | 7,576,884 | 2,039,945 | 82,011,513 |
Shares redeemed | (6,415,643) | (12,604,796) | (66,207,896) | (132,740,255) |
Net increase (decrease) | (5,513,183) | (1,276,867) | $(56,945,364) | $(10,133,838) |
VIP FundsManager 30% Portfolio A | ||||
Service Class | ||||
Shares sold | 33,300 | - | $333,000 | $ - |
Net increase (decrease) | 33,300 | - | $333,000 | $ - |
Service Class 2 | ||||
Shares sold | 33,300 | - | $333,000 | $ - |
Net increase (decrease) | 33,300 | - | $333,000 | $ - |
Investor Class | ||||
Shares sold | 137,850 | - | $1,372,012 | $ - |
Shares redeemed | (1,833) | - | (18,396) | - |
Net increase (decrease) | 136,017 | - | $1,353,616 | $ - |
VIP FundsManager 40% Portfolio A | ||||
Service Class | ||||
Shares sold | 33,300 | - | $333,000 | $ - |
Net increase (decrease) | 33,300 | - | $333,000 | $ - |
Service Class 2 | ||||
Shares sold | 33,300 | - | $333,000 | $ - |
Net increase (decrease) | 33,300 | - | $333,000 | $ - |
Investor Class | ||||
Shares sold | 170,523 | - | $1,708,457 | $ - |
Shares redeemed | (34) | - | (335) | - |
Net increase (decrease) | 170,489 | - | $1,708,122 | $ - |
VIP FundsManager 50% Portfolio | ||||
Service Class | ||||
Shares sold | 67 | 78 | $714 | $844 |
Reinvestment of distributions | - | 11 | 2 | 125 |
Shares redeemed | (41) | (70) | (439) | (783) |
Net increase (decrease) | 26 | 19 | $277 | $186 |
Service Class 2 | ||||
Shares sold | 281,785 | 903,015 | $3,018,004 | $9,865,557 |
Reinvestment of distributions | 18,971 | 1,339,105 | 203,369 | 15,448,757 |
Shares redeemed | (527,266) | (1,443,523) | (5,660,311) | (15,977,854) |
Net increase (decrease) | (226,510) | 798,597 | $(2,438,938) | $9,336,460 |
Investor Class | ||||
Shares sold | 1,219,819 | 4,083,134 | $13,106,984 | $47,330,520 |
Reinvestment of distributions | 1,088,987 | 83,192,063 | 11,728,393 | 964,355,566 |
Shares redeemed | (32,656,830) | (65,111,927) | (351,672,534) | (710,735,088) |
Net increase (decrease) | (30,348,024) | 22,163,270 | $(326,837,157) | $300,950,998 |
VIP FundsManager 60% Portfolio | ||||
Service Class | ||||
Shares sold | 1,814,953 | 3,459,028 | $16,619,822 | $32,921,355 |
Reinvestment of distributions | 19,766 | 1,090,061 | 179,871 | 10,670,482 |
Shares redeemed | (491,977) | (1,414,913) | (4,479,130) | (13,138,984) |
Net increase (decrease) | 1,342,742 | 3,134,176 | $12,320,563 | $30,452,853 |
Service Class 2 | ||||
Shares sold | 2,086,211 | 3,431,878 | $18,940,311 | $32,618,027 |
Reinvestment of distributions | 148,808 | 10,937,728 | 1,349,693 | 107,081,687 |
Shares redeemed | (3,053,006) | (4,434,080) | (27,705,712) | (41,136,273) |
Net increase (decrease) | (817,987) | 9,935,526 | $(7,415,708) | $98,563,441 |
Investor Class | ||||
Shares sold | 40,492,436 | 23,965,016 | $368,713,708 | $230,126,625 |
Reinvestment of distributions | 1,407,850 | 110,141,911 | 12,811,431 | 1,082,174,803 |
Shares redeemed | (36,579,530) | (71,560,787) | (332,881,680) | (659,390,078) |
Net increase (decrease) | 5,320,756 | 62,546,140 | $48,643,459 | $652,911,350 |
VIP FundsManager 70% Portfolio | ||||
Service Class | ||||
Shares sold | 147 | 256 | $1,653 | $2,937 |
Reinvestment of distributions | - | 9 | 1 | 109 |
Shares redeemed | (147) | (249) | (1,652) | (2,896) |
Net increase (decrease) | - | 16 | $2 | $150 |
Service Class 2 | ||||
Shares sold | 153,902 | 371,122 | $1,728,793 | $4,295,745 |
Reinvestment of distributions | 12,765 | 1,065,662 | 143,484 | 12,911,451 |
Shares redeemed | (264,371) | (497,327) | (2,965,962) | (5,680,987) |
Net increase (decrease) | (97,704) | 939,457 | $(1,093,685) | $11,526,209 |
Investor Class | ||||
Shares sold | 2,366,454 | 6,451,993 | $26,903,129 | $77,046,478 |
Reinvestment of distributions | 365,062 | 30,432,330 | 4,128,856 | 370,708,915 |
Shares redeemed | (5,295,400) | (7,877,414) | (59,758,958) | (89,520,803) |
Net increase (decrease) | (2,563,884) | 29,006,909 | $(28,726,973) | $358,234,590 |
VIP FundsManager 85% Portfolio | ||||
Service Class | ||||
Shares sold | 61 | 9,663 | $678 | $99,186 |
Reinvestment of distributions | 19 | 99 | 204 | 1,055 |
Shares redeemed | (560) | (300) | (6,212) | (3,296) |
Net increase (decrease) | (480) | 9,462 | $(5,330) | $96,945 |
Service Class 2 | ||||
Shares sold | 182,858 | 589,206 | $2,019,247 | $6,539,187 |
Reinvestment of distributions | 8,957 | 913,437 | 98,888 | 10,888,189 |
Shares redeemed | (178,927) | (516,817) | (1,973,309) | (5,719,090) |
Net increase (decrease) | 12,888 | 985,826 | $144,826 | $11,708,286 |
Investor Class | ||||
Shares sold | 1,873,857 | 4,248,679 | $20,694,149 | $49,795,808 |
Reinvestment of distributions | 118,574 | 11,907,741 | 1,322,105 | 143,236,732 |
Shares redeemed | (2,286,518) | (3,490,273) | (25,435,574) | (38,476,630) |
Net increase (decrease) | (294,087) | 12,666,147 | $(3,419,320) | $154,555,910 |
Fund | VIP FundsManager 50% Portfolio | VIP FundsManager 60% Portfolio | VIP FundsManager 70% Portfolio |
Fidelity Commodity Strategy Fund | 29% | 39% | 15% |
Fidelity Hedged Equity Fund | 28% | 39% | 12% |
Fidelity Infrastructure Fund | - | 12% | - |
Fidelity U.S. Low Volatility Equity Fund | 26% | 37% | 12% |
VIP Investment Grade Bond Portfolio II | 26% | 30% | - |
VIP Stock Selector All Cap Portfolio | 31% | 43% | 16% |
Fund | % of shares held |
Fidelity Commodity Strategy Fund | 93% |
Fidelity Hedged Equity Fund | 89% |
Fidelity Infrastructure Fund | 27% |
Fidelity International Value Fund | 20% |
Fidelity Japan Smaller Companies Fund | 23% |
Fidelity U.S. Low Volatility Equity Fund | 85% |
VIP Investment Grade Bond Portfolio II | 70% |
VIP Stock Selector All Cap Portfolio | 99% |
Affiliated % | Number of Unaffiliated Shareholders | Unaffiliated Shareholders % | |
VIP FundsManager 20% Portfolio | 99% | - | - |
VIP FundsManager 30% Portfolio | 84% | - | - |
VIP FundsManager 40% Portfolio | 86% | - | - |
VIP FundsManager 50% Portfolio | 41% | - | - |
VIP FundsManager 60% Portfolio | 34% | 1 | 16% |
VIP FundsManager 70% Portfolio | 97% | - | - |
VIP FundsManager 85% Portfolio | 93% | - | - |
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023) for each fund, with the exception of VIP FundsManager® 30% Portfolio and VIP FundsManager® 40% Portfolio and for the period (April 13, 2023 to June 30, 2023) for VIP FundsManager® 30% Portfolio and VIP FundsManager® 40% Portfolio. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value | Ending Account Value June 30, 2023 | Expenses Paid During Period | |||||||
VIP FundsManager® 20% Portfolio | ||||||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,040.40 | $ .51 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,038.60 | $ 1.26 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 D | |||||||
Investor Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,040.50 | $ .51 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
VIP FundsManager® 30% Portfolio | ||||||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,004.00 | $ .22 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,003.00 | $ .54 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 D | |||||||
Investor Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,004.00 | $ .22 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
VIP FundsManager® 40% Portfolio | ||||||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,008.00 | $ .22 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,007.00 | $ .54 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 D | |||||||
Investor Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,008.00 | $ .22 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
VIP FundsManager® 50% Portfolio | ||||||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,072.50 | $ .51 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,071.90 | $ 1.28 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 D | |||||||
Investor Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,073.50 | $ .51 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
VIP FundsManager® 60% Portfolio | ||||||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,082.00 | $ .52 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,081.20 | $ 1.29 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 D | |||||||
Investor Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,082.00 | $ .52 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
VIP FundsManager® 70% Portfolio | ||||||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,092.70 | $ .52 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,091.50 | $ 1.30 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 D | |||||||
Investor Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,092.80 | $ .52 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
VIP FundsManager® 85% Portfolio | ||||||||||
Service Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,105.50 | $ .52 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
Service Class 2 | .25% | |||||||||
Actual | $ 1,000 | $ 1,105.00 | $ 1.30 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.55 | $ 1.25 D | |||||||
Investor Class | .10% | |||||||||
Actual | $ 1,000 | $ 1,106.00 | $ .52 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.30 | $ .50 D | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Quality Diversification (% of Fund's net assets) |
Short-Term Investments and Net Other Assets (Liabilities) - (3.5)%* |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
Short-Term Investments and Net Other Assets (Liabilities) - (3.5)% |
Futures and Swaps - 1.6% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Geographic Diversification (% of Fund's net assets) |
* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
Nonconvertible Bonds - 32.2% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 3.1% | |||
Diversified Telecommunication Services - 0.9% | |||
AT&T, Inc.: | |||
2.55% 12/1/33 | 8,483,000 | 6,663,193 | |
3.8% 12/1/57 | 8,657,000 | 6,267,646 | |
4.3% 2/15/30 | 1,940,000 | 1,841,495 | |
4.75% 5/15/46 | 10,884,000 | 9,607,159 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 3,395,000 | 2,982,415 | |
2.55% 3/21/31 | 3,143,000 | 2,624,194 | |
3% 3/22/27 | 735,000 | 685,836 | |
4.862% 8/21/46 | 4,225,000 | 3,873,489 | |
5.012% 4/15/49 | 164,000 | 153,993 | |
34,699,420 | |||
Entertainment - 0.4% | |||
The Walt Disney Co.: | |||
3.8% 3/22/30 | 13,068,000 | 12,349,588 | |
4.7% 3/23/50 | 4,126,000 | 3,944,116 | |
16,293,704 | |||
Media - 1.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.4% 4/1/33 | 1,435,000 | 1,259,579 | |
4.908% 7/23/25 | 2,191,000 | 2,148,597 | |
5.25% 4/1/53 | 1,435,000 | 1,159,025 | |
5.375% 5/1/47 | 10,316,000 | 8,526,743 | |
5.5% 4/1/63 | 1,435,000 | 1,155,368 | |
6.484% 10/23/45 | 1,557,000 | 1,463,764 | |
Comcast Corp.: | |||
3.9% 3/1/38 | 608,000 | 528,258 | |
4.65% 7/15/42 | 1,441,000 | 1,328,846 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 1,973,000 | 1,730,671 | |
4.65% 5/15/50 | 5,336,000 | 4,064,718 | |
Fox Corp.: | |||
4.03% 1/25/24 | 720,000 | 712,787 | |
4.709% 1/25/29 | 1,042,000 | 1,012,572 | |
5.476% 1/25/39 | 1,027,000 | 959,337 | |
5.576% 1/25/49 | 682,000 | 638,538 | |
Magallanes, Inc.: | |||
3.428% 3/15/24 | 2,320,000 | 2,277,814 | |
3.638% 3/15/25 | 1,270,000 | 1,224,945 | |
3.755% 3/15/27 | 2,484,000 | 2,316,991 | |
4.054% 3/15/29 | 861,000 | 787,057 | |
4.279% 3/15/32 | 3,451,000 | 3,060,607 | |
5.05% 3/15/42 | 1,789,000 | 1,507,890 | |
5.141% 3/15/52 | 2,782,000 | 2,265,238 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 525,000 | 392,696 | |
5.5% 9/1/41 | 965,000 | 802,817 | |
5.875% 11/15/40 | 852,000 | 751,592 | |
6.55% 5/1/37 | 11,472,000 | 10,997,910 | |
7.3% 7/1/38 | 2,146,000 | 2,186,923 | |
55,261,283 | |||
Wireless Telecommunication Services - 0.4% | |||
Rogers Communications, Inc.: | |||
3.2% 3/15/27 (b) | 2,687,000 | 2,498,091 | |
3.8% 3/15/32 (b) | 2,344,000 | 2,048,941 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 | 3,463,000 | 3,278,095 | |
3.875% 4/15/30 | 5,007,000 | 4,612,792 | |
4.375% 4/15/40 | 747,000 | 659,670 | |
4.5% 4/15/50 | 1,468,000 | 1,259,611 | |
14,357,200 | |||
TOTAL COMMUNICATION SERVICES | 120,611,607 | ||
CONSUMER DISCRETIONARY - 0.5% | |||
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp.: | |||
3.5% 7/1/27 | 956,000 | 910,097 | |
3.6% 7/1/30 | 1,138,000 | 1,058,727 | |
1,968,824 | |||
Leisure Products - 0.1% | |||
Hasbro, Inc. 3% 11/19/24 | 2,495,000 | 2,397,244 | |
Specialty Retail - 0.4% | |||
AutoNation, Inc. 4.75% 6/1/30 | 434,000 | 405,793 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 649,000 | 626,313 | |
4% 4/15/30 | 3,015,000 | 2,799,588 | |
Lowe's Companies, Inc.: | |||
3.35% 4/1/27 | 384,000 | 362,649 | |
3.75% 4/1/32 | 1,183,000 | 1,070,703 | |
4.25% 4/1/52 | 4,817,000 | 3,930,093 | |
4.45% 4/1/62 | 4,962,000 | 3,984,021 | |
4.5% 4/15/30 | 2,166,000 | 2,105,640 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 668,000 | 630,703 | |
15,915,503 | |||
TOTAL CONSUMER DISCRETIONARY | 20,281,571 | ||
CONSUMER STAPLES - 2.4% | |||
Beverages - 1.4% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 5,260,000 | 5,115,953 | |
4.9% 2/1/46 | 6,535,000 | 6,246,093 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 2,100,000 | 1,952,761 | |
4.35% 6/1/40 | 2,002,000 | 1,840,918 | |
4.5% 6/1/50 | 2,838,000 | 2,617,048 | |
4.6% 6/1/60 | 2,100,000 | 1,892,669 | |
4.75% 4/15/58 | 3,264,000 | 3,025,967 | |
5.45% 1/23/39 | 2,662,000 | 2,754,501 | |
5.55% 1/23/49 | 6,083,000 | 6,411,442 | |
5.8% 1/23/59 (Reg. S) | 6,427,000 | 7,003,422 | |
Molson Coors Beverage Co.: | |||
3% 7/15/26 | 4,258,000 | 3,977,384 | |
5% 5/1/42 | 7,433,000 | 6,883,121 | |
The Coca-Cola Co.: | |||
3.375% 3/25/27 | 3,224,000 | 3,108,140 | |
3.45% 3/25/30 | 1,970,000 | 1,858,705 | |
54,688,124 | |||
Food Products - 0.4% | |||
General Mills, Inc. 2.875% 4/15/30 | 408,000 | 362,324 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
2.5% 1/15/27 (b) | 5,004,000 | 4,384,004 | |
3% 5/15/32 (b) | 4,479,000 | 3,437,410 | |
3.625% 1/15/32 (b) | 1,723,000 | 1,398,111 | |
5.125% 2/1/28 (b) | 1,885,000 | 1,810,105 | |
5.5% 1/15/30 (b) | 717,000 | 687,818 | |
5.75% 4/1/33 (b) | 3,880,000 | 3,647,017 | |
15,726,789 | |||
Tobacco - 0.6% | |||
Altria Group, Inc.: | |||
4.25% 8/9/42 | 3,140,000 | 2,449,257 | |
4.5% 5/2/43 | 2,104,000 | 1,673,206 | |
4.8% 2/14/29 | 575,000 | 559,218 | |
5.375% 1/31/44 | 1,907,000 | 1,793,006 | |
5.95% 2/14/49 | 753,000 | 714,860 | |
Imperial Tobacco Finance PLC: | |||
4.25% 7/21/25 (b) | 8,792,000 | 8,432,221 | |
6.125% 7/27/27 (b) | 1,890,000 | 1,893,292 | |
Reynolds American, Inc.: | |||
4.45% 6/12/25 | 1,329,000 | 1,291,442 | |
5.7% 8/15/35 | 689,000 | 647,547 | |
6.15% 9/15/43 | 2,271,000 | 2,184,664 | |
7.25% 6/15/37 | 1,681,000 | 1,759,274 | |
23,397,987 | |||
TOTAL CONSUMER STAPLES | 93,812,900 | ||
ENERGY - 3.8% | |||
Energy Equipment & Services - 0.0% | |||
Halliburton Co.: | |||
3.8% 11/15/25 | 34,000 | 32,838 | |
4.85% 11/15/35 | 1,223,000 | 1,151,635 | |
1,184,473 | |||
Oil, Gas & Consumable Fuels - 3.8% | |||
Canadian Natural Resources Ltd.: | |||
3.8% 4/15/24 | 3,850,000 | 3,787,092 | |
5.85% 2/1/35 | 1,417,000 | 1,376,049 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 758,000 | 739,666 | |
DCP Midstream Operating LP: | |||
5.6% 4/1/44 | 697,000 | 660,647 | |
6.45% 11/3/36 (b) | 1,406,000 | 1,443,747 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 1,597,000 | 1,590,636 | |
4.25% 12/1/26 | 1,006,000 | 970,215 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 1,314,000 | 1,185,633 | |
3.9% 5/15/24 (c) | 751,000 | 738,288 | |
4.2% 9/15/23 | 673,000 | 670,495 | |
4.5% 4/15/24 | 717,000 | 708,758 | |
4.95% 6/15/28 | 2,298,000 | 2,228,993 | |
5% 5/15/50 | 3,733,000 | 3,152,754 | |
5.25% 4/15/29 | 1,165,000 | 1,137,322 | |
5.4% 10/1/47 | 766,000 | 675,131 | |
5.8% 6/15/38 | 1,282,000 | 1,228,278 | |
6% 6/15/48 | 834,000 | 790,886 | |
6.25% 4/15/49 | 800,000 | 781,343 | |
Enterprise Products Operating LP 3.7% 2/15/26 | 2,725,000 | 2,627,279 | |
Exxon Mobil Corp. 3.482% 3/19/30 | 7,630,000 | 7,156,339 | |
Hess Corp.: | |||
4.3% 4/1/27 | 2,776,000 | 2,662,449 | |
5.6% 2/15/41 | 7,441,000 | 7,119,358 | |
7.125% 3/15/33 | 569,000 | 620,663 | |
7.3% 8/15/31 | 762,000 | 835,578 | |
7.875% 10/1/29 | 2,490,000 | 2,744,287 | |
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 261,000 | 264,989 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 1,383,000 | 1,274,117 | |
MPLX LP: | |||
4.8% 2/15/29 | 640,000 | 617,194 | |
4.875% 12/1/24 | 1,553,000 | 1,530,572 | |
4.95% 9/1/32 | 3,480,000 | 3,324,136 | |
5.5% 2/15/49 | 1,917,000 | 1,737,177 | |
Occidental Petroleum Corp.: | |||
5.55% 3/15/26 | 3,587,000 | 3,541,266 | |
6.2% 3/15/40 | 965,000 | 951,094 | |
6.45% 9/15/36 | 2,612,000 | 2,680,695 | |
6.6% 3/15/46 | 3,240,000 | 3,335,742 | |
7.5% 5/1/31 | 4,360,000 | 4,760,422 | |
Petroleos Mexicanos: | |||
4.5% 1/23/26 | 3,020,000 | 2,685,913 | |
5.95% 1/28/31 | 2,067,000 | 1,506,078 | |
6.35% 2/12/48 | 7,493,000 | 4,515,731 | |
6.49% 1/23/27 | 2,174,000 | 1,928,338 | |
6.5% 3/13/27 | 2,742,000 | 2,433,525 | |
6.5% 1/23/29 | 3,157,000 | 2,612,733 | |
6.7% 2/16/32 | 2,866,000 | 2,175,151 | |
6.75% 9/21/47 | 6,872,000 | 4,294,244 | |
6.84% 1/23/30 | 10,482,000 | 8,304,365 | |
6.95% 1/28/60 | 4,473,000 | 2,766,551 | |
7.69% 1/23/50 | 9,202,000 | 6,201,964 | |
Phillips 66 Co. 3.85% 4/9/25 | 349,000 | 339,295 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 751,000 | 661,772 | |
3.6% 11/1/24 | 789,000 | 763,377 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 4,528,000 | 4,304,146 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 4,829,000 | 4,316,896 | |
3.9% 1/15/25 | 690,000 | 669,672 | |
4.3% 3/4/24 | 3,094,000 | 3,059,018 | |
4.5% 11/15/23 | 994,000 | 989,748 | |
4.55% 6/24/24 | 7,571,000 | 7,468,489 | |
4.65% 8/15/32 | 3,633,000 | 3,440,495 | |
5.3% 8/15/52 | 824,000 | 759,728 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 577,000 | 512,817 | |
3.95% 5/15/50 | 1,863,000 | 1,436,612 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 493,000 | 473,559 | |
4.5% 3/1/28 | 1,136,000 | 1,071,826 | |
4.65% 7/1/26 | 5,141,000 | 4,945,647 | |
4.75% 8/15/28 | 656,000 | 622,614 | |
146,909,594 | |||
TOTAL ENERGY | 148,094,067 | ||
FINANCIALS - 14.4% | |||
Banks - 6.2% | |||
Bank of America Corp.: | |||
2.299% 7/21/32 (c) | 8,618,000 | 6,892,390 | |
3.419% 12/20/28 (c) | 10,766,000 | 9,872,675 | |
3.5% 4/19/26 | 2,852,000 | 2,735,786 | |
3.864% 7/23/24 (c) | 2,481,000 | 2,477,960 | |
3.95% 4/21/25 | 2,342,000 | 2,267,979 | |
4.2% 8/26/24 | 11,341,000 | 11,128,330 | |
4.25% 10/22/26 | 2,419,000 | 2,334,807 | |
4.45% 3/3/26 | 861,000 | 836,829 | |
5.015% 7/22/33 (c) | 18,422,000 | 18,021,206 | |
Barclays PLC: | |||
2.852% 5/7/26 (c) | 4,594,000 | 4,302,667 | |
4.375% 1/12/26 | 3,532,000 | 3,392,778 | |
5.088% 6/20/30 (c) | 4,171,000 | 3,792,892 | |
5.2% 5/12/26 | 3,533,000 | 3,408,454 | |
5.829% 5/9/27 (c) | 1,900,000 | 1,874,167 | |
6.224% 5/9/34 (c) | 1,900,000 | 1,892,467 | |
BNP Paribas SA 2.219% 6/9/26 (b)(c) | 4,281,000 | 3,959,122 | |
Citigroup, Inc.: | |||
3.352% 4/24/25 (c) | 2,815,000 | 2,751,854 | |
3.875% 3/26/25 | 5,393,000 | 5,208,049 | |
4.3% 11/20/26 | 983,000 | 940,796 | |
4.412% 3/31/31 (c) | 6,030,000 | 5,669,777 | |
4.45% 9/29/27 | 9,708,000 | 9,269,473 | |
4.6% 3/9/26 | 1,246,000 | 1,206,313 | |
4.91% 5/24/33 (c) | 5,644,000 | 5,461,446 | |
5.5% 9/13/25 | 3,136,000 | 3,117,852 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 2,757,000 | 1,948,679 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 1,485,000 | 1,248,116 | |
Discover Bank 4.2% 8/8/23 | 1,617,000 | 1,613,835 | |
HSBC Holdings PLC: | |||
4.25% 3/14/24 | 1,249,000 | 1,233,051 | |
4.95% 3/31/30 | 988,000 | 972,651 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 2,462,000 | 2,384,681 | |
5.71% 1/15/26 (b) | 7,296,000 | 6,944,213 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (c) | 2,452,000 | 2,102,468 | |
3.797% 7/23/24 (c) | 3,247,000 | 3,243,119 | |
3.875% 9/10/24 | 24,838,000 | 24,249,155 | |
4.125% 12/15/26 | 7,993,000 | 7,695,029 | |
4.493% 3/24/31 (c) | 7,267,000 | 6,985,539 | |
4.586% 4/26/33 (c) | 15,530,000 | 14,804,631 | |
4.912% 7/25/33 (c) | 4,507,000 | 4,404,121 | |
NatWest Group PLC 3.073% 5/22/28 (c) | 2,640,000 | 2,374,331 | |
Rabobank Nederland 4.375% 8/4/25 | 4,230,000 | 4,082,537 | |
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c) | 3,241,000 | 2,799,188 | |
Societe Generale: | |||
1.038% 6/18/25 (b)(c) | 8,981,000 | 8,452,707 | |
1.488% 12/14/26 (b)(c) | 5,527,000 | 4,863,557 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (c) | 2,590,000 | 2,466,216 | |
3.526% 3/24/28 (c) | 5,273,000 | 4,921,552 | |
4.478% 4/4/31 (c) | 8,118,000 | 7,718,577 | |
5.013% 4/4/51 (c) | 11,974,000 | 11,152,656 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 2,107,000 | 1,832,231 | |
243,308,909 | |||
Capital Markets - 3.4% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 3,145,000 | 2,973,032 | |
4.25% 2/15/24 | 2,434,000 | 2,401,892 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 7,074,000 | 6,558,409 | |
4.2% 6/10/24 | 5,056,000 | 4,934,949 | |
Deutsche Bank AG 4.5% 4/1/25 | 6,790,000 | 6,447,502 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (c) | 5,355,000 | 4,289,349 | |
3.102% 2/24/33 (c) | 2,100,000 | 1,773,982 | |
3.691% 6/5/28 (c) | 23,641,000 | 22,211,738 | |
3.8% 3/15/30 | 8,794,000 | 8,132,322 | |
4.25% 10/21/25 | 1,288,000 | 1,241,207 | |
6.75% 10/1/37 | 1,275,000 | 1,371,318 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 1,354,000 | 1,260,854 | |
3.75% 3/24/25 | 2,881,000 | 2,800,236 | |
4.875% 2/15/24 | 764,000 | 759,860 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 12,469,000 | 11,676,518 | |
3.622% 4/1/31 (c) | 5,698,000 | 5,134,415 | |
3.625% 1/20/27 | 6,245,000 | 5,929,686 | |
4.431% 1/23/30 (c) | 2,495,000 | 2,373,832 | |
4.889% 7/20/33 (c) | 9,357,000 | 9,005,637 | |
5% 11/24/25 | 8,309,000 | 8,168,311 | |
Peachtree Corners Funding Trust 3.976% 2/15/25 (b) | 2,838,000 | 2,731,972 | |
UBS Group AG: | |||
1.494% 8/10/27 (b)(c) | 3,309,000 | 2,841,872 | |
2.593% 9/11/25 (b)(c) | 6,006,000 | 5,724,745 | |
3.75% 3/26/25 | 2,646,000 | 2,531,956 | |
3.869% 1/12/29 (b)(c) | 2,282,000 | 2,062,922 | |
4.125% 9/24/25 (b) | 2,986,000 | 2,853,185 | |
4.194% 4/1/31 (b)(c) | 5,461,000 | 4,860,614 | |
4.55% 4/17/26 | 1,462,000 | 1,405,225 | |
134,457,540 | |||
Consumer Finance - 2.5% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 6,272,000 | 5,893,857 | |
2.45% 10/29/26 | 2,289,000 | 2,044,422 | |
2.875% 8/14/24 | 3,404,000 | 3,271,217 | |
3% 10/29/28 | 2,397,000 | 2,072,573 | |
3.3% 1/30/32 | 2,564,000 | 2,097,605 | |
3.5% 1/15/25 | 4,712,000 | 4,511,307 | |
4.45% 4/3/26 | 1,774,000 | 1,693,767 | |
4.875% 1/16/24 | 2,847,000 | 2,826,994 | |
6.5% 7/15/25 | 2,058,000 | 2,068,177 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 1,254,000 | 1,237,160 | |
5.125% 9/30/24 | 1,214,000 | 1,191,017 | |
5.8% 5/1/25 | 2,973,000 | 2,922,418 | |
7.1% 11/15/27 | 4,120,000 | 4,155,366 | |
8% 11/1/31 | 1,535,000 | 1,593,516 | |
Capital One Financial Corp.: | |||
2.636% 3/3/26 (c) | 2,766,000 | 2,582,818 | |
3.273% 3/1/30 (c) | 3,538,000 | 3,004,041 | |
3.65% 5/11/27 | 7,652,000 | 7,107,294 | |
3.8% 1/31/28 | 4,006,000 | 3,681,223 | |
4.985% 7/24/26 (c) | 3,566,000 | 3,456,348 | |
5.247% 7/26/30 (c) | 4,600,000 | 4,336,461 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 1,616,000 | 1,557,259 | |
4.1% 2/9/27 | 1,620,000 | 1,502,941 | |
4.5% 1/30/26 | 2,660,000 | 2,547,199 | |
6.7% 11/29/32 | 867,000 | 893,212 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 9,996,000 | 9,672,915 | |
5.584% 3/18/24 | 3,546,000 | 3,520,830 | |
Synchrony Financial: | |||
3.95% 12/1/27 | 4,360,000 | 3,798,426 | |
4.25% 8/15/24 | 3,797,000 | 3,660,807 | |
4.375% 3/19/24 | 3,104,000 | 3,043,355 | |
5.15% 3/19/29 | 4,769,000 | 4,326,835 | |
96,271,360 | |||
Financial Services - 1.1% | |||
Blackstone Private Credit Fund: | |||
4.7% 3/24/25 | 9,007,000 | 8,674,912 | |
7.05% 9/29/25 | 4,363,000 | 4,351,686 | |
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 2,875,000 | 2,591,428 | |
4.125% 6/15/26 | 2,638,000 | 2,463,969 | |
4.125% 5/15/29 | 2,868,000 | 2,558,242 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 | 1,148,000 | 1,093,677 | |
3.65% 4/5/27 | 3,963,000 | 3,699,756 | |
3.85% 4/5/29 | 1,606,000 | 1,444,302 | |
3.9% 4/5/32 | 1,912,000 | 1,661,331 | |
4.35% 4/5/42 | 435,000 | 351,005 | |
4.4% 4/5/52 | 1,286,000 | 1,011,022 | |
Equitable Holdings, Inc. 4.35% 4/20/28 | 2,412,000 | 2,257,261 | |
Jackson Financial, Inc.: | |||
5.17% 6/8/27 | 1,735,000 | 1,652,264 | |
5.67% 6/8/32 | 2,190,000 | 2,077,679 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 3,463,000 | 3,423,556 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 3,240,000 | 2,968,199 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 3,236,000 | 2,908,481 | |
45,188,770 | |||
Insurance - 1.2% | |||
AIA Group Ltd.: | |||
3.2% 9/16/40 (b) | 1,979,000 | 1,517,546 | |
3.375% 4/7/30 (b) | 4,177,000 | 3,818,430 | |
American International Group, Inc. 2.5% 6/30/25 | 4,506,000 | 4,243,788 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 6,263,000 | 5,320,099 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 2,324,000 | 2,191,688 | |
Marsh & McLennan Companies, Inc.: | |||
4.375% 3/15/29 | 2,258,000 | 2,193,338 | |
4.75% 3/15/39 | 1,036,000 | 976,297 | |
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (b) | 3,298,000 | 2,242,355 | |
MetLife, Inc. 4.55% 3/23/30 | 6,529,000 | 6,379,948 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 2,981,000 | 2,759,115 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 1,400,000 | 1,337,000 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 3,036,000 | 2,748,945 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 1,006,000 | 976,826 | |
Unum Group: | |||
3.875% 11/5/25 | 2,759,000 | 2,608,752 | |
4% 6/15/29 | 2,503,000 | 2,302,417 | |
5.75% 8/15/42 | 4,132,000 | 3,801,905 | |
45,418,449 | |||
TOTAL FINANCIALS | 564,645,028 | ||
HEALTH CARE - 1.8% | |||
Biotechnology - 0.3% | |||
Amgen, Inc.: | |||
5.15% 3/2/28 | 2,052,000 | 2,050,152 | |
5.25% 3/2/30 | 1,874,000 | 1,877,739 | |
5.25% 3/2/33 | 2,115,000 | 2,117,698 | |
5.6% 3/2/43 | 2,009,000 | 2,015,079 | |
5.65% 3/2/53 | 999,000 | 1,011,692 | |
5.75% 3/2/63 | 1,820,000 | 1,846,276 | |
10,918,636 | |||
Health Care Providers & Services - 1.2% | |||
Centene Corp.: | |||
2.45% 7/15/28 | 5,569,000 | 4,759,569 | |
2.625% 8/1/31 | 2,597,000 | 2,069,497 | |
3.375% 2/15/30 | 2,896,000 | 2,488,938 | |
4.25% 12/15/27 | 3,262,000 | 3,049,823 | |
4.625% 12/15/29 | 5,066,000 | 4,662,933 | |
Cigna Group: | |||
3.05% 10/15/27 | 1,816,000 | 1,674,482 | |
4.375% 10/15/28 | 3,443,000 | 3,329,215 | |
4.8% 8/15/38 | 2,144,000 | 2,023,964 | |
4.9% 12/15/48 | 2,141,000 | 1,992,560 | |
CVS Health Corp.: | |||
3% 8/15/26 | 355,000 | 332,786 | |
3.625% 4/1/27 | 1,019,000 | 967,320 | |
4.78% 3/25/38 | 3,388,000 | 3,126,689 | |
5% 1/30/29 | 1,590,000 | 1,574,676 | |
5.25% 1/30/31 | 652,000 | 649,954 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 2,160,000 | 1,893,347 | |
3.625% 3/15/32 (b) | 487,000 | 422,720 | |
5.625% 9/1/28 | 2,246,000 | 2,247,412 | |
5.875% 2/1/29 | 2,447,000 | 2,462,883 | |
Humana, Inc. 3.7% 3/23/29 | 1,508,000 | 1,381,140 | |
Sabra Health Care LP 3.2% 12/1/31 | 5,311,000 | 3,961,813 | |
Toledo Hospital 5.325% 11/15/28 | 1,197,000 | 969,570 | |
46,041,291 | |||
Pharmaceuticals - 0.3% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 2,477,000 | 2,390,053 | |
Elanco Animal Health, Inc. 6.65% 8/28/28 (c) | 757,000 | 734,494 | |
Mylan NV 4.55% 4/15/28 | 2,271,000 | 2,139,559 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 1,447,000 | 1,374,341 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 558,000 | 513,376 | |
2.7% 6/22/30 | 2,837,000 | 2,295,787 | |
3.85% 6/22/40 | 1,236,000 | 854,133 | |
4% 6/22/50 | 2,134,000 | 1,411,298 | |
11,713,041 | |||
TOTAL HEALTH CARE | 68,672,968 | ||
INDUSTRIALS - 0.8% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems PLC 3.4% 4/15/30 (b) | 1,287,000 | 1,163,799 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 1,681,000 | 1,660,437 | |
5.15% 5/1/30 | 1,681,000 | 1,664,779 | |
5.705% 5/1/40 | 1,703,000 | 1,698,754 | |
5.805% 5/1/50 | 1,703,000 | 1,696,786 | |
5.93% 5/1/60 | 1,680,000 | 1,663,851 | |
9,548,406 | |||
Professional Services - 0.0% | |||
Thomson Reuters Corp. 3.85% 9/29/24 | 587,000 | 569,088 | |
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp.: | |||
3% 9/15/23 | 498,000 | 494,987 | |
3.375% 7/1/25 | 3,659,000 | 3,467,900 | |
3.875% 7/3/23 | 3,168,000 | 3,168,000 | |
4.25% 2/1/24 | 3,258,000 | 3,223,552 | |
4.25% 9/15/24 | 2,024,000 | 1,975,451 | |
12,329,890 | |||
Transportation Infrastructure - 0.3% | |||
Avolon Holdings Funding Ltd.: | |||
3.95% 7/1/24 (b) | 1,186,000 | 1,150,480 | |
4.25% 4/15/26 (b) | 897,000 | 835,659 | |
4.375% 5/1/26 (b) | 2,653,000 | 2,478,891 | |
5.25% 5/15/24 (b) | 2,164,000 | 2,126,072 | |
6.375% 5/4/28 (b) | 3,488,000 | 3,450,545 | |
10,041,647 | |||
TOTAL INDUSTRIALS | 32,489,031 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Electronic Equipment, Instruments & Components - 0.1% | |||
Dell International LLC/EMC Corp.: | |||
5.85% 7/15/25 | 735,000 | 737,684 | |
6.02% 6/15/26 | 888,000 | 902,571 | |
6.1% 7/15/27 | 1,349,000 | 1,389,752 | |
6.2% 7/15/30 | 1,167,000 | 1,212,506 | |
4,242,513 | |||
Semiconductors & Semiconductor Equipment - 0.5% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 944,000 | 816,373 | |
2.45% 2/15/31 (b) | 8,034,000 | 6,534,064 | |
2.6% 2/15/33 (b) | 8,034,000 | 6,278,518 | |
3.5% 2/15/41 (b) | 6,488,000 | 4,853,197 | |
3.75% 2/15/51 (b) | 3,045,000 | 2,239,245 | |
20,721,397 | |||
Software - 0.5% | |||
Oracle Corp.: | |||
1.65% 3/25/26 | 3,687,000 | 3,346,142 | |
2.3% 3/25/28 | 5,824,000 | 5,139,448 | |
2.8% 4/1/27 | 3,325,000 | 3,056,104 | |
2.875% 3/25/31 | 6,114,000 | 5,219,597 | |
3.6% 4/1/40 | 3,327,000 | 2,573,790 | |
19,335,081 | |||
TOTAL INFORMATION TECHNOLOGY | 44,298,991 | ||
REAL ESTATE - 3.0% | |||
Equity Real Estate Investment Trusts (REITs) - 2.5% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 2,366,000 | 2,289,949 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 427,000 | 339,049 | |
3.625% 4/15/32 | 1,758,000 | 1,519,251 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 2,203,000 | 1,794,887 | |
4.5% 12/1/28 | 2,209,000 | 2,027,931 | |
6.75% 12/1/27 | 2,669,000 | 2,699,181 | |
Corporate Office Properties LP: | |||
2% 1/15/29 | 328,000 | 249,970 | |
2.25% 3/15/26 | 945,000 | 836,942 | |
2.75% 4/15/31 | 914,000 | 694,502 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 745,000 | 638,154 | |
3.5% 8/1/26 | 775,000 | 713,016 | |
Healthpeak OP, LLC: | |||
3.25% 7/15/26 | 325,000 | 302,671 | |
3.5% 7/15/29 | 373,000 | 334,472 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 4,395,000 | 3,101,508 | |
Invitation Homes Operating Partnership LP 4.15% 4/15/32 | 2,644,000 | 2,367,785 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 3,537,000 | 3,359,731 | |
4.75% 9/15/30 | 5,514,000 | 4,956,181 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 1,037,000 | 828,155 | |
4.4% 6/15/24 | 818,000 | 798,492 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 3,556,000 | 2,640,830 | |
3.375% 2/1/31 | 1,901,000 | 1,507,849 | |
3.625% 10/1/29 | 3,357,000 | 2,751,140 | |
4.375% 8/1/23 | 704,000 | 702,481 | |
4.5% 1/15/25 | 1,520,000 | 1,456,574 | |
4.5% 4/1/27 | 9,194,000 | 8,538,298 | |
4.75% 1/15/28 | 3,623,000 | 3,307,180 | |
4.95% 4/1/24 | 769,000 | 758,178 | |
5.25% 1/15/26 | 3,228,000 | 3,107,979 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 834,000 | 561,543 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 453,000 | 392,224 | |
2.85% 12/15/32 | 556,000 | 452,182 | |
3.25% 1/15/31 | 579,000 | 506,069 | |
3.4% 1/15/28 | 904,000 | 833,463 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 555,000 | 531,649 | |
5% 12/15/23 | 418,000 | 411,867 | |
Simon Property Group LP 2.45% 9/13/29 | 924,000 | 777,864 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 1,284,000 | 1,208,301 | |
4.25% 2/1/26 | 1,677,000 | 1,570,707 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 4,952,000 | 3,577,892 | |
4.625% 3/15/29 | 1,018,000 | 856,971 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 948,000 | 796,844 | |
2.7% 7/15/31 | 2,448,000 | 1,934,318 | |
Ventas Realty LP: | |||
3% 1/15/30 | 4,331,000 | 3,704,435 | |
3.5% 2/1/25 | 3,658,000 | 3,503,011 | |
4% 3/1/28 | 1,273,000 | 1,177,580 | |
4.125% 1/15/26 | 884,000 | 845,510 | |
4.375% 2/1/45 | 433,000 | 347,244 | |
4.75% 11/15/30 | 5,686,000 | 5,381,924 | |
VICI Properties LP: | |||
4.375% 5/15/25 | 446,000 | 431,039 | |
4.75% 2/15/28 | 3,531,000 | 3,343,271 | |
4.95% 2/15/30 | 4,599,000 | 4,314,230 | |
5.125% 5/15/32 | 1,205,000 | 1,127,451 | |
Vornado Realty LP 2.15% 6/1/26 | 1,069,000 | 905,584 | |
WP Carey, Inc.: | |||
2.4% 2/1/31 | 2,157,000 | 1,733,869 | |
3.85% 7/15/29 | 724,000 | 656,838 | |
4% 2/1/25 | 3,043,000 | 2,946,469 | |
99,452,685 | |||
Real Estate Management & Development - 0.5% | |||
Brandywine Operating Partnership LP: | |||
3.95% 11/15/27 | 2,619,000 | 2,077,033 | |
4.1% 10/1/24 | 2,878,000 | 2,761,568 | |
4.55% 10/1/29 | 3,316,000 | 2,398,048 | |
7.55% 3/15/28 | 3,596,000 | 3,235,428 | |
CBRE Group, Inc. 2.5% 4/1/31 | 3,160,000 | 2,541,646 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 2,490,000 | 1,806,961 | |
3.125% 9/1/26 | 3,468,000 | 3,074,912 | |
17,895,596 | |||
TOTAL REAL ESTATE | 117,348,281 | ||
UTILITIES - 1.3% | |||
Electric Utilities - 0.5% | |||
Alabama Power Co. 3.05% 3/15/32 | 3,742,000 | 3,251,096 | |
Cleco Corporate Holdings LLC: | |||
3.375% 9/15/29 | 1,957,000 | 1,659,860 | |
3.743% 5/1/26 | 7,482,000 | 7,002,825 | |
Duke Energy Corp. 2.45% 6/1/30 | 1,580,000 | 1,326,791 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (b) | 750,000 | 599,350 | |
2.775% 1/7/32 (b) | 2,595,000 | 2,023,522 | |
Entergy Corp. 2.8% 6/15/30 | 1,621,000 | 1,373,985 | |
Exelon Corp.: | |||
2.75% 3/15/27 | 829,000 | 758,575 | |
3.35% 3/15/32 | 1,006,000 | 874,109 | |
4.05% 4/15/30 | 988,000 | 923,263 | |
4.1% 3/15/52 | 745,000 | 600,563 | |
4.7% 4/15/50 | 440,000 | 388,849 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,224,000 | 1,183,382 | |
21,966,170 | |||
Gas Utilities - 0.0% | |||
Nakilat, Inc. 6.067% 12/31/33 (b) | 885,124 | 923,883 | |
Independent Power and Renewable Electricity Producers - 0.3% | |||
Emera U.S. Finance LP 3.55% 6/15/26 | 1,074,000 | 1,015,531 | |
The AES Corp.: | |||
2.45% 1/15/31 | 1,088,000 | 879,415 | |
3.3% 7/15/25 (b) | 4,877,000 | 4,605,537 | |
3.95% 7/15/30 (b) | 4,253,000 | 3,812,890 | |
10,313,373 | |||
Multi-Utilities - 0.5% | |||
Berkshire Hathaway Energy Co. 4.05% 4/15/25 | 7,058,000 | 6,888,875 | |
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30 | 449,000 | 407,894 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 4,856,000 | 4,252,062 | |
3.6% 5/1/30 | 2,477,000 | 2,230,735 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 1,909,000 | 1,738,133 | |
4.224% 3/15/32 | 3,417,000 | 3,070,401 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 7.4332% 5/15/67 (c)(d) | 810,000 | 681,258 | |
19,269,358 | |||
TOTAL UTILITIES | 52,472,784 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $1,464,752,947) | 1,262,727,228 | ||
U.S. Treasury Obligations - 34.7% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 22,865,200 | 14,822,187 | |
1.75% 8/15/41 | 80,591,100 | 56,618,396 | |
1.875% 11/15/51 | 50,329,100 | 33,221,138 | |
2% 11/15/41 | 13,511,200 | 9,890,093 | |
2% 8/15/51 | 200,421,400 | 136,623,198 | |
2.25% 2/15/52 | 38,732,200 | 27,990,066 | |
3% 2/15/47 | 55,093,200 | 46,385,892 | |
3.375% 8/15/42 | 58,000,000 | 52,646,328 | |
3.625% 2/15/53 | 6,460,000 | 6,199,581 | |
3.625% 5/15/53 | 4,500,000 | 4,324,922 | |
U.S. Treasury Notes: | |||
1.125% 8/31/28 | 70,526,300 | 60,765,570 | |
1.25% 5/31/28 | 220,752,000 | 192,554,385 | |
1.25% 9/30/28 | 15,938,200 | 13,797,127 | |
1.75% 1/31/29 | 27,595,700 | 24,394,168 | |
2.625% 7/31/29 | 37,400,000 | 34,549,711 | |
2.75% 4/30/27 | 43,645,400 | 41,229,559 | |
2.875% 5/15/32 | 105,403,000 | 97,728,344 | |
3.375% 5/15/33 | 169,600,000 | 163,558,000 | |
3.5% 1/31/28 | 50,000,000 | 48,552,735 | |
3.5% 2/15/33 | 144,500,000 | 140,752,031 | |
3.625% 5/15/26 | 5,000,000 | 4,878,701 | |
3.625% 3/31/30 | 59,000,000 | 57,713,984 | |
3.75% 5/31/30 | 52,400,000 | 51,671,313 | |
4.125% 11/15/32 | 35,600,000 | 36,378,750 | |
4.375% 10/31/24 | 1,921,000 | 1,897,813 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,571,889,182) | 1,359,143,992 | ||
U.S. Government Agency - Mortgage Securities - 22.0% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 8.0% | |||
12 month U.S. LIBOR + 1.480% 3.73% 7/1/34 (c)(d) | 1,536 | 1,546 | |
12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (c)(d) | 3,883 | 3,926 | |
12 month U.S. LIBOR + 1.630% 4.24% 11/1/36 (c)(d) | 42,800 | 43,133 | |
12 month U.S. LIBOR + 1.700% 5.188% 6/1/42 (c)(d) | 31,271 | 31,666 | |
12 month U.S. LIBOR + 1.730% 5.105% 5/1/36 (c)(d) | 30,707 | 31,038 | |
12 month U.S. LIBOR + 1.750% 4.306% 7/1/35 (c)(d) | 2,945 | 2,964 | |
12 month U.S. LIBOR + 1.780% 4.163% 2/1/36 (c)(d) | 12,259 | 12,343 | |
12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (c)(d) | 12,234 | 12,420 | |
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (c)(d) | 10,190 | 10,408 | |
12 month U.S. LIBOR + 1.810% 4.119% 7/1/41 (c)(d) | 19,869 | 20,327 | |
12 month U.S. LIBOR + 1.820% 4.195% 12/1/35 (c)(d) | 12,409 | 12,550 | |
12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (c)(d) | 8,425 | 8,291 | |
12 month U.S. LIBOR + 1.950% 4.4% 9/1/36 (c)(d) | 23,026 | 23,257 | |
12 month U.S. LIBOR + 1.950% 5.496% 7/1/37 (c)(d) | 8,702 | 8,862 | |
6 month U.S. LIBOR + 1.310% 4.438% 5/1/34 (c)(d) | 18,235 | 18,177 | |
6 month U.S. LIBOR + 1.420% 3.572% 9/1/33 (c)(d) | 32,282 | 32,115 | |
6 month U.S. LIBOR + 1.550% 5.984% 10/1/33 (c)(d) | 2,138 | 2,167 | |
6 month U.S. LIBOR + 1.560% 5.603% 7/1/35 (c)(d) | 2,077 | 2,110 | |
U.S. TREASURY 1 YEAR INDEX + 1.940% 3.87% 10/1/33 (c)(d) | 33,049 | 33,685 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (c)(d) | 2,973 | 3,011 | |
U.S. TREASURY 1 YEAR INDEX + 2.220% 4.405% 8/1/36 (c)(d) | 37,948 | 38,660 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.405% 10/1/33 (c)(d) | 5,198 | 5,315 | |
U.S. TREASURY 1 YEAR INDEX + 2.420% 4.778% 5/1/35 (c)(d) | 6,444 | 6,563 | |
1.5% 11/1/35 to 9/1/51 (e) | 29,158,154 | 23,621,346 | |
2% 2/1/28 to 3/1/52 | 68,661,361 | 57,728,128 | |
2.5% 10/1/27 to 3/1/52 | 78,690,974 | 68,357,998 | |
3% 2/1/31 to 2/1/52 (f)(g) | 55,460,596 | 49,879,187 | |
3.5% 9/1/35 to 4/1/52 (f)(g) | 37,228,091 | 34,416,642 | |
4% 7/1/39 to 6/1/52 | 21,535,514 | 20,568,676 | |
4.5% to 4.5% 5/1/25 to 11/1/52 | 17,758,302 | 17,299,975 | |
5% 9/1/25 to 12/1/52 | 15,911,378 | 15,702,815 | |
5.5% 10/1/52 to 6/1/53 | 16,050,020 | 16,002,085 | |
6% 10/1/34 to 6/1/53 | 8,699,102 | 8,847,359 | |
6.5% 12/1/23 to 8/1/36 | 295,929 | 304,497 | |
7% to 7% 11/1/23 to 8/1/32 | 37,808 | 39,004 | |
7.5% to 7.5% 9/1/25 to 11/1/31 | 48,994 | 50,408 | |
8% 1/1/30 | 215 | 225 | |
8.5% 3/1/25 | 24 | 24 | |
TOTAL FANNIE MAE | 313,182,903 | ||
Freddie Mac - 5.1% | |||
12 month U.S. LIBOR + 1.370% 3.634% 3/1/36 (c)(d) | 25,253 | 25,175 | |
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (c)(d) | 15,171 | 15,389 | |
12 month U.S. LIBOR + 1.880% 5.255% 4/1/41 (c)(d) | 3,930 | 3,955 | |
12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (c)(d) | 9,956 | 10,205 | |
12 month U.S. LIBOR + 1.910% 5.22% 5/1/41 (c)(d) | 31,668 | 31,966 | |
12 month U.S. LIBOR + 1.910% 5.364% 6/1/41 (c)(d) | 30,659 | 31,024 | |
12 month U.S. LIBOR + 1.910% 5.568% 5/1/41 (c)(d) | 33,060 | 33,383 | |
12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (c)(d) | 315 | 317 | |
12 month U.S. LIBOR + 2.160% 4.41% 11/1/35 (c)(d) | 5,105 | 5,166 | |
6 month U.S. LIBOR + 1.650% 6.179% 4/1/35 (c)(d) | 20,769 | 21,000 | |
6 month U.S. LIBOR + 2.680% 6.988% 10/1/35 (c)(d) | 3,527 | 3,624 | |
U.S. TREASURY 1 YEAR INDEX + 2.240% 4.372% 1/1/35 (c)(d) | 3,209 | 3,248 | |
1.5% 7/1/35 to 4/1/51 | 21,776,474 | 17,365,586 | |
2% 5/1/35 to 4/1/52 | 53,312,793 | 45,220,177 | |
2.5% 1/1/28 to 3/1/52 (f) | 47,961,686 | 41,614,156 | |
3% 12/1/30 to 4/1/52 | 20,767,693 | 18,624,908 | |
3.5% 3/1/32 to 3/1/52 | 30,360,214 | 28,426,156 | |
4% 5/1/37 to 10/1/52 | 12,958,484 | 12,439,688 | |
4.5% 7/1/25 to 10/1/48 | 7,298,478 | 7,170,400 | |
5% 1/1/40 to 4/1/53 | 16,715,566 | 16,503,023 | |
5.5% 10/1/52 to 4/1/53 | 8,991,058 | 9,031,948 | |
6% 4/1/32 to 7/1/53 | 3,345,217 | 3,416,016 | |
6.5% 1/1/53 | 1,382,185 | 1,413,952 | |
7.5% 8/1/26 to 11/1/31 | 6,000 | 6,252 | |
8% 4/1/27 to 5/1/27 | 547 | 559 | |
8.5% 5/1/27 to 1/1/28 | 887 | 906 | |
TOTAL FREDDIE MAC | 201,418,179 | ||
Ginnie Mae - 5.4% | |||
3% 12/20/42 to 4/20/47 | 3,721,265 | 3,364,285 | |
3.5% 12/20/40 to 1/20/50 | 2,669,503 | 2,486,313 | |
4% 2/15/40 to 4/20/48 | 10,611,261 | 10,190,548 | |
4.5% 5/15/39 to 5/20/41 | 2,279,594 | 2,232,411 | |
5% 3/15/39 to 4/20/48 | 1,284,106 | 1,287,593 | |
6.5% 4/15/35 to 11/15/35 | 27,409 | 28,346 | |
7% 1/15/28 to 7/15/32 | 155,173 | 158,957 | |
7.5% to 7.5% 1/15/24 to 10/15/28 | 26,410 | 26,884 | |
8% 3/15/30 to 9/15/30 | 3,805 | 3,967 | |
2% 11/20/50 to 4/20/51 (e) | 17,198,133 | 14,484,404 | |
2% 7/1/53 (h) | 10,400,000 | 8,732,257 | |
2% 7/1/53 (h) | 13,850,000 | 11,629,015 | |
2% 7/1/53 (h) | 3,400,000 | 2,854,776 | |
2% 7/1/53 (h) | 4,350,000 | 3,652,434 | |
2% 7/1/53 (h) | 6,950,000 | 5,835,499 | |
2% 8/1/53 (h) | 6,850,000 | 5,758,492 | |
2% 8/1/53 (h) | 3,400,000 | 2,858,230 | |
2% 8/1/53 (h) | 1,350,000 | 1,134,885 | |
2.5% 9/20/51 to 12/20/51 | 3,424,550 | 2,967,378 | |
2.5% 7/1/53 (h) | 11,150,000 | 9,649,434 | |
2.5% 7/1/53 (h) | 7,850,000 | 6,793,548 | |
2.5% 7/1/53 (h) | 11,050,000 | 9,562,892 | |
2.5% 7/1/53 (h) | 3,450,000 | 2,985,699 | |
2.5% 7/1/53 (h) | 7,600,000 | 6,577,193 | |
2.5% 7/1/53 (h) | 11,150,000 | 9,649,434 | |
2.5% 7/1/53 (h) | 4,100,000 | 3,548,222 | |
2.5% 8/1/53 (h) | 7,600,000 | 6,585,278 | |
2.5% 8/1/53 (h) | 15,250,000 | 13,213,881 | |
3% 7/1/53 (h) | 10,300,000 | 9,201,544 | |
3% 7/1/53 (h) | 8,175,000 | 7,303,167 | |
3% 7/1/53 (h) | 1,100,000 | 982,689 | |
3% 7/1/53 (h) | 3,000,000 | 2,680,061 | |
3% 7/1/53 (h) | 4,200,000 | 3,752,086 | |
3.5% 7/1/53 (h) | 8,500,000 | 7,843,194 | |
3.5% 7/1/53 (h) | 3,975,000 | 3,667,847 | |
3.5% 7/1/53 (h) | 4,075,000 | 3,760,119 | |
3.5% 7/1/53 (h) | 800,000 | 738,183 | |
3.5% 8/1/53 (h) | 9,200,000 | 8,491,261 | |
4% 7/1/53 (h) | 800,000 | 756,422 | |
4.5% 7/1/53 (h) | 2,100,000 | 2,026,215 | |
4.5% 7/1/53 (h) | 2,100,000 | 2,026,215 | |
5% 7/1/53 (h) | 4,100,000 | 4,028,431 | |
5.5% 7/1/53 (h) | 5,700,000 | 5,674,921 | |
TOTAL GINNIE MAE | 211,184,610 | ||
Uniform Mortgage Backed Securities - 3.5% | |||
1.5% 7/1/53 (h) | 1,400,000 | 1,083,098 | |
2% 7/1/38 (h) | 500,000 | 443,059 | |
2% 7/1/53 (h) | 12,400,000 | 10,104,591 | |
2% 7/1/53 (h) | 12,400,000 | 10,104,591 | |
2% 7/1/53 (h) | 7,450,000 | 6,070,904 | |
2% 7/1/53 (h) | 8,400,000 | 6,845,046 | |
2% 7/1/53 (h) | 13,600,000 | 11,082,455 | |
2% 7/1/53 (h) | 6,575,000 | 5,357,878 | |
2% 7/1/53 (h) | 4,100,000 | 3,341,034 | |
2% 8/1/53 (h) | 6,950,000 | 5,672,148 | |
2.5% 7/1/38 (h) | 300,000 | 273,000 | |
2.5% 7/1/53 (h) | 3,550,000 | 3,008,486 | |
2.5% 7/1/53 (h) | 7,100,000 | 6,016,972 | |
2.5% 7/1/53 (h) | 5,000,000 | 4,237,304 | |
2.5% 7/1/53 (h) | 1,350,000 | 1,144,072 | |
3% 7/1/53 (h) | 1,650,000 | 1,451,742 | |
3% 7/1/53 (h) | 1,475,000 | 1,297,769 | |
3.5% 7/1/53 (h) | 3,300,000 | 3,005,835 | |
4% 7/1/53 (h) | 1,175,000 | 1,102,388 | |
4% 7/1/53 (h) | 1,775,000 | 1,665,310 | |
4% 7/1/53 (h) | 5,300,000 | 4,972,475 | |
4% 7/1/53 (h) | 2,975,000 | 2,791,154 | |
4.5% 7/1/53 (h) | 2,200,000 | 2,114,063 | |
4.5% 7/1/53 (h) | 2,050,000 | 1,969,922 | |
5% 7/1/38 (h) | 4,000,000 | 3,971,564 | |
5% 7/1/38 (h) | 3,975,000 | 3,946,742 | |
5% 7/1/38 (h) | 3,250,000 | 3,226,896 | |
5% 7/1/38 (h) | 3,225,000 | 3,202,073 | |
5% 7/1/38 (h) | 1,200,000 | 1,191,469 | |
5% 7/1/38 (h) | 1,450,000 | 1,439,692 | |
5% 8/1/38 (h) | 1,450,000 | 1,439,975 | |
5% 7/1/53 (h) | 850,000 | 832,768 | |
5% 7/1/53 (h) | 850,000 | 832,768 | |
5.5% 7/1/53 (h) | 3,300,000 | 3,284,142 | |
5.5% 7/1/53 (h) | 5,700,000 | 5,672,609 | |
5.5% 7/1/53 (h) | 11,700,000 | 11,643,776 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 135,839,770 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $916,575,005) | 861,625,462 | ||
Asset-Backed Securities - 6.9% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | 1,347,279 | 840,710 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 999,711 | 718,700 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 2,497,287 | 2,095,293 | |
Class B, 4.458% 10/16/39 (b) | 713,637 | 250,722 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 2,962,335 | 2,552,081 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 5,608,331 | 4,758,669 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 6.3603% 1/15/32 (b)(c)(d) | 1,196,595 | 1,184,178 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 6.3903% 10/17/34 (b)(c)(d) | 2,370,709 | 2,327,299 | |
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, 3 month U.S. LIBOR + 0.990% 6.2404% 4/20/34 (b)(c)(d) | 5,797,905 | 5,679,894 | |
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.5485% 7/20/35 (b)(c)(d) | 3,019,149 | 2,970,006 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 6.3904% 7/20/34 (b)(c)(d) | 2,835,654 | 2,771,650 | |
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | 2,480,000 | 2,466,618 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 853,492 | 716,385 | |
Class B, 4.335% 1/16/40 (b) | 268,430 | 134,354 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 6.5803% 10/15/32 (b)(c)(d) | 3,103,607 | 3,073,514 | |
Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 6.2851% 4/25/34 (b)(c)(d) | 1,923,930 | 1,878,525 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 6.3903% 7/15/34 (b)(c)(d) | 3,574,230 | 3,518,965 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.3163% 1/15/35 (b)(c)(d) | 4,768,241 | 4,633,023 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 6.3303% 4/15/34 (b)(c)(d) | 4,022,144 | 3,937,160 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 6.5103% 4/17/33 (b)(c)(d) | 1,232,474 | 1,212,106 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 10/15/36 (b)(c)(d) | 2,392,281 | 2,341,053 | |
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28 | 2,300,000 | 2,282,757 | |
Barings CLO Ltd.: | |||
Series 2021-1A Class A, 3 month U.S. LIBOR + 1.020% 6.2751% 4/25/34 (b)(c)(d) | 4,224,812 | 4,144,735 | |
Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 6.4704% 1/20/32 (b)(c)(d) | 3,831,965 | 3,793,779 | |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.2863% 1/17/35 (b)(c)(d) | 4,846,852 | 4,749,503 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.3903% 1/15/35 (b)(c)(d) | 3,615,104 | 3,539,310 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 3,533,955 | 3,250,073 | |
Class AA, 2.487% 12/16/41 (b)(c) | 260,937 | 249,597 | |
Series 2021-1A Class A, 2.443% 7/15/46 (b) | 4,167,450 | 3,588,263 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 6.2503% 4/15/29 (b)(c)(d) | 3,400,306 | 3,367,633 | |
Carmax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26 | 2,100,000 | 2,093,779 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 2,199,942 | 1,953,003 | |
Class B, 5.095% 4/15/39 (b) | 1,232,658 | 890,879 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (b) | 1,232,953 | 1,112,529 | |
Series 2021-1A Class A, 3.474% 1/15/46 (b) | 828,820 | 757,541 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 6.3504% 10/20/32 (b)(c)(d) | 2,890,154 | 2,844,813 | |
Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.3685% 4/20/35 (b)(c)(d) | 4,498,016 | 4,381,958 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 6.3851% 10/25/34 (b)(c)(d) | 2,218,566 | 2,175,206 | |
CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 6.3004% 4/20/34 (b)(c)(d) | 3,494,185 | 3,402,763 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 6.4204% 10/20/34 (b)(c)(d) | 3,598,073 | 3,497,554 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 1,643,172 | 1,568,167 | |
CNH Equipment Trust Series 2023 A Class A2, 5.34% 9/15/26 | 990,000 | 985,712 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 6.4504% 4/20/34 (b)(c)(d) | 3,860,350 | 3,761,077 | |
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 6.7706% 7/24/34 (b)(c)(d) | 4,457,000 | 4,390,074 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 6.5604% 1/20/34 (b)(c)(d) | 5,052,517 | 4,971,374 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 3,242,345 | 2,963,416 | |
Discover Card Execution Note Trust Series 2023-A2 Class A, 4.93% 6/15/28 | 1,500,000 | 1,493,416 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.3485% 4/20/35 (b)(c)(d) | 2,526,193 | 2,452,145 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 6.4004% 10/20/34 (b)(c)(d) | 2,388,876 | 2,349,550 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 6.4817% 1/18/32 (b)(c)(d) | 2,929,325 | 2,892,471 | |
Dryden Senior Loan Fund: | |||
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 6.4403% 4/17/33 (b)(c)(d) | 2,441,104 | 2,410,519 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 10/15/35 (b)(c)(d) | 3,177,977 | 3,111,252 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 6.5091% 2/20/35 (b)(c)(d) | 1,889,869 | 1,850,142 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 6.3603% 4/15/31 (b)(c)(d) | 1,638,378 | 1,619,565 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 1/15/35 (b)(c)(d) | 4,330,149 | 4,259,174 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 6.5103% 1/15/34 (b)(c)(d) | 1,005,251 | 990,339 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 6.375% 7/19/34 (b)(c)(d) | 2,577,919 | 2,537,348 | |
Class AR, 3 month U.S. LIBOR + 1.080% 6.3983% 11/16/34 (b)(c)(d) | 3,690,041 | 3,635,004 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 6.6791% 11/20/33 (b)(c)(d) | 4,601,553 | 4,555,146 | |
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b) | 2,100,000 | 2,076,013 | |
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | 1,031,000 | 1,026,633 | |
GM Financial Consumer Automobile Re Series 2023 2 Class A3, 4.47% 2/16/28 | 2,310,000 | 2,268,685 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 1,333,953 | 1,150,532 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 1,250,180 | 1,067,637 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 6.4027% 10/22/34 (b)(c)(d) | 2,531,935 | 2,484,195 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.3163% 4/15/35 (b)(c)(d) | 5,870,431 | 5,691,230 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 6.4703% 1/15/33 (b)(c)(d) | 1,816,635 | 1,799,684 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 6.1927% 1/22/28 (b)(c)(d) | 2,102,066 | 2,089,664 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.4295% 4/19/34 (b)(c)(d) | 4,047,691 | 3,984,397 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 6.3727% 1/22/35 (b)(c)(d) | 4,115,814 | 4,025,534 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 6.3803% 7/15/34 (b)(c)(d) | 2,572,810 | 2,531,810 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, 3 month U.S. LIBOR + 1.200% 6.4727% 1/22/31 (b)(c)(d) | 1,296,427 | 1,273,400 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 6.3904% 10/20/34 (b)(c)(d) | 1,041,994 | 1,023,219 | |
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, 3 month U.S. LIBOR + 1.130% 6.3851% 10/25/34 (b)(c)(d) | 4,363,331 | 4,282,365 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 6.2704% 4/20/34 (b)(c)(d) | 3,374,400 | 3,314,950 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 6.2503% 1/15/34 (b)(c)(d) | 3,525,408 | 3,488,783 | |
Marlette Funding Trust Series 2022-1A Class A, 1.36% 4/15/32 (b) | 730,457 | 726,010 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 6.3204% 10/20/30 (b)(c)(d) | 3,550,105 | 3,520,664 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 6.3954% 1/25/36 (c)(d) | 76,675 | 75,060 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.3804% 10/20/34 (b)(c)(d) | 1,408,460 | 1,383,329 | |
Planet Fitness Master Issuer LLC: | |||
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 2,654,715 | 2,249,226 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 2,911,150 | 2,587,311 | |
Class A2II, 4.008% 12/5/51 (b) | 2,601,075 | 2,136,697 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 2,341,993 | 1,988,609 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 6.3704% 4/20/34 (b)(c)(d) | 4,820,896 | 4,753,847 | |
RR 7 Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.3263% 1/15/37 (b)(c)(d) | 4,874,693 | 4,765,670 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 2,452,250 | 2,061,557 | |
Class B, 4.335% 3/15/40 (b)(i) | 521,805 | 366,080 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 3,520,000 | 3,341,988 | |
1.884% 7/15/50 (b) | 1,356,000 | 1,217,712 | |
2.328% 7/15/52 (b) | 1,037,000 | 887,042 | |
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.3906% 4/23/35 (b)(c)(d) | 5,044,198 | 4,932,025 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 6.3203% 7/15/32 (b)(c)(d) | 580,272 | 572,207 | |
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, 3 month U.S. LIBOR + 0.980% 6.245% 4/19/34 (b)(c)(d) | 4,282,717 | 4,188,035 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 6.3304% 4/20/33 (b)(c)(d) | 3,959,716 | 3,892,951 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 6.0104% 9/25/34 (c)(d) | 3,946 | 3,786 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 2,709,447 | 2,314,084 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 3,607,957 | 3,009,253 | |
Toyota Lease Owner Trust Series 2023 A: | |||
Class A2, 5.3% 8/20/25 (b) | 1,906,000 | 1,896,973 | |
Class A3, 4.93% 4/20/26 (b) | 1,864,000 | 1,842,178 | |
Upstart Securitization Trust 3.12% 3/20/32 (b) | 768,282 | 752,066 | |
Verizon Master Trust Series 2023 2 Class A, 4.89% 4/13/28 | 1,100,000 | 1,089,772 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 6.5204% 7/20/32 (b)(c)(d) | 3,719,561 | 3,680,520 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 6.425% 7/19/34 (b)(c)(d) | 2,363,896 | 2,320,526 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 6.4004% 10/20/34 (b)(c)(d) | 4,837,926 | 4,747,539 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 7/16/34 (b)(c)(d) | 2,387,172 | 2,346,602 | |
World Omni Auto Receivables Trust Series 2023 B: | |||
Class A2A, 5.25% 11/16/26 | 1,075,000 | 1,068,739 | |
Class A3, 4.66% 5/15/28 | 1,974,000 | 1,945,453 | |
TOTAL ASSET-BACKED SECURITIES (Cost $283,459,515) | 271,174,713 | ||
Collateralized Mortgage Obligations - 1.2% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.7% | |||
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | 2,927,947 | 2,637,219 | |
BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | 4,455,539 | 3,767,935 | |
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 1,283,371 | 1,211,079 | |
CFMT Series 2022-HB10 Class A, 3.25% 11/25/35 (b) | 5,246,122 | 5,009,314 | |
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 924,252 | 903,931 | |
CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | 3,354,372 | 3,280,884 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 3,907,785 | 3,662,022 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 1,631,705 | 1,440,665 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | 994,000 | 933,958 | |
Preston Ridge Partners Mortgage Trust Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 2,601,440 | 2,433,027 | |
RMF Buyout Issuance Trust sequential payer Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 996,831 | 958,920 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 6.546% 7/20/34 (c)(d) | 984 | 858 | |
Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | 1,508,902 | 1,385,153 | |
TOTAL PRIVATE SPONSOR | 27,624,965 | ||
U.S. Government Agency - 0.5% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 1999-54 Class PH, 6.5% 11/18/29 | 7,174 | 7,167 | |
Series 1999-57 Class PH, 6.5% 12/25/29 | 35,309 | 35,393 | |
sequential payer: | |||
Series 2020-101 Class BA, 1.5% 9/25/45 | 672,734 | 564,720 | |
Series 2020-49 Class JA, 2% 8/25/44 | 103,670 | 91,995 | |
Series 2020-80 Class BA, 1.5% 3/25/45 | 966,744 | 814,557 | |
Series 2021-68 Class A, 2% 7/25/49 | 201,525 | 162,723 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 109,855 | 96,008 | |
Series 2021-95: | |||
Class 0, 2.5% 9/25/48 | 869,683 | 756,195 | |
Class BA, 2.5% 6/25/49 | 1,286,933 | 1,119,081 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 183,134 | 160,728 | |
Series 2022-1 Class KA, 3% 5/25/48 | 442,422 | 396,032 | |
Series 2022-3: | |||
Class D, 2% 2/25/48 | 1,297,712 | 1,118,424 | |
Class N, 2% 10/25/47 | 3,573,047 | 3,039,603 | |
Series 2022-30 Class E, 4.5% 7/25/48 | 1,256,310 | 1,193,904 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 132,459 | 116,043 | |
Series 2022-42 Class BA, 4% 6/25/50 | 1,297,222 | 1,227,062 | |
Series 2022-49 Class TC, 4% 12/25/48 | 408,438 | 390,695 | |
Series 2022-7: | |||
Class A, 3% 5/25/48 | 629,120 | 563,231 | |
Class E, 2.5% 11/25/47 | 1,292,010 | 1,138,436 | |
Series 2021-59 Class H, 2% 6/25/48 | 114,081 | 94,258 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 123,294 | 102,166 | |
Class DM, 2% 1/25/48 | 131,026 | 108,573 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2021-5175 Class CB, 2.5% 4/25/50 | 654,212 | 568,173 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 131,980 | 116,614 | |
Series 2022-5189 Class DA, 2.5% 5/25/49 | 314,318 | 268,151 | |
Series 2022-5190 Class BA, 2.5% 11/25/47 | 320,019 | 278,303 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 155,816 | 135,491 | |
Series 2022-5197 Class DA, 2.5% 11/25/47 | 243,072 | 211,400 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 1,174,456 | 1,033,345 | |
Series 2022-5202 Class LB, 2.5% 10/25/47 | 259,513 | 225,063 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 1,658,101 | 1,529,920 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 494,707 | 426,072 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 850,245 | 737,612 | |
Series 2022-5236 Class P, 5% 4/25/48 | 472,245 | 465,510 | |
Series 2022-5266 Class CD, 4.5% 10/25/44 | 1,285,329 | 1,250,314 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 2021-5159 Class GC, 2% 11/25/47 | 106,014 | 91,328 | |
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 9.2512% 6/16/37 (c)(j) | 7,379 | 8,198 | |
TOTAL U.S. GOVERNMENT AGENCY | 20,642,488 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $50,412,876) | 48,267,453 | ||
Commercial Mortgage Securities - 6.2% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX: | |||
Class A, CME Term SOFR 1 Month Index + 1.150% 6.297% 1/15/39 (b)(c)(d) | 2,741,961 | 2,665,088 | |
Class B, CME Term SOFR 1 Month Index + 1.550% 6.697% 1/15/39 (b)(c)(d) | 618,000 | 597,016 | |
Class C, CME Term SOFR 1 Month Index + 2.150% 7.297% 1/15/39 (b)(c)(d) | 437,000 | 419,575 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 2,189,000 | 1,991,157 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 491,000 | 413,855 | |
Class CNM, 3.8425% 11/5/32 (b)(c) | 248,000 | 197,110 | |
BANK: | |||
sequential payer: | |||
Series 2018-BN10: | |||
Class A4, 3.428% 2/15/61 | 1,005,010 | 918,623 | |
Class A5, 3.688% 2/15/61 | 218,564 | 201,475 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 373,546 | 318,509 | |
Series 2023-5YR1: | |||
Class A2, 5.779% 4/15/56 | 700,000 | 696,705 | |
Class A3, 6.26% 4/15/56 | 2,100,000 | 2,134,477 | |
Series 2021-BN33 Class XA, 1.1689% 5/15/64 (c)(k) | 13,435,526 | 745,322 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 778,315 | 724,225 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 721,545 | 652,011 | |
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 5,335,798 | 4,895,903 | |
Series 2021-B27 Class XA, 1.3801% 7/15/54 (c)(k) | 2,780,110 | 191,639 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, CME Term SOFR 1 Month Index + 2.160% 7.3115% 11/15/28 (b)(c)(d) | 1,998,000 | 1,987,281 | |
BPR Trust floater Series 2022-OANA: | |||
Class A, CME Term SOFR 1 Month Index + 1.890% 7.045% 4/15/37 (b)(c)(d) | 8,749,555 | 8,487,090 | |
Class B, CME Term SOFR 1 Month Index + 2.440% 7.594% 4/15/37 (b)(c)(d) | 2,324,753 | 2,263,007 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 5.8831% 10/15/36 (b)(c)(d) | 5,017,787 | 4,866,696 | |
Class B, 1 month U.S. LIBOR + 0.890% 6.0928% 10/15/36 (b)(c)(d) | 733,467 | 706,321 | |
Class C, 1 month U.S. LIBOR + 1.090% 6.2926% 10/15/36 (b)(c)(d) | 981,551 | 938,452 | |
Class D, 1 month U.S. LIBOR + 1.290% 6.4923% 10/15/36 (b)(c)(d) | 952,598 | 902,705 | |
Class E, 1 month U.S. LIBOR + 1.940% 7.1415% 10/15/36 (b)(c)(d) | 3,312,521 | 3,154,612 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 5.8453% 5/15/38 (b)(c)(d) | 450,000 | 438,384 | |
Series 2022-LP2: | |||
Class A, CME Term SOFR 1 Month Index + 1.010% 6.1599% 2/15/39 (b)(c)(d) | 5,227,304 | 5,067,186 | |
Class B, CME Term SOFR 1 Month Index + 1.310% 6.4593% 2/15/39 (b)(c)(d) | 1,862,550 | 1,785,965 | |
Class C, CME Term SOFR 1 Month Index + 1.560% 6.7087% 2/15/39 (b)(c)(d) | 1,862,550 | 1,763,098 | |
Class D, CME Term SOFR 1 Month Index + 1.960% 7.1078% 2/15/39 (b)(c)(d) | 1,862,550 | 1,770,538 | |
Bx Commercial Mortgage Trust 2: | |||
floater Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 6.493% 4/15/34 (b)(c)(d) | 1,864,321 | 1,827,586 | |
Class C, 1 month U.S. LIBOR + 1.600% 6.793% 4/15/34 (b)(c)(d) | 1,232,474 | 1,205,840 | |
Class D, 1 month U.S. LIBOR + 1.900% 7.093% 4/15/34 (b)(c)(d) | 1,293,785 | 1,264,182 | |
floater sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 6.193% 4/15/34 (b)(c)(d) | 5,401,930 | 5,343,552 | |
BX Trust: | |||
floater: | |||
Series 2019-XL: | |||
Class B, CME Term SOFR 1 Month Index + 1.190% 6.3415% 10/15/36 (b)(c)(d) | 4,508,712 | 4,467,431 | |
Class C, CME Term SOFR 1 Month Index + 1.360% 6.5115% 10/15/36 (b)(c)(d) | 1,877,095 | 1,856,946 | |
Class D, CME Term SOFR 1 Month Index + 1.560% 6.7115% 10/15/36 (b)(c)(d) | 2,998,333 | 2,962,363 | |
Class E, CME Term SOFR 1 Month Index + 1.910% 7.0615% 10/15/36 (b)(c)(d) | 3,735,372 | 3,683,486 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 5.8289% 10/15/26 (b)(c)(d) | 1,100,000 | 1,065,843 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.312% 10/15/39 (b)(c)(d) | 2,303,000 | 2,299,389 | |
Series 2022-IND: | |||
Class A, CME Term SOFR 1 Month Index + 1.490% 6.638% 4/15/37 (b)(c)(d) | 4,325,471 | 4,259,240 | |
Class B, CME Term SOFR 1 Month Index + 1.940% 7.087% 4/15/37 (b)(c)(d) | 2,205,098 | 2,165,261 | |
Class C, CME Term SOFR 1 Month Index + 2.290% 7.437% 4/15/37 (b)(c)(d) | 497,853 | 485,447 | |
Class D, CME Term SOFR 1 Month Index + 2.830% 7.986% 4/15/37 (b)(c)(d) | 416,877 | 399,640 | |
floater sequential payer Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.1815% 10/15/36 (b)(c)(d) | 4,681,737 | 4,652,617 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 6.263% 12/15/37 (b)(c)(d) | 300,000 | 297,312 | |
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 5,401,623 | 4,678,420 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class C, 1 month U.S. LIBOR + 1.750% 6.943% 6/15/34 (b)(c)(d) | 433,235 | 422,266 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 717,571 | 700,156 | |
Series 2015 LC19 Class A3, 2.922% 2/10/48 | 3,004,392 | 2,886,172 | |
Series 2013-CR13 Class AM, 4.449% 11/10/46 | 3,340,144 | 3,293,663 | |
Series 2013-LC13 Class AM, 4.557% 8/10/46 (b) | 2,047,158 | 2,037,841 | |
Series 2014-CR14 Class AM, 4.526% 2/10/47 (c) | 4,110,694 | 3,980,355 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 6.173% 5/15/36 (b)(c)(d) | 493,772 | 491,307 | |
Class B, 1 month U.S. LIBOR + 1.230% 6.423% 5/15/36 (b)(c)(d) | 2,354,143 | 2,337,975 | |
Class C, 1 month U.S. LIBOR + 1.430% 6.623% 5/15/36 (b)(c)(d) | 1,760,620 | 1,741,624 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 1,094,111 | 978,562 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 2,090,266 | 2,015,862 | |
Class B, 4.5349% 4/15/36 (b) | 642,635 | 614,168 | |
Class C, 4.9414% 4/15/36 (b)(c) | 526,890 | 502,400 | |
Class D, 4.9414% 4/15/36 (b)(c) | 862,334 | 813,464 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
Class A, 1 month U.S. LIBOR + 0.700% 5.895% 11/15/38 (b)(c)(d) | 6,770,941 | 6,571,329 | |
Class B, 1 month U.S. LIBOR + 1.120% 6.3142% 11/15/38 (b)(c)(d) | 500,000 | 484,319 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 6.274% 7/15/38 (b)(c)(d) | 2,163,592 | 2,120,823 | |
Class B, 1 month U.S. LIBOR + 1.380% 6.574% 7/15/38 (b)(c)(d) | 1,231,657 | 1,201,514 | |
Class C, 1 month U.S. LIBOR + 1.700% 6.894% 7/15/38 (b)(c)(d) | 908,805 | 884,283 | |
Class D, 1 month U.S. LIBOR + 2.250% 7.444% 7/15/38 (b)(c)(d) | 1,830,138 | 1,778,461 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K049 Class A2, 3.01% 7/25/25 | 323,000 | 309,323 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 512,000 | 492,186 | |
Series 2016-K054 Class A2, 2.745% 1/25/26 | 1,736,961 | 1,642,768 | |
Series 2017 K726 Class A2, 2.905% 4/25/24 | 1,710,303 | 1,676,435 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 2,500,000 | 2,109,794 | |
Series 2021-K127 Class A2, 2.108% 1/25/31 | 2,500,000 | 2,113,053 | |
Series 2021-K136 Class A2, 2.127% 11/25/31 | 3,100,019 | 2,588,919 | |
Series 2022-150 Class A2, 3.71% 9/25/32 | 1,200,000 | 1,129,445 | |
Series 2022-K141 Class A2, 2.25% 2/25/32 | 703,000 | 590,988 | |
Series 2022-K142 Class A2, 2.4% 3/25/32 | 1,600,000 | 1,361,348 | |
Series 2022-K143 Class A2, 2.35% 3/25/32 | 300,000 | 254,905 | |
Series 2022-K144 Class A2, 2.45% 4/25/32 | 2,618,000 | 2,233,952 | |
Series 2022-K145 Class A2, 2.58% 5/25/32 | 732,000 | 631,306 | |
Series 2022-K146 Class A2, 2.92% 6/25/32 | 1,527,000 | 1,350,363 | |
Series 2022-K147 Class A2, 3% 6/25/32 | 1,888,000 | 1,680,109 | |
Series 2022-K149 Class A2, 3.53% 8/25/32 | 1,100,000 | 1,022,798 | |
Series 2022-K750 Class A2, 3% 9/25/29 | 2,000,000 | 1,840,309 | |
Series 2023-K751 Class A2, 4.412% 3/25/30 | 500,000 | 495,563 | |
Series 2022 K748 Class A2, 2.26% 1/25/29 | 700,000 | 620,977 | |
Series K047 Class A2, 3.329% 5/25/25 | 2,827,416 | 2,723,880 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 7.143% 9/15/31 (b)(c)(d) | 1,276,254 | 1,250,269 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 6.143% 10/15/36 (b)(c)(d) | 3,667,747 | 3,449,348 | |
Class B, 1 month U.S. LIBOR + 1.150% 6.343% 10/15/36 (b)(c)(d) | 544,915 | 503,760 | |
Class C, 1 month U.S. LIBOR + 1.550% 6.743% 10/15/36 (b)(c)(d) | 449,243 | 409,332 | |
sequential payer Series 2017-GS6 Class A2, 3.164% 5/10/50 | 285,776 | 262,766 | |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.6356% 8/15/39 (b)(c)(d) | 6,086,000 | 6,085,993 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 5.7435% 4/15/37 (b)(c)(d) | 1,467,171 | 1,396,241 | |
JPMBB Commercial Mortgage Securities Trust Series 2013-C17 Class A/S, 4.4584% 1/15/47 | 4,667,521 | 4,483,538 | |
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class ASB, 3.4743% 12/15/49 | 2,572,158 | 2,456,536 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 277,000 | 248,608 | |
Class CFX, 4.9498% 7/5/33 (b) | 505,398 | 433,111 | |
Class DFX, 5.3503% 7/5/33 (b) | 715,868 | 599,165 | |
Class EFX, 5.3635% 7/5/33 (b)(c) | 870,282 | 715,348 | |
Life Financial Services Trust floater Series 2022-BMR2: | |||
Class A1, CME Term SOFR 1 Month Index + 1.290% 6.4422% 5/15/39 (b)(c)(d) | 5,702,564 | 5,579,625 | |
Class B, CME Term SOFR 1 Month Index + 1.790% 6.9409% 5/15/39 (b)(c)(d) | 4,064,838 | 3,970,553 | |
Class C, CME Term SOFR 1 Month Index + 2.090% 7.2401% 5/15/39 (b)(c)(d) | 2,311,651 | 2,246,440 | |
Class D, CME Term SOFR 1 Month Index + 2.540% 7.6889% 5/15/39 (b)(c)(d) | 2,054,528 | 1,954,780 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, CME Term SOFR 1 Month Index + 0.810% 5.9615% 3/15/38 (b)(c)(d) | 3,052,860 | 2,974,269 | |
Class B, CME Term SOFR 1 Month Index + 0.990% 6.1415% 3/15/38 (b)(c)(d) | 982,134 | 952,534 | |
Class C, CME Term SOFR 1 Month Index + 1.210% 6.3615% 3/15/38 (b)(c)(d) | 617,740 | 594,663 | |
Class D, CME Term SOFR 1 Month Index + 1.510% 6.6615% 3/15/38 (b)(c)(d) | 859,367 | 825,915 | |
Class E, CME Term SOFR 1 Month Index + 1.860% 7.0115% 3/15/38 (b)(c)(d) | 751,109 | 717,629 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP: | |||
Class B, 1 month U.S. LIBOR + 1.250% 6.443% 8/15/33 (b)(c)(d) | 1,961,058 | 1,565,434 | |
Class C, 1 month U.S. LIBOR + 1.500% 6.693% 8/15/33 (b)(c)(d)(i) | 4,723,251 | 3,392,449 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 4,757,881 | 4,417,250 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 4,407,809 | 4,101,200 | |
Series 2019-MEAD: | |||
Class B, 3.283% 11/10/36 (b)(c) | 687,483 | 630,754 | |
Class C, 3.283% 11/10/36 (b)(c) | 659,666 | 592,728 | |
Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (b) | 2,402,749 | 2,227,844 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 5.677% 10/15/36 (b)(c)(d) | 5,753,311 | 5,562,026 | |
Prima Capital Ltd. floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 6.6066% 12/15/37 (b)(c)(d)(i) | 257,834 | 257,031 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 1,701,038 | 1,712,320 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME Term SOFR 1 Month Index + 2.000% 7.147% 2/15/39 (b)(c)(d) | 1,190,000 | 1,126,532 | |
Class C, CME Term SOFR 1 Month Index + 2.650% 7.797% 2/15/39 (b)(c)(d) | 619,000 | 583,959 | |
SREIT Trust floater: | |||
Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 5.7696% 7/15/36 (b)(c)(d) | 1,392,068 | 1,350,137 | |
Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 5.9241% 11/15/38 (b)(c)(d) | 4,572,244 | 4,441,133 | |
Class B, 1 month U.S. LIBOR + 1.070% 6.2731% 11/15/38 (b)(c)(d) | 2,618,793 | 2,539,948 | |
Class C, 1 month U.S. LIBOR + 1.320% 6.5223% 11/15/38 (b)(c)(d) | 1,626,457 | 1,566,779 | |
Class D, 1 month U.S. LIBOR + 1.570% 6.7715% 11/15/38 (b)(c)(d) | 1,068,976 | 1,026,737 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 3,269,943 | 2,550,597 | |
Series 2020-LAB Class B, 2.453% 10/10/42 (b) | 256,512 | 197,899 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 6.393% 5/15/31 (b)(c)(d) | 2,496,000 | 2,379,790 | |
sequential payer Series 2015-C26 Class A4, 3.166% 2/15/48 | 1,900,655 | 1,806,570 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 1,574,228 | 1,478,011 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $258,725,278) | 245,151,096 | ||
Municipal Securities - 0.6% | |||
Principal Amount (a) | Value ($) | ||
Illinois Gen. Oblig.: | |||
Series 2003, 5.1% 6/1/33 | 2,725,000 | 2,677,877 | |
Series 2010-1, 6.63% 2/1/35 | 6,438,461 | 6,719,084 | |
Series 2010-3: | |||
6.725% 4/1/35 | 4,966,154 | 5,214,048 | |
7.35% 7/1/35 | 2,920,357 | 3,147,357 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 4,110,000 | 4,414,463 | |
TOTAL MUNICIPAL SECURITIES (Cost $25,696,920) | 22,172,829 | ||
Foreign Government and Government Agency Obligations - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Emirate of Abu Dhabi 3.875% 4/16/50 (b) | 3,236,000 | 2,715,781 | |
Kingdom of Saudi Arabia: | |||
3.25% 10/22/30 (b) | 1,788,000 | 1,618,784 | |
4.5% 4/22/60 (b) | 1,363,000 | 1,177,523 | |
State of Qatar 4.4% 4/16/50 (b) | 4,036,000 | 3,663,679 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $12,056,059) | 9,175,767 | ||
Bank Notes - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Discover Bank 4.682% 8/9/28 (c) | 1,567,000 | 1,432,720 | |
KeyBank NA 6.95% 2/1/28 | 800,000 | 741,484 | |
Regions Bank 6.45% 6/26/37 | 4,383,000 | 4,312,450 | |
TOTAL BANK NOTES (Cost $8,582,302) | 6,486,654 | ||
Fixed-Income Funds - 1.7% | |||
Shares | Value ($) | ||
Fidelity Specialized High Income Central Fund (l) (Cost $73,714,233) | 797,212 | 66,654,896 | |
Money Market Funds - 1.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (m) (Cost $39,367,194) | 39,359,682 | 39,367,553 | |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 2.8625% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2033 | 4/05/28 | 4,800,000 | 208,413 | |
Call Options - 0.0% | ||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 2.8625% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2033 | 4/05/28 | 4,800,000 | 168,952 | |
TOTAL PURCHASED SWAPTIONS (Cost $390,672) | 377,365 |
TOTAL INVESTMENT IN SECURITIES - 106.9% (Cost $4,705,622,183) | 4,192,325,008 |
NET OTHER ASSETS (LIABILITIES) - (6.9)% | (271,256,354) |
NET ASSETS - 100.0% | 3,921,068,654 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 7/1/53 | (6,850,000) | (5,751,535) |
2% 7/1/53 | (1,350,000) | (1,133,514) |
2% 7/1/53 | (3,400,000) | (2,854,776) |
2.5% 7/1/53 | (7,600,000) | (6,577,193) |
2.5% 7/1/53 | (15,250,000) | (13,197,657) |
2.5% 7/1/53 | (7,600,000) | (6,577,193) |
2.5% 7/1/53 | (11,150,000) | (9,649,434) |
2.5% 7/1/53 | (4,100,000) | (3,548,222) |
3.5% 7/1/53 | (9,200,000) | (8,489,104) |
TOTAL GINNIE MAE | (57,778,628) | |
Uniform Mortgage Backed Securities | ||
2% 7/1/38 | (500,000) | (443,059) |
2% 7/1/53 | (2,500,000) | (2,037,216) |
2% 7/1/53 | (2,800,000) | (2,281,682) |
2% 7/1/53 | (2,500,000) | (2,037,216) |
2% 7/1/53 | (6,950,000) | (5,663,460) |
2.5% 7/1/38 | (300,000) | (273,000) |
2.5% 7/1/53 | (2,000,000) | (1,694,922) |
2.5% 7/1/53 | (800,000) | (677,969) |
2.5% 7/1/53 | (2,400,000) | (2,033,906) |
3.5% 7/1/53 | (3,300,000) | (3,005,835) |
4% 7/1/53 | (800,000) | (750,562) |
4% 7/1/53 | (2,150,000) | (2,017,136) |
4% 7/1/53 | (1,200,000) | (1,125,843) |
4% 7/1/53 | (1,200,000) | (1,125,843) |
4.5% 7/1/53 | (3,600,000) | (3,459,377) |
5% 7/1/38 | (1,450,000) | (1,439,692) |
5% 7/1/53 | (1,000,000) | (979,727) |
5% 7/1/53 | (500,000) | (489,863) |
5% 7/1/53 | (200,000) | (195,945) |
5.5% 7/1/53 | (400,000) | (398,078) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (32,130,331) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $90,200,617) | (89,908,959) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 170 | Sep 2023 | 34,568,438 | (206,052) | (206,052) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 14 | Sep 2023 | 1,907,063 | 21,405 | 21,405 |
TOTAL PURCHASED | (184,647) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 444 | Sep 2023 | 49,845,938 | 893,562 | 893,562 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 208 | Sep 2023 | 22,275,500 | 429,444 | 429,444 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 124 | Sep 2023 | 15,736,375 | 11,513 | 11,513 |
TOTAL SOLD | 1,334,519 | ||||
TOTAL FUTURES CONTRACTS | 1,149,872 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 0.9% | |||||
The notional amount of futures sold as a percentage of Net Assets is 2.3% |
Credit Default Swaps | ||||||||||
Underlying Reference | Rating (1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount (2)(3) | Value ($) (1) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Buy Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 530,000 | 8,410 | (4,841) | 3,569 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,110,000 | 17,613 | (12,146) | 5,467 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,150,000 | 34,114 | (35,038) | (924) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 490,000 | 143,539 | (131,859) | 11,680 | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 130,000 | 38,082 | (40,253) | (2,171) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 530,000 | 155,257 | (137,124) | 18,133 | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 250,000 | 73,234 | (68,482) | 4,752 | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 250,000 | 73,234 | (73,433) | (199) | ||
TOTAL BUY PROTECTION | 543,483 | (503,176) | 40,307 | |||||||
Sell Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 1,840,000 | (29,196) | 42,488 | 13,292 | |
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 3,160,000 | (50,140) | 75,042 | 24,902 | |
TOTAL SELL PROTECTION | (79,336) | 117,530 | 38,194 | |||||||
TOTAL CREDIT DEFAULT SWAPS | 464,147 | (385,646) | 78,501 |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty (1) | Maturity Date | Notional Amount (2) | Value ($) | Upfront Premium Received/ (Paid) ($) (3) | Unrealized Appreciation/ (Depreciation) ($) | |
3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx (4) | Annual | LCH | Sep 2028 | 13,470,000 | (133,120) | 0 | (133,120) | |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $632,054,497 or 16.1% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(e) | Security 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 $1,020,950. |
(f) | 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 $1,738,864. |
(g) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $470,667. |
(h) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) | Level 3 security |
(j) | Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(k) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(l) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(m) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 162,014,784 | 528,207,774 | 650,855,005 | 2,960,663 | - | - | 39,367,553 | 0.1% |
Fidelity Securities Lending Cash Central Fund 5.14% | - | 523,976,777 | 523,976,777 | 58,186 | - | - | - | 0.0% |
Fidelity Specialized High Income Central Fund | 64,235,771 | 1,799,016 | - | 1,799,015 | - | 620,109 | 66,654,896 | 18.7% |
Total | 226,250,555 | 1,053,983,567 | 1,174,831,782 | 4,817,864 | - | 620,109 | 106,022,449 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Corporate Bonds | 1,262,727,228 | - | 1,262,727,228 | - |
U.S. Government and Government Agency Obligations | 1,359,143,992 | - | 1,359,143,992 | - |
U.S. Government Agency - Mortgage Securities | 861,625,462 | - | 861,625,462 | - |
Asset-Backed Securities | 271,174,713 | - | 270,808,633 | 366,080 |
Collateralized Mortgage Obligations | 48,267,453 | - | 48,267,453 | - |
Commercial Mortgage Securities | 245,151,096 | - | 241,501,616 | 3,649,480 |
Municipal Securities | 22,172,829 | - | 22,172,829 | - |
Foreign Government and Government Agency Obligations | 9,175,767 | - | 9,175,767 | - |
Bank Notes | 6,486,654 | - | 6,486,654 | - |
Fixed-Income Funds | 66,654,896 | 66,654,896 | - | - |
Money Market Funds | 39,367,553 | 39,367,553 | - | - |
Purchased Swaptions | 377,365 | - | 377,365 | - |
Total Investments in Securities: | 4,192,325,008 | 106,022,449 | 4,082,286,999 | 4,015,560 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 1,355,924 | 1,355,924 | - | - |
Swaps | 543,483 | - | 543,483 | - |
Total Assets | 1,899,407 | 1,355,924 | 543,483 | - |
Liabilities | ||||
Futures Contracts | (206,052) | (206,052) | - | - |
Swaps | (212,456) | - | (212,456) | - |
Total Liabilities | (418,508) | (206,052) | (212,456) | - |
Total Derivative Instruments: | 1,480,899 | 1,149,872 | 331,027 | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (89,908,959) | - | (89,908,959) | - |
Total Other Financial Instruments: | (89,908,959) | - | (89,908,959) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Credit Risk | ||
Swaps (a) | 543,483 | (79,336) |
Total Credit Risk | 543,483 | (79,336) |
Interest Rate Risk | ||
Futures Contracts (b) | 1,355,924 | (206,052) |
Purchased Swaptions (c) | 377,365 | 0 |
Swaps (d) | 0 | (133,120) |
Total Interest Rate Risk | 1,733,289 | (339,172) |
Total Value of Derivatives | 2,276,772 | (418,508) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $4,592,540,756) | $ | 4,086,302,559 | ||
Fidelity Central Funds (cost $113,081,427) | 106,022,449 | |||
Total Investment in Securities (cost $4,705,622,183) | $ | 4,192,325,008 | ||
Receivable for investments sold | 16,388,679 | |||
Receivable for TBA sale commitments | 90,200,617 | |||
Receivable for fund shares sold | 2,221,655 | |||
Interest receivable | 31,994,767 | |||
Distributions receivable from Fidelity Central Funds | 218,672 | |||
Receivable for daily variation margin on centrally cleared OTC swaps | 4,941 | |||
Bi-lateral OTC swaps, at value | 543,483 | |||
Total assets | 4,333,897,822 | |||
Liabilities | ||||
Payable to custodian bank | $ | 73,142 | ||
Payable for investments purchased | ||||
Regular delivery | 8,025,511 | |||
Delayed delivery | 311,154,728 | |||
TBA sale commitments, at value | 89,908,959 | |||
Payable for fund shares redeemed | 1,595,931 | |||
Bi-lateral OTC swaps, at value | 79,336 | |||
Accrued management fee | 962,043 | |||
Distribution and service plan fees payable | 452,933 | |||
Payable for daily variation margin on futures contracts | 178,058 | |||
Other affiliated payables | 335,360 | |||
Other payables and accrued expenses | 63,167 | |||
Total Liabilities | 412,829,168 | |||
Net Assets | $ | 3,921,068,654 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 4,500,088,515 | ||
Total accumulated earnings (loss) | (579,019,861) | |||
Net Assets | $ | 3,921,068,654 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($554,946,776 ÷ 50,001,120 shares) | $ | 11.10 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($727,373,625 ÷ 66,510,480 shares) | $ | 10.94 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($1,896,528,613 ÷ 176,486,757 shares) | $ | 10.75 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($742,219,640 ÷ 67,231,511 shares) | $ | 11.04 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 61,835,547 | ||
Income from Fidelity Central Funds (including $58,186 from security lending) | 4,817,864 | |||
Total Income | 66,653,411 | |||
Expenses | ||||
Management fee | $ | 5,689,473 | ||
Transfer agent fees | 1,428,836 | |||
Distribution and service plan fees | 2,657,414 | |||
Accounting fees | 562,002 | |||
Custodian fees and expenses | 59,055 | |||
Independent trustees' fees and expenses | 6,577 | |||
Registration fees | 227,573 | |||
Audit | 26,980 | |||
Legal | 5,993 | |||
Miscellaneous | 13,228 | |||
Total expenses before reductions | 10,677,131 | |||
Expense reductions | (51,317) | |||
Total expenses after reductions | 10,625,814 | |||
Net Investment income (loss) | 56,027,597 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (26,694,835) | |||
Futures contracts | (502,390) | |||
Swaps | (178,566) | |||
Total net realized gain (loss) | (27,375,791) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 69,643,606 | |||
Fidelity Central Funds | 620,109 | |||
Futures contracts | 786,321 | |||
Swaps | 189,210 | |||
TBA Sale commitments | (3,850,542) | |||
Total change in net unrealized appreciation (depreciation) | 67,388,704 | |||
Net gain (loss) | 40,012,913 | |||
Net increase (decrease) in net assets resulting from operations | $ | 96,040,510 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 56,027,597 | $ | 84,451,078 |
Net realized gain (loss) | (27,375,791) | (176,090,979) | ||
Change in net unrealized appreciation (depreciation) | 67,388,704 | (574,370,547) | ||
Net increase (decrease) in net assets resulting from operations | 96,040,510 | (666,010,448) | ||
Distributions to shareholders | - | (348,049,601) | ||
Share transactions - net increase (decrease) | 149,662,780 | (881,360,968) | ||
Total increase (decrease) in net assets | 245,703,290 | (1,895,421,017) | ||
Net Assets | ||||
Beginning of period | 3,675,365,364 | 5,570,786,381 | ||
End of period | $ | 3,921,068,654 | $ | 3,675,365,364 |
VIP Investment Grade Bond Portfolio Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.80 | $ | 13.35 | $ | 14.09 | $ | 13.17 | $ | 12.34 | $ | 12.80 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .171 | .245 | .228 | .328 | .382 | .311 | ||||||
Net realized and unrealized gain (loss) | .129 | (1.903) | (.313) | .903 | .806 | (.381) | ||||||
Total from investment operations | .300 | (1.658) | (.085) | 1.231 | 1.188 | (.070) | ||||||
Distributions from net investment income | - | (.264) | (.282) | (.306) | (.358) | (.313) | ||||||
Distributions from net realized gain | - | (.628) | (.373) | (.005) | - | (.077) | ||||||
Total distributions | - | (.892) | (.655) | (.311) | (.358) | (.390) | ||||||
Net asset value, end of period | $ | 11.10 | $ | 10.80 | $ | 13.35 | $ | 14.09 | $ | 13.17 | $ | 12.34 |
Total Return C,D,E | 2.78% | (12.96)% | (.61)% | 9.39% | 9.67% | (.53)% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .42% H | .40% | .39% | .39% | .40% | .40% | ||||||
Expenses net of fee waivers, if any | .41% H | .40% | .39% | .39% | .40% | .40% | ||||||
Expenses net of all reductions | .41% H | .40% | .39% | .39% | .40% | .40% | ||||||
Net investment income (loss) | 3.10% H | 2.08% | 1.66% | 2.38% | 2.93% | 2.49% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 554,947 | $ | 533,204 | $ | 1,347,145 | $ | 1,322,750 | $ | 1,146,767 | $ | 928,285 |
Portfolio turnover rate I | 186% H | 183% J | 125% | 11% | 5% | 8% |
VIP Investment Grade Bond Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.65 | $ | 13.18 | $ | 13.93 | $ | 13.02 | $ | 12.20 | $ | 12.66 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .163 | .226 | .212 | .310 | .364 | .295 | ||||||
Net realized and unrealized gain (loss) | .127 | (1.870) | (.322) | .899 | .800 | (.377) | ||||||
Total from investment operations | .290 | (1.644) | (.110) | 1.209 | 1.164 | (.082) | ||||||
Distributions from net investment income | - | (.258) | (.267) | (.294) | (.344) | (.301) | ||||||
Distributions from net realized gain | - | (.628) | (.373) | (.005) | - | (.077) | ||||||
Total distributions | - | (.886) | (.640) | (.299) | (.344) | (.378) | ||||||
Net asset value, end of period | $ | 10.94 | $ | 10.65 | $ | 13.18 | $ | 13.93 | $ | 13.02 | $ | 12.20 |
Total Return C,D,E | 2.72% | (13.03)% | (.79)% | 9.33% | 9.58% | (.63)% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .52% H | .50% | .49% | .49% | .50% | .50% | ||||||
Expenses net of fee waivers, if any | .51% H | .50% | .49% | .49% | .50% | .50% | ||||||
Expenses net of all reductions | .51% H | .50% | .49% | .49% | .50% | .50% | ||||||
Net investment income (loss) | 3.00% H | 1.98% | 1.56% | 2.28% | 2.83% | 2.39% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 727,374 | $ | 669,290 | $ | 732,762 | $ | 692,787 | $ | 582,182 | $ | 553,442 |
Portfolio turnover rate I | 186% H | 183% J | 125% | 11% | 5% | 8% |
VIP Investment Grade Bond Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.47 | $ | 12.98 | $ | 13.72 | $ | 12.83 | $ | 12.03 | $ | 12.49 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .152 | .206 | .188 | .285 | .340 | .272 | ||||||
Net realized and unrealized gain (loss) | .128 | (1.848) | (.310) | .885 | .787 | (.372) | ||||||
Total from investment operations | .280 | (1.642) | (.122) | 1.170 | 1.127 | (.100) | ||||||
Distributions from net investment income | - | (.240) | (.245) | (.275) | (.327) | (.283) | ||||||
Distributions from net realized gain | - | (.628) | (.373) | (.005) | - | (.077) | ||||||
Total distributions | - | (.868) | (.618) | (.280) | (.327) | (.360) | ||||||
Net asset value, end of period | $ | 10.75 | $ | 10.47 | $ | 12.98 | $ | 13.72 | $ | 12.83 | $ | 12.03 |
Total Return C,D,E | 2.67% | (13.21)% | (.90)% | 9.16% | 9.40% | (.79)% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .67% H | .65% | .64% | .64% | .65% | .65% | ||||||
Expenses net of fee waivers, if any | .67% H | .65% | .64% | .64% | .65% | .65% | ||||||
Expenses net of all reductions | .67% H | .65% | .64% | .64% | .65% | .65% | ||||||
Net investment income (loss) | 2.85% H | 1.83% | 1.41% | 2.13% | 2.68% | 2.24% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 1,896,529 | $ | 1,747,984 | $ | 2,135,986 | $ | 1,935,645 | $ | 1,698,902 | $ | 1,505,566 |
Portfolio turnover rate I | 186% H | 183% J | 125% | 11% | 5% | 8% |
VIP Investment Grade Bond Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.75 | $ | 13.29 | $ | 14.03 | $ | 13.12 | $ | 12.29 | $ | 12.75 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .168 | .238 | .223 | .322 | .376 | .305 | ||||||
Net realized and unrealized gain (loss) | .122 | (1.888) | (.313) | .896 | .808 | (.380) | ||||||
Total from investment operations | .290 | (1.650) | (.090) | 1.218 | 1.184 | (.075) | ||||||
Distributions from net investment income | - | (.262) | (.277) | (.303) | (.354) | (.308) | ||||||
Distributions from net realized gain | - | (.628) | (.373) | (.005) | - | (.077) | ||||||
Total distributions | - | (.890) | (.650) | (.308) | (.354) | (.385) | ||||||
Net asset value, end of period | $ | 11.04 | $ | 10.75 | $ | 13.29 | $ | 14.03 | $ | 13.12 | $ | 12.29 |
Total Return C,D,E | 2.70% | (12.96)% | (.64)% | 9.33% | 9.67% | (.57)% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .45% H | .43% | .42% | .43% | .43% | .44% | ||||||
Expenses net of fee waivers, if any | .45% H | .43% | .42% | .43% | .43% | .44% | ||||||
Expenses net of all reductions | .45% H | .43% | .42% | .43% | .43% | .44% | ||||||
Net investment income (loss) | 3.07% H | 2.05% | 1.63% | 2.34% | 2.90% | 2.46% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 742,220 | $ | 724,888 | $ | 1,354,894 | $ | 1,438,829 | $ | 1,157,666 | $ | 879,703 |
Portfolio turnover rate I | 186% H | 183% J | 125% | 11% | 5% | 8% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
Fidelity Specialized High Income Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
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% |
Gross unrealized appreciation | $3,627,271 |
Gross unrealized depreciation | (515,739,760) |
Net unrealized appreciation (depreciation) | $(512,112,489) |
Tax cost | $4,705,824,408 |
Short-term | $(93,198,538) |
Long-term | (2,170,556) |
Total capital loss carryforward | $(95,369,094) |
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. |
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. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
VIP Investment Grade Bond Portfolio | ||
Credit Risk | ||
Swaps | $275,283 | $(672) |
Total Credit Risk | 275,283 | (672) |
Interest Rate Risk | ||
Futures Contracts | (502,390) | 786,321 |
Purchased Options | - | (13,307) |
Swaps | (453,849) | 189,882 |
Total Interest Rate Risk | (956,239) | 962,896 |
Totals | $(680,956) | $962,224 |
Purchases ($) | Sales ($) | |
VIP Investment Grade Bond Portfolio | 2,052,393,695 | 2,237,402,349 |
Service Class | $340,085 |
Service Class 2 | 2,317,329 |
$2,657,414 |
Amount | % of Class-Level Average Net Assets A | |
Initial Class | $186,731 | .07 |
Service Class | 231,258 | .07 |
Service Class 2 | 630,313 | .07 |
Investor Class | 380,534 | .10 |
$1,428,836 |
% of Average Net Assets | |
VIP Investment Grade Bond Portfolio | .03 |
Shares | Total net realized gain or loss ($) | Total Proceeds ($) | Participating classes | |
VIP Investment Grade Bond Portfolio | 76,985,281 | (80,700,871) | 894,442,739 | Initial Class & Investor Class |
Amount | |
VIP Investment Grade Bond Portfolio | $3,658 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
VIP Investment Grade Bond Portfolio | $6,322 | $ - | $- |
Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Investment Grade Bond Portfolio | ||
Distributions to shareholders | ||
Initial Class | $- | $74,321,920 |
Service Class | - | 49,755,778 |
Service Class 2 | - | 144,060,973 |
Investor Class | - | 79,910,930 |
Total | $- | $348,049,601 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 | Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Investment Grade Bond Portfolio | ||||
Initial Class | ||||
Shares sold | 4,070,791 | 37,368,851 | $45,220,573 | $433,838,083 |
Reinvestment of distributions | - | 6,137,013 | - | 74,321,920 |
Shares redeemed | (3,422,732) | (95,052,032) | (37,907,145) | (1,108,282,686) |
Net increase (decrease) | 648,059 | (51,546,168) | $7,313,428 | $(600,122,683) |
Service Class | ||||
Shares sold | 10,992,056 | 19,724,587 | $120,179,787 | $223,794,668 |
Reinvestment of distributions | - | 4,226,683 | - | 49,755,778 |
Shares redeemed | (7,319,950) | (16,691,802) | (80,037,773) | (192,486,132) |
Net increase (decrease) | 3,672,106 | 7,259,468 | $40,142,014 | $81,064,314 |
Service Class 2 | ||||
Shares sold | 16,373,229 | 12,583,019 | $177,196,924 | $146,254,732 |
Reinvestment of distributions | - | 12,403,199 | - | 144,060,973 |
Shares redeemed | (6,776,947) | (22,672,103) | (72,836,072) | (254,831,966) |
Net increase (decrease) | 9,596,282 | 2,314,115 | $104,360,852 | $35,483,739 |
Investor Class | ||||
Shares sold | 2,548,143 | 4,458,846 | $28,203,581 | $52,423,191 |
Reinvestment of distributions | - | 6,663,720 | - | 79,910,930 |
Shares redeemed | (2,758,567) | (45,621,139) | (30,357,095) | (530,120,459) |
Net increase (decrease) | (210,424) | (34,498,573) | $(2,153,514) | $(397,786,338) |
Fund | Affiliated% | Number of Unaffiliated Shareholders | Unaffiliated Shareholders% |
VIP Investment Grade Bond Portfolio | 22% | 1 | 41% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Investment Grade Bond Portfolio | ||||||||||
Initial Class | .41% | |||||||||
Actual | $ 1,000 | $ 1,027.80 | $ 2.06 | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.76 | $ 2.06 | |||||||
Service Class | .51% | |||||||||
Actual | $ 1,000 | $ 1,027.20 | $ 2.56 | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.27 | $ 2.56 | |||||||
Service Class 2 | .67% | |||||||||
Actual | $ 1,000 | $ 1,026.70 | $ 3.37 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.47 | $ 3.36 | |||||||
Investor Class | .45% | |||||||||
Actual | $ 1,000 | $ 1,027.00 | $ 2.26 | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.56 | $ 2.26 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 38.3 | |
VIP Government Money Market Portfolio Investor Class 4.85% | 19.6 | |
Fidelity Inflation-Protected Bond Index Fund | 17.1 | |
VIP Overseas Portfolio Investor Class | 6.8 | |
VIP Emerging Markets Portfolio Investor Class | 5.0 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.1 | |
Fidelity International Bond Index Fund | 2.5 | |
VIP Growth Portfolio Investor Class | 1.7 | |
VIP High Income Portfolio Investor Class | 1.7 | |
VIP Growth & Income Portfolio Investor Class | 1.2 | |
97.0 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 5.9% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 15,662 | 704,941 | |
VIP Equity-Income Portfolio Investor Class (a) | 23,678 | 574,903 | |
VIP Growth & Income Portfolio Investor Class (a) | 29,780 | 785,885 | |
VIP Growth Portfolio Investor Class (a) | 13,247 | 1,149,676 | |
VIP Mid Cap Portfolio Investor Class (a) | 5,197 | 181,683 | |
VIP Value Portfolio Investor Class (a) | 22,861 | 409,668 | |
VIP Value Strategies Portfolio Investor Class (a) | 13,316 | 203,607 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $2,143,614) | 4,010,363 | ||
International Equity Funds - 11.8% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 326,444 | 3,381,956 | |
VIP Overseas Portfolio Investor Class (a) | 186,424 | 4,625,175 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $5,705,884) | 8,007,131 | ||
Bond Funds - 62.7% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 1,265,669 | 11,644,151 | |
Fidelity International Bond Index Fund (a) | 191,643 | 1,728,621 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 201,271 | 2,097,245 | |
VIP High Income Portfolio Investor Class (a) | 245,559 | 1,119,748 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 2,739,883 | 26,083,689 | |
TOTAL BOND FUNDS (Cost $45,321,996) | 42,673,454 | ||
Short-Term Funds - 19.6% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $13,373,596) | 13,373,596 | 13,373,596 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $66,545,090) | 68,064,544 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 48 |
NET ASSETS - 100.0% | 68,064,592 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 12,495,310 | 867,443 | 1,966,263 | 4,476 | (165,746) | 413,407 | 11,644,151 |
Fidelity International Bond Index Fund | 1,863,191 | 137,554 | 315,425 | 14,859 | (19,570) | 62,871 | 1,728,621 |
Fidelity Long-Term Treasury Bond Index Fund | 2,658,239 | 263,082 | 920,016 | 35,120 | (156,073) | 252,013 | 2,097,245 |
VIP Contrafund Portfolio Investor Class | 727,092 | 98,353 | 249,761 | 6,794 | 16,622 | 112,635 | 704,941 |
VIP Emerging Markets Portfolio Investor Class | 4,343,381 | 517,712 | 1,758,903 | 6,185 | (16,814) | 296,580 | 3,381,956 |
VIP Equity-Income Portfolio Investor Class | 651,519 | 78,624 | 178,908 | - | 13,577 | 10,091 | 574,903 |
VIP Government Money Market Portfolio Investor Class 4.85% | 14,433,381 | 2,240,379 | 3,300,164 | 307,612 | - | - | 13,373,596 |
VIP Growth & Income Portfolio Investor Class | 843,093 | 101,626 | 241,411 | 2,942 | 26,756 | 55,821 | 785,885 |
VIP Growth Portfolio Investor Class | 1,142,071 | 163,566 | 389,323 | 7,409 | 19,702 | 213,660 | 1,149,676 |
VIP High Income Portfolio Investor Class | 1,206,943 | 66,824 | 202,407 | 780 | (19,405) | 67,793 | 1,119,748 |
VIP Investment Grade Bond II Portfolio - Investor Class | 26,831,185 | 2,385,701 | 3,800,798 | 10,958 | (84,041) | 751,642 | 26,083,689 |
VIP Mid Cap Portfolio Investor Class | 203,342 | 15,338 | 52,167 | 456 | 6,102 | 9,068 | 181,683 |
VIP Overseas Portfolio Investor Class | 4,846,719 | 366,147 | 1,259,825 | - | (25,419) | 697,553 | 4,625,175 |
VIP Value Portfolio Investor Class | 470,075 | 40,355 | 133,593 | - | 24,360 | 8,471 | 409,668 |
VIP Value Strategies Portfolio Investor Class | 232,868 | 17,109 | 62,887 | 536 | 14,556 | 1,961 | 203,607 |
72,948,409 | 7,359,813 | 14,831,851 | 398,127 | (365,393) | 2,953,566 | 68,064,544 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 4,010,363 | 4,010,363 | - | - |
International Equity Funds | 8,007,131 | 8,007,131 | - | - |
Bond Funds | 42,673,454 | 42,673,454 | - | - |
Short-Term Funds | 13,373,596 | 13,373,596 | - | - |
Total Investments in Securities: | 68,064,544 | 68,064,544 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $66,545,090) | $ | 68,064,544 | ||
Total Investment in Securities (cost $66,545,090) | $ | 68,064,544 | ||
Cash | 33 | |||
Receivable for investments sold | 446,445 | |||
Receivable for fund shares sold | 19,984 | |||
Total assets | 68,531,006 | |||
Liabilities | ||||
Payable for investments purchased | $ | 466,070 | ||
Payable for fund shares redeemed | 344 | |||
Total Liabilities | 466,414 | |||
Net Assets | $ | 68,064,592 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 69,416,832 | ||
Total accumulated earnings (loss) | (1,352,240) | |||
Net Assets | $ | 68,064,592 | ||
Net Asset Value , offering price and redemption price per share ($68,064,592 ÷ 6,301,853 shares) | $ | 10.80 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 380,117 | ||
Expenses | ||||
Independent trustees' fees and expenses | $ | 125 | ||
Total expenses before reductions | 125 | |||
Expense reductions | (1) | |||
Total expenses after reductions | 124 | |||
Net Investment income (loss) | 379,993 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (365,393) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 18,010 | |||
Total net realized gain (loss) | (347,383) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 2,953,566 | |||
Total change in net unrealized appreciation (depreciation) | 2,953,566 | |||
Net gain (loss) | 2,606,183 | |||
Net increase (decrease) in net assets resulting from operations | $ | 2,986,176 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 379,993 | $ | 2,059,533 |
Net realized gain (loss) | (347,383) | (2,530,892) | ||
Change in net unrealized appreciation (depreciation) | 2,953,566 | (11,366,221) | ||
Net increase (decrease) in net assets resulting from operations | 2,986,176 | (11,837,580) | ||
Distributions to shareholders | (1,065,420) | (4,897,893) | ||
Share transactions | ||||
Proceeds from sales of shares | 3,042,231 | 3,284,310 | ||
Reinvestment of distributions | 1,065,420 | 4,897,893 | ||
Cost of shares redeemed | (10,912,278) | (20,925,183) | ||
Net increase (decrease) in net assets resulting from share transactions | (6,804,627) | (12,742,980) | ||
Total increase (decrease) in net assets | (4,883,871) | (29,478,453) | ||
Net Assets | ||||
Beginning of period | 72,948,463 | 102,426,916 | ||
End of period | $ | 68,064,592 | $ | 72,948,463 |
Other Information | ||||
Shares | ||||
Sold | 282,992 | 285,251 | ||
Issued in reinvestment of distributions | 100,228 | 425,642 | ||
Redeemed | (1,015,276) | (1,891,824) | ||
Net increase (decrease) | (632,056) | (1,180,931) | ||
VIP Investor Freedom Income Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.52 | $ | 12.62 | $ | 12.68 | $ | 11.91 | $ | 11.10 | $ | 11.67 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .06 | .27 | .24 | .16 | .26 | .21 | ||||||
Net realized and unrealized gain (loss) | .38 | (1.74) | .17 | 1.06 | 1.05 | (.45) | ||||||
Total from investment operations | .44 | (1.47) | .41 | 1.22 | 1.31 | (.24) | ||||||
Distributions from net investment income | (.16) | (.25) | (.13) | (.16) | (.25) | (.20) | ||||||
Distributions from net realized gain | - | (.38) | (.34) | (.29) | (.25) | (.13) | ||||||
Total distributions | (.16) | (.63) | (.47) | (.45) | (.50) | (.33) | ||||||
Net asset value, end of period | $ | 10.80 | $ | 10.52 | $ | 12.62 | $ | 12.68 | $ | 11.91 | $ | 11.10 |
Total Return C,D,E | 4.24% | (12.03)% | 3.28% | 10.40% | 12.02% | (2.03)% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | 1.09% I | 2.44% | 1.88% | 1.32% | 2.19% | 1.79% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 68,065 | $ | 72,948 | $ | 102,427 | $ | 97,889 | $ | 85,736 | $ | 74,748 |
Portfolio turnover rate J | 21% I | 65% | 27% | 49% | 25% | 42% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 38.2 | |
VIP Government Money Market Portfolio Investor Class 4.85% | 19.4 | |
Fidelity Inflation-Protected Bond Index Fund | 17.1 | |
VIP Overseas Portfolio Investor Class | 6.9 | |
VIP Emerging Markets Portfolio Investor Class | 5.0 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.1 | |
Fidelity International Bond Index Fund | 2.5 | |
VIP Growth Portfolio Investor Class | 1.8 | |
VIP High Income Portfolio Investor Class | 1.6 | |
VIP Growth & Income Portfolio Investor Class | 1.2 | |
96.8 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 6.2% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 4,726 | 212,721 | |
VIP Equity-Income Portfolio Investor Class (a) | 7,145 | 173,471 | |
VIP Growth & Income Portfolio Investor Class (a) | 8,986 | 237,137 | |
VIP Growth Portfolio Investor Class (a) | 3,997 | 346,921 | |
VIP Mid Cap Portfolio Investor Class (a) | 1,568 | 54,822 | |
VIP Value Portfolio Investor Class (a) | 6,898 | 123,611 | |
VIP Value Strategies Portfolio Investor Class (a) | 4,018 | 61,436 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $616,662) | 1,210,119 | ||
International Equity Funds - 11.9% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 95,405 | 988,397 | |
VIP Overseas Portfolio Investor Class (a) | 54,906 | 1,362,230 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $1,682,810) | 2,350,627 | ||
Bond Funds - 62.5% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 365,141 | 3,359,294 | |
Fidelity International Bond Index Fund (a) | 55,668 | 502,128 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 58,616 | 610,784 | |
VIP High Income Portfolio Investor Class (a) | 71,051 | 323,992 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 790,081 | 7,521,568 | |
TOTAL BOND FUNDS (Cost $13,016,245) | 12,317,766 | ||
Short-Term Funds - 19.4% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $3,816,050) | 3,816,050 | 3,816,050 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $19,131,767) | 19,694,562 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 7 |
NET ASSETS - 100.0% | 19,694,569 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 3,700,726 | 156,042 | 575,037 | 1,316 | (42,955) | 120,518 | 3,359,294 |
Fidelity International Bond Index Fund | 565,761 | 22,045 | 98,899 | 4,599 | (8,183) | 21,404 | 502,128 |
Fidelity Long-Term Treasury Bond Index Fund | 809,905 | 53,072 | 281,933 | 10,675 | (47,863) | 77,603 | 610,784 |
VIP Contrafund Portfolio Investor Class | 245,605 | 21,222 | 96,385 | 2,272 | 21,232 | 21,047 | 212,721 |
VIP Emerging Markets Portfolio Investor Class | 1,328,760 | 101,229 | 526,221 | 1,941 | 56,135 | 28,494 | 988,397 |
VIP Equity-Income Portfolio Investor Class | 220,078 | 13,484 | 67,690 | - | 9,763 | (2,164) | 173,471 |
VIP Government Money Market Portfolio Investor Class 4.85% | 4,135,191 | 626,980 | 946,121 | 89,054 | - | - | 3,816,050 |
VIP Growth & Income Portfolio Investor Class | 284,788 | 20,359 | 95,223 | 1,006 | 26,198 | 1,015 | 237,137 |
VIP Growth Portfolio Investor Class | 385,777 | 36,342 | 151,047 | 2,478 | 20,400 | 55,449 | 346,921 |
VIP High Income Portfolio Investor Class | 360,831 | 10,286 | 61,562 | 239 | (5,936) | 20,373 | 323,992 |
VIP Investment Grade Bond II Portfolio - Investor Class | 7,934,340 | 610,714 | 1,228,128 | 3,328 | (36,358) | 241,000 | 7,521,568 |
VIP Mid Cap Portfolio Investor Class | 68,684 | 2,088 | 20,931 | 156 | 3,969 | 1,012 | 54,822 |
VIP Overseas Portfolio Investor Class | 1,528,917 | 51,206 | 432,517 | - | 90,685 | 123,939 | 1,362,230 |
VIP Value Portfolio Investor Class | 158,786 | 7,287 | 53,361 | - | 13,630 | (2,731) | 123,611 |
VIP Value Strategies Portfolio Investor Class | 78,658 | 2,818 | 25,521 | 184 | 8,415 | (2,934) | 61,436 |
21,806,807 | 1,735,174 | 4,660,576 | 117,248 | 109,132 | 704,025 | 19,694,562 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 1,210,119 | 1,210,119 | - | - |
International Equity Funds | 2,350,627 | 2,350,627 | - | - |
Bond Funds | 12,317,766 | 12,317,766 | - | - |
Short-Term Funds | 3,816,050 | 3,816,050 | - | - |
Total Investments in Securities: | 19,694,562 | 19,694,562 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $19,131,767) | $ | 19,694,562 | ||
Total Investment in Securities (cost $19,131,767) | $ | 19,694,562 | ||
Receivable for investments sold | 157,017 | |||
Total assets | 19,851,579 | |||
Liabilities | ||||
Payable for investments purchased | $ | 156,895 | ||
Payable for fund shares redeemed | 115 | |||
Total Liabilities | 157,010 | |||
Net Assets | $ | 19,694,569 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 19,332,445 | ||
Total accumulated earnings (loss) | 362,124 | |||
Net Assets | $ | 19,694,569 | ||
Net Asset Value , offering price and redemption price per share ($19,694,569 ÷ 1,834,297 shares) | $ | 10.74 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 111,196 | ||
Expenses | ||||
Independent trustees' fees and expenses | $ | 38 | ||
Total Expenses | 38 | |||
Net Investment income (loss) | 111,158 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 109,132 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 6,052 | |||
Total net realized gain (loss) | 115,184 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 704,025 | |||
Total change in net unrealized appreciation (depreciation) | 704,025 | |||
Net gain (loss) | 819,209 | |||
Net increase (decrease) in net assets resulting from operations | $ | 930,367 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 111,158 | $ | 622,897 |
Net realized gain (loss) | 115,184 | (358,799) | ||
Change in net unrealized appreciation (depreciation) | 704,025 | (4,010,105) | ||
Net increase (decrease) in net assets resulting from operations | 930,367 | (3,746,007) | ||
Distributions to shareholders | (317,505) | (2,286,632) | ||
Share transactions | ||||
Proceeds from sales of shares | 306,414 | 1,272,194 | ||
Reinvestment of distributions | 317,505 | 2,286,632 | ||
Cost of shares redeemed | (3,349,025) | (6,428,005) | ||
Net increase (decrease) in net assets resulting from share transactions | (2,725,106) | (2,869,179) | ||
Total increase (decrease) in net assets | (2,112,244) | (8,901,818) | ||
Net Assets | ||||
Beginning of period | 21,806,813 | 30,708,631 | ||
End of period | $ | 19,694,569 | $ | 21,806,813 |
Other Information | ||||
Shares | ||||
Sold | 28,592 | 113,171 | ||
Issued in reinvestment of distributions | 30,067 | 198,161 | ||
Redeemed | (311,671) | (593,934) | ||
Net increase (decrease) | (253,012) | (282,602) | ||
VIP Investor Freedom 2005 Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.45 | $ | 12.96 | $ | 12.97 | $ | 12.20 | $ | 11.17 | $ | 11.85 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .06 | .27 | .21 | .16 | .25 | .20 | ||||||
Net realized and unrealized gain (loss) | .39 | (1.80) | .31 | 1.16 | 1.28 | (.56) | ||||||
Total from investment operations | .45 | (1.53) | .52 | 1.32 | 1.53 | (.36) | ||||||
Distributions from net investment income | (.16) | (.25) | (.14) | (.17) | (.26) | (.20) | ||||||
Distributions from net realized gain | - | (.73) | (.39) | (.38) | (.24) | (.13) | ||||||
Total distributions | (.16) | (.98) | (.53) | (.55) | (.50) | (.32) C | ||||||
Net asset value, end of period | $ | 10.74 | $ | 10.45 | $ | 12.96 | $ | 12.97 | $ | 12.20 | $ | 11.17 |
Total Return D,E,F | 4.34% | (12.40)% | 4.09% | 11.08% | 13.89% | (3.04)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | 1.06% J | 2.39% | 1.60% | 1.32% | 2.12% | 1.70% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 19,695 | $ | 21,807 | $ | 30,709 | $ | 36,175 | $ | 33,315 | $ | 28,603 |
Portfolio turnover rate K | 17% J | 67% | 42% | 51% | 35% | 42% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 35.4 | |
Fidelity Inflation-Protected Bond Index Fund | 15.9 | |
VIP Government Money Market Portfolio Investor Class 4.85% | 13.9 | |
VIP Overseas Portfolio Investor Class | 9.5 | |
VIP Emerging Markets Portfolio Investor Class | 6.0 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.4 | |
VIP Growth Portfolio Investor Class | 3.3 | |
Fidelity International Bond Index Fund | 2.8 | |
VIP Growth & Income Portfolio Investor Class | 2.3 | |
VIP Contrafund Portfolio Investor Class | 2.0 | |
94.5 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 11.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 26,689 | 1,201,281 | |
VIP Equity-Income Portfolio Investor Class (a) | 40,352 | 979,757 | |
VIP Growth & Income Portfolio Investor Class (a) | 50,749 | 1,339,272 | |
VIP Growth Portfolio Investor Class (a) | 22,573 | 1,959,115 | |
VIP Mid Cap Portfolio Investor Class (a) | 8,857 | 309,651 | |
VIP Value Portfolio Investor Class (a) | 38,962 | 698,190 | |
VIP Value Strategies Portfolio Investor Class (a) | 22,696 | 347,019 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $3,954,941) | 6,834,285 | ||
International Equity Funds - 15.5% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 344,703 | 3,571,124 | |
VIP Overseas Portfolio Investor Class (a) | 227,749 | 5,650,450 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $6,931,525) | 9,221,574 | ||
Bond Funds - 59.1% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 1,032,630 | 9,500,194 | |
Fidelity International Bond Index Fund (a) | 186,682 | 1,683,868 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 192,139 | 2,002,093 | |
VIP High Income Portfolio Investor Class (a) | 214,778 | 979,388 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 2,214,156 | 21,078,769 | |
TOTAL BOND FUNDS (Cost $37,677,292) | 35,244,312 | ||
Short-Term Funds - 13.9% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $8,277,029) | 8,277,029 | 8,277,029 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $56,840,787) | 59,577,200 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 18 |
NET ASSETS - 100.0% | 59,577,218 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 9,959,332 | 454,261 | 1,110,990 | 3,670 | (184,311) | 381,902 | 9,500,194 |
Fidelity International Bond Index Fund | 1,804,215 | 70,551 | 232,749 | 14,852 | (19,932) | 61,783 | 1,683,868 |
Fidelity Long-Term Treasury Bond Index Fund | 2,468,200 | 174,236 | 724,188 | 33,707 | (174,935) | 258,780 | 2,002,093 |
VIP Contrafund Portfolio Investor Class | 1,277,786 | 63,246 | 368,815 | 12,366 | 78,325 | 150,739 | 1,201,281 |
VIP Emerging Markets Portfolio Investor Class | 4,452,950 | 388,478 | 1,544,254 | 6,763 | (18,875) | 292,825 | 3,571,124 |
VIP Equity-Income Portfolio Investor Class | 1,144,980 | 59,416 | 265,355 | - | 22,232 | 18,484 | 979,757 |
VIP Government Money Market Portfolio Investor Class 4.85% | 8,440,640 | 1,498,702 | 1,662,313 | 187,814 | - | - | 8,277,029 |
VIP Growth & Income Portfolio Investor Class | 1,481,623 | 95,836 | 383,560 | 5,341 | 96,227 | 49,146 | 1,339,272 |
VIP Growth Portfolio Investor Class | 2,006,992 | 150,459 | 610,209 | 13,697 | 28,143 | 383,730 | 1,959,115 |
VIP High Income Portfolio Investor Class | 1,038,426 | 26,444 | 126,778 | 703 | (18,132) | 59,428 | 979,388 |
VIP Investment Grade Bond II Portfolio - Investor Class | 21,064,614 | 1,828,208 | 2,330,916 | 9,020 | (37,575) | 554,438 | 21,078,769 |
VIP Mid Cap Portfolio Investor Class | 357,323 | 7,453 | 81,775 | 828 | 8,688 | 17,962 | 309,651 |
VIP Overseas Portfolio Investor Class | 5,986,718 | 154,217 | 1,335,000 | - | 121,073 | 723,442 | 5,650,450 |
VIP Value Portfolio Investor Class | 826,077 | 26,319 | 212,509 | - | 49,971 | 8,332 | 698,190 |
VIP Value Strategies Portfolio Investor Class | 409,218 | 10,289 | 101,697 | 972 | 21,550 | 7,659 | 347,019 |
62,719,094 | 5,008,115 | 11,091,108 | 289,733 | (27,551) | 2,968,650 | 59,577,200 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 6,834,285 | 6,834,285 | - | - |
International Equity Funds | 9,221,574 | 9,221,574 | - | - |
Bond Funds | 35,244,312 | 35,244,312 | - | - |
Short-Term Funds | 8,277,029 | 8,277,029 | - | - |
Total Investments in Securities: | 59,577,200 | 59,577,200 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $56,840,787) | $ | 59,577,200 | ||
Total Investment in Securities (cost $56,840,787) | $ | 59,577,200 | ||
Cash | 11 | |||
Receivable for investments sold | 641,402 | |||
Total assets | 60,218,613 | |||
Liabilities | ||||
Payable for investments purchased | $ | 604,749 | ||
Payable for fund shares redeemed | 36,646 | |||
Total Liabilities | 641,395 | |||
Net Assets | $ | 59,577,218 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 58,344,731 | ||
Total accumulated earnings (loss) | 1,232,487 | |||
Net Assets | $ | 59,577,218 | ||
Net Asset Value , offering price and redemption price per share ($59,577,218 ÷ 5,088,066 shares) | $ | 11.71 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 256,763 | ||
Expenses | ||||
Independent trustees' fees and expenses | $ | 110 | ||
Total Expenses | 110 | |||
Net Investment income (loss) | 256,653 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (27,551) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 32,970 | |||
Total net realized gain (loss) | 5,419 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 2,968,650 | |||
Total change in net unrealized appreciation (depreciation) | 2,968,650 | |||
Net gain (loss) | 2,974,069 | |||
Net increase (decrease) in net assets resulting from operations | $ | 3,230,722 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 256,653 | $ | 1,682,557 |
Net realized gain (loss) | 5,419 | (1,432,613) | ||
Change in net unrealized appreciation (depreciation) | 2,968,650 | (11,231,738) | ||
Net increase (decrease) in net assets resulting from operations | 3,230,722 | (10,981,794) | ||
Distributions to shareholders | (850,963) | (5,022,721) | ||
Share transactions | ||||
Proceeds from sales of shares | 420,273 | 1,780,571 | ||
Reinvestment of distributions | 850,963 | 5,022,721 | ||
Cost of shares redeemed | (6,792,894) | (13,356,265) | ||
Net increase (decrease) in net assets resulting from share transactions | (5,521,658) | (6,552,973) | ||
Total increase (decrease) in net assets | (3,141,899) | (22,557,488) | ||
Net Assets | ||||
Beginning of period | 62,719,117 | 85,276,605 | ||
End of period | $ | 59,577,218 | $ | 62,719,117 |
Other Information | ||||
Shares | ||||
Sold | 36,332 | 149,502 | ||
Issued in reinvestment of distributions | 74,190 | 402,140 | ||
Redeemed | (587,871) | (1,106,309) | ||
Net increase (decrease) | (477,349) | (554,667) | ||
VIP Investor Freedom 2010 Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.27 | $ | 13.93 | $ | 13.73 | $ | 12.84 | $ | 11.79 | $ | 12.78 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .05 | .29 | .26 | .17 | .27 | .20 | ||||||
Net realized and unrealized gain (loss) | .55 | (2.10) | .52 | 1.37 | 1.57 | (.71) | ||||||
Total from investment operations | .60 | (1.81) | .78 | 1.54 | 1.84 | (.51) | ||||||
Distributions from net investment income | (.16) | (.26) | (.14) | (.17) | (.26) | (.21) | ||||||
Distributions from net realized gain | - | (.59) | (.44) | (.49) | (.53) | (.27) | ||||||
Total distributions | (.16) | (.85) | (.58) | (.65) C | (.79) | (.48) | ||||||
Net asset value, end of period | $ | 11.71 | $ | 11.27 | $ | 13.93 | $ | 13.73 | $ | 12.84 | $ | 11.79 |
Total Return D,E,F | 5.31% | (13.50)% | 5.81% | 12.40% | 16.10% | (4.06)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .83% J | 2.40% | 1.87% | 1.33% | 2.15% | 1.57% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 59,577 | $ | 62,719 | $ | 85,277 | $ | 76,008 | $ | 66,651 | $ | 56,452 |
Portfolio turnover rate K | 16% J | 64% | 23% | 39% | 31% | 35% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 32.4 | |
Fidelity Inflation-Protected Bond Index Fund | 14.8 | |
VIP Overseas Portfolio Investor Class | 12.2 | |
VIP Government Money Market Portfolio Investor Class 4.85% | 8.4 | |
VIP Emerging Markets Portfolio Investor Class | 7.0 | |
VIP Growth Portfolio Investor Class | 4.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.4 | |
VIP Growth & Income Portfolio Investor Class | 3.3 | |
Fidelity International Bond Index Fund | 3.1 | |
VIP Contrafund Portfolio Investor Class | 3.0 | |
92.5 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 17.0% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 63,237 | 2,846,317 | |
VIP Equity-Income Portfolio Investor Class (a) | 95,619 | 2,321,618 | |
VIP Growth & Income Portfolio Investor Class (a) | 120,251 | 3,173,434 | |
VIP Growth Portfolio Investor Class (a) | 53,484 | 4,641,911 | |
VIP Mid Cap Portfolio Investor Class (a) | 20,989 | 733,772 | |
VIP Value Portfolio Investor Class (a) | 92,325 | 1,654,472 | |
VIP Value Strategies Portfolio Investor Class (a) | 53,785 | 822,371 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $9,493,172) | 16,193,895 | ||
International Equity Funds - 19.2% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 644,890 | 6,681,062 | |
VIP Overseas Portfolio Investor Class (a) | 466,161 | 11,565,451 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $13,343,338) | 18,246,513 | ||
Bond Funds - 55.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 1,535,259 | 14,124,381 | |
Fidelity International Bond Index Fund (a) | 326,426 | 2,944,362 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 313,218 | 3,263,728 | |
VIP High Income Portfolio Investor Class (a) | 342,946 | 1,563,835 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 3,240,462 | 30,849,194 | |
TOTAL BOND FUNDS (Cost $56,666,818) | 52,745,500 | ||
Short-Term Funds - 8.4% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $8,012,930) | 8,012,930 | 8,012,930 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $87,516,258) | 95,198,838 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 25 |
NET ASSETS - 100.0% | 95,198,863 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 14,648,737 | 745,451 | 1,559,711 | 5,381 | (162,500) | 452,404 | 14,124,381 |
Fidelity International Bond Index Fund | 3,119,750 | 114,875 | 362,381 | 25,662 | (15,283) | 87,401 | 2,944,362 |
Fidelity Long-Term Treasury Bond Index Fund | 3,979,926 | 259,101 | 1,111,781 | 54,260 | (290,929) | 427,411 | 3,263,728 |
VIP Contrafund Portfolio Investor Class | 2,950,621 | 120,770 | 755,692 | 28,412 | 144,612 | 386,006 | 2,846,317 |
VIP Emerging Markets Portfolio Investor Class | 8,061,798 | 615,249 | 2,481,525 | 12,405 | (5,555) | 491,095 | 6,681,062 |
VIP Equity-Income Portfolio Investor Class | 2,643,956 | 107,243 | 524,819 | - | 45,600 | 49,638 | 2,321,618 |
VIP Government Money Market Portfolio Investor Class 4.85% | 7,872,187 | 2,017,615 | 1,876,872 | 176,061 | - | - | 8,012,930 |
VIP Growth & Income Portfolio Investor Class | 3,421,331 | 180,121 | 766,748 | 12,374 | 181,033 | 157,697 | 3,173,434 |
VIP Growth Portfolio Investor Class | 4,634,494 | 263,700 | 1,208,943 | 31,452 | 44,789 | 907,871 | 4,641,911 |
VIP High Income Portfolio Investor Class | 1,641,201 | 41,940 | 184,825 | 1,112 | (18,540) | 84,059 | 1,563,835 |
VIP Investment Grade Bond II Portfolio - Investor Class | 30,367,266 | 2,796,583 | 3,061,717 | 13,021 | (14,000) | 761,062 | 30,849,194 |
VIP Mid Cap Portfolio Investor Class | 825,122 | 14,991 | 168,549 | 1,912 | 18,606 | 43,602 | 733,772 |
VIP Overseas Portfolio Investor Class | 12,048,835 | 295,154 | 2,477,912 | - | 161,916 | 1,537,458 | 11,565,451 |
VIP Value Portfolio Investor Class | 1,907,574 | 47,569 | 436,338 | - | 95,661 | 40,006 | 1,654,472 |
VIP Value Strategies Portfolio Investor Class | 944,947 | 21,084 | 212,849 | 2,244 | 51,760 | 17,429 | 822,371 |
99,067,745 | 7,641,446 | 17,190,662 | 364,296 | 237,170 | 5,443,139 | 95,198,838 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 16,193,895 | 16,193,895 | - | - |
International Equity Funds | 18,246,513 | 18,246,513 | - | - |
Bond Funds | 52,745,500 | 52,745,500 | - | - |
Short-Term Funds | 8,012,930 | 8,012,930 | - | - |
Total Investments in Securities: | 95,198,838 | 95,198,838 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $87,516,258) | $ | 95,198,838 | ||
Total Investment in Securities (cost $87,516,258) | $ | 95,198,838 | ||
Cash | 10 | |||
Receivable for investments sold | 1,149,372 | |||
Total assets | 96,348,220 | |||
Liabilities | ||||
Payable for investments purchased | $ | 1,148,796 | ||
Payable for fund shares redeemed | 561 | |||
Total Liabilities | 1,149,357 | |||
Net Assets | $ | 95,198,863 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 88,573,260 | ||
Total accumulated earnings (loss) | 6,625,603 | |||
Net Assets | $ | 95,198,863 | ||
Net Asset Value , offering price and redemption price per share ($95,198,863 ÷ 8,192,861 shares) | $ | 11.62 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 288,440 | ||
Expenses | ||||
Independent trustees' fees and expenses | $ | 173 | ||
Total Expenses | 173 | |||
Net Investment income (loss) | 288,267 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 237,170 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 75,856 | |||
Total net realized gain (loss) | 313,026 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 5,443,139 | |||
Total change in net unrealized appreciation (depreciation) | 5,443,139 | |||
Net gain (loss) | 5,756,165 | |||
Net increase (decrease) in net assets resulting from operations | $ | 6,044,432 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 288,267 | $ | 2,520,232 |
Net realized gain (loss) | 313,026 | (1,224,689) | ||
Change in net unrealized appreciation (depreciation) | 5,443,139 | (19,345,211) | ||
Net increase (decrease) in net assets resulting from operations | 6,044,432 | (18,049,668) | ||
Distributions to shareholders | (1,231,771) | (8,860,478) | ||
Share transactions | ||||
Proceeds from sales of shares | 331,594 | 10,231,627 | ||
Reinvestment of distributions | 1,231,771 | 8,860,478 | ||
Cost of shares redeemed | (10,244,933) | (16,437,387) | ||
Net increase (decrease) in net assets resulting from share transactions | (8,681,568) | 2,654,718 | ||
Total increase (decrease) in net assets | (3,868,907) | (24,255,428) | ||
Net Assets | ||||
Beginning of period | 99,067,770 | 123,323,198 | ||
End of period | $ | 95,198,863 | $ | 99,067,770 |
Other Information | ||||
Shares | ||||
Sold | 28,989 | 845,682 | ||
Issued in reinvestment of distributions | 108,622 | 715,435 | ||
Redeemed | (897,947) | (1,401,561) | ||
Net increase (decrease) | (760,336) | 159,556 | ||
VIP Investor Freedom 2015 Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.07 | $ | 14.02 | $ | 13.73 | $ | 12.86 | $ | 11.59 | $ | 12.72 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .03 | .28 | .25 | .16 | .25 | .19 | ||||||
Net realized and unrealized gain (loss) | .66 | (2.23) | .78 | 1.53 | 1.80 | (.82) | ||||||
Total from investment operations | .69 | (1.95) | 1.03 | 1.69 | 2.05 | (.63) | ||||||
Distributions from net investment income | (.14) | (.25) | (.15) | (.17) | (.26) | (.19) | ||||||
Distributions from net realized gain | - | (.75) | (.59) | (.66) | (.52) | (.31) | ||||||
Total distributions | (.14) | (1.00) | (.74) | (.82) C | (.78) | (.50) | ||||||
Net asset value, end of period | $ | 11.62 | $ | 11.07 | $ | 14.02 | $ | 13.73 | $ | 12.86 | $ | 11.59 |
Total Return D,E,F | 6.27% | (14.58)% | 7.64% | 13.70% | 18.24% | (5.02)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .59% J | 2.34% | 1.78% | 1.28% | 2.05% | 1.53% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 95,199 | $ | 99,068 | $ | 123,323 | $ | 114,226 | $ | 107,298 | $ | 96,781 |
Portfolio turnover rate K | 16% J | 69% | 31% | 42% | 30% | 33% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 29.4 | |
VIP Overseas Portfolio Investor Class | 14.8 | |
Fidelity Inflation-Protected Bond Index Fund | 13.7 | |
VIP Emerging Markets Portfolio Investor Class | 8.1 | |
VIP Growth Portfolio Investor Class | 6.5 | |
VIP Growth & Income Portfolio Investor Class | 4.4 | |
VIP Contrafund Portfolio Investor Class | 4.0 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.5 | |
Fidelity International Bond Index Fund | 3.4 | |
VIP Equity-Income Portfolio Investor Class | 3.2 | |
91.0 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 22.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 171,251 | 7,707,993 | |
VIP Equity-Income Portfolio Investor Class (a) | 258,952 | 6,287,353 | |
VIP Growth & Income Portfolio Investor Class (a) | 325,657 | 8,594,095 | |
VIP Growth Portfolio Investor Class (a) | 144,839 | 12,570,565 | |
VIP Mid Cap Portfolio Investor Class (a) | 56,845 | 1,987,292 | |
VIP Value Portfolio Investor Class (a) | 250,039 | 4,480,696 | |
VIP Value Strategies Portfolio Investor Class (a) | 145,668 | 2,227,257 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $26,148,996) | 43,855,251 | ||
International Equity Funds - 22.9% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 1,509,913 | 15,642,704 | |
VIP Overseas Portfolio Investor Class (a) | 1,161,330 | 28,812,591 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $33,394,313) | 44,455,295 | ||
Bond Funds - 51.7% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 2,905,368 | 26,729,382 | |
Fidelity International Bond Index Fund (a) | 726,623 | 6,554,142 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 654,556 | 6,820,473 | |
VIP High Income Portfolio Investor Class (a) | 700,349 | 3,193,591 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 6,009,054 | 57,206,191 | |
TOTAL BOND FUNDS (Cost $107,800,638) | 100,503,779 | ||
Short-Term Funds - 2.9% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $5,738,395) | 5,738,395 | 5,738,395 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $173,082,342) | 194,552,720 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 3,454 |
NET ASSETS - 100.0% | 194,556,174 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 26,030,760 | 2,054,668 | 1,867,463 | 9,205 | (102,317) | 613,734 | 26,729,382 |
Fidelity International Bond Index Fund | 6,500,482 | 433,378 | 532,831 | 55,014 | (9,161) | 162,274 | 6,554,142 |
Fidelity Long-Term Treasury Bond Index Fund | 7,749,951 | 689,136 | 1,880,380 | 108,718 | (457,099) | 718,865 | 6,820,473 |
VIP Contrafund Portfolio Investor Class | 7,457,575 | 304,645 | 1,443,476 | 72,473 | 216,644 | 1,172,605 | 7,707,993 |
VIP Emerging Markets Portfolio Investor Class | 17,431,825 | 1,563,173 | 4,412,821 | 27,161 | (144,037) | 1,204,564 | 15,642,704 |
VIP Equity-Income Portfolio Investor Class | 6,682,487 | 311,839 | 958,509 | - | 66,035 | 185,501 | 6,287,353 |
VIP Government Money Market Portfolio Investor Class 4.85% | 4,613,382 | 3,215,626 | 2,090,613 | 111,954 | - | - | 5,738,395 |
VIP Growth & Income Portfolio Investor Class | 8,647,256 | 482,137 | 1,417,230 | 31,437 | 246,230 | 635,702 | 8,594,095 |
VIP Growth Portfolio Investor Class | 11,713,446 | 726,530 | 2,370,332 | 80,192 | 61,198 | 2,439,723 | 12,570,565 |
VIP High Income Portfolio Investor Class | 3,148,959 | 109,275 | 192,662 | 2,142 | (2,537) | 130,556 | 3,193,591 |
VIP Investment Grade Bond II Portfolio - Investor Class | 52,577,109 | 6,647,714 | 3,311,262 | 22,640 | 13,175 | 1,279,455 | 57,206,191 |
VIP Mid Cap Portfolio Investor Class | 2,085,432 | 62,963 | 323,888 | 4,852 | 20,059 | 142,726 | 1,987,292 |
VIP Overseas Portfolio Investor Class | 28,118,781 | 914,955 | 4,260,210 | - | 184,677 | 3,854,388 | 28,812,591 |
VIP Value Portfolio Investor Class | 4,821,295 | 111,103 | 806,192 | - | 184,412 | 170,078 | 4,480,696 |
VIP Value Strategies Portfolio Investor Class | 2,388,286 | 84,295 | 426,860 | 5,697 | 86,128 | 95,408 | 2,227,257 |
189,967,026 | 17,711,437 | 26,294,729 | 531,485 | 363,407 | 12,805,579 | 194,552,720 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 43,855,251 | 43,855,251 | - | - |
International Equity Funds | 44,455,295 | 44,455,295 | - | - |
Bond Funds | 100,503,779 | 100,503,779 | - | - |
Short-Term Funds | 5,738,395 | 5,738,395 | - | - |
Total Investments in Securities: | 194,552,720 | 194,552,720 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $173,082,342) | $ | 194,552,720 | ||
Total Investment in Securities (cost $173,082,342) | $ | 194,552,720 | ||
Cash | 3,422 | |||
Receivable for investments sold | 2,605,372 | |||
Total assets | 197,161,514 | |||
Liabilities | ||||
Payable for investments purchased | $ | 2,604,238 | ||
Payable for fund shares redeemed | 1,102 | |||
Total Liabilities | 2,605,340 | |||
Net Assets | $ | 194,556,174 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 174,900,058 | ||
Total accumulated earnings (loss) | 19,656,116 | |||
Net Assets | $ | 194,556,174 | ||
Net Asset Value , offering price and redemption price per share ($194,556,174 ÷ 16,091,404 shares) | $ | 12.09 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 338,208 | ||
Expenses | ||||
Independent trustees' fees and expenses | $ | 337 | ||
Total expenses before reductions | 337 | |||
Expense reductions | (63) | |||
Total expenses after reductions | 274 | |||
Net Investment income (loss) | 337,934 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 363,407 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 193,277 | |||
Total net realized gain (loss) | 556,684 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 12,805,579 | |||
Total change in net unrealized appreciation (depreciation) | 12,805,579 | |||
Net gain (loss) | 13,362,263 | |||
Net increase (decrease) in net assets resulting from operations | $ | 13,700,197 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 337,934 | $ | 4,666,949 |
Net realized gain (loss) | 556,684 | (1,611,860) | ||
Change in net unrealized appreciation (depreciation) | 12,805,579 | (41,780,207) | ||
Net increase (decrease) in net assets resulting from operations | 13,700,197 | (38,725,118) | ||
Distributions to shareholders | (2,205,597) | (20,521,204) | ||
Share transactions | ||||
Proceeds from sales of shares | 1,327,085 | 3,974,124 | ||
Reinvestment of distributions | 2,205,597 | 20,521,204 | ||
Cost of shares redeemed | (10,442,339) | (27,303,914) | ||
Net increase (decrease) in net assets resulting from share transactions | (6,909,657) | (2,808,586) | ||
Total increase (decrease) in net assets | 4,584,943 | (62,054,908) | ||
Net Assets | ||||
Beginning of period | 189,971,231 | 252,026,139 | ||
End of period | $ | 194,556,174 | $ | 189,971,231 |
Other Information | ||||
Shares | ||||
Sold | 112,384 | 318,492 | ||
Issued in reinvestment of distributions | 187,710 | 1,591,812 | ||
Redeemed | (882,069) | (2,236,921) | ||
Net increase (decrease) | (581,975) | (326,617) | ||
VIP Investor Freedom 2020 Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.39 | $ | 14.83 | $ | 14.36 | $ | 13.29 | $ | 11.73 | $ | 12.94 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .27 | .26 | .16 | .26 | .18 | ||||||
Net realized and unrealized gain (loss) | .82 | (2.49) | 1.07 | 1.75 | 2.04 | (.94) | ||||||
Total from investment operations | .84 | (2.22) | 1.33 | 1.91 | 2.30 | (.76) | ||||||
Distributions from net investment income | (.14) | (.26) | (.16) | (.17) | (.26) | (.19) | ||||||
Distributions from net realized gain | - | (.97) | (.71) | (.67) | (.48) | (.26) | ||||||
Total distributions | (.14) | (1.22) C | (.86) C | (.84) | (.74) | (.45) | ||||||
Net asset value, end of period | $ | 12.09 | $ | 11.39 | $ | 14.83 | $ | 14.36 | $ | 13.29 | $ | 11.73 |
Total Return D,E,F | 7.37% | (15.83)% | 9.54% | 14.95% | 20.11% | (5.94)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .35% J | 2.23% | 1.78% | 1.25% | 2.05% | 1.46% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 194,556 | $ | 189,971 | $ | 252,026 | $ | 236,662 | $ | 229,641 | $ | 196,527 |
Portfolio turnover rate K | 18% J | 61% | 32% | 42% | 32% | 33% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 24.7 | |
VIP Overseas Portfolio Investor Class | 17.0 | |
Fidelity Inflation-Protected Bond Index Fund | 11.6 | |
VIP Emerging Markets Portfolio Investor Class | 8.8 | |
VIP Growth Portfolio Investor Class | 7.7 | |
VIP Growth & Income Portfolio Investor Class | 5.3 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.0 | |
VIP Contrafund Portfolio Investor Class | 4.7 | |
VIP Equity-Income Portfolio Investor Class | 3.9 | |
Fidelity International Bond Index Fund | 3.3 | |
92.0 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 27.0% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 244,799 | 11,018,398 | |
VIP Equity-Income Portfolio Investor Class (a) | 370,180 | 8,987,972 | |
VIP Growth & Income Portfolio Investor Class (a) | 465,533 | 12,285,416 | |
VIP Growth Portfolio Investor Class (a) | 207,054 | 17,970,178 | |
VIP Mid Cap Portfolio Investor Class (a) | 81,265 | 2,841,016 | |
VIP Value Portfolio Investor Class (a) | 357,455 | 6,405,601 | |
VIP Value Strategies Portfolio Investor Class (a) | 208,247 | 3,184,098 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $36,271,248) | 62,692,679 | ||
International Equity Funds - 25.8% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 1,986,142 | 20,576,431 | |
VIP Overseas Portfolio Investor Class (a) | 1,588,343 | 39,406,785 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $46,255,026) | 59,983,216 | ||
Bond Funds - 46.2% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 2,925,056 | 26,910,512 | |
Fidelity International Bond Index Fund (a) | 857,294 | 7,732,790 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 1,117,396 | 11,643,269 | |
VIP High Income Portfolio Investor Class (a) | 836,144 | 3,812,818 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 6,025,185 | 57,359,761 | |
TOTAL BOND FUNDS (Cost $115,552,499) | 107,459,150 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (b) | 920 | 920 | |
VIP Government Money Market Portfolio Investor Class 4.85% (a)(c) | 2,314,849 | 2,314,849 | |
TOTAL SHORT-TERM FUNDS (Cost $2,315,769) | 2,315,769 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $200,394,542) | 232,450,814 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 77 |
NET ASSETS - 100.0% | 232,450,891 |
(a) | Affiliated Fund |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 920 | - | - | 22 | - | - | 920 | 0.0% |
Total | 920 | - | - | 22 | - | - | 920 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 26,279,331 | 2,888,652 | 2,772,729 | 9,597 | (309,635) | 824,893 | 26,910,512 |
Fidelity International Bond Index Fund | 7,716,539 | 683,579 | 847,313 | 66,336 | (15,653) | 195,638 | 7,732,790 |
Fidelity Long-Term Treasury Bond Index Fund | 12,737,508 | 1,173,327 | 2,665,879 | 184,816 | (677,309) | 1,075,622 | 11,643,269 |
VIP Contrafund Portfolio Investor Class | 10,842,556 | 438,303 | 2,272,101 | 107,432 | 314,145 | 1,695,495 | 11,018,398 |
VIP Emerging Markets Portfolio Investor Class | 23,237,638 | 1,970,058 | 5,996,826 | 37,070 | (378,730) | 1,744,291 | 20,576,431 |
VIP Equity-Income Portfolio Investor Class | 9,715,749 | 458,663 | 1,544,880 | - | 102,807 | 255,633 | 8,987,972 |
VIP Government Money Market Portfolio Investor Class 4.85% | 1,643,987 | 2,434,352 | 1,763,490 | 43,416 | - | - | 2,314,849 |
VIP Growth & Income Portfolio Investor Class | 12,572,411 | 711,285 | 2,268,829 | 46,500 | 401,675 | 868,874 | 12,285,416 |
VIP Growth Portfolio Investor Class | 17,030,158 | 1,212,250 | 3,887,351 | 118,852 | 42,162 | 3,572,959 | 17,970,178 |
VIP High Income Portfolio Investor Class | 3,862,862 | 169,676 | 374,510 | 2,668 | (31,880) | 186,670 | 3,812,818 |
VIP Investment Grade Bond II Portfolio - Investor Class | 54,555,592 | 7,276,022 | 5,801,964 | 23,888 | (27,380) | 1,357,491 | 57,359,761 |
VIP Mid Cap Portfolio Investor Class | 3,031,959 | 112,552 | 535,534 | 7,171 | 37,899 | 194,140 | 2,841,016 |
VIP Overseas Portfolio Investor Class | 39,237,740 | 1,218,303 | 6,682,136 | - | 197,217 | 5,435,661 | 39,406,785 |
VIP Value Portfolio Investor Class | 7,009,663 | 190,545 | 1,298,910 | - | 285,786 | 218,517 | 6,405,601 |
VIP Value Strategies Portfolio Investor Class | 3,472,277 | 148,031 | 693,616 | 8,421 | 141,606 | 115,800 | 3,184,098 |
232,945,970 | 21,085,598 | 39,406,068 | 656,167 | 82,710 | 17,741,684 | 232,449,894 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 62,692,679 | 62,692,679 | - | - |
International Equity Funds | 59,983,216 | 59,983,216 | - | - |
Bond Funds | 107,459,150 | 107,459,150 | - | - |
Short-Term Funds | 2,315,769 | 2,315,769 | - | - |
Total Investments in Securities: | 232,450,814 | 232,450,814 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Fidelity Central Funds (cost $920) | $ | 920 | ||
Other affiliated issuers (cost $200,393,622) | 232,449,894 | |||
Total Investment in Securities (cost $200,394,542) | $ | 232,450,814 | ||
Cash | 34 | |||
Receivable for investments sold | 3,065,910 | |||
Distributions receivable from Fidelity Central Funds | 4 | |||
Total assets | 235,516,762 | |||
Liabilities | ||||
Payable for investments purchased | $ | 2,973,436 | ||
Payable for fund shares redeemed | 92,435 | |||
Total Liabilities | 3,065,871 | |||
Net Assets | $ | 232,450,891 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 204,006,323 | ||
Total accumulated earnings (loss) | 28,444,568 | |||
Net Assets | $ | 232,450,891 | ||
Net Asset Value , offering price and redemption price per share ($232,450,891 ÷ 17,123,332 shares) | $ | 13.58 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 369,825 | ||
Income from Fidelity Central Funds | 22 | |||
Total Income | 369,847 | |||
Expenses | ||||
Independent trustees' fees and expenses | $ | 415 | ||
Total Expenses | 415 | |||
Net Investment income (loss) | 369,432 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 82,710 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 286,342 | |||
Total net realized gain (loss) | 369,052 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 17,741,684 | |||
Total change in net unrealized appreciation (depreciation) | 17,741,684 | |||
Net gain (loss) | 18,110,736 | |||
Net increase (decrease) in net assets resulting from operations | $ | 18,480,168 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 369,432 | $ | 5,289,582 |
Net realized gain (loss) | 369,052 | (3,050,960) | ||
Change in net unrealized appreciation (depreciation) | 17,741,684 | (53,391,205) | ||
Net increase (decrease) in net assets resulting from operations | 18,480,168 | (51,152,583) | ||
Distributions to shareholders | (2,230,673) | (24,595,225) | ||
Share transactions | ||||
Proceeds from sales of shares | 2,150,348 | 6,150,067 | ||
Reinvestment of distributions | 2,230,673 | 24,595,225 | ||
Cost of shares redeemed | (21,127,086) | (39,646,146) | ||
Net increase (decrease) in net assets resulting from share transactions | (16,746,065) | (8,900,854) | ||
Total increase (decrease) in net assets | (496,570) | (84,648,662) | ||
Net Assets | ||||
Beginning of period | 232,947,461 | 317,596,123 | ||
End of period | $ | 232,450,891 | $ | 232,947,461 |
Other Information | ||||
Shares | ||||
Sold | 162,467 | 432,027 | ||
Issued in reinvestment of distributions | 169,633 | 1,708,639 | ||
Redeemed | (1,598,277) | (2,940,213) | ||
Net increase (decrease) | (1,266,177) | (799,547) | ||
VIP Investor Freedom 2025 Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 12.67 | $ | 16.55 | $ | 15.74 | $ | 14.38 | $ | 12.45 | $ | 13.78 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .27 | .28 | .18 | .28 | .20 | ||||||
Net realized and unrealized gain (loss) | 1.01 | (2.85) | 1.38 | 2.02 | 2.37 | (1.09) | ||||||
Total from investment operations | 1.03 | (2.58) | 1.66 | 2.20 | 2.65 | (.89) | ||||||
Distributions from net investment income | (.12) | (.28) | (.18) | (.18) | (.28) | (.19) | ||||||
Distributions from net realized gain | - | (1.02) | (.67) | (.66) | (.44) | (.25) | ||||||
Total distributions | (.12) | (1.30) | (.85) | (.84) | (.72) | (.44) | ||||||
Net asset value, end of period | $ | 13.58 | $ | 12.67 | $ | 16.55 | $ | 15.74 | $ | 14.38 | $ | 12.45 |
Total Return C,D,E | 8.18% | (16.45)% | 10.78% | 15.88% | 21.73% | (6.56)% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .31% I | 2.02% | 1.74% | 1.26% | 2.03% | 1.44% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 232,451 | $ | 232,947 | $ | 317,596 | $ | 285,539 | $ | 248,822 | $ | 203,463 |
Portfolio turnover rate J | 18% I | 60% | 30% | 43% | 29% | 30% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 21.9 | |
VIP Overseas Portfolio Investor Class | 18.8 | |
VIP Emerging Markets Portfolio Investor Class | 9.6 | |
VIP Growth Portfolio Investor Class | 8.9 | |
Fidelity Inflation-Protected Bond Index Fund | 7.9 | |
VIP Growth & Income Portfolio Investor Class | 6.0 | |
VIP Contrafund Portfolio Investor Class | 5.4 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.4 | |
VIP Equity-Income Portfolio Investor Class | 4.4 | |
VIP Value Portfolio Investor Class | 3.2 | |
91.5 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 30.9% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 426,217 | 19,184,047 | |
VIP Equity-Income Portfolio Investor Class (a) | 644,533 | 15,649,265 | |
VIP Growth & Income Portfolio Investor Class (a) | 810,552 | 21,390,462 | |
VIP Growth Portfolio Investor Class (a) | 360,513 | 31,288,942 | |
VIP Mid Cap Portfolio Investor Class (a) | 141,497 | 4,946,737 | |
VIP Value Portfolio Investor Class (a) | 622,399 | 11,153,397 | |
VIP Value Strategies Portfolio Investor Class (a) | 362,599 | 5,544,144 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $73,606,863) | 109,156,994 | ||
International Equity Funds - 28.4% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 3,267,377 | 33,850,030 | |
VIP Overseas Portfolio Investor Class (a) | 2,681,192 | 66,520,363 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $85,139,212) | 100,370,393 | ||
Bond Funds - 39.7% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 3,031,315 | 27,888,102 | |
Fidelity International Bond Index Fund (a) | 1,103,677 | 9,955,168 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 1,836,263 | 19,133,861 | |
VIP High Income Portfolio Investor Class (a) | 1,269,787 | 5,790,229 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 8,127,525 | 77,374,038 | |
TOTAL BOND FUNDS (Cost $150,942,216) | 140,141,398 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $3,515,493) | 3,515,493 | 3,515,493 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $313,203,784) | 353,184,278 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 65 |
NET ASSETS - 100.0% | 353,184,343 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 25,847,829 | 3,744,173 | 2,212,212 | 10,335 | (56,868) | 565,180 | 27,888,102 |
Fidelity International Bond Index Fund | 9,549,419 | 1,025,278 | 846,342 | 84,106 | (7,802) | 234,615 | 9,955,168 |
Fidelity Long-Term Treasury Bond Index Fund | 20,072,344 | 2,116,714 | 3,677,861 | 298,760 | (745,128) | 1,367,792 | 19,133,861 |
VIP Contrafund Portfolio Investor Class | 18,169,362 | 806,569 | 3,241,298 | 181,109 | (112,608) | 3,562,022 | 19,184,047 |
VIP Emerging Markets Portfolio Investor Class | 36,555,762 | 3,466,718 | 8,345,026 | 58,702 | (653,505) | 2,826,081 | 33,850,030 |
VIP Equity-Income Portfolio Investor Class | 16,281,159 | 947,260 | 2,190,927 | - | 53,422 | 558,351 | 15,649,265 |
VIP Government Money Market Portfolio Investor Class 4.85% | 2,406,213 | 3,691,052 | 2,581,772 | 65,172 | - | - | 3,515,493 |
VIP Growth & Income Portfolio Investor Class | 21,068,144 | 1,282,785 | 3,124,320 | 78,452 | 186,885 | 1,976,968 | 21,390,462 |
VIP Growth Portfolio Investor Class | 28,538,104 | 2,321,903 | 5,783,922 | 200,340 | (91,165) | 6,304,022 | 31,288,942 |
VIP High Income Portfolio Investor Class | 5,653,892 | 344,232 | 437,786 | 3,942 | (26,063) | 255,954 | 5,790,229 |
VIP Investment Grade Bond II Portfolio - Investor Class | 70,286,958 | 11,516,786 | 6,155,693 | 31,039 | 3,455 | 1,722,532 | 77,374,038 |
VIP Mid Cap Portfolio Investor Class | 5,080,854 | 237,011 | 764,638 | 12,092 | 11,818 | 381,692 | 4,946,737 |
VIP Overseas Portfolio Investor Class | 63,799,594 | 2,762,294 | 9,315,209 | - | (963,293) | 10,236,977 | 66,520,363 |
VIP Value Portfolio Investor Class | 11,746,451 | 386,669 | 1,831,591 | - | 295,918 | 555,950 | 11,153,397 |
VIP Value Strategies Portfolio Investor Class | 5,818,724 | 296,655 | 1,005,889 | 14,201 | 185,751 | 248,903 | 5,544,144 |
340,874,809 | 34,946,099 | 51,514,486 | 1,038,250 | (1,919,183) | 30,797,039 | 353,184,278 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 109,156,994 | 109,156,994 | - | - |
International Equity Funds | 100,370,393 | 100,370,393 | - | - |
Bond Funds | 140,141,398 | 140,141,398 | - | - |
Short-Term Funds | 3,515,493 | 3,515,493 | - | - |
Total Investments in Securities: | 353,184,278 | 353,184,278 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $313,203,784) | $ | 353,184,278 | ||
Total Investment in Securities (cost $313,203,784) | $ | 353,184,278 | ||
Cash | 2 | |||
Receivable for investments sold | 4,633,967 | |||
Total assets | 357,818,247 | |||
Liabilities | ||||
Payable for investments purchased | $ | 4,418,122 | ||
Payable for fund shares redeemed | 215,782 | |||
Total Liabilities | 4,633,904 | |||
Net Assets | $ | 353,184,343 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 322,435,328 | ||
Total accumulated earnings (loss) | 30,749,015 | |||
Net Assets | $ | 353,184,343 | ||
Net Asset Value , offering price and redemption price per share ($353,184,343 ÷ 25,511,875 shares) | $ | 13.84 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 555,485 | ||
Expenses | ||||
Independent trustees' fees and expenses | $ | 611 | ||
Total Expenses | 611 | |||
Net Investment income (loss) | 554,874 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (1,919,183) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 482,765 | |||
Total net realized gain (loss) | (1,436,418) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 30,797,039 | |||
Total change in net unrealized appreciation (depreciation) | 30,797,039 | |||
Net gain (loss) | 29,360,621 | |||
Net increase (decrease) in net assets resulting from operations | $ | 29,915,495 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 554,874 | $ | 6,719,098 |
Net realized gain (loss) | (1,436,418) | (6,389,386) | ||
Change in net unrealized appreciation (depreciation) | 30,797,039 | (70,785,521) | ||
Net increase (decrease) in net assets resulting from operations | 29,915,495 | (70,455,809) | ||
Distributions to shareholders | (2,206,636) | (31,379,054) | ||
Share transactions | ||||
Proceeds from sales of shares | 6,188,938 | 22,141,109 | ||
Reinvestment of distributions | 2,206,636 | 31,379,054 | ||
Cost of shares redeemed | (23,794,972) | (25,994,502) | ||
Net increase (decrease) in net assets resulting from share transactions | (15,399,398) | 27,525,661 | ||
Total increase (decrease) in net assets | 12,309,461 | (74,309,202) | ||
Net Assets | ||||
Beginning of period | 340,874,882 | 415,184,084 | ||
End of period | $ | 353,184,343 | $ | 340,874,882 |
Other Information | ||||
Shares | ||||
Sold | 460,509 | 1,571,395 | ||
Issued in reinvestment of distributions | 165,167 | 2,159,178 | ||
Redeemed | (1,762,814) | (1,891,737) | ||
Net increase (decrease) | (1,137,138) | 1,838,836 | ||
VIP Investor Freedom 2030 Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 12.79 | $ | 16.73 | $ | 15.70 | $ | 14.26 | $ | 12.10 | $ | 13.61 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .26 | .28 | .17 | .27 | .18 | ||||||
Net realized and unrealized gain (loss) | 1.11 | (2.95) | 1.60 | 2.14 | 2.62 | (1.24) | ||||||
Total from investment operations | 1.13 | (2.69) | 1.88 | 2.31 | 2.89 | (1.06) | ||||||
Distributions from net investment income | (.08) | (.27) | (.17) | (.17) | (.27) | (.18) | ||||||
Distributions from net realized gain | - | (.99) | (.68) | (.69) | (.46) | (.28) | ||||||
Total distributions | (.08) | (1.25) C | (.85) | (.87) C | (.73) | (.45) C | ||||||
Net asset value, end of period | $ | 13.84 | $ | 12.79 | $ | 16.73 | $ | 15.70 | $ | 14.26 | $ | 12.10 |
Total Return D,E,F | 8.88% | (16.91)% | 12.25% | 16.82% | 24.42% | (7.87)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .31% J | 1.88% | 1.71% | 1.26% | 2.03% | 1.36% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 353,184 | $ | 340,875 | $ | 415,184 | $ | 325,667 | $ | 276,764 | $ | 213,871 |
Portfolio turnover rate K | 20% J | 57% | 23% | 41% | 29% | 24% |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Investor Class | 22.4 | |
VIP Investment Grade Bond II Portfolio - Investor Class | 14.3 | |
VIP Growth Portfolio Investor Class | 11.0 | |
VIP Emerging Markets Portfolio Investor Class | 11.0 | |
VIP Growth & Income Portfolio Investor Class | 7.5 | |
VIP Contrafund Portfolio Investor Class | 6.8 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.8 | |
VIP Equity-Income Portfolio Investor Class | 5.5 | |
VIP Value Portfolio Investor Class | 3.9 | |
Fidelity Inflation-Protected Bond Index Fund | 3.2 | |
91.4 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 38.4% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 5,718 | 257,357 | |
VIP Equity-Income Portfolio Investor Class (a) | 8,647 | 209,945 | |
VIP Growth & Income Portfolio Investor Class (a) | 10,874 | 286,963 | |
VIP Growth Portfolio Investor Class (a) | 4,836 | 419,752 | |
VIP Mid Cap Portfolio Investor Class (a) | 1,898 | 66,361 | |
VIP Value Portfolio Investor Class (a) | 8,350 | 149,624 | |
VIP Value Strategies Portfolio Investor Class (a) | 4,864 | 74,374 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $1,402,104) | 1,464,376 | ||
International Equity Funds - 33.4% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 40,358 | 418,112 | |
VIP Overseas Portfolio Investor Class (a) | 34,501 | 855,956 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $1,260,312) | 1,274,068 | ||
Bond Funds - 27.2% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 13,202 | 121,456 | |
Fidelity International Bond Index Fund (a) | 9,772 | 88,147 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 21,345 | 222,411 | |
VIP High Income Portfolio Investor Class (a) | 13,704 | 62,491 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 57,213 | 544,671 | |
TOTAL BOND FUNDS (Cost $1,040,948) | 1,039,176 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $37,909) | 37,909 | 37,909 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $3,741,273) | 3,815,529 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 75 |
NET ASSETS - 100.0% | 3,815,604 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | - | 550,000 | 550,000 | 73 | - | - | - | 0.0% |
Total | - | 550,000 | 550,000 | 73 | - | - | - | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | - | 122,307 | 232 | 16 | (3) | (616) | 121,456 |
Fidelity International Bond Index Fund | - | 88,099 | 302 | - | (1) | 351 | 88,147 |
Fidelity Long-Term Treasury Bond Index Fund | - | 224,716 | 1,470 | 680 | (39) | (796) | 222,411 |
VIP Contrafund Portfolio Investor Class | - | 254,767 | 10,643 | - | 56 | 13,177 | 257,357 |
VIP Emerging Markets Portfolio Investor Class | - | 422,967 | 6,091 | - | (59) | 1,295 | 418,112 |
VIP Equity-Income Portfolio Investor Class | - | 211,310 | 5,770 | - | 40 | 4,365 | 209,945 |
VIP Government Money Market Portfolio Investor Class 4.85% | - | 38,054 | 145 | 189 | - | - | 37,909 |
VIP Growth & Income Portfolio Investor Class | - | 286,792 | 9,060 | - | 50 | 9,181 | 286,963 |
VIP Growth Portfolio Investor Class | - | 415,742 | 20,600 | - | 8 | 24,602 | 419,752 |
VIP High Income Portfolio Investor Class | - | 62,184 | 64 | - | - | 371 | 62,491 |
VIP Investment Grade Bond II Portfolio - Investor Class | - | 551,388 | 5,573 | - | (61) | (1,083) | 544,671 |
VIP Mid Cap Portfolio Investor Class | - | 66,147 | 2,489 | - | 43 | 2,660 | 66,361 |
VIP Overseas Portfolio Investor Class | - | 851,701 | 8,180 | - | (28) | 12,463 | 855,956 |
VIP Value Portfolio Investor Class | - | 149,597 | 5,248 | - | 60 | 5,215 | 149,624 |
VIP Value Strategies Portfolio Investor Class | - | 74,493 | 3,240 | - | 50 | 3,071 | 74,374 |
- | 3,820,264 | 79,107 | 885 | 116 | 74,256 | 3,815,529 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 1,464,376 | 1,464,376 | - | - |
International Equity Funds | 1,274,068 | 1,274,068 | - | - |
Bond Funds | 1,039,176 | 1,039,176 | - | - |
Short-Term Funds | 37,909 | 37,909 | - | - |
Total Investments in Securities: | 3,815,529 | 3,815,529 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $3,741,273) | $ | 3,815,529 | ||
Total Investment in Securities (cost $3,741,273) | $ | 3,815,529 | ||
Cash | 73 | |||
Receivable for investments sold | 46,990 | |||
Total assets | 3,862,592 | |||
Liabilities | ||||
Payable for investments purchased | $ | 46,978 | ||
Payable for fund shares redeemed | 10 | |||
Total Liabilities | 46,988 | |||
Net Assets | $ | 3,815,604 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 3,740,274 | ||
Total accumulated earnings (loss) | 75,330 | |||
Net Assets | $ | 3,815,604 | ||
Net Asset Value , offering price and redemption price per share ($3,815,604 ÷ 371,533 shares) | $ | 10.27 |
Statement of Operations | ||||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 885 | ||
Income from Fidelity Central Funds | 73 | |||
Total Income | 958 | |||
Net Investment income (loss) | 958 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 116 | |||
Total net realized gain (loss) | 116 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 74,256 | |||
Total change in net unrealized appreciation (depreciation) | 74,256 | |||
Net gain (loss) | 74,372 | |||
Net increase (decrease) in net assets resulting from operations | $ | 75,330 |
Statement of Changes in Net Assets | ||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 958 |
Net realized gain (loss) | 116 | |
Change in net unrealized appreciation (depreciation) | 74,256 | |
Net increase (decrease) in net assets resulting from operations | 75,330 | |
Share transactions | ||
Proceeds from sales of shares | 3,740,517 | |
Cost of shares redeemed | (243) | |
Net increase (decrease) in net assets resulting from share transactions | 3,740,274 | |
Total increase (decrease) in net assets | 3,815,604 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 3,815,604 |
Other Information | ||
Shares | ||
Sold | 371,557 | |
Redeemed | (24) | |
Net increase (decrease) | 371,533 | |
VIP Investor Freedom 2035 Portfolio |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .01 | |
Net realized and unrealized gain (loss) | .26 | |
Total from investment operations | .27 | |
Net asset value, end of period | $ | 10.27 |
Total Return D,E,F | 2.70% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | -% | |
Expenses net of fee waivers, if any | -% | |
Expenses net of all reductions | -% | |
Net investment income (loss) | .24% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 3,816 |
Portfolio turnover rate J | 4% K |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Investor Class | 26.3 | |
VIP Growth Portfolio Investor Class | 13.3 | |
VIP Emerging Markets Portfolio Investor Class | 12.4 | |
VIP Growth & Income Portfolio Investor Class | 9.1 | |
VIP Contrafund Portfolio Investor Class | 8.2 | |
VIP Equity-Income Portfolio Investor Class | 6.6 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.5 | |
VIP Investment Grade Bond II Portfolio - Investor Class | 4.8 | |
VIP Value Portfolio Investor Class | 4.7 | |
VIP Value Strategies Portfolio Investor Class | 2.4 | |
93.3 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 46.4% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 4,710 | 211,998 | |
VIP Equity-Income Portfolio Investor Class (a) | 7,123 | 172,947 | |
VIP Growth & Income Portfolio Investor Class (a) | 8,958 | 236,392 | |
VIP Growth Portfolio Investor Class (a) | 3,984 | 345,765 | |
VIP Mid Cap Portfolio Investor Class (a) | 1,564 | 54,669 | |
VIP Value Portfolio Investor Class (a) | 6,878 | 123,262 | |
VIP Value Strategies Portfolio Investor Class (a) | 4,007 | 61,270 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $1,157,933) | 1,206,303 | ||
International Equity Funds - 38.7% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 31,212 | 323,358 | |
VIP Overseas Portfolio Investor Class (a) | 27,563 | 683,835 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $1,000,826) | 1,007,193 | ||
Bond Funds - 13.9% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 6,014 | 55,332 | |
Fidelity International Bond Index Fund (a) | 3,428 | 30,924 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 13,813 | 143,927 | |
VIP High Income Portfolio Investor Class (a) | 1,528 | 6,966 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 13,180 | 125,475 | |
TOTAL BOND FUNDS (Cost $365,121) | 362,624 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $25,815) | 25,815 | 25,815 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $2,549,695) | 2,601,935 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 74 |
NET ASSETS - 100.0% | 2,602,009 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | - | 550,000 | 550,000 | 73 | - | - | - | 0.0% |
Total | - | 550,000 | 550,000 | 73 | - | - | - | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | - | 56,031 | 298 | 8 | (4) | (397) | 55,332 |
Fidelity International Bond Index Fund | - | 30,870 | 57 | - | - | 111 | 30,924 |
Fidelity Long-Term Treasury Bond Index Fund | - | 145,926 | 275 | 472 | (12) | (1,712) | 143,927 |
VIP Contrafund Portfolio Investor Class | - | 208,649 | 7,001 | - | 97 | 10,253 | 211,998 |
VIP Emerging Markets Portfolio Investor Class | - | 327,998 | 3,289 | - | (17) | (1,334) | 323,358 |
VIP Equity-Income Portfolio Investor Class | - | 173,192 | 3,358 | - | 23 | 3,090 | 172,947 |
VIP Government Money Market Portfolio Investor Class 4.85% | - | 25,985 | 170 | 136 | - | - | 25,815 |
VIP Growth & Income Portfolio Investor Class | - | 234,242 | 4,919 | - | 48 | 7,021 | 236,392 |
VIP Growth Portfolio Investor Class | - | 340,857 | 14,457 | - | 208 | 19,157 | 345,765 |
VIP High Income Portfolio Investor Class | - | 6,982 | 47 | - | - | 31 | 6,966 |
VIP Investment Grade Bond II Portfolio - Investor Class | - | 126,718 | 702 | - | (10) | (531) | 125,475 |
VIP Mid Cap Portfolio Investor Class | - | 54,538 | 1,845 | - | 21 | 1,955 | 54,669 |
VIP Overseas Portfolio Investor Class | - | 683,830 | 7,743 | - | 45 | 7,703 | 683,835 |
VIP Value Portfolio Investor Class | - | 122,455 | 3,622 | - | 31 | 4,398 | 123,262 |
VIP Value Strategies Portfolio Investor Class | - | 61,002 | 2,249 | - | 22 | 2,495 | 61,270 |
- | 2,599,275 | 50,032 | 616 | 452 | 52,240 | 2,601,935 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 1,206,303 | 1,206,303 | - | - |
International Equity Funds | 1,007,193 | 1,007,193 | - | - |
Bond Funds | 362,624 | 362,624 | - | - |
Short-Term Funds | 25,815 | 25,815 | - | - |
Total Investments in Securities: | 2,601,935 | 2,601,935 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $2,549,695) | $ | 2,601,935 | ||
Total Investment in Securities (cost $2,549,695) | $ | 2,601,935 | ||
Cash | 73 | |||
Receivable for investments sold | 23,831 | |||
Total assets | 2,625,839 | |||
Liabilities | ||||
Payable for investments purchased | $ | 23,821 | ||
Payable for fund shares redeemed | 9 | |||
Total Liabilities | 23,830 | |||
Net Assets | $ | 2,602,009 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 2,548,628 | ||
Total accumulated earnings (loss) | 53,381 | |||
Net Assets | $ | 2,602,009 | ||
Net Asset Value , offering price and redemption price per share ($2,602,009 ÷ 251,572 shares) | $ | 10.34 |
Statement of Operations | ||||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 616 | ||
Income from Fidelity Central Funds | 73 | |||
Total Income | 689 | |||
Net Investment income (loss) | 689 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 452 | |||
Total net realized gain (loss) | 452 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 52,240 | |||
Total change in net unrealized appreciation (depreciation) | 52,240 | |||
Net gain (loss) | 52,692 | |||
Net increase (decrease) in net assets resulting from operations | $ | 53,381 |
Statement of Changes in Net Assets | ||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 689 |
Net realized gain (loss) | 452 | |
Change in net unrealized appreciation (depreciation) | 52,240 | |
Net increase (decrease) in net assets resulting from operations | 53,381 | |
Share transactions | ||
Proceeds from sales of shares | 2,558,781 | |
Cost of shares redeemed | (10,153) | |
Net increase (decrease) in net assets resulting from share transactions | 2,548,628 | |
Total increase (decrease) in net assets | 2,602,009 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 2,602,009 |
Other Information | ||
Shares | ||
Sold | 252,573 | |
Redeemed | (1,001) | |
Net increase (decrease) | 251,572 | |
VIP Investor Freedom 2040 Portfolio |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .01 | |
Net realized and unrealized gain (loss) | .33 | |
Total from investment operations | .34 | |
Net asset value, end of period | $ | 10.34 |
Total Return D,E,F | 3.40% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | -% | |
Expenses net of fee waivers, if any | -% | |
Expenses net of all reductions | -% | |
Net investment income (loss) | .24% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 2,602 |
Portfolio turnover rate J | 3% K |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Investor Class | 27.3 | |
VIP Growth Portfolio Investor Class | 13.9 | |
VIP Emerging Markets Portfolio Investor Class | 12.8 | |
VIP Growth & Income Portfolio Investor Class | 9.5 | |
VIP Contrafund Portfolio Investor Class | 8.5 | |
VIP Equity-Income Portfolio Investor Class | 6.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.5 | |
VIP Value Portfolio Investor Class | 5.0 | |
VIP Value Strategies Portfolio Investor Class | 2.5 | |
VIP Mid Cap Portfolio Investor Class | 2.2 | |
94.1 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 48.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 2,272 | 102,271 | |
VIP Equity-Income Portfolio Investor Class (a) | 3,437 | 83,440 | |
VIP Growth & Income Portfolio Investor Class (a) | 4,322 | 114,046 | |
VIP Growth Portfolio Investor Class (a) | 1,922 | 166,814 | |
VIP Mid Cap Portfolio Investor Class (a) | 754 | 26,377 | |
VIP Value Portfolio Investor Class (a) | 3,319 | 59,472 | |
VIP Value Strategies Portfolio Investor Class (a) | 1,933 | 29,562 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $546,029) | 581,982 | ||
International Equity Funds - 40.1% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 14,859 | 153,937 | |
VIP Overseas Portfolio Investor Class (a) | 13,208 | 327,688 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $475,585) | 481,625 | ||
Bond Funds - 10.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 2,775 | 25,526 | |
Fidelity International Bond Index Fund (a) | 725 | 6,539 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 6,376 | 66,437 | |
VIP High Income Portfolio Investor Class (a) | 705 | 3,213 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 2,452 | 23,345 | |
TOTAL BOND FUNDS (Cost $127,219) | 125,060 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $11,921) | 11,921 | 11,921 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $1,160,754) | 1,200,588 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 77 |
NET ASSETS - 100.0% | 1,200,665 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | - | 550,000 | 550,000 | 73 | - | - | - | 0.0% |
Total | - | 550,000 | 550,000 | 73 | - | - | - | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | - | 26,778 | 872 | 6 | (12) | (368) | 25,526 |
Fidelity International Bond Index Fund | - | 6,709 | 210 | - | - | 40 | 6,539 |
Fidelity Long-Term Treasury Bond Index Fund | - | 70,358 | 2,211 | 384 | (59) | (1,651) | 66,437 |
VIP Contrafund Portfolio Investor Class | - | 99,922 | 5,739 | - | 35 | 8,053 | 102,271 |
VIP Emerging Markets Portfolio Investor Class | - | 159,738 | 6,112 | - | 13 | 298 | 153,937 |
VIP Equity-Income Portfolio Investor Class | - | 84,400 | 2,143 | - | (22) | 1,205 | 83,440 |
VIP Government Money Market Portfolio Investor Class 4.85% | - | 12,379 | 458 | 109 | - | - | 11,921 |
VIP Growth & Income Portfolio Investor Class | - | 112,679 | 2,928 | - | 4 | 4,291 | 114,046 |
VIP Growth Portfolio Investor Class | - | 160,807 | 10,952 | - | 112 | 16,847 | 166,814 |
VIP High Income Portfolio Investor Class | - | 3,282 | 92 | - | - | 23 | 3,213 |
VIP Investment Grade Bond II Portfolio - Investor Class | - | 25,183 | 1,622 | - | (13) | (203) | 23,345 |
VIP Mid Cap Portfolio Investor Class | - | 26,351 | 1,154 | - | 13 | 1,167 | 26,377 |
VIP Overseas Portfolio Investor Class | - | 337,283 | 15,309 | - | (27) | 5,741 | 327,688 |
VIP Value Portfolio Investor Class | - | 58,860 | 2,189 | - | 10 | 2,791 | 59,472 |
VIP Value Strategies Portfolio Investor Class | - | 29,308 | 1,359 | - | 13 | 1,600 | 29,562 |
- | 1,214,037 | 53,350 | 499 | 67 | 39,834 | 1,200,588 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 581,982 | 581,982 | - | - |
International Equity Funds | 481,625 | 481,625 | - | - |
Bond Funds | 125,060 | 125,060 | - | - |
Short-Term Funds | 11,921 | 11,921 | - | - |
Total Investments in Securities: | 1,200,588 | 1,200,588 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $1,160,754) | $ | 1,200,588 | ||
Total Investment in Securities (cost $1,160,754) | $ | 1,200,588 | ||
Cash | 75 | |||
Receivable for investments sold | 1,796 | |||
Receivable for fund shares sold | 14,050 | |||
Total assets | 1,216,509 | |||
Liabilities | ||||
Payable for investments purchased | $ | 15,844 | ||
Total Liabilities | 15,844 | |||
Net Assets | $ | 1,200,665 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 1,160,192 | ||
Total accumulated earnings (loss) | 40,473 | |||
Net Assets | $ | 1,200,665 | ||
Net Asset Value , offering price and redemption price per share ($1,200,665 ÷ 115,878 shares) | $ | 10.36 |
Statement of Operations | ||||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 499 | ||
Income from Fidelity Central Funds | 73 | |||
Total Income | 572 | |||
Net Investment income (loss) | 572 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 67 | |||
Total net realized gain (loss) | 67 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 39,834 | |||
Total change in net unrealized appreciation (depreciation) | 39,834 | |||
Net gain (loss) | 39,901 | |||
Net increase (decrease) in net assets resulting from operations | $ | 40,473 |
Statement of Changes in Net Assets | ||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 572 |
Net realized gain (loss) | 67 | |
Change in net unrealized appreciation (depreciation) | 39,834 | |
Net increase (decrease) in net assets resulting from operations | 40,473 | |
Share transactions | ||
Proceeds from sales of shares | 1,190,886 | |
Cost of shares redeemed | (30,694) | |
Net increase (decrease) in net assets resulting from share transactions | 1,160,192 | |
Total increase (decrease) in net assets | 1,200,665 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 1,200,665 |
Other Information | ||
Shares | ||
Sold | 118,883 | |
Redeemed | (3,005) | |
Net increase (decrease) | 115,878 | |
VIP Investor Freedom 2045 Portfolio |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .01 | |
Net realized and unrealized gain (loss) | .35 | |
Total from investment operations | .36 | |
Net asset value, end of period | $ | 10.36 |
Total Return D,E,F | 3.60% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | -% | |
Expenses net of fee waivers, if any | -% | |
Expenses net of all reductions | -% | |
Net investment income (loss) | .24% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,201 |
Portfolio turnover rate J | 5% K |
Top Holdings (% of Fund's net assets) | ||
VIP Overseas Portfolio Investor Class | 27.3 | |
VIP Growth Portfolio Investor Class | 13.9 | |
VIP Emerging Markets Portfolio Investor Class | 12.8 | |
VIP Growth & Income Portfolio Investor Class | 9.5 | |
VIP Contrafund Portfolio Investor Class | 8.5 | |
VIP Equity-Income Portfolio Investor Class | 6.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 5.5 | |
VIP Value Portfolio Investor Class | 5.0 | |
VIP Value Strategies Portfolio Investor Class | 2.5 | |
VIP Mid Cap Portfolio Investor Class | 2.2 | |
94.1 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 48.5% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 2,637 | 118,682 | |
VIP Equity-Income Portfolio Investor Class (a) | 3,988 | 96,824 | |
VIP Growth & Income Portfolio Investor Class (a) | 5,015 | 132,341 | |
VIP Growth Portfolio Investor Class (a) | 2,230 | 193,579 | |
VIP Mid Cap Portfolio Investor Class (a) | 876 | 30,608 | |
VIP Value Portfolio Investor Class (a) | 3,851 | 69,010 | |
VIP Value Strategies Portfolio Investor Class (a) | 2,244 | 34,304 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $635,385) | 675,348 | ||
International Equity Funds - 40.1% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 17,241 | 178,619 | |
VIP Overseas Portfolio Investor Class (a) | 15,327 | 380,271 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $550,218) | 558,890 | ||
Bond Funds - 10.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 3,219 | 29,619 | |
Fidelity International Bond Index Fund (a) | 841 | 7,587 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 7,398 | 77,086 | |
VIP High Income Portfolio Investor Class (a) | 818 | 3,729 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 2,845 | 27,087 | |
TOTAL BOND FUNDS (Cost $147,359) | 145,108 | ||
Short-Term Funds - 1.0% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $13,831) | 13,831 | 13,831 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $1,346,793) | 1,393,177 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 75 |
NET ASSETS - 100.0% | 1,393,252 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | - | 550,000 | 550,000 | 73 | - | - | - | 0.0% |
Total | - | 550,000 | 550,000 | 73 | - | - | - | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | - | 30,097 | 99 | 6 | - | (379) | 29,619 |
Fidelity International Bond Index Fund | - | 7,572 | 25 | - | - | 40 | 7,587 |
Fidelity Long-Term Treasury Bond Index Fund | - | 79,688 | 855 | 399 | (23) | (1,724) | 77,086 |
VIP Contrafund Portfolio Investor Class | - | 111,076 | 981 | - | 12 | 8,575 | 118,682 |
VIP Emerging Markets Portfolio Investor Class | - | 179,563 | 2,243 | - | 55 | 1,244 | 178,619 |
VIP Equity-Income Portfolio Investor Class | - | 96,091 | 1,082 | - | 11 | 1,804 | 96,824 |
VIP Government Money Market Portfolio Investor Class 4.85% | - | 13,888 | 57 | 114 | - | - | 13,831 |
VIP Growth & Income Portfolio Investor Class | - | 128,753 | 1,608 | - | 34 | 5,162 | 132,341 |
VIP Growth Portfolio Investor Class | - | 180,345 | 4,466 | - | 31 | 17,669 | 193,579 |
VIP High Income Portfolio Investor Class | - | 3,709 | 9 | - | - | 29 | 3,729 |
VIP Investment Grade Bond II Portfolio - Investor Class | - | 28,499 | 1,186 | - | (9) | (217) | 27,087 |
VIP Mid Cap Portfolio Investor Class | - | 30,065 | 929 | - | 27 | 1,445 | 30,608 |
VIP Overseas Portfolio Investor Class | - | 379,921 | 7,132 | - | 54 | 7,428 | 380,271 |
VIP Value Portfolio Investor Class | - | 67,236 | 1,642 | - | 43 | 3,373 | 69,010 |
VIP Value Strategies Portfolio Investor Class | - | 33,472 | 1,137 | - | 34 | 1,935 | 34,304 |
- | 1,369,975 | 23,451 | 519 | 269 | 46,384 | 1,393,177 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 675,348 | 675,348 | - | - |
International Equity Funds | 558,890 | 558,890 | - | - |
Bond Funds | 145,108 | 145,108 | - | - |
Short-Term Funds | 13,831 | 13,831 | - | - |
Total Investments in Securities: | 1,393,177 | 1,393,177 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $1,346,793) | $ | 1,393,177 | ||
Total Investment in Securities (cost $1,346,793) | $ | 1,393,177 | ||
Cash | 73 | |||
Receivable for investments sold | 9,539 | |||
Total assets | 1,402,789 | |||
Liabilities | ||||
Payable for investments purchased | $ | 9,535 | ||
Payable for fund shares redeemed | 2 | |||
Total Liabilities | 9,537 | |||
Net Assets | $ | 1,393,252 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 1,346,007 | ||
Total accumulated earnings (loss) | 47,245 | |||
Net Assets | $ | 1,393,252 | ||
Net Asset Value , offering price and redemption price per share ($1,393,252 ÷ 134,475 shares) | $ | 10.36 |
Statement of Operations | ||||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 519 | ||
Income from Fidelity Central Funds | 73 | |||
Total Income | 592 | |||
Net Investment income (loss) | 592 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 269 | |||
Total net realized gain (loss) | 269 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 46,384 | |||
Total change in net unrealized appreciation (depreciation) | 46,384 | |||
Net gain (loss) | 46,653 | |||
Net increase (decrease) in net assets resulting from operations | $ | 47,245 |
Statement of Changes in Net Assets | ||
For the period April 13, 2023 (commencement of operations) through June 30, 2023 (Unaudited) | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 592 |
Net realized gain (loss) | 269 | |
Change in net unrealized appreciation (depreciation) | 46,384 | |
Net increase (decrease) in net assets resulting from operations | 47,245 | |
Share transactions | ||
Proceeds from sales of shares | 1,346,065 | |
Cost of shares redeemed | (58) | |
Net increase (decrease) in net assets resulting from share transactions | 1,346,007 | |
Total increase (decrease) in net assets | 1,393,252 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 1,393,252 |
Other Information | ||
Shares | ||
Sold | 134,481 | |
Redeemed | (6) | |
Net increase (decrease) | 134,475 | |
VIP Investor Freedom 2050 Portfolio |
Six months ended (Unaudited) June 30, 2023 A | ||
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .01 | |
Net realized and unrealized gain (loss) | .35 | |
Total from investment operations | .36 | |
Net asset value, end of period | $ | 10.36 |
Total Return D,E,F | 3.60% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | -% | |
Expenses net of fee waivers, if any | -% | |
Expenses net of all reductions | -% | |
Net investment income (loss) | .24% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,393 |
Portfolio turnover rate J | 2% K |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
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% |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
VIP Investor Freedom Income Portfolio | $66,885,129 | $4,137,147 | $(2,957,732) | $1,179,415 |
VIP Investor Freedom 2005 Portfolio | 19,179,789 | 1,254,753 | (739,980) | 514,773 |
VIP Investor Freedom 2010 Portfolio | 57,054,801 | 5,151,378 | (2,628,979) | 2,522,399 |
VIP Investor Freedom 2015 Portfolio | 87,799,217 | 11,490,078 | (4,090,457) | 7,399,621 |
VIP Investor Freedom 2020 Portfolio | 173,876,619 | 28,560,362 | (7,884,261) | 20,676,101 |
VIP Investor Freedom 2025 Portfolio | 201,413,741 | 39,980,536 | (8,943,463) | 31,037,073 |
VIP Investor Freedom 2030 Portfolio | 314,451,586 | 51,774,057 | (13,041,365) | 38,732,692 |
VIP Investor Freedom 2035 Portfolio | 3,741,524 | 79,248 | (5,243) | 74,005 |
VIP Investor Freedom 2040 Portfolio | 2,549,750 | 58,499 | (6,314) | 52,185 |
VIP Investor Freedom 2045 Portfolio | 1,160,954 | 42,436 | (2,802) | 39,634 |
VIP Investor Freedom 2050 Portfolio | 1,346,834 | 49,186 | (2,843) | 46,343 |
Short-term | Long-term | Total capital loss carryforward | |
VIP Investor Freedom Income Portfolio | $(815,140) | $(1,638,059) | $(2,453,199) |
VIP Investor Freedom 2005 Portfolio | (234,969) | (81,010) | (315,979) |
VIP Investor Freedom 2010 Portfolio | (682,871) | (708,216) | (1,391,087) |
VIP Investor Freedom 2015 Portfolio | (893,253) | (43,404) | (936,657) |
VIP Investor Freedom 2020 Portfolio | (1,277,950) | - | (1,277,950) |
VIP Investor Freedom 2025 Portfolio | (2,552,059) | - | (2,552,059) |
VIP Investor Freedom 2030 Portfolio | (3,227,740) | (1,194,068) | (4,421,808) |
Purchases ($) | Sales ($) | |
VIP Investor Freedom Income Portfolio | 7,359,813 | 14,831,851 |
VIP Investor Freedom 2005 Portfolio | 1,735,174 | 4,660,576 |
VIP Investor Freedom 2010 Portfolio | 5,008,115 | 11,091,108 |
VIP Investor Freedom 2015 Portfolio | 7,641,446 | 17,190,662 |
VIP Investor Freedom 2020 Portfolio | 17,711,437 | 26,294,729 |
VIP Investor Freedom 2025 Portfolio | 21,085,598 | 39,406,068 |
VIP Investor Freedom 2030 Portfolio | 34,946,099 | 51,514,486 |
VIP Investor Freedom 2035 Portfolio | 3,820,264 | 79,107 |
VIP Investor Freedom 2040 Portfolio | 2,599,275 | 50,032 |
VIP Investor Freedom 2045 Portfolio | 1,214,037 | 53,350 |
VIP Investor Freedom 2050 Portfolio | 1,369,975 | 23,451 |
Value of Investments and Cash reallocated ($) | Net realized Gain (Loss) on redemptions of Underlying Fund ($) | |
VIP Investor Freedom Income Portfolio | 32,004,007 | (3,078,835) |
VIP Investor Freedom 2005 Portfolio | 9,833,586 | (849,949) |
VIP Investor Freedom 2010 Portfolio | 23,637,688 | (2,497,171) |
VIP Investor Freedom 2015 Portfolio | 32,728,190 | (3,134,560) |
VIP Investor Freedom 2020 Portfolio | 57,664,743 | (5,837,004) |
VIP Investor Freedom 2025 Portfolio | 65,850,286 | (7,836,810) |
VIP Investor Freedom 2030 Portfolio | 78,406,222 | (10,300,993) |
Custodian credits | |
VIP Investor Freedom Income Portfolio | $1 |
VIP Investor Freedom 2020 Portfolio | 63 |
Fund | Affiliated % |
VIP Investor Freedom Income Portfolio | 100% |
VIP Investor Freedom 2005 Portfolio | 100% |
VIP Investor Freedom 2010 Portfolio | 100% |
VIP Investor Freedom 2015 Portfolio | 100% |
VIP Investor Freedom 2020 Portfolio | 100% |
VIP Investor Freedom 2025 Portfolio | 100% |
VIP Investor Freedom 2030 Portfolio | 100% |
VIP Investor Freedom 2035 Portfolio | 100% |
VIP Investor Freedom 2040 Portfolio | 100% |
VIP Investor Freedom 2045 Portfolio | 100% |
VIP Investor Freedom 2050 Portfolio | 100% |
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023) for each fund, with the exception of VIP Investor Freedom 2035 Portfolio℠ and VIP Investor Freedom 2040 Portfolio℠ and VIP Investor Freedom 2045 Portfolio℠ and VIP Investor Freedom 2050 Portfolio℠ and for the period (April 13, 2023 to June 30, 2023) for VIP Investor Freedom 2035 Portfolio℠ and VIP Investor Freedom 2040 Portfolio℠ and VIP Investor Freedom 2045 Portfolio℠ and VIP Investor Freedom 2050 Portfolio℠. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value | Ending Account Value June 30, 2023 | Expenses Paid During Period | |||||||
VIP Investor Freedom Income Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,042.40 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2005 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,043.40 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2010 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,053.10 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2015 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,062.70 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2020 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,073.70 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2025 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,081.80 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2030 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,088.80 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2035 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,027.00 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2040 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,034.00 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2045 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,036.00 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
VIP Investor Freedom 2050 Portfolio℠ | -%- E | |||||||||
Actual | $ 1,000 | $ 1,036.00 | $- C, F | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- D, F | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 38.3 | |
VIP Government Money Market Portfolio Investor Class 4.85% | 19.6 | |
Fidelity Inflation-Protected Bond Index Fund | 17.1 | |
VIP Overseas Portfolio Investor Class | 6.8 | |
VIP Emerging Markets Portfolio Investor Class | 5.0 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.1 | |
Fidelity International Bond Index Fund | 2.5 | |
VIP Growth Portfolio Investor Class | 1.7 | |
VIP High Income Portfolio Investor Class | 1.7 | |
VIP Growth & Income Portfolio Investor Class | 1.2 | |
97.0 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 5.9% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 2,124 | 95,610 | |
VIP Equity-Income Portfolio Investor Class (a) | 3,211 | 77,974 | |
VIP Growth & Income Portfolio Investor Class (a) | 4,039 | 106,589 | |
VIP Growth Portfolio Investor Class (a) | 1,797 | 155,928 | |
VIP Mid Cap Portfolio Investor Class (a) | 705 | 24,642 | |
VIP Value Portfolio Investor Class (a) | 3,101 | 55,563 | |
VIP Value Strategies Portfolio Investor Class (a) | 1,806 | 27,615 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $325,826) | 543,921 | ||
International Equity Funds - 11.8% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 44,276 | 458,697 | |
VIP Overseas Portfolio Investor Class (a) | 25,285 | 627,315 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $873,166) | 1,086,012 | ||
Bond Funds - 62.7% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 171,664 | 1,579,307 | |
Fidelity International Bond Index Fund (a) | 25,993 | 234,455 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 27,297 | 284,437 | |
VIP High Income Portfolio Investor Class (a) | 33,305 | 151,873 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 371,614 | 3,537,761 | |
TOTAL BOND FUNDS (Cost $6,128,916) | 5,787,833 | ||
Short-Term Funds - 19.6% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $1,813,722) | 1,813,722 | 1,813,722 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $9,141,630) | 9,231,488 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 0 |
NET ASSETS - 100.0% | 9,231,488 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 1,602,387 | 48,169 | 103,477 | 599 | (15,972) | 48,200 | 1,579,307 |
Fidelity International Bond Index Fund | 238,934 | 8,313 | 18,396 | 2,011 | (1,001) | 6,605 | 234,455 |
Fidelity Long-Term Treasury Bond Index Fund | 340,888 | 22,819 | 91,031 | 4,697 | (13,059) | 24,820 | 284,437 |
VIP Contrafund Portfolio Investor Class | 93,241 | 9,153 | 24,099 | 912 | 1,944 | 15,371 | 95,610 |
VIP Emerging Markets Portfolio Investor Class | 556,990 | 47,793 | 181,367 | 827 | (7,894) | 43,175 | 458,697 |
VIP Equity-Income Portfolio Investor Class | 83,550 | 7,219 | 15,933 | - | 944 | 2,194 | 77,974 |
VIP Government Money Market Portfolio Investor Class 4.85% | 1,850,919 | 224,169 | 261,366 | 41,146 | - | - | 1,813,722 |
VIP Growth & Income Portfolio Investor Class | 108,118 | 9,151 | 21,679 | 394 | 1,644 | 9,355 | 106,589 |
VIP Growth Portfolio Investor Class | 146,458 | 15,475 | 37,192 | 994 | 2,131 | 29,056 | 155,928 |
VIP High Income Portfolio Investor Class | 154,777 | 2,488 | 11,631 | 104 | (1,143) | 7,382 | 151,873 |
VIP Investment Grade Bond II Portfolio - Investor Class | 3,440,806 | 219,889 | 208,251 | 1,466 | (1,657) | 86,974 | 3,537,761 |
VIP Mid Cap Portfolio Investor Class | 26,076 | 978 | 4,422 | 61 | 544 | 1,466 | 24,642 |
VIP Overseas Portfolio Investor Class | 621,537 | 20,479 | 104,079 | - | 3,644 | 85,734 | 627,315 |
VIP Value Portfolio Investor Class | 60,282 | 2,962 | 12,032 | - | 2,441 | 1,910 | 55,563 |
VIP Value Strategies Portfolio Investor Class | 29,863 | 1,075 | 5,502 | 71 | 1,103 | 1,076 | 27,615 |
9,354,826 | 640,132 | 1,100,457 | 53,282 | (26,331) | 363,318 | 9,231,488 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 543,921 | 543,921 | - | - |
International Equity Funds | 1,086,012 | 1,086,012 | - | - |
Bond Funds | 5,787,833 | 5,787,833 | - | - |
Short-Term Funds | 1,813,722 | 1,813,722 | - | - |
Total Investments in Securities: | 9,231,488 | 9,231,488 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $9,141,630) | $ | 9,231,488 | ||
Total Investment in Securities (cost $9,141,630) | $ | 9,231,488 | ||
Receivable for investments sold | 59,629 | |||
Total assets | 9,291,117 | |||
Liabilities | ||||
Payable for investments purchased | $ | 59,475 | ||
Payable for fund shares redeemed | 154 | |||
Total Liabilities | 59,629 | |||
Net Assets | $ | 9,231,488 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 9,276,751 | ||
Total accumulated earnings (loss) | (45,263) | |||
Net Assets | $ | 9,231,488 | ||
Net Asset Value , offering price and redemption price per share ($9,231,488 ÷ 905,042 shares) | $ | 10.20 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 50,866 | ||
Expenses | ||||
Independent trustees' fees and expenses | $ | 16 | ||
Total Expenses | 16 | |||
Net Investment income (loss) | 50,850 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | (26,331) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 2,416 | |||
Total net realized gain (loss) | (23,915) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 363,318 | |||
Total change in net unrealized appreciation (depreciation) | 363,318 | |||
Net gain (loss) | 339,403 | |||
Net increase (decrease) in net assets resulting from operations | $ | 390,253 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 50,850 | $ | 262,913 |
Net realized gain (loss) | (23,915) | (145,017) | ||
Change in net unrealized appreciation (depreciation) | 363,318 | (1,490,545) | ||
Net increase (decrease) in net assets resulting from operations | 390,253 | (1,372,649) | ||
Distributions to shareholders | (135,735) | (659,209) | ||
Share transactions | ||||
Proceeds from sales of shares | - | 50,080 | ||
Reinvestment of distributions | 135,735 | 659,209 | ||
Cost of shares redeemed | (513,593) | (1,256,925) | ||
Net increase (decrease) in net assets resulting from share transactions | (377,858) | (547,636) | ||
Total increase (decrease) in net assets | (123,340) | (2,579,494) | ||
Net Assets | ||||
Beginning of period | 9,354,828 | 11,934,322 | ||
End of period | $ | 9,231,488 | $ | 9,354,828 |
Other Information | ||||
Shares | ||||
Sold | - | 5,003 | ||
Issued in reinvestment of distributions | 13,519 | 60,681 | ||
Redeemed | (50,741) | (116,950) | ||
Net increase (decrease) | (37,222) | (51,266) | ||
VIP Freedom Lifetime Income I Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.93 | $ | 12.01 | $ | 12.11 | $ | 11.49 | $ | 10.57 | $ | 11.21 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .06 | .27 | .22 | .15 | .24 | .19 | ||||||
Net realized and unrealized gain (loss) | .36 | (1.66) | .17 | 1.02 | 1.05 | (.48) | ||||||
Total from investment operations | .42 | (1.39) | .39 | 1.17 | 1.29 | (.29) | ||||||
Distributions from net investment income | (.15) | (.24) | (.13) | (.16) | (.25) | (.19) | ||||||
Distributions from net realized gain | - | (.45) | (.36) | (.39) | (.12) | (.17) | ||||||
Total distributions | (.15) | (.69) | (.49) | (.55) | (.37) | (.35) C | ||||||
Net asset value, end of period | $ | 10.20 | $ | 9.93 | $ | 12.01 | $ | 12.11 | $ | 11.49 | $ | 10.57 |
Total Return D,E,F | 4.21% | (12.01)% | 3.26% | 10.44% | 12.28% | (2.58)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | 1.08% J | 2.59% | 1.83% | 1.29% | 2.13% | 1.69% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 9,231 | $ | 9,355 | $ | 11,934 | $ | 12,553 | $ | 12,606 | $ | 12,208 |
Portfolio turnover rate K | 14% J | 63% | 18% | 26% | 19% | 39% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 34.6 | |
Fidelity Inflation-Protected Bond Index Fund | 15.4 | |
VIP Government Money Market Portfolio Investor Class 4.85% | 12.8 | |
VIP Overseas Portfolio Investor Class | 10.1 | |
VIP Emerging Markets Portfolio Investor Class | 6.3 | |
VIP Growth Portfolio Investor Class | 3.7 | |
Fidelity Long-Term Treasury Bond Index Fund | 3.5 | |
Fidelity International Bond Index Fund | 2.9 | |
VIP Growth & Income Portfolio Investor Class | 2.5 | |
VIP Contrafund Portfolio Investor Class | 2.3 | |
94.1 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 12.8% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 13,371 | 601,839 | |
VIP Equity-Income Portfolio Investor Class (a) | 20,217 | 490,871 | |
VIP Growth & Income Portfolio Investor Class (a) | 25,426 | 670,986 | |
VIP Growth Portfolio Investor Class (a) | 11,309 | 981,510 | |
VIP Mid Cap Portfolio Investor Class (a) | 4,438 | 155,141 | |
VIP Value Portfolio Investor Class (a) | 19,520 | 349,807 | |
VIP Value Strategies Portfolio Investor Class (a) | 11,371 | 173,865 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $2,033,134) | 3,424,019 | ||
International Equity Funds - 16.4% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 160,735 | 1,665,219 | |
VIP Overseas Portfolio Investor Class (a) | 108,934 | 2,702,656 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $3,407,907) | 4,367,875 | ||
Bond Funds - 58.0% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 446,491 | 4,107,714 | |
Fidelity International Bond Index Fund (a) | 84,316 | 760,534 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 88,186 | 918,893 | |
VIP High Income Portfolio Investor Class (a) | 95,992 | 437,724 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 967,831 | 9,213,751 | |
TOTAL BOND FUNDS (Cost $16,425,621) | 15,438,616 | ||
Short-Term Funds - 12.8% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $3,401,515) | 3,401,515 | 3,401,515 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $25,268,177) | 26,632,025 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 6 |
NET ASSETS - 100.0% | 26,632,031 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 4,035,212 | 190,707 | 198,484 | 1,538 | (30,969) | 111,248 | 4,107,714 |
Fidelity International Bond Index Fund | 764,189 | 30,623 | 52,272 | 6,455 | (1,669) | 19,663 | 760,534 |
Fidelity Long-Term Treasury Bond Index Fund | 1,060,806 | 71,353 | 249,007 | 14,877 | (55,534) | 91,275 | 918,893 |
VIP Contrafund Portfolio Investor Class | 597,914 | 24,425 | 131,059 | 5,804 | 20,566 | 89,993 | 601,839 |
VIP Emerging Markets Portfolio Investor Class | 1,934,511 | 150,921 | 539,520 | 2,960 | (29,249) | 148,556 | 1,665,219 |
VIP Equity-Income Portfolio Investor Class | 535,771 | 24,268 | 89,010 | - | 8,666 | 11,176 | 490,871 |
VIP Government Money Market Portfolio Investor Class 4.85% | 3,236,421 | 631,300 | 466,206 | 74,181 | - | - | 3,401,515 |
VIP Growth & Income Portfolio Investor Class | 693,299 | 37,184 | 129,384 | 2,509 | 26,084 | 43,803 | 670,986 |
VIP Growth Portfolio Investor Class | 939,139 | 61,583 | 217,637 | 6,427 | 7,918 | 190,507 | 981,510 |
VIP High Income Portfolio Investor Class | 435,281 | 8,842 | 24,047 | 296 | (539) | 18,187 | 437,724 |
VIP Investment Grade Bond II Portfolio - Investor Class | 8,627,326 | 787,302 | 413,710 | 3,709 | (1,073) | 213,906 | 9,213,751 |
VIP Mid Cap Portfolio Investor Class | 167,204 | 2,299 | 27,187 | 389 | 2,960 | 9,865 | 155,141 |
VIP Overseas Portfolio Investor Class | 2,681,706 | 57,464 | 420,483 | - | 47,338 | 336,631 | 2,702,656 |
VIP Value Portfolio Investor Class | 386,552 | 8,048 | 72,799 | - | 18,345 | 9,661 | 349,807 |
VIP Value Strategies Portfolio Investor Class | 191,485 | 3,179 | 34,843 | 454 | 7,649 | 6,395 | 173,865 |
26,286,816 | 2,089,498 | 3,065,648 | 119,599 | 20,493 | 1,300,866 | 26,632,025 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 3,424,019 | 3,424,019 | - | - |
International Equity Funds | 4,367,875 | 4,367,875 | - | - |
Bond Funds | 15,438,616 | 15,438,616 | - | - |
Short-Term Funds | 3,401,515 | 3,401,515 | - | - |
Total Investments in Securities: | 26,632,025 | 26,632,025 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $25,268,177) | $ | 26,632,025 | ||
Total Investment in Securities (cost $25,268,177) | $ | 26,632,025 | ||
Cash | 6 | |||
Receivable for investments sold | 286,883 | |||
Total assets | 26,918,914 | |||
Liabilities | ||||
Payable for investments purchased | $ | 286,442 | ||
Payable for fund shares redeemed | 441 | |||
Total Liabilities | 286,883 | |||
Net Assets | $ | 26,632,031 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 25,485,360 | ||
Total accumulated earnings (loss) | 1,146,671 | |||
Net Assets | $ | 26,632,031 | ||
Net Asset Value , offering price and redemption price per share ($26,632,031 ÷ 2,313,725 shares) | $ | 11.51 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 104,125 | ||
Expenses | ||||
Independent trustees' fees and expenses | $ | 46 | ||
Total Expenses | 46 | |||
Net Investment income (loss) | 104,079 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 20,493 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 15,474 | |||
Total net realized gain (loss) | 35,967 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 1,300,866 | |||
Total change in net unrealized appreciation (depreciation) | 1,300,866 | |||
Net gain (loss) | 1,336,833 | |||
Net increase (decrease) in net assets resulting from operations | $ | 1,440,912 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 104,079 | $ | 691,923 |
Net realized gain (loss) | 35,967 | (274,311) | ||
Change in net unrealized appreciation (depreciation) | 1,300,866 | (4,891,672) | ||
Net increase (decrease) in net assets resulting from operations | 1,440,912 | (4,474,060) | ||
Distributions to shareholders | (341,185) | (2,566,314) | ||
Share transactions | ||||
Proceeds from sales of shares | - | 499,930 | ||
Reinvestment of distributions | 341,185 | 2,566,314 | ||
Cost of shares redeemed | (1,095,708) | (2,989,209) | ||
Net increase (decrease) in net assets resulting from share transactions | (754,523) | 77,035 | ||
Total increase (decrease) in net assets | 345,204 | (6,963,339) | ||
Net Assets | ||||
Beginning of period | 26,286,827 | 33,250,166 | ||
End of period | $ | 26,632,031 | $ | 26,286,827 |
Other Information | ||||
Shares | ||||
Sold | - | 44,136 | ||
Issued in reinvestment of distributions | 30,274 | 208,576 | ||
Redeemed | (96,608) | (254,355) | ||
Net increase (decrease) | (66,334) | (1,643) | ||
VIP Freedom Lifetime Income II Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.04 | $ | 13.96 | $ | 13.83 | $ | 12.98 | $ | 11.78 | $ | 12.70 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .04 | .29 | .25 | .16 | .26 | .20 | ||||||
Net realized and unrealized gain (loss) | .58 | (2.12) | .60 | 1.44 | 1.65 | (.70) | ||||||
Total from investment operations | .62 | (1.83) | .85 | 1.60 | 1.91 | (.50) | ||||||
Distributions from net investment income | (.15) | (.26) | (.15) | (.17) | (.27) | (.20) | ||||||
Distributions from net realized gain | - | (.83) | (.57) | (.58) | (.44) | (.22) | ||||||
Total distributions | (.15) | (1.09) | (.72) | (.75) | (.71) | (.42) | ||||||
Net asset value, end of period | $ | 11.51 | $ | 11.04 | $ | 13.96 | $ | 13.83 | $ | 12.98 | $ | 11.78 |
Total Return C,D,E | 5.60% | (13.83)% | 6.27% | 12.78% | 16.58% | (3.96)% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .78% I | 2.43% | 1.78% | 1.29% | 2.07% | 1.57% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 26,632 | $ | 26,287 | $ | 33,250 | $ | 34,232 | $ | 33,602 | $ | 31,060 |
Portfolio turnover rate J | 16% I | 63% | 23% | 33% | 24% | 34% |
Top Holdings (% of Fund's net assets) | ||
VIP Investment Grade Bond II Portfolio - Investor Class | 26.8 | |
VIP Overseas Portfolio Investor Class | 15.5 | |
Fidelity Inflation-Protected Bond Index Fund | 12.9 | |
VIP Emerging Markets Portfolio Investor Class | 8.3 | |
VIP Growth Portfolio Investor Class | 6.9 | |
Fidelity Long-Term Treasury Bond Index Fund | 4.8 | |
VIP Growth & Income Portfolio Investor Class | 4.7 | |
VIP Contrafund Portfolio Investor Class | 4.2 | |
VIP Equity-Income Portfolio Investor Class | 3.4 | |
Fidelity International Bond Index Fund | 3.3 | |
90.8 | ||
Asset Allocation (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Domestic Equity Funds - 23.9% | |||
Shares | Value ($) | ||
VIP Contrafund Portfolio Investor Class (a) | 26,829 | 1,207,561 | |
VIP Equity-Income Portfolio Investor Class (a) | 40,569 | 985,011 | |
VIP Growth & Income Portfolio Investor Class (a) | 51,019 | 1,346,393 | |
VIP Growth Portfolio Investor Class (a) | 22,691 | 1,969,367 | |
VIP Mid Cap Portfolio Investor Class (a) | 8,906 | 311,343 | |
VIP Value Portfolio Investor Class (a) | 39,173 | 701,979 | |
VIP Value Strategies Portfolio Investor Class (a) | 22,821 | 348,939 | |
TOTAL DOMESTIC EQUITY FUNDS (Cost $4,287,978) | 6,870,593 | ||
International Equity Funds - 23.8% | |||
Shares | Value ($) | ||
VIP Emerging Markets Portfolio Investor Class (a) | 229,848 | 2,381,222 | |
VIP Overseas Portfolio Investor Class (a) | 179,064 | 4,442,578 | |
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $5,489,520) | 6,823,800 | ||
Bond Funds - 49.4% | |||
Shares | Value ($) | ||
Fidelity Inflation-Protected Bond Index Fund (a) | 401,714 | 3,695,772 | |
Fidelity International Bond Index Fund (a) | 106,207 | 957,985 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 131,379 | 1,368,970 | |
VIP High Income Portfolio Investor Class (a) | 103,280 | 470,955 | |
VIP Investment Grade Bond II Portfolio - Investor Class (a) | 806,617 | 7,678,997 | |
TOTAL BOND FUNDS (Cost $15,195,668) | 14,172,679 | ||
Short-Term Funds - 2.9% | |||
Shares | Value ($) | ||
VIP Government Money Market Portfolio Investor Class 4.85% (a)(b) (Cost $831,936) | 831,936 | 831,936 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $25,805,102) | 28,699,008 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 8 |
NET ASSETS - 100.0% | 28,699,016 |
(a) | Affiliated Fund |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Inflation-Protected Bond Index Fund | 3,560,576 | 268,158 | 202,992 | 1,371 | (24,666) | 94,696 | 3,695,772 |
Fidelity International Bond Index Fund | 944,764 | 51,007 | 60,060 | 8,086 | (1,535) | 23,809 | 957,985 |
Fidelity Long-Term Treasury Bond Index Fund | 1,448,780 | 121,573 | 247,212 | 21,199 | (58,268) | 104,097 | 1,368,970 |
VIP Contrafund Portfolio Investor Class | 1,156,621 | 37,164 | 203,074 | 11,355 | 23,780 | 193,070 | 1,207,561 |
VIP Emerging Markets Portfolio Investor Class | 2,620,289 | 200,890 | 597,210 | 4,124 | (42,377) | 199,630 | 2,381,222 |
VIP Equity-Income Portfolio Investor Class | 1,036,411 | 43,793 | 134,195 | - | 8,875 | 30,127 | 985,011 |
VIP Government Money Market Portfolio Investor Class 4.85% | 568,132 | 478,103 | 214,299 | 15,314 | - | - | 831,936 |
VIP Growth & Income Portfolio Investor Class | 1,341,134 | 66,836 | 198,629 | 4,913 | 23,903 | 113,149 | 1,346,393 |
VIP Growth Portfolio Investor Class | 1,816,680 | 106,373 | 343,897 | 12,563 | 9,854 | 380,357 | 1,969,367 |
VIP High Income Portfolio Investor Class | 460,361 | 14,770 | 22,864 | 315 | (339) | 19,027 | 470,955 |
VIP Investment Grade Bond II Portfolio - Investor Class | 7,074,624 | 812,111 | 381,040 | 3,072 | (548) | 173,850 | 7,678,997 |
VIP Mid Cap Portfolio Investor Class | 323,440 | 8,132 | 45,369 | 758 | 4,800 | 20,340 | 311,343 |
VIP Overseas Portfolio Investor Class | 4,298,505 | 74,635 | 550,225 | - | 29,394 | 590,269 | 4,442,578 |
VIP Value Portfolio Investor Class | 747,753 | 12,923 | 113,259 | - | 24,102 | 30,460 | 701,979 |
VIP Value Strategies Portfolio Investor Class | 370,411 | 11,203 | 60,564 | 890 | 15,911 | 11,978 | 348,939 |
27,768,481 | 2,307,671 | 3,374,889 | 83,960 | 12,886 | 1,984,859 | 28,699,008 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Domestic Equity Funds | 6,870,593 | 6,870,593 | - | - |
International Equity Funds | 6,823,800 | 6,823,800 | - | - |
Bond Funds | 14,172,679 | 14,172,679 | - | - |
Short-Term Funds | 831,936 | 831,936 | - | - |
Total Investments in Securities: | 28,699,008 | 28,699,008 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Affiliated issuers (cost $25,805,102) | $ | 28,699,008 | ||
Total Investment in Securities (cost $25,805,102) | $ | 28,699,008 | ||
Cash | 4 | |||
Receivable for investments sold | 385,850 | |||
Total assets | 29,084,862 | |||
Liabilities | ||||
Payable for investments purchased | $ | 385,375 | ||
Payable for fund shares redeemed | 471 | |||
Total Liabilities | 385,846 | |||
Net Assets | $ | 28,699,016 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 26,012,124 | ||
Total accumulated earnings (loss) | 2,686,892 | |||
Net Assets | $ | 28,699,016 | ||
Net Asset Value , offering price and redemption price per share ($28,699,016 ÷ 2,317,187 shares) | $ | 12.39 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Affiliated issuers | $ | 53,696 | ||
Expenses | ||||
Independent trustees' fees and expenses | $ | 49 | ||
Total Expenses | 49 | |||
Net Investment income (loss) | 53,647 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 12,886 | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 30,264 | |||
Total net realized gain (loss) | 43,150 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Affiliated issuers | 1,984,859 | |||
Total change in net unrealized appreciation (depreciation) | 1,984,859 | |||
Net gain (loss) | 2,028,009 | |||
Net increase (decrease) in net assets resulting from operations | $ | 2,081,656 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 53,647 | $ | 660,874 |
Net realized gain (loss) | 43,150 | (202,516) | ||
Change in net unrealized appreciation (depreciation) | 1,984,859 | (6,126,268) | ||
Net increase (decrease) in net assets resulting from operations | 2,081,656 | (5,667,910) | ||
Distributions to shareholders | (299,770) | (3,172,095) | ||
Share transactions | ||||
Proceeds from sales of shares | - | 227,663 | ||
Reinvestment of distributions | 299,770 | 3,172,095 | ||
Cost of shares redeemed | (1,151,135) | (2,925,814) | ||
Net increase (decrease) in net assets resulting from share transactions | (851,365) | 473,944 | ||
Total increase (decrease) in net assets | 930,521 | (8,366,061) | ||
Net Assets | ||||
Beginning of period | 27,768,495 | 36,134,556 | ||
End of period | $ | 28,699,016 | $ | 27,768,495 |
Other Information | ||||
Shares | ||||
Sold | - | 19,322 | ||
Issued in reinvestment of distributions | 24,939 | 240,398 | ||
Redeemed | (95,387) | (235,700) | ||
Net increase (decrease) | (70,448) | 24,020 | ||
VIP Freedom Lifetime Income III Portfolio |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.63 | $ | 15.29 | $ | 14.72 | $ | 13.53 | $ | 11.89 | $ | 13.07 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .02 | .27 | .26 | .16 | .26 | .19 | ||||||
Net realized and unrealized gain (loss) | .87 | (2.58) | 1.15 | 1.83 | 2.11 | (.92) | ||||||
Total from investment operations | .89 | (2.31) | 1.41 | 1.99 | 2.37 | (.73) | ||||||
Distributions from net investment income | (.13) | (.26) | (.16) | (.17) | (.27) | (.19) | ||||||
Distributions from net realized gain | - | (1.10) | (.67) | (.62) | (.47) | (.26) | ||||||
Total distributions | (.13) | (1.35) C | (.84) C | (.80) C | (.73) C | (.45) | ||||||
Net asset value, end of period | $ | 12.39 | $ | 11.63 | $ | 15.29 | $ | 14.72 | $ | 13.53 | $ | 11.89 |
Total Return D,E,F | 7.66% | (16.04)% | 9.78% | 15.23% | 20.44% | (5.68)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any I | -% J | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions I | -% J | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | .38% J | 2.18% | 1.73% | 1.24% | 2.02% | 1.45% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 28,699 | $ | 27,768 | $ | 36,135 | $ | 35,275 | $ | 33,018 | $ | 28,469 |
Portfolio turnover rate K | 16% J | 61% | 28% | 35% | 26% | 35% |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
VIP Freedom Lifetime Income I Portfolio. | $9,168,418 | $430,972 | $(367,902) | $63,070 |
VIP Freedom Lifetime Income II Portfolio | 25,377,729 | 2,345,287 | (1,090,991) | 1,254,296 |
VIP Freedom Lifetime Income III Portfolio | 25,930,225 | 3,957,588 | (1,188,805) | 2,768,783 |
Short-term | Long-term | Total capital loss carryforward | |
VIP Freedom Lifetime Income I Portfolio. | $(57,029) | $(57,910) | $(114,939) |
VIP Freedom Lifetime Income II Portfolio | (166,493) | (32,061) | (198,554) |
VIP Freedom Lifetime Income III Portfolio | (112,792) | - | (112,792) |
Purchases ($) | Sales ($) | |
VIP Freedom Lifetime Income I Portfolio | 640,132 | 1,100,457 |
VIP Freedom Lifetime Income II Portfolio | 2,089,498 | 3,065,648 |
VIP Freedom Lifetime Income III Portfolio | 2,307,671 | 3,374,889 |
Value of Investments and Cash reallocated ($) | Net realized Gain (Loss) on redemptions of Underlying Fund ($) | |
VIP Freedom Lifetime Income I | 3,808,654 | (303,778) |
VIP Freedom Lifetime Income II | 9,362,250 | (795,525) |
VIP Freedom Lifetime Income III | 8,228,729 | (785,806) |
Fund | Affiliated % |
VIP Freedom Lifetime Income I | 100% |
VIP Freedom Lifetime Income II | 100% |
VIP Freedom Lifetime Income III | 100% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Freedom Lifetime Income® I Portfolio | -%- D | |||||||||
Actual | $ 1,000 | $ 1,042.10 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
VIP Freedom Lifetime Income® II Portfolio | -%- D | |||||||||
Actual | $ 1,000 | $ 1,056.00 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
VIP Freedom Lifetime Income® III Portfolio | -%- D | |||||||||
Actual | $ 1,000 | $ 1,076.60 | $- E | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.79 | $- E | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Quality Diversification (% of Fund's net assets) |
Short-Term Investments and Net Other Assets (Liabilities) - (0.3)%* |
*Short-term investments and Net Other Assets (Liabilities) are not available in the pie chart. |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
Short-Term Investments and Net Other Assets (Liabilities) - (0.3)% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Nonconvertible Bonds - 27.3% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 2.0% | |||
Diversified Telecommunication Services - 0.7% | |||
AT&T, Inc.: | |||
1.65% 2/1/28 | 200,000 | 171,885 | |
2.25% 2/1/32 | 50,000 | 39,715 | |
2.75% 6/1/31 | 300,000 | 253,128 | |
3.3% 2/1/52 | 50,000 | 34,989 | |
3.5% 6/1/41 | 1,000,000 | 767,684 | |
3.5% 9/15/53 | 347,000 | 245,647 | |
3.55% 9/15/55 | 340,000 | 238,022 | |
3.65% 6/1/51 | 280,000 | 205,554 | |
3.65% 9/15/59 | 257,000 | 178,928 | |
3.8% 2/15/27 | 43,000 | 41,073 | |
4.1% 2/15/28 | 143,000 | 136,744 | |
4.65% 6/1/44 | 40,000 | 34,848 | |
Telefonica Emisiones S.A.U.: | |||
4.103% 3/8/27 | 150,000 | 143,915 | |
5.213% 3/8/47 | 250,000 | 217,435 | |
Verizon Communications, Inc.: | |||
1.5% 9/18/30 | 270,000 | 213,381 | |
2.355% 3/15/32 | 9,000 | 7,239 | |
2.65% 11/20/40 | 60,000 | 41,736 | |
2.987% 10/30/56 | 227,000 | 144,182 | |
3.55% 3/22/51 | 500,000 | 372,974 | |
3.875% 2/8/29 | 210,000 | 196,956 | |
4% 3/22/50 | 114,000 | 92,496 | |
4.016% 12/3/29 | 100,000 | 93,628 | |
4.125% 8/15/46 | 54,000 | 44,388 | |
4.272% 1/15/36 | 276,000 | 248,852 | |
4.329% 9/21/28 | 643,000 | 619,855 | |
5.012% 8/21/54 | 38,000 | 35,165 | |
4,820,419 | |||
Entertainment - 0.2% | |||
The Walt Disney Co.: | |||
2% 9/1/29 | 50,000 | 42,567 | |
2.65% 1/13/31 | 200,000 | 174,128 | |
2.75% 9/1/49 | 100,000 | 67,706 | |
3.35% 3/24/25 | 400,000 | 387,572 | |
3.5% 5/13/40 | 30,000 | 24,804 | |
3.6% 1/13/51 | 30,000 | 23,872 | |
3.7% 9/15/24 | 300,000 | 293,445 | |
3.8% 3/22/30 | 110,000 | 103,953 | |
3.8% 5/13/60 | 30,000 | 23,950 | |
4.7% 3/23/50 | 100,000 | 95,592 | |
1,237,589 | |||
Interactive Media & Services - 0.1% | |||
Alphabet, Inc.: | |||
1.1% 8/15/30 | 200,000 | 161,794 | |
1.9% 8/15/40 | 264,000 | 181,819 | |
2.05% 8/15/50 | 170,000 | 106,347 | |
Meta Platforms, Inc.: | |||
3.5% 8/15/27 | 60,000 | 56,966 | |
3.85% 8/15/32 | 60,000 | 55,731 | |
4.45% 8/15/52 | 150,000 | 130,431 | |
4.6% 5/15/28 | 70,000 | 69,224 | |
4.95% 5/15/33 | 100,000 | 99,923 | |
5.6% 5/15/53 | 60,000 | 61,621 | |
923,856 | |||
Media - 0.7% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.7% 4/1/51 | 30,000 | 18,956 | |
3.75% 2/15/28 | 100,000 | 91,673 | |
4.2% 3/15/28 | 48,000 | 44,999 | |
4.8% 3/1/50 | 100,000 | 75,450 | |
5.125% 7/1/49 | 60,000 | 47,203 | |
5.375% 4/1/38 | 42,000 | 35,780 | |
5.375% 5/1/47 | 190,000 | 157,045 | |
6.384% 10/23/35 | 621,000 | 605,279 | |
Comcast Corp.: | |||
2.45% 8/15/52 | 135,000 | 82,556 | |
2.65% 2/1/30 | 80,000 | 69,977 | |
2.8% 1/15/51 | 180,000 | 119,150 | |
2.887% 11/1/51 | 179,000 | 120,012 | |
2.937% 11/1/56 | 385,000 | 250,721 | |
2.987% 11/1/63 | 305,000 | 193,244 | |
3.4% 4/1/30 | 87,000 | 79,936 | |
3.55% 5/1/28 | 76,000 | 71,857 | |
3.7% 4/15/24 | 30,000 | 29,591 | |
3.75% 4/1/40 | 31,000 | 26,119 | |
3.9% 3/1/38 | 50,000 | 43,442 | |
4.049% 11/1/52 | 146,000 | 121,277 | |
4.55% 1/15/29 | 110,000 | 108,020 | |
5.35% 5/15/53 | 110,000 | 111,685 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 220,000 | 192,979 | |
4% 9/15/55 | 85,000 | 56,496 | |
4.65% 5/15/50 | 100,000 | 76,175 | |
5.2% 9/20/47 | 18,000 | 14,732 | |
Fox Corp.: | |||
4.709% 1/25/29 | 34,000 | 33,040 | |
5.476% 1/25/39 | 189,000 | 176,548 | |
5.576% 1/25/49 | 23,000 | 21,534 | |
Magallanes, Inc.: | |||
3.755% 3/15/27 | 100,000 | 93,277 | |
4.279% 3/15/32 | 189,000 | 167,619 | |
5.05% 3/15/42 | 100,000 | 84,287 | |
5.141% 3/15/52 | 175,000 | 142,493 | |
Paramount Global: | |||
4.2% 6/1/29 | 210,000 | 187,194 | |
4.95% 1/15/31 | 190,000 | 171,246 | |
5.85% 9/1/43 | 363,000 | 309,345 | |
Time Warner Cable LLC 5.5% 9/1/41 | 351,000 | 292,009 | |
TWDC Enterprises 18 Corp.: | |||
2.95% 6/15/27 | 98,000 | 91,817 | |
3% 2/13/26 | 210,000 | 200,613 | |
4,815,376 | |||
Wireless Telecommunication Services - 0.3% | |||
America Movil S.A.B. de CV 3.625% 4/22/29 | 200,000 | 182,650 | |
T-Mobile U.S.A., Inc.: | |||
3% 2/15/41 | 529,000 | 386,756 | |
3.5% 4/15/25 | 410,000 | 394,189 | |
3.75% 4/15/27 | 80,000 | 75,728 | |
3.875% 4/15/30 | 80,000 | 73,701 | |
4.375% 4/15/40 | 74,000 | 65,349 | |
4.5% 4/15/50 | 80,000 | 68,644 | |
4.8% 7/15/28 | 125,000 | 122,418 | |
5.05% 7/15/33 | 125,000 | 122,737 | |
5.2% 1/15/33 | 55,000 | 54,646 | |
5.65% 1/15/53 | 55,000 | 55,847 | |
Vodafone Group PLC: | |||
4.375% 5/30/28 | 97,000 | 94,842 | |
5.25% 5/30/48 | 170,000 | 159,669 | |
6.15% 2/27/37 | 392,000 | 410,304 | |
2,267,480 | |||
TOTAL COMMUNICATION SERVICES | 14,064,720 | ||
CONSUMER DISCRETIONARY - 1.6% | |||
Automobiles - 0.3% | |||
American Honda Finance Corp.: | |||
1% 9/10/25 | 220,000 | 200,661 | |
1.2% 7/8/25 | 330,000 | 303,668 | |
General Motors Co.: | |||
5.4% 10/15/29 | 100,000 | 97,505 | |
5.95% 4/1/49 | 200,000 | 186,875 | |
6.125% 10/1/25 | 455,000 | 458,108 | |
6.75% 4/1/46 | 69,000 | 69,757 | |
General Motors Financial Co., Inc.: | |||
4.35% 4/9/25 | 84,000 | 81,803 | |
5.65% 1/17/29 | 250,000 | 245,882 | |
6.4% 1/9/33 | 100,000 | 101,644 | |
Honda Motor Co. Ltd. 2.271% 3/10/25 | 310,000 | 294,804 | |
2,040,707 | |||
Broadline Retail - 0.3% | |||
Alibaba Group Holding Ltd.: | |||
2.125% 2/9/31 | 240,000 | 195,218 | |
3.15% 2/9/51 | 245,000 | 157,284 | |
Amazon.com, Inc.: | |||
0.8% 6/3/25 | 110,000 | 101,603 | |
1% 5/12/26 | 6,000 | 5,394 | |
2.1% 5/12/31 | 105,000 | 88,306 | |
2.5% 6/3/50 | 110,000 | 73,149 | |
2.7% 6/3/60 | 160,000 | 102,857 | |
3.1% 5/12/51 | 105,000 | 78,315 | |
3.15% 8/22/27 | 460,000 | 432,795 | |
3.875% 8/22/37 | 440,000 | 401,786 | |
4.05% 8/22/47 | 280,000 | 251,149 | |
eBay, Inc. 5.95% 11/22/27 | 170,000 | 174,132 | |
Kohl's Corp. 4.25% 7/17/25 | 265,000 | 245,220 | |
2,307,208 | |||
Diversified Consumer Services - 0.1% | |||
American University 3.672% 4/1/49 | 130,000 | 103,584 | |
Duke University 2.832% 10/1/55 | 30,000 | 20,896 | |
George Washington University 4.126% 9/15/48 | 100,000 | 86,327 | |
Ingersoll-Rand Global Holding Co. Ltd. 3.75% 8/21/28 | 210,000 | 198,842 | |
Massachusetts Institute of Technology 2.989% 7/1/50 | 250,000 | 186,940 | |
Northwestern University 3.662% 12/1/57 | 100,000 | 80,973 | |
University of Chicago 3% 10/1/52 | 100,000 | 72,526 | |
University of Southern California 2.945% 10/1/51 | 240,000 | 170,792 | |
920,880 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Expedia, Inc. 5% 2/15/26 | 160,000 | 157,737 | |
Marriott International, Inc. 3.125% 6/15/26 | 390,000 | 366,255 | |
McDonald's Corp.: | |||
2.125% 3/1/30 | 400,000 | 340,258 | |
2.625% 9/1/29 | 150,000 | 133,035 | |
3.3% 7/1/25 | 32,000 | 30,848 | |
3.5% 7/1/27 | 91,000 | 86,631 | |
3.6% 7/1/30 | 340,000 | 316,316 | |
3.8% 4/1/28 | 84,000 | 80,490 | |
4.2% 4/1/50 | 40,000 | 34,598 | |
4.7% 12/9/35 | 109,000 | 105,789 | |
Starbucks Corp.: | |||
2.55% 11/15/30 | 597,000 | 508,446 | |
4.5% 11/15/48 | 50,000 | 44,643 | |
2,205,046 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. 3.55% 11/19/26 | 110,000 | 102,195 | |
Specialty Retail - 0.5% | |||
Advance Auto Parts, Inc. 5.95% 3/9/28 | 66,000 | 65,125 | |
AutoNation, Inc. 1.95% 8/1/28 | 100,000 | 81,458 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 62,000 | 59,833 | |
4% 4/15/30 | 150,000 | 139,283 | |
Lowe's Companies, Inc.: | |||
3.5% 4/1/51 | 300,000 | 213,089 | |
3.65% 4/5/29 | 80,000 | 74,128 | |
4.05% 5/3/47 | 53,000 | 42,625 | |
5% 4/15/33 | 470,000 | 464,908 | |
5.75% 7/1/53 | 30,000 | 30,569 | |
O'Reilly Automotive, Inc. 3.6% 9/1/27 | 260,000 | 246,026 | |
The Home Depot, Inc.: | |||
2.7% 4/15/30 | 146,000 | 129,712 | |
2.8% 9/14/27 | 84,000 | 78,158 | |
2.95% 6/15/29 | 686,000 | 624,426 | |
3.35% 4/15/50 | 100,000 | 76,313 | |
3.9% 6/15/47 | 29,000 | 24,645 | |
4.25% 4/1/46 | 104,000 | 92,191 | |
4.5% 12/6/48 | 90,000 | 83,392 | |
TJX Companies, Inc. 3.875% 4/15/30 | 687,000 | 655,313 | |
3,181,194 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
NIKE, Inc.: | |||
2.4% 3/27/25 | 38,000 | 36,341 | |
2.85% 3/27/30 | 570,000 | 514,700 | |
3.375% 3/27/50 | 40,000 | 32,403 | |
583,444 | |||
TOTAL CONSUMER DISCRETIONARY | 11,340,674 | ||
CONSUMER STAPLES - 2.2% | |||
Beverages - 0.5% | |||
Anheuser-Busch InBev Worldwide, Inc.: | |||
4% 4/13/28 | 91,000 | 87,997 | |
4.5% 6/1/50 | 100,000 | 92,215 | |
4.6% 4/15/48 | 78,000 | 72,404 | |
4.6% 6/1/60 | 50,000 | 45,064 | |
4.95% 1/15/42 | 461,000 | 449,918 | |
5.45% 1/23/39 | 270,000 | 279,382 | |
5.55% 1/23/49 | 130,000 | 137,019 | |
5.8% 1/23/59 (Reg. S) | 170,000 | 185,247 | |
Constellation Brands, Inc.: | |||
3.6% 2/15/28 | 63,000 | 59,004 | |
5.25% 11/15/48 | 50,000 | 47,873 | |
Diageo Capital PLC: | |||
1.375% 9/29/25 | 200,000 | 183,965 | |
2% 4/29/30 | 200,000 | 168,542 | |
Dr. Pepper Snapple Group, Inc.: | |||
2.55% 9/15/26 | 50,000 | 45,930 | |
3.8% 5/1/50 | 190,000 | 149,531 | |
Molson Coors Beverage Co. 4.2% 7/15/46 | 92,000 | 76,180 | |
PepsiCo, Inc.: | |||
1.4% 2/25/31 | 440,000 | 354,087 | |
1.625% 5/1/30 | 267,000 | 221,873 | |
4% 5/2/47 | 116,000 | 106,403 | |
The Coca-Cola Co.: | |||
1.45% 6/1/27 | 30,000 | 26,810 | |
1.65% 6/1/30 | 30,000 | 24,993 | |
2.5% 6/1/40 | 30,000 | 22,595 | |
2.6% 6/1/50 | 30,000 | 20,951 | |
2.75% 6/1/60 | 30,000 | 20,655 | |
2.875% 5/5/41 | 150,000 | 118,524 | |
3.45% 3/25/30 | 186,000 | 175,492 | |
4.2% 3/25/50 | 150,000 | 141,499 | |
3,314,153 | |||
Consumer Staples Distribution & Retail - 0.9% | |||
Costco Wholesale Corp. 1.375% 6/20/27 | 395,000 | 348,742 | |
Dollar General Corp. 5% 11/1/32 | 110,000 | 106,787 | |
Dollar Tree, Inc. 4% 5/15/25 | 248,000 | 240,074 | |
Kroger Co.: | |||
1.7% 1/15/31 | 400,000 | 313,717 | |
2.65% 10/15/26 | 230,000 | 213,138 | |
3.7% 8/1/27 | 100,000 | 95,282 | |
5.4% 1/15/49 | 28,000 | 27,574 | |
Sysco Corp.: | |||
3.3% 2/15/50 | 50,000 | 35,524 | |
4.45% 3/15/48 | 52,000 | 44,480 | |
6.6% 4/1/50 | 220,000 | 250,768 | |
Target Corp.: | |||
2.25% 4/15/25 | 508,000 | 483,794 | |
2.65% 9/15/30 | 77,000 | 67,085 | |
3.9% 11/15/47 | 40,000 | 33,862 | |
4% 7/1/42 | 15,000 | 13,465 | |
Walgreens Boots Alliance, Inc.: | |||
3.2% 4/15/30 | 130,000 | 110,549 | |
3.45% 6/1/26 | 81,000 | 75,973 | |
4.1% 4/15/50 | 130,000 | 92,585 | |
Walmart, Inc.: | |||
3.05% 7/8/26 | 10,000 | 9,565 | |
3.3% 4/22/24 | 3,220,000 | 3,175,232 | |
3.625% 12/15/47 | 20,000 | 16,860 | |
3.7% 6/26/28 | 170,000 | 164,341 | |
3.9% 4/15/28 | 250,000 | 243,990 | |
3.95% 6/28/38 | 150,000 | 138,355 | |
4.05% 6/29/48 | 80,000 | 73,752 | |
4.1% 4/15/33 | 350,000 | 339,836 | |
6,715,330 | |||
Food Products - 0.3% | |||
Archer Daniels Midland Co.: | |||
2.5% 8/11/26 | 450,000 | 421,538 | |
4.5% 8/15/33 | 100,000 | 97,563 | |
Campbell Soup Co. 4.15% 3/15/28 | 80,000 | 76,580 | |
Conagra Brands, Inc.: | |||
4.85% 11/1/28 | 190,000 | 185,282 | |
5.3% 11/1/38 | 13,000 | 12,491 | |
5.4% 11/1/48 | 60,000 | 57,168 | |
General Mills, Inc.: | |||
2.875% 4/15/30 | 40,000 | 35,522 | |
3% 2/1/51 | 80,000 | 56,495 | |
4.2% 4/17/28 | 89,000 | 86,377 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (b) | 100,000 | 76,745 | |
5.75% 4/1/33 (b) | 330,000 | 310,184 | |
Kellogg Co. 4.5% 4/1/46 | 32,000 | 28,411 | |
Kraft Heinz Foods Co.: | |||
4.375% 6/1/46 | 140,000 | 118,768 | |
5% 7/15/35 | 150,000 | 147,753 | |
Tyson Foods, Inc.: | |||
4% 3/1/26 | 70,000 | 67,641 | |
5.1% 9/28/48 | 50,000 | 45,410 | |
Unilever Capital Corp.: | |||
1.375% 9/14/30 | 135,000 | 108,173 | |
2% 7/28/26 | 280,000 | 258,383 | |
2,190,484 | |||
Household Products - 0.2% | |||
Colgate-Palmolive Co. 3.1% 8/15/27 | 430,000 | 409,252 | |
Kimberly-Clark Corp.: | |||
1.05% 9/15/27 | 110,000 | 94,941 | |
3.05% 8/15/25 | 490,000 | 470,855 | |
3.1% 3/26/30 | 22,000 | 20,072 | |
Procter & Gamble Co.: | |||
3% 3/25/30 | 105,000 | 97,153 | |
3.55% 3/25/40 | 160,000 | 141,491 | |
1,233,764 | |||
Personal Care Products - 0.0% | |||
Estee Lauder Companies, Inc. 1.95% 3/15/31 | 200,000 | 164,219 | |
Kenvue, Inc.: | |||
4.9% 3/22/33 (b) | 65,000 | 65,768 | |
5.05% 3/22/28 (b) | 65,000 | 65,515 | |
5.05% 3/22/53 (b) | 65,000 | 66,341 | |
361,843 | |||
Tobacco - 0.3% | |||
Altria Group, Inc.: | |||
2.625% 9/16/26 | 110,000 | 101,823 | |
3.4% 5/6/30 | 300,000 | 264,728 | |
3.875% 9/16/46 | 38,000 | 26,634 | |
4.8% 2/14/29 | 120,000 | 116,706 | |
5.8% 2/14/39 | 100,000 | 97,883 | |
5.95% 2/14/49 | 30,000 | 28,480 | |
BAT Capital Corp.: | |||
3.557% 8/15/27 | 130,000 | 119,543 | |
4.39% 8/15/37 | 521,000 | 416,752 | |
4.54% 8/15/47 | 213,000 | 156,740 | |
Philip Morris International, Inc.: | |||
2.875% 5/1/24 | 80,000 | 78,333 | |
3.125% 3/2/28 | 54,000 | 49,669 | |
4.375% 11/15/41 | 265,000 | 226,456 | |
4.875% 2/15/28 | 30,000 | 29,542 | |
5.375% 2/15/33 | 100,000 | 99,780 | |
1,813,069 | |||
TOTAL CONSUMER STAPLES | 15,628,643 | ||
ENERGY - 1.6% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 4.08% 12/15/47 | 172,000 | 138,855 | |
Oil, Gas & Consumable Fuels - 1.6% | |||
Canadian Natural Resources Ltd.: | |||
3.85% 6/1/27 | 558,000 | 527,015 | |
4.95% 6/1/47 | 19,000 | 16,943 | |
Cenovus Energy, Inc. 5.4% 6/15/47 | 124,000 | 112,251 | |
Chevron Corp.: | |||
1.554% 5/11/25 | 80,000 | 74,962 | |
1.995% 5/11/27 | 80,000 | 72,643 | |
2.236% 5/11/30 | 80,000 | 69,618 | |
2.978% 5/11/40 | 80,000 | 61,238 | |
3.078% 5/11/50 | 80,000 | 59,548 | |
Chevron U.S.A., Inc.: | |||
3.85% 1/15/28 | 55,000 | 53,642 | |
4.95% 8/15/47 | 30,000 | 28,736 | |
ConocoPhillips Co.: | |||
5.95% 3/15/46 | 86,000 | 92,766 | |
6.5% 2/1/39 | 260,000 | 299,750 | |
Devon Energy Corp. 5% 6/15/45 | 80,000 | 69,362 | |
Diamondback Energy, Inc. 4.25% 3/15/52 | 120,000 | 92,040 | |
Eastern Gas Transmission & Storage, Inc. 3.9% 11/15/49 | 60,000 | 44,111 | |
Enbridge Energy Partners LP 5.875% 10/15/25 | 76,000 | 76,191 | |
Enbridge, Inc.: | |||
5.5% 12/1/46 | 60,000 | 57,318 | |
5.7% 3/8/33 | 220,000 | 223,021 | |
Energy Transfer LP: | |||
4.2% 9/15/23 | 30,000 | 29,888 | |
4.5% 4/15/24 | 50,000 | 49,425 | |
5% 5/15/50 | 160,000 | 135,130 | |
5.8% 6/15/38 | 70,000 | 67,067 | |
6% 6/15/48 | 356,000 | 337,596 | |
6.25% 4/15/49 | 30,000 | 29,300 | |
Enterprise Products Operating LP: | |||
3.125% 7/31/29 | 70,000 | 62,723 | |
3.95% 2/15/27 | 85,000 | 82,042 | |
4.2% 1/31/50 | 418,000 | 349,353 | |
4.25% 2/15/48 | 105,000 | 88,943 | |
5.35% 1/31/33 | 100,000 | 101,692 | |
EOG Resources, Inc. 4.375% 4/15/30 | 510,000 | 498,693 | |
Equinor ASA: | |||
3.125% 4/6/30 | 357,000 | 326,745 | |
3.25% 11/18/49 | 160,000 | 120,100 | |
3.625% 9/10/28 | 120,000 | 114,482 | |
Exxon Mobil Corp.: | |||
3.452% 4/15/51 | 330,000 | 256,408 | |
4.227% 3/19/40 | 421,000 | 388,059 | |
Hess Corp.: | |||
4.3% 4/1/27 | 150,000 | 143,864 | |
7.125% 3/15/33 | 130,000 | 141,804 | |
Kinder Morgan Energy Partners LP: | |||
5% 8/15/42 | 100,000 | 84,796 | |
5% 3/1/43 | 215,000 | 184,991 | |
Kinder Morgan, Inc.: | |||
4.3% 3/1/28 | 112,000 | 107,043 | |
5.2% 6/1/33 | 250,000 | 242,269 | |
5.2% 3/1/48 | 30,000 | 26,268 | |
7.75% 1/15/32 | 110,000 | 124,193 | |
Magellan Midstream Partners LP: | |||
3.95% 3/1/50 | 75,000 | 53,562 | |
5% 3/1/26 | 72,000 | 71,307 | |
Marathon Oil Corp. 4.4% 7/15/27 | 240,000 | 228,899 | |
Marathon Petroleum Corp.: | |||
4.75% 9/15/44 | 21,000 | 17,563 | |
5.125% 12/15/26 | 410,000 | 405,957 | |
MPLX LP: | |||
4.7% 4/15/48 | 28,000 | 22,982 | |
4.8% 2/15/29 | 30,000 | 28,931 | |
5.5% 2/15/49 | 310,000 | 280,921 | |
Occidental Petroleum Corp. 6.6% 3/15/46 | 220,000 | 226,501 | |
ONEOK, Inc.: | |||
4.45% 9/1/49 | 40,000 | 30,316 | |
4.55% 7/15/28 | 59,000 | 55,943 | |
6.1% 11/15/32 | 220,000 | 223,818 | |
Ovintiv, Inc. 6.5% 2/1/38 | 50,000 | 49,020 | |
Phillips 66 Co.: | |||
3.15% 12/15/29 | 170,000 | 148,322 | |
3.3% 3/15/52 | 140,000 | 95,973 | |
3.9% 3/15/28 | 94,000 | 89,115 | |
Pioneer Natural Resources Co.: | |||
1.125% 1/15/26 | 230,000 | 207,115 | |
1.9% 8/15/30 | 19,000 | 15,397 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 850,000 | 807,978 | |
Shell International Finance BV: | |||
3.125% 11/7/49 | 100,000 | 72,693 | |
3.25% 4/6/50 | 100,000 | 74,388 | |
3.75% 9/12/46 | 70,000 | 57,061 | |
4.375% 5/11/45 | 293,000 | 264,095 | |
Spectra Energy Partners LP 3.375% 10/15/26 | 158,000 | 148,339 | |
Suncor Energy, Inc. 4% 11/15/47 | 179,000 | 138,293 | |
Targa Resources Corp. 6.125% 3/15/33 | 250,000 | 255,447 | |
The Williams Companies, Inc.: | |||
3.75% 6/15/27 | 35,000 | 33,029 | |
4.85% 3/1/48 | 83,000 | 71,809 | |
5.4% 3/2/26 | 120,000 | 119,686 | |
5.65% 3/15/33 | 60,000 | 60,795 | |
Total Capital International SA 3.127% 5/29/50 | 220,000 | 159,766 | |
TransCanada PipeLines Ltd.: | |||
4.1% 4/15/30 | 190,000 | 176,431 | |
7.625% 1/15/39 | 231,000 | 267,369 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 66,000 | 58,658 | |
3.95% 5/15/50 | 180,000 | 138,803 | |
Valero Energy Corp.: | |||
2.85% 4/15/25 | 190,000 | 180,307 | |
4.35% 6/1/28 | 20,000 | 19,117 | |
11,479,735 | |||
TOTAL ENERGY | 11,618,590 | ||
FINANCIALS - 9.7% | |||
Banks - 5.6% | |||
Banco Santander SA: | |||
1.849% 3/25/26 | 200,000 | 178,920 | |
2.958% 3/25/31 | 200,000 | 164,918 | |
Bank of America Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (c)(d) | 800,000 | 787,726 | |
0.81% 10/24/24 (c) | 500,000 | 491,685 | |
0.981% 9/25/25 (c) | 600,000 | 563,712 | |
1.197% 10/24/26 (c) | 924,000 | 831,410 | |
2.651% 3/11/32 (c) | 180,000 | 149,083 | |
2.676% 6/19/41 (c) | 100,000 | 70,214 | |
2.687% 4/22/32 (c) | 356,000 | 295,034 | |
3.419% 12/20/28 (c) | 220,000 | 201,745 | |
3.458% 3/15/25 (c) | 1,900,000 | 1,862,239 | |
3.946% 1/23/49 (c) | 23,000 | 18,647 | |
3.97% 3/5/29 (c) | 125,000 | 117,029 | |
3.974% 2/7/30 (c) | 60,000 | 55,552 | |
4% 1/22/25 | 370,000 | 359,823 | |
4.083% 3/20/51 (c) | 220,000 | 182,405 | |
4.271% 7/23/29 (c) | 80,000 | 75,903 | |
4.33% 3/15/50 (c) | 60,000 | 51,598 | |
5% 1/21/44 | 400,000 | 383,334 | |
5.288% 4/25/34 (c) | 500,000 | 495,353 | |
6.204% 11/10/28 (c) | 500,000 | 513,924 | |
Bank of Nova Scotia: | |||
1.95% 2/2/27 | 100,000 | 89,157 | |
3.4% 2/11/24 | 140,000 | 137,998 | |
4.85% 2/1/30 | 120,000 | 115,767 | |
5.25% 6/12/28 | 50,000 | 49,660 | |
Barclays PLC: | |||
2.279% 11/24/27 (c) | 400,000 | 351,865 | |
2.852% 5/7/26 (c) | 516,000 | 483,277 | |
4.337% 1/10/28 | 200,000 | 188,440 | |
5.088% 6/20/30 (c) | 726,000 | 660,187 | |
Canadian Imperial Bank of Commerce 3.6% 4/7/32 | 143,000 | 128,528 | |
Citigroup, Inc.: | |||
CME Term SOFR 3 Month Index + 1.150% 3.52% 10/27/28 (c)(d) | 205,000 | 190,394 | |
2.976% 11/5/30 (c) | 270,000 | 233,974 | |
3.106% 4/8/26 (c) | 500,000 | 477,348 | |
3.29% 3/17/26 (c) | 170,000 | 162,573 | |
3.98% 3/20/30 (c) | 160,000 | 147,942 | |
4.65% 7/23/48 | 78,000 | 70,607 | |
5.316% 3/26/41 (c) | 617,000 | 602,672 | |
5.875% 2/22/33 | 410,000 | 415,248 | |
6.27% 11/17/33 (c) | 100,000 | 106,142 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 78,000 | 55,131 | |
Export-Import Bank of Korea 2.875% 1/21/25 | 350,000 | 336,418 | |
Fifth Third Bancorp: | |||
2.55% 5/5/27 | 200,000 | 176,657 | |
6.361% 10/27/28 (c) | 120,000 | 119,470 | |
HSBC Holdings PLC: | |||
2.848% 6/4/31 (c) | 380,000 | 315,228 | |
4.292% 9/12/26 (c) | 1,260,000 | 1,211,755 | |
5.402% 8/11/33 (c) | 250,000 | 244,416 | |
6.8% 6/1/38 | 449,000 | 453,390 | |
7.39% 11/3/28 (c) | 220,000 | 232,184 | |
Huntington Bancshares, Inc. 4.443% 8/4/28 (c) | 70,000 | 65,029 | |
ING Groep NV 2.727% 4/1/32 (c) | 200,000 | 164,988 | |
Japan Bank International Cooperation: | |||
0.625% 7/15/25 | 750,000 | 685,469 | |
1.25% 1/21/31 | 580,000 | 457,826 | |
JPMorgan Chase & Co.: | |||
0.653% 9/16/24 (c) | 790,000 | 780,779 | |
1.47% 9/22/27 (c) | 390,000 | 344,301 | |
1.578% 4/22/27 (c) | 188,000 | 168,864 | |
1.953% 2/4/32 (c) | 250,000 | 199,197 | |
2.083% 4/22/26 (c) | 200,000 | 187,300 | |
2.522% 4/22/31 (c) | 150,000 | 126,877 | |
2.545% 11/8/32 (c) | 40,000 | 32,773 | |
2.58% 4/22/32 (c) | 189,000 | 156,987 | |
2.739% 10/15/30 (c) | 720,000 | 620,224 | |
2.95% 10/1/26 | 224,000 | 209,952 | |
2.956% 5/13/31 (c) | 50,000 | 42,873 | |
3.109% 4/22/51 (c) | 100,000 | 69,868 | |
3.54% 5/1/28 (c) | 660,000 | 616,998 | |
3.875% 9/10/24 | 240,000 | 234,310 | |
3.882% 7/24/38 (c) | 734,000 | 633,397 | |
4.005% 4/23/29 (c) | 43,000 | 40,482 | |
4.203% 7/23/29 (c) | 30,000 | 28,514 | |
4.452% 12/5/29 (c) | 200,000 | 191,657 | |
4.95% 6/1/45 | 135,000 | 126,011 | |
5.717% 9/14/33 (c) | 120,000 | 121,739 | |
Korea Development Bank 0.4% 6/19/24 | 300,000 | 285,383 | |
Lloyds Banking Group PLC: | |||
4.45% 5/8/25 | 200,000 | 193,776 | |
4.582% 12/10/25 | 1,518,000 | 1,453,726 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
2.193% 2/25/25 | 740,000 | 697,342 | |
2.341% 1/19/28 (c) | 210,000 | 187,823 | |
3.287% 7/25/27 | 150,000 | 139,061 | |
3.751% 7/18/39 | 290,000 | 245,808 | |
3.777% 3/2/25 | 84,000 | 81,351 | |
5.242% 4/19/29 (c) | 200,000 | 196,748 | |
Mizuho Financial Group, Inc.: | |||
0.849% 9/8/24 (c) | 400,000 | 395,915 | |
1.554% 7/9/27 (c) | 285,000 | 251,427 | |
2.226% 5/25/26 (c) | 400,000 | 370,902 | |
5.778% 7/6/29 (c) | 310,000 | 310,765 | |
NatWest Group PLC: | |||
3.073% 5/22/28 (c) | 290,000 | 260,817 | |
3.875% 9/12/23 | 220,000 | 218,746 | |
5.847% 3/2/27 (c) | 200,000 | 197,809 | |
Oesterreichische Kontrollbank AG 0.375% 9/17/25 | 83,000 | 75,313 | |
PNC Financial Services Group, Inc.: | |||
1.15% 8/13/26 | 514,000 | 450,941 | |
2.2% 11/1/24 | 70,000 | 66,512 | |
5.354% 12/2/28 (c) | 90,000 | 88,999 | |
5.582% 6/12/29 (c) | 100,000 | 99,529 | |
Rabobank Nederland New York Branch 0.375% 1/12/24 | 1,300,000 | 1,263,086 | |
Royal Bank of Canada: | |||
0.75% 10/7/24 | 480,000 | 450,584 | |
2.55% 7/16/24 | 360,000 | 348,921 | |
4.65% 1/27/26 | 55,000 | 53,553 | |
5% 5/2/33 | 130,000 | 126,857 | |
6% 11/1/27 | 100,000 | 102,407 | |
Santander Holdings U.S.A., Inc.: | |||
4.5% 7/17/25 | 82,000 | 79,592 | |
6.565% 6/12/29 (c) | 100,000 | 98,059 | |
Santander UK Group Holdings PLC 6.534% 1/10/29 (c) | 200,000 | 201,367 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
1.474% 7/8/25 | 400,000 | 367,346 | |
2.174% 1/14/27 | 800,000 | 714,777 | |
2.348% 1/15/25 | 200,000 | 189,626 | |
2.75% 1/15/30 | 200,000 | 172,509 | |
3.784% 3/9/26 | 640,000 | 611,717 | |
3.936% 10/16/23 | 80,000 | 79,552 | |
The Toronto-Dominion Bank: | |||
1.95% 1/12/27 | 100,000 | 89,891 | |
2.65% 6/12/24 | 510,000 | 494,587 | |
5.156% 1/10/28 | 360,000 | 357,606 | |
Truist Financial Corp.: | |||
1.2% 8/5/25 | 700,000 | 634,318 | |
1.267% 3/2/27 (c) | 29,000 | 25,574 | |
5.867% 6/8/34 (c) | 100,000 | 100,041 | |
U.S. Bancorp: | |||
1.375% 7/22/30 | 210,000 | 160,598 | |
3.1% 4/27/26 | 240,000 | 224,288 | |
5.775% 6/12/29 (c) | 200,000 | 199,940 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (c) | 310,000 | 291,918 | |
2.188% 4/30/26 (c) | 340,000 | 318,559 | |
2.572% 2/11/31 (c) | 690,000 | 584,216 | |
3.068% 4/30/41 (c) | 100,000 | 73,552 | |
3.584% 5/22/28 (c) | 82,000 | 76,370 | |
3.75% 1/24/24 | 150,000 | 148,270 | |
4.1% 6/3/26 | 1,194,000 | 1,145,529 | |
4.75% 12/7/46 | 157,000 | 133,635 | |
4.897% 7/25/33 (c) | 130,000 | 124,698 | |
5.013% 4/4/51 (c) | 130,000 | 121,083 | |
5.375% 2/7/35 | 100,000 | 98,811 | |
5.389% 4/24/34 (c) | 280,000 | 278,212 | |
Westpac Banking Corp.: | |||
2.894% 2/4/30 (c) | 590,000 | 551,253 | |
4.11% 7/24/34 (c) | 320,000 | 278,270 | |
39,552,962 | |||
Capital Markets - 1.6% | |||
Ameriprise Financial, Inc. 2.875% 9/15/26 | 100,000 | 93,296 | |
Ares Capital Corp. 2.15% 7/15/26 | 234,000 | 202,895 | |
Bank of New York Mellon Corp.: | |||
0.35% 12/7/23 | 1,100,000 | 1,076,174 | |
1.8% 7/28/31 | 80,000 | 63,364 | |
3.85% 4/28/28 | 27,000 | 25,692 | |
4.543% 2/1/29 (c) | 240,000 | 233,586 | |
5.802% 10/25/28 (c) | 110,000 | 112,120 | |
BlackRock, Inc. 3.5% 3/18/24 | 470,000 | 462,884 | |
Brookfield Finance, Inc. 2.724% 4/15/31 | 312,000 | 255,497 | |
Charles Schwab Corp.: | |||
2% 3/20/28 | 215,000 | 185,106 | |
3.2% 3/2/27 | 350,000 | 321,857 | |
CME Group, Inc. 3.75% 6/15/28 | 110,000 | 105,216 | |
Credit Suisse AG 0.495% 2/2/24 | 700,000 | 673,379 | |
Deutsche Bank AG 4.1% 1/13/26 | 200,000 | 188,672 | |
Deutsche Bank AG New York Branch: | |||
2.311% 11/16/27 (c) | 150,000 | 128,901 | |
3.7% 5/30/24 | 200,000 | 194,176 | |
3.729% 1/14/32 (c) | 200,000 | 151,239 | |
4.1% 1/13/26 | 200,000 | 187,149 | |
Goldman Sachs Group, Inc.: | |||
2.615% 4/22/32 (c) | 255,000 | 209,130 | |
3.691% 6/5/28 (c) | 440,000 | 413,399 | |
4.017% 10/31/38 (c) | 887,000 | 751,161 | |
4.223% 5/1/29 (c) | 60,000 | 56,669 | |
4.411% 4/23/39 (c) | 100,000 | 87,261 | |
4.75% 10/21/45 | 28,000 | 25,451 | |
Intercontinental Exchange, Inc.: | |||
1.85% 9/15/32 | 180,000 | 137,965 | |
2.65% 9/15/40 | 80,000 | 56,710 | |
3% 6/15/50 | 138,000 | 95,396 | |
3.75% 9/21/28 | 50,000 | 47,313 | |
4.6% 3/15/33 | 240,000 | 232,514 | |
Jefferies Financial Group, Inc. 4.85% 1/15/27 | 100,000 | 97,958 | |
Moody's Corp. 4.875% 12/17/48 | 123,000 | 115,219 | |
Morgan Stanley: | |||
CME Term SOFR 3 Month Index + 1.430% 4.457% 4/22/39 (c)(d) | 295,000 | 262,787 | |
2.699% 1/22/31 (c) | 230,000 | 195,614 | |
3.591% 7/22/28 (c) | 210,000 | 193,765 | |
3.625% 1/20/27 | 96,000 | 91,153 | |
3.772% 1/24/29 (c) | 300,000 | 280,073 | |
3.971% 7/22/38 (c) | 120,000 | 102,156 | |
4.375% 1/22/47 | 148,000 | 131,581 | |
5.164% 4/20/29 (c) | 200,000 | 197,557 | |
5.25% 4/21/34 (c) | 100,000 | 98,745 | |
5.297% 4/20/37 (c) | 140,000 | 132,467 | |
5.597% 3/24/51 (c) | 90,000 | 93,952 | |
5.948% 1/19/38 (c) | 80,000 | 78,963 | |
6.342% 10/18/33 (c) | 320,000 | 340,417 | |
6.375% 7/24/42 | 190,000 | 211,859 | |
NASDAQ, Inc.: | |||
2.5% 12/21/40 | 100,000 | 67,071 | |
5.35% 6/28/28 | 40,000 | 40,058 | |
5.55% 2/15/34 | 40,000 | 40,157 | |
5.95% 8/15/53 | 8,000 | 8,191 | |
Nomura Holdings, Inc. 3.103% 1/16/30 | 623,000 | 530,961 | |
Northern Trust Corp. 1.95% 5/1/30 | 220,000 | 180,868 | |
S&P Global, Inc.: | |||
2.3% 8/15/60 | 100,000 | 57,916 | |
2.45% 3/1/27 | 590,000 | 544,189 | |
4.75% 8/1/28 | 140,000 | 139,151 | |
State Street Corp.: | |||
1.684% 11/18/27 (c) | 204,000 | 181,905 | |
4.821% 1/26/34 (c) | 100,000 | 97,097 | |
UBS Group AG 4.55% 4/17/26 | 250,000 | 240,291 | |
11,526,293 | |||
Consumer Finance - 0.6% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
2.45% 10/29/26 | 250,000 | 223,288 | |
2.875% 8/14/24 | 150,000 | 144,149 | |
3.85% 10/29/41 | 150,000 | 113,942 | |
4.45% 4/3/26 | 150,000 | 143,216 | |
4.5% 9/15/23 | 150,000 | 149,437 | |
4.625% 10/15/27 | 220,000 | 208,452 | |
4.875% 1/16/24 | 150,000 | 148,946 | |
Ally Financial, Inc.: | |||
5.125% 9/30/24 | 290,000 | 284,510 | |
5.8% 5/1/25 | 250,000 | 245,747 | |
6.992% 6/13/29 (c) | 120,000 | 118,500 | |
American Express Co.: | |||
2.5% 7/30/24 | 219,000 | 211,704 | |
2.55% 3/4/27 | 100,000 | 91,041 | |
3.3% 5/3/27 | 30,000 | 28,006 | |
4.05% 12/3/42 | 160,000 | 139,291 | |
Capital One Financial Corp.: | |||
3.8% 1/31/28 | 251,000 | 230,651 | |
5.817% 2/1/34 (c) | 150,000 | 143,111 | |
6.377% 6/8/34 (c) | 50,000 | 49,642 | |
Synchrony Financial: | |||
3.95% 12/1/27 | 150,000 | 130,680 | |
4.375% 3/19/24 | 45,000 | 44,121 | |
5.15% 3/19/29 | 159,000 | 144,258 | |
Toyota Motor Credit Corp.: | |||
0.5% 8/14/23 | 280,000 | 278,475 | |
2.25% 10/18/23 | 113,000 | 111,851 | |
3% 4/1/25 | 580,000 | 557,916 | |
5.45% 11/10/27 | 380,000 | 387,588 | |
4,328,522 | |||
Financial Services - 1.2% | |||
AB Svensk Exportkredit 0.25% 9/29/23 | 200,000 | 197,548 | |
Aon Corp. / Aon Global Holdings PLC 5.35% 2/28/33 | 200,000 | 201,457 | |
Berkshire Hathaway, Inc. 4.5% 2/11/43 | 33,000 | 31,829 | |
Blackstone Private Credit Fund: | |||
2.7% 1/15/25 | 160,000 | 149,243 | |
4.7% 3/24/25 | 180,000 | 173,363 | |
BP Capital Markets America, Inc.: | |||
3% 2/24/50 | 240,000 | 167,256 | |
3.001% 3/17/52 | 100,000 | 68,962 | |
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 41,000 | 36,956 | |
4.125% 5/15/29 | 19,000 | 16,948 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 | 130,000 | 123,848 | |
6.875% 12/15/52 (c) | 100,000 | 95,849 | |
DH Europe Finance II SARL: | |||
2.2% 11/15/24 | 70,000 | 67,037 | |
2.6% 11/15/29 | 80,000 | 70,404 | |
3.4% 11/15/49 | 50,000 | 39,070 | |
Equitable Holdings, Inc. 4.35% 4/20/28 | 360,000 | 336,905 | |
Fedex Corp. 2020-1 Class AA pass-thru Trust equipment trust certificate 1.875% 8/20/35 | 33,786 | 27,562 | |
Fidelity National Information Services, Inc.: | |||
1.15% 3/1/26 | 246,000 | 219,392 | |
2.25% 3/1/31 | 200,000 | 159,614 | |
Fiserv, Inc.: | |||
2.75% 7/1/24 | 440,000 | 426,895 | |
3.5% 7/1/29 | 80,000 | 73,019 | |
4.4% 7/1/49 | 240,000 | 202,793 | |
Global Payments, Inc.: | |||
1.2% 3/1/26 | 346,000 | 307,482 | |
5.4% 8/15/32 | 140,000 | 136,421 | |
Japan International Cooperation Agency 1.75% 4/28/31 | 200,000 | 161,946 | |
John Deere Capital Corp.: | |||
2.6% 3/7/24 | 60,000 | 58,805 | |
2.8% 7/18/29 | 220,000 | 197,140 | |
3.65% 10/12/23 | 290,000 | 288,450 | |
KfW: | |||
0.25% 10/19/23 | 300,000 | 295,512 | |
0.375% 7/18/25 | 2,072,000 | 1,891,928 | |
2.625% 2/28/24 | 400,000 | 392,432 | |
2.875% 4/3/28 | 14,000 | 13,165 | |
Landwirtschaftliche Rentenbank 3.125% 11/14/23 | 80,000 | 79,355 | |
MasterCard, Inc.: | |||
2% 11/18/31 | 240,000 | 198,152 | |
2.95% 6/1/29 | 50,000 | 45,486 | |
3.3% 3/26/27 | 38,000 | 36,298 | |
3.35% 3/26/30 | 53,000 | 49,388 | |
3.85% 3/26/50 | 115,000 | 98,989 | |
National Rural Utilities Cooperative Finance Corp.: | |||
4.15% 12/15/32 | 170,000 | 157,570 | |
5.8% 1/15/33 | 60,000 | 62,737 | |
PayPal Holdings, Inc.: | |||
1.65% 6/1/25 | 70,000 | 65,506 | |
2.3% 6/1/30 | 120,000 | 101,731 | |
��4.4% 6/1/32 | 100,000 | 96,355 | |
The Western Union Co. 2.85% 1/10/25 | 70,000 | 66,581 | |
Visa, Inc.: | |||
1.1% 2/15/31 | 250,000 | 196,934 | |
2.05% 4/15/30 | 350,000 | 299,753 | |
2.7% 4/15/40 | 150,000 | 115,228 | |
4.15% 12/14/35 | 38,000 | 36,176 | |
8,335,470 | |||
Insurance - 0.7% | |||
ACE INA Holdings, Inc.: | |||
1.375% 9/15/30 | 350,000 | 278,266 | |
4.35% 11/3/45 | 128,000 | 115,842 | |
AFLAC, Inc. 3.6% 4/1/30 | 224,000 | 205,499 | |
Allstate Corp.: | |||
1.45% 12/15/30 | 110,000 | 85,290 | |
5.55% 5/9/35 | 156,000 | 158,101 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 30,000 | 28,254 | |
4.25% 3/15/29 | 100,000 | 94,105 | |
4.375% 6/30/50 | 240,000 | 202,640 | |
4.5% 7/16/44 | 25,000 | 21,534 | |
4.75% 4/1/48 | 100,000 | 89,698 | |
5.75% 4/1/48 (c) | 280,000 | 272,101 | |
Aon Corp. 3.75% 5/2/29 | 120,000 | 111,079 | |
Arthur J. Gallagher & Co. 5.75% 3/2/53 | 45,000 | 45,221 | |
Athene Holding Ltd. 6.65% 2/1/33 | 100,000 | 100,789 | |
Baylor Scott & White Holdings Series 2021, 2.839% 11/15/50 | 120,000 | 80,486 | |
Berkshire Hathaway Finance Corp.: | |||
1.45% 10/15/30 | 120,000 | 97,666 | |
2.85% 10/15/50 | 220,000 | 153,093 | |
4.2% 8/15/48 | 243,000 | 218,811 | |
Brighthouse Financial, Inc. 4.7% 6/22/47 | 28,000 | 21,428 | |
Hartford Financial Services Group, Inc. 4.4% 3/15/48 | 70,000 | 58,149 | |
Lincoln National Corp. 4.35% 3/1/48 | 160,000 | 114,287 | |
Marsh & McLennan Companies, Inc.: | |||
4.2% 3/1/48 | 110,000 | 92,878 | |
4.9% 3/15/49 | 50,000 | 47,021 | |
5.75% 11/1/32 | 100,000 | 105,105 | |
MetLife, Inc.: | |||
4.05% 3/1/45 | 18,000 | 15,105 | |
4.55% 3/23/30 | 600,000 | 586,302 | |
4.875% 11/13/43 | 100,000 | 91,923 | |
Principal Financial Group, Inc. 5.375% 3/15/33 | 120,000 | 118,878 | |
Progressive Corp.: | |||
2.5% 3/15/27 | 100,000 | 91,683 | |
4.2% 3/15/48 | 135,000 | 115,343 | |
Prudential Financial, Inc.: | |||
3.878% 3/27/28 | 23,000 | 21,885 | |
3.935% 12/7/49 | 38,000 | 30,236 | |
4.35% 2/25/50 | 285,000 | 241,752 | |
5.125% 3/1/52 (c) | 50,000 | 45,144 | |
6% 9/1/52 (c) | 40,000 | 37,997 | |
The Travelers Companies, Inc.: | |||
2.55% 4/27/50 | 200,000 | 128,248 | |
4% 5/30/47 | 32,000 | 26,944 | |
Willis Group North America, Inc. 2.95% 9/15/29 | 170,000 | 146,236 | |
4,495,019 | |||
TOTAL FINANCIALS | 68,238,266 | ||
HEALTH CARE - 2.9% | |||
Biotechnology - 0.5% | |||
AbbVie, Inc.: | |||
2.6% 11/21/24 | 60,000 | 57,568 | |
2.95% 11/21/26 | 50,000 | 46,712 | |
3.2% 11/21/29 | 80,000 | 72,342 | |
3.8% 3/15/25 | 61,000 | 59,305 | |
4.05% 11/21/39 | 50,000 | 43,533 | |
4.25% 11/21/49 | 390,000 | 336,620 | |
4.3% 5/14/36 | 140,000 | 128,569 | |
4.55% 3/15/35 | 80,000 | 76,182 | |
4.7% 5/14/45 | 120,000 | 109,636 | |
4.875% 11/14/48 | 100,000 | 94,502 | |
Amgen, Inc.: | |||
3.15% 2/21/40 | 410,000 | 313,539 | |
3.2% 11/2/27 | 56,000 | 52,294 | |
3.375% 2/21/50 | 110,000 | 80,592 | |
4.2% 3/1/33 | 260,000 | 242,639 | |
4.4% 5/1/45 | 102,000 | 88,343 | |
4.875% 3/1/53 | 50,000 | 46,005 | |
5.15% 3/2/28 | 480,000 | 479,568 | |
5.25% 3/2/33 | 100,000 | 100,128 | |
5.65% 3/2/53 | 182,000 | 184,312 | |
5.75% 3/2/63 | 120,000 | 121,733 | |
Biogen, Inc. 3.25% 2/15/51 | 270,000 | 188,482 | |
Gilead Sciences, Inc.: | |||
2.8% 10/1/50 | 180,000 | 121,753 | |
4% 9/1/36 | 40,000 | 36,068 | |
4.15% 3/1/47 | 60,000 | 52,058 | |
4.5% 2/1/45 | 311,000 | 283,667 | |
3,416,150 | |||
Health Care Equipment & Supplies - 0.3% | |||
Abbott Laboratories: | |||
3.875% 9/15/25 | 240,000 | 234,445 | |
4.9% 11/30/46 | 150,000 | 151,444 | |
Baxter International, Inc.: | |||
1.915% 2/1/27 | 180,000 | 159,879 | |
2.539% 2/1/32 | 180,000 | 145,804 | |
Becton, Dickinson & Co.: | |||
2.823% 5/20/30 | 150,000 | 131,189 | |
3.7% 6/6/27 | 52,000 | 49,440 | |
4.669% 6/6/47 | 130,000 | 119,456 | |
Boston Scientific Corp.: | |||
3.75% 3/1/26 | 120,000 | 115,096 | |
4% 3/1/29 | 100,000 | 93,113 | |
4.7% 3/1/49 | 140,000 | 131,131 | |
GE Healthcare Holding LLC 5.905% 11/22/32 | 140,000 | 146,465 | |
Medtronic, Inc. 4.625% 3/15/45 | 168,000 | 163,457 | |
Stryker Corp. 2.9% 6/15/50 | 100,000 | 69,147 | |
1,710,066 | |||
Health Care Providers & Services - 1.2% | |||
Aetna, Inc. 4.75% 3/15/44 | 60,000 | 53,172 | |
AHS Hospital Corp. 2.78% 7/1/51 | 250,000 | 164,233 | |
Allina Health System, Inc. 3.887% 4/15/49 | 20,000 | 16,157 | |
Banner Health 2.913% 1/1/51 | 100,000 | 67,089 | |
Baptist Healthcare System Obli 3.54% 8/15/50 | 100,000 | 74,010 | |
Bon Secours Mercy Health, Inc. 2.095% 6/1/31 | 71,000 | 56,651 | |
Cardinal Health, Inc. 3.41% 6/15/27 | 67,000 | 63,151 | |
Centene Corp.: | |||
2.625% 8/1/31 | 130,000 | 103,594 | |
3.375% 2/15/30 | 260,000 | 223,454 | |
Children's Hospital of Philadelphia 2.704% 7/1/50 | 79,000 | 51,639 | |
Cigna Group: | |||
3.75% 7/15/23 | 10,000 | 9,991 | |
4.125% 11/15/25 | 25,000 | 24,338 | |
4.375% 10/15/28 | 30,000 | 29,009 | |
4.5% 2/25/26 | 74,000 | 72,390 | |
4.8% 8/15/38 | 80,000 | 75,521 | |
4.8% 7/15/46 | 465,000 | 426,591 | |
4.9% 12/15/48 | 30,000 | 27,920 | |
CommonSpirit Health: | |||
2.76% 10/1/24 | 740,000 | 712,347 | |
3.91% 10/1/50 | 125,000 | 96,578 | |
CVS Health Corp.: | |||
2.7% 8/21/40 | 467,000 | 325,981 | |
3% 8/15/26 | 20,000 | 18,749 | |
3.25% 8/15/29 | 195,000 | 175,115 | |
3.75% 4/1/30 | 380,000 | 348,565 | |
4.1% 3/25/25 | 32,000 | 31,312 | |
4.25% 4/1/50 | 37,000 | 30,648 | |
4.3% 3/25/28 | 264,000 | 254,607 | |
5% 1/30/29 | 40,000 | 39,614 | |
5.05% 3/25/48 | 131,000 | 120,748 | |
5.25% 2/21/33 | 150,000 | 149,417 | |
5.3% 6/1/33 | 70,000 | 69,891 | |
Elevance Health, Inc.: | |||
3.35% 12/1/24 | 89,000 | 86,052 | |
3.65% 12/1/27 | 320,000 | 302,117 | |
4.101% 3/1/28 | 50,000 | 47,993 | |
4.375% 12/1/47 | 175,000 | 152,530 | |
4.55% 3/1/48 | 120,000 | 105,319 | |
Franciscan Missionaries of Our Lady Health System, Inc. 3.914% 7/1/49 | 120,000 | 90,959 | |
HCA Holdings, Inc.: | |||
4.5% 2/15/27 | 1,013,000 | 977,209 | |
5.25% 6/15/49 | 100,000 | 90,233 | |
Humana, Inc. 3.95% 3/15/27 | 445,000 | 425,241 | |
INTEGRIS Baptist Medical Center, Inc. 3.875% 8/15/50 | 83,000 | 62,583 | |
Kaiser Foundation Hospitals: | |||
2.81% 6/1/41 | 63,000 | 46,279 | |
3.266% 11/1/49 | 80,000 | 59,066 | |
4.15% 5/1/47 | 30,000 | 26,199 | |
MidMichigan Health 3.409% 6/1/50 | 33,000 | 23,581 | |
Novant Health, Inc. 3.168% 11/1/51 | 105,000 | 75,347 | |
Orlando Health Obligated Group 3.327% 10/1/50 | 57,000 | 42,581 | |
Piedmont Healthcare, Inc. 2.719% 1/1/42 | 37,000 | 25,598 | |
Providence St. Joseph Health Obligated Group 2.7% 10/1/51 | 130,000 | 77,861 | |
Sutter Health 3.361% 8/15/50 | 130,000 | 93,299 | |
Trinity Health Corp. 2.632% 12/1/40 | 50,000 | 35,522 | |
UnitedHealth Group, Inc.: | |||
1.15% 5/15/26 | 180,000 | 162,775 | |
1.25% 1/15/26 | 81,000 | 74,000 | |
2.375% 8/15/24 | 90,000 | 86,972 | |
2.9% 5/15/50 | 120,000 | 83,638 | |
3.05% 5/15/41 | 230,000 | 177,787 | |
3.5% 8/15/39 | 772,000 | 647,497 | |
3.7% 8/15/49 | 40,000 | 32,129 | |
3.75% 10/15/47 | 30,000 | 24,691 | |
4.25% 1/15/29 | 100,000 | 97,155 | |
4.45% 12/15/48 | 102,000 | 92,927 | |
4.625% 7/15/35 | 100,000 | 97,767 | |
5.05% 4/15/53 | 100,000 | 99,395 | |
5.25% 2/15/28 | 90,000 | 91,757 | |
5.35% 2/15/33 | 90,000 | 93,519 | |
West Virginia University Health System Obligated Group 3.129% 6/1/50 | 70,000 | 46,765 | |
8,666,825 | |||
Life Sciences Tools & Services - 0.0% | |||
Revvity, Inc. 2.25% 9/15/31 | 90,000 | 72,213 | |
Pharmaceuticals - 0.9% | |||
AstraZeneca Finance LLC: | |||
1.2% 5/28/26 | 290,000 | 261,679 | |
2.25% 5/28/31 | 290,000 | 244,701 | |
4.875% 3/3/33 | 110,000 | 111,579 | |
AstraZeneca PLC: | |||
4.375% 11/16/45 | 45,000 | 41,811 | |
4.375% 8/17/48 | 50,000 | 46,628 | |
Bristol-Myers Squibb Co.: | |||
2.9% 7/26/24 | 70,000 | 68,165 | |
3.7% 3/15/52 | 330,000 | 267,592 | |
4.125% 6/15/39 | 100,000 | 91,174 | |
4.55% 2/20/48 | 42,000 | 39,168 | |
Eli Lilly & Co.: | |||
2.25% 5/15/50 | 200,000 | 130,378 | |
4.875% 2/27/53 | 50,000 | 51,355 | |
GlaxoSmithKline Capital, Inc. 3.875% 5/15/28 | 130,000 | 125,009 | |
GSK Consumer Healthcare Capital U.S. LLC 3.625% 3/24/32 | 250,000 | 224,110 | |
Johnson & Johnson: | |||
1.3% 9/1/30 | 110,000 | 90,348 | |
2.1% 9/1/40 | 220,000 | 154,989 | |
2.45% 3/1/26 | 760,000 | 717,753 | |
2.45% 9/1/60 | 110,000 | 71,152 | |
3.4% 1/15/38 | 116,000 | 101,093 | |
3.55% 3/1/36 | 110,000 | 98,788 | |
Merck & Co., Inc.: | |||
3.7% 2/10/45 | 45,000 | 38,207 | |
4.05% 5/17/28 | 100,000 | 98,262 | |
4.15% 5/18/43 | 266,000 | 241,754 | |
4.5% 5/17/33 | 150,000 | 148,788 | |
5% 5/17/53 | 150,000 | 151,956 | |
Mylan NV 4.55% 4/15/28 | 20,000 | 18,842 | |
Novartis Capital Corp.: | |||
1.75% 2/14/25 | 100,000 | 94,807 | |
2% 2/14/27 | 320,000 | 293,246 | |
2.75% 8/14/50 | 50,000 | 36,397 | |
3% 11/20/25 | 460,000 | 440,009 | |
3.1% 5/17/27 | 90,000 | 85,739 | |
4% 11/20/45 | 35,000 | 31,575 | |
Pfizer Investment Enterprises: | |||
4.45% 5/19/28 | 270,000 | 265,381 | |
4.65% 5/19/30 | 113,000 | 111,651 | |
4.75% 5/19/33 | 200,000 | 199,246 | |
5.11% 5/19/43 | 150,000 | 150,340 | |
5.3% 5/19/53 | 154,000 | 160,111 | |
Pfizer, Inc.: | |||
2.55% 5/28/40 | 125,000 | 92,020 | |
2.7% 5/28/50 | 380,000 | 268,380 | |
3.45% 3/15/29 | 70,000 | 65,903 | |
4% 12/15/36 | 36,000 | 33,542 | |
Shire Acquisitions Investments Ireland DAC 3.2% 9/23/26 | 110,000 | 103,285 | |
Takeda Pharmaceutical Co. Ltd.: | |||
2.05% 3/31/30 | 200,000 | 166,210 | |
3.025% 7/9/40 | 272,000 | 205,888 | |
Viatris, Inc.: | |||
2.7% 6/22/30 | 100,000 | 80,923 | |
4% 6/22/50 | 100,000 | 66,134 | |
Zoetis, Inc. 4.45% 8/20/48 | 60,000 | 53,374 | |
6,639,442 | |||
TOTAL HEALTH CARE | 20,504,696 | ||
INDUSTRIALS - 1.8% | |||
Aerospace & Defense - 0.5% | |||
General Dynamics Corp.: | |||
2.125% 8/15/26 | 160,000 | 147,361 | |
4.25% 4/1/50 | 50,000 | 45,832 | |
Lockheed Martin Corp.: | |||
4.09% 9/15/52 | 70,000 | 61,557 | |
4.7% 5/15/46 | 28,000 | 26,918 | |
5.9% 11/15/63 | 100,000 | 113,772 | |
Northrop Grumman Corp.: | |||
3.25% 1/15/28 | 80,000 | 74,606 | |
4.03% 10/15/47 | 106,000 | 91,065 | |
5.25% 5/1/50 | 120,000 | 121,954 | |
Raytheon Technologies Corp.: | |||
3.65% 8/16/23 | 4,000 | 3,990 | |
3.75% 11/1/46 | 30,000 | 24,172 | |
4.05% 5/4/47 | 18,000 | 15,296 | |
4.125% 11/16/28 | 260,000 | 250,415 | |
4.35% 4/15/47 | 50,000 | 44,309 | |
4.45% 11/16/38 | 370,000 | 340,314 | |
5.15% 2/27/33 | 240,000 | 243,280 | |
The Boeing Co.: | |||
3.2% 3/1/29 | 126,000 | 112,657 | |
4.875% 5/1/25 | 660,000 | 650,621 | |
5.705% 5/1/40 | 836,000 | 833,916 | |
5.805% 5/1/50 | 130,000 | 129,526 | |
3,331,561 | |||
Air Freight & Logistics - 0.1% | |||
FedEx Corp.: | |||
4.05% 2/15/48 | 150,000 | 119,845 | |
4.25% 5/15/30 | 175,000 | 167,204 | |
4.9% 1/15/34 | 130,000 | 127,095 | |
4.95% 10/17/48 | 102,000 | 93,628 | |
United Parcel Service, Inc.: | |||
2.8% 11/15/24 | 88,000 | 85,069 | |
4.875% 3/3/33 | 180,000 | 181,899 | |
5.3% 4/1/50 | 170,000 | 178,581 | |
953,321 | |||
Building Products - 0.1% | |||
Carrier Global Corp.: | |||
2.493% 2/15/27 | 50,000 | 45,563 | |
2.722% 2/15/30 | 100,000 | 86,071 | |
3.377% 4/5/40 | 195,000 | 149,697 | |
3.577% 4/5/50 | 50,000 | 36,950 | |
Johnson Controls International PLC/Tyco Fire & Security Finance SCA 4.9% 12/1/32 | 150,000 | 148,580 | |
Masco Corp.: | |||
2% 2/15/31 | 103,000 | 81,249 | |
3.125% 2/15/51 | 52,000 | 32,675 | |
Owens Corning 3.875% 6/1/30 | 100,000 | 91,360 | |
672,145 | |||
Commercial Services & Supplies - 0.1% | |||
Republic Services, Inc.: | |||
1.45% 2/15/31 | 500,000 | 392,400 | |
3.95% 5/15/28 | 28,000 | 26,841 | |
419,241 | |||
Electrical Equipment - 0.0% | |||
Eaton Corp. 4.15% 3/15/33 | 150,000 | 142,460 | |
Ground Transportation - 0.4% | |||
Burlington Northern Santa Fe LLC: | |||
3% 4/1/25 | 280,000 | 269,487 | |
3.05% 2/15/51 | 211,000 | 149,472 | |
3.25% 6/15/27 | 30,000 | 28,557 | |
4.05% 6/15/48 | 207,000 | 177,371 | |
4.45% 3/15/43 | 100,000 | 90,847 | |
5.2% 4/15/54 | 60,000 | 61,195 | |
Canadian National Railway Co. 2.45% 5/1/50 | 210,000 | 133,676 | |
Canadian Pacific Railway Co.: | |||
1.75% 12/2/26 | 140,000 | 125,841 | |
2.45% 12/2/31 | 140,000 | 122,620 | |
3.1% 12/2/51 | 140,000 | 99,226 | |
CSX Corp.: | |||
4.3% 3/1/48 | 140,000 | 121,815 | |
4.5% 3/15/49 | 160,000 | 142,960 | |
4.75% 11/15/48 | 70,000 | 64,758 | |
Norfolk Southern Corp.: | |||
2.9% 8/25/51 | 110,000 | 72,800 | |
3.8% 8/1/28 | 63,000 | 59,575 | |
4.05% 8/15/52 | 90,000 | 74,037 | |
4.15% 2/28/48 | 38,000 | 31,921 | |
4.45% 3/1/33 | 150,000 | 143,527 | |
Union Pacific Corp.: | |||
2.75% 3/1/26 | 160,000 | 151,316 | |
2.891% 4/6/36 | 79,000 | 62,986 | |
2.973% 9/16/62 | 290,000 | 188,824 | |
3.25% 2/5/50 | 50,000 | 37,350 | |
3.6% 9/15/37 | 38,000 | 32,404 | |
3.839% 3/20/60 | 70,000 | 55,682 | |
5.15% 1/20/63 | 120,000 | 119,812 | |
2,618,059 | |||
Industrial Conglomerates - 0.2% | |||
3M Co.: | |||
2.375% 8/26/29 | 177,000 | 152,012 | |
2.65% 4/15/25 | 24,000 | 22,849 | |
3% 8/7/25 | 310,000 | 295,935 | |
3.05% 4/15/30 | 19,000 | 17,119 | |
3.7% 4/15/50 | 24,000 | 18,992 | |
General Electric Co. 4.35% 5/1/50 | 489,000 | 424,386 | |
Honeywell International, Inc.: | |||
2.8% 6/1/50 | 150,000 | 111,418 | |
3.812% 11/21/47 | 20,000 | 17,022 | |
1,059,733 | |||
Machinery - 0.2% | |||
Caterpillar Financial Services Corp.: | |||
0.45% 9/14/23 | 170,000 | 168,376 | |
1.1% 9/14/27 | 530,000 | 457,558 | |
3.65% 12/7/23 | 310,000 | 308,049 | |
Caterpillar, Inc. 3.25% 9/19/49 | 110,000 | 86,608 | |
Deere & Co. 2.875% 9/7/49 | 130,000 | 97,631 | |
Ingersoll-Rand Luxembourg Finance SA 3.8% 3/21/29 | 125,000 | 117,760 | |
Otis Worldwide Corp.: | |||
2.056% 4/5/25 | 48,000 | 45,234 | |
2.565% 2/15/30 | 70,000 | 60,350 | |
3.362% 2/15/50 | 50,000 | 36,701 | |
Parker Hannifin Corp. 4% 6/14/49 | 110,000 | 91,561 | |
Stanley Black & Decker, Inc. 2.75% 11/15/50 | 150,000 | 89,155 | |
1,558,983 | |||
Passenger Airlines - 0.1% | |||
Southwest Airlines Co. 5.125% 6/15/27 | 595,000 | 590,387 | |
United Airlines Pass-Through Trust Series 2023-1 Class A, 5.8% 7/15/37 | 50,000 | 50,954 | |
United Airlines pass-thru trust equipment trust certificate 3.1% 1/7/30 | 195,191 | 176,404 | |
817,745 | |||
Professional Services - 0.0% | |||
Thomson Reuters Corp. 3.35% 5/15/26 | 76,000 | 72,314 | |
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.875% 1/15/26 | 120,000 | 111,004 | |
3.25% 3/1/25 | 88,000 | 83,778 | |
3.75% 6/1/26 | 158,000 | 149,312 | |
3.875% 7/3/23 | 526,000 | 526,000 | |
4.25% 2/1/24 | 170,000 | 168,203 | |
1,038,297 | |||
TOTAL INDUSTRIALS | 12,683,859 | ||
INFORMATION TECHNOLOGY - 1.9% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc. 5.9% 2/15/39 | 130,000 | 143,808 | |
Electronic Equipment, Instruments & Components - 0.2% | |||
Amphenol Corp. 3.2% 4/1/24 | 730,000 | 715,864 | |
Corning, Inc. 5.35% 11/15/48 | 10,000 | 9,654 | |
Dell International LLC/EMC Corp.: | |||
5.3% 10/1/29 | 390,000 | 387,157 | |
8.1% 7/15/36 | 80,000 | 93,597 | |
8.35% 7/15/46 | 187,000 | 229,320 | |
1,435,592 | |||
IT Services - 0.2% | |||
CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | 150,000 | 134,682 | |
IBM Corp.: | |||
1.95% 5/15/30 | 175,000 | 144,963 | |
2.95% 5/15/50 | 175,000 | 117,217 | |
3.5% 5/15/29 | 843,000 | 777,961 | |
1,174,823 | |||
Semiconductors & Semiconductor Equipment - 0.6% | |||
Analog Devices, Inc. 2.8% 10/1/41 | 130,000 | 96,542 | |
Applied Materials, Inc. 4.35% 4/1/47 | 28,000 | 26,124 | |
Broadcom Corp./Broadcom Cayman LP 3.5% 1/15/28 | 1,324,000 | 1,223,059 | |
Broadcom, Inc.: | |||
3.419% 4/15/33 (b) | 82,000 | 68,573 | |
4.3% 11/15/32 | 250,000 | 229,320 | |
4.75% 4/15/29 | 50,000 | 48,370 | |
5% 4/15/30 | 50,000 | 49,088 | |
Intel Corp.: | |||
3.25% 11/15/49 | 110,000 | 77,572 | |
3.734% 12/8/47 | 617,000 | 479,641 | |
4.875% 2/10/28 | 100,000 | 99,622 | |
5.2% 2/10/33 | 550,000 | 555,213 | |
Lam Research Corp. 2.875% 6/15/50 | 150,000 | 104,795 | |
Micron Technology, Inc.: | |||
4.663% 2/15/30 | 230,000 | 216,879 | |
5.375% 4/15/28 | 60,000 | 59,421 | |
NVIDIA Corp.: | |||
2% 6/15/31 | 216,000 | 180,903 | |
2.85% 4/1/30 | 100,000 | 90,683 | |
3.5% 4/1/40 | 50,000 | 42,805 | |
3.5% 4/1/50 | 50,000 | 40,632 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.65% 2/15/32 | 270,000 | 218,076 | |
Qualcomm, Inc.: | |||
1.65% 5/20/32 | 54,000 | 42,614 | |
5.4% 5/20/33 | 250,000 | 263,233 | |
6% 5/20/53 | 120,000 | 134,316 | |
Texas Instruments, Inc.: | |||
4.15% 5/15/48 | 70,000 | 63,581 | |
4.9% 3/14/33 | 100,000 | 102,459 | |
4,513,521 | |||
Software - 0.5% | |||
Microsoft Corp.: | |||
2.525% 6/1/50 | 326,000 | 225,509 | |
2.921% 3/17/52 | 534,000 | 397,279 | |
3.3% 2/6/27 | 115,000 | 110,590 | |
3.45% 8/8/36 | 31,000 | 28,275 | |
4.2% 11/3/35 | 170,000 | 168,178 | |
Oracle Corp.: | |||
1.65% 3/25/26 | 207,000 | 187,863 | |
2.5% 4/1/25 | 80,000 | 75,931 | |
2.95% 4/1/30 | 150,000 | 130,930 | |
3.25% 11/15/27 | 96,000 | 89,061 | |
3.6% 4/1/50 | 300,000 | 214,368 | |
3.8% 11/15/37 | 110,000 | 89,937 | |
3.85% 4/1/60 | 80,000 | 56,383 | |
3.9% 5/15/35 | 220,000 | 189,828 | |
4% 11/15/47 | 187,000 | 143,968 | |
4.9% 2/6/33 | 250,000 | 242,676 | |
5.375% 7/15/40 | 641,000 | 611,744 | |
Roper Technologies, Inc.: | |||
1% 9/15/25 | 50,000 | 45,462 | |
1.4% 9/15/27 | 50,000 | 43,104 | |
1.75% 2/15/31 | 50,000 | 39,663 | |
2% 6/30/30 | 330,000 | 269,707 | |
Salesforce, Inc. 2.7% 7/15/41 | 220,000 | 161,635 | |
3,522,091 | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
Apple, Inc.: | |||
1.125% 5/11/25 | 772,000 | 719,263 | |
1.2% 2/8/28 | 440,000 | 381,350 | |
1.25% 8/20/30 | 50,000 | 40,595 | |
2.375% 2/8/41 | 330,000 | 243,377 | |
2.55% 8/20/60 | 200,000 | 131,971 | |
2.95% 9/11/49 | 240,000 | 178,489 | |
3% 11/13/27 | 96,000 | 90,448 | |
3.75% 11/13/47 | 57,000 | 49,338 | |
3.85% 5/4/43 | 369,000 | 329,271 | |
4.3% 5/10/33 | 250,000 | 248,650 | |
4.5% 2/23/36 | 90,000 | 91,510 | |
HP, Inc.: | |||
2.2% 6/17/25 | 160,000 | 150,493 | |
4.2% 4/15/32 | 110,000 | 98,656 | |
2,753,411 | |||
TOTAL INFORMATION TECHNOLOGY | 13,543,246 | ||
MATERIALS - 0.7% | |||
Chemicals - 0.5% | |||
Air Products & Chemicals, Inc.: | |||
1.5% 10/15/25 | 100,000 | 92,268 | |
2.05% 5/15/30 | 60,000 | 50,934 | |
2.7% 5/15/40 | 60,000 | 44,747 | |
2.8% 5/15/50 | 100,000 | 71,418 | |
DuPont de Nemours, Inc.: | |||
4.725% 11/15/28 | 35,000 | 34,419 | |
5.319% 11/15/38 | 679,000 | 672,761 | |
Eastman Chemical Co. 4.5% 12/1/28 | 174,000 | 165,813 | |
Ecolab, Inc. 1.3% 1/30/31 | 300,000 | 235,178 | |
LYB International Finance II BV 3.5% 3/2/27 | 166,000 | 156,992 | |
LYB International Finance III LLC: | |||
3.375% 10/1/40 | 20,000 | 14,695 | |
3.625% 4/1/51 | 120,000 | 83,047 | |
4.2% 10/15/49 | 100,000 | 76,507 | |
Nutrien Ltd.: | |||
4.2% 4/1/29 | 13,000 | 12,274 | |
4.9% 3/27/28 | 160,000 | 156,926 | |
5% 4/1/49 | 103,000 | 92,598 | |
Sherwin-Williams Co.: | |||
3.45% 6/1/27 | 290,000 | 273,341 | |
3.8% 8/15/49 | 80,000 | 61,859 | |
4.5% 6/1/47 | 50,000 | 43,777 | |
The Dow Chemical Co.: | |||
2.1% 11/15/30 | 250,000 | 206,442 | |
3.6% 11/15/50 | 150,000 | 111,606 | |
4.8% 5/15/49 | 50,000 | 43,526 | |
7.375% 11/1/29 | 46,000 | 51,182 | |
The Mosaic Co. 4.05% 11/15/27 | 90,000 | 85,696 | |
Westlake Corp. 3.6% 8/15/26 | 625,000 | 586,518 | |
3,424,524 | |||
Containers & Packaging - 0.0% | |||
International Paper Co. 4.8% 6/15/44 | 155,000 | 136,686 | |
WRKCo, Inc. 4.65% 3/15/26 | 290,000 | 281,368 | |
418,054 | |||
Metals & Mining - 0.2% | |||
Barrick Gold Corp. 5.25% 4/1/42 | 163,000 | 158,529 | |
BHP Billiton Financial (U.S.A.) Ltd. 5% 9/30/43 | 176,000 | 176,058 | |
Freeport-McMoRan, Inc. 5.4% 11/14/34 | 140,000 | 135,195 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 100,000 | 81,929 | |
2.8% 10/1/29 | 100,000 | 85,965 | |
5.45% 6/9/44 | 80,000 | 78,722 | |
Rio Tinto Finance (U.S.A.) Ltd.: | |||
2.75% 11/2/51 | 100,000 | 68,101 | |
5.2% 11/2/40 | 120,000 | 121,022 | |
Southern Copper Corp. 5.875% 4/23/45 | 30,000 | 30,529 | |
Vale Overseas Ltd. 3.75% 7/8/30 | 300,000 | 263,291 | |
1,199,341 | |||
Paper & Forest Products - 0.0% | |||
Suzano Austria GmbH 2.5% 9/15/28 | 298,000 | 252,963 | |
TOTAL MATERIALS | 5,294,882 | ||
REAL ESTATE - 0.8% | |||
Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
Alexandria Real Estate Equities, Inc.: | |||
2% 5/18/32 | 125,000 | 94,376 | |
3% 5/18/51 | 125,000 | 76,868 | |
4.85% 4/15/49 | 90,000 | 75,437 | |
American Tower Corp.: | |||
2.1% 6/15/30 | 160,000 | 129,204 | |
3.1% 6/15/50 | 160,000 | 104,406 | |
3.6% 1/15/28 | 32,000 | 29,462 | |
3.8% 8/15/29 | 70,000 | 63,860 | |
AvalonBay Communities, Inc.: | |||
2.3% 3/1/30 | 130,000 | 109,174 | |
3.2% 1/15/28 | 63,000 | 57,991 | |
Boston Properties, Inc.: | |||
3.65% 2/1/26 | 100,000 | 92,773 | |
6.75% 12/1/27 | 180,000 | 182,035 | |
Corporate Office Properties LP 2.75% 4/15/31 | 50,000 | 37,992 | |
Crown Castle International Corp.: | |||
1.35% 7/15/25 | 79,000 | 72,225 | |
2.25% 1/15/31 | 100,000 | 81,504 | |
3.25% 1/15/51 | 40,000 | 27,263 | |
3.7% 6/15/26 | 100,000 | 94,989 | |
5.1% 5/1/33 | 160,000 | 157,230 | |
ERP Operating LP: | |||
3.5% 3/1/28 | 61,000 | 56,449 | |
4.15% 12/1/28 | 330,000 | 313,542 | |
Healthpeak OP, LLC 3% 1/15/30 | 140,000 | 121,613 | |
Kimco Realty Op LLC: | |||
1.9% 3/1/28 | 570,000 | 479,996 | |
3.3% 2/1/25 | 180,000 | 172,100 | |
NNN (REIT), Inc. 3% 4/15/52 | 100,000 | 60,781 | |
Omega Healthcare Investors, Inc. 5.25% 1/15/26 | 230,000 | 221,448 | |
Prologis LP: | |||
1.75% 2/1/31 | 370,000 | 294,220 | |
3% 4/15/50 | 145,000 | 98,525 | |
Realty Income Corp.: | |||
3.25% 1/15/31 | 220,000 | 192,289 | |
3.4% 1/15/28 | 230,000 | 212,054 | |
4.9% 7/15/33 | 50,000 | 47,791 | |
Simon Property Group LP: | |||
2.65% 7/15/30 | 125,000 | 106,172 | |
3.375% 12/1/27 | 935,000 | 862,600 | |
UDR, Inc. 2.1% 6/15/33 | 80,000 | 59,007 | |
Ventas Realty LP: | |||
4.4% 1/15/29 | 40,000 | 37,334 | |
4.875% 4/15/49 | 160,000 | 136,509 | |
VICI Properties LP: | |||
4.75% 2/15/28 | 70,000 | 66,278 | |
5.125% 5/15/32 | 70,000 | 65,495 | |
Welltower OP LLC 4.95% 9/1/48 | 76,000 | 67,845 | |
5,158,837 | |||
Real Estate Management & Development - 0.0% | |||
Essex Portfolio LP 2.65% 3/15/32 | 170,000 | 136,718 | |
TOTAL REAL ESTATE | 5,295,555 | ||
UTILITIES - 2.1% | |||
Electric Utilities - 1.4% | |||
AEP Transmission Co. LLC 5.4% 3/15/53 | 160,000 | 164,431 | |
Alabama Power Co. 6% 3/1/39 | 180,000 | 187,321 | |
American Electric Power Co., Inc. 5.625% 3/1/33 | 140,000 | 142,332 | |
Appalachian Power Co.: | |||
3.3% 6/1/27 | 110,000 | 102,674 | |
4.45% 6/1/45 | 18,000 | 14,813 | |
4.5% 3/1/49 | 90,000 | 75,713 | |
Arizona Public Service Co.: | |||
2.95% 9/15/27 | 68,000 | 61,709 | |
3.5% 12/1/49 | 100,000 | 69,889 | |
Baltimore Gas & Electric Co.: | |||
2.9% 6/15/50 | 200,000 | 133,329 | |
3.2% 9/15/49 | 150,000 | 108,597 | |
CenterPoint Energy Houston Electric LLC 3.35% 4/1/51 | 250,000 | 186,509 | |
Commonwealth Edison Co.: | |||
4% 3/1/48 | 42,000 | 35,095 | |
4.9% 2/1/33 | 110,000 | 109,512 | |
DTE Electric Co.: | |||
3% 3/1/32 | 100,000 | 86,121 | |
5.4% 4/1/53 | 110,000 | 113,526 | |
Duke Energy Carolinas LLC: | |||
2.45% 8/15/29 | 190,000 | 163,887 | |
3.95% 3/15/48 | 31,000 | 25,259 | |
4.25% 12/15/41 | 341,000 | 295,193 | |
Duke Energy Corp.: | |||
2.45% 6/1/30 | 182,000 | 152,833 | |
3.75% 9/1/46 | 80,000 | 60,514 | |
3.95% 8/15/47 | 250,000 | 194,179 | |
4.2% 6/15/49 | 90,000 | 73,001 | |
Duke Energy Florida LLC 6.35% 9/15/37 | 110,000 | 119,285 | |
Duke Energy Progress LLC: | |||
3.7% 10/15/46 | 170,000 | 132,003 | |
5.25% 3/15/33 | 100,000 | 101,569 | |
Entergy Corp. 0.9% 9/15/25 | 400,000 | 359,241 | |
Entergy Louisiana LLC 3.1% 6/15/41 | 110,000 | 82,762 | |
Entergy, Inc.: | |||
3.55% 9/30/49 | 29,000 | 21,472 | |
5.15% 1/15/33 | 110,000 | 110,235 | |
Eversource Energy: | |||
2.55% 3/15/31 | 120,000 | 99,722 | |
3.3% 1/15/28 | 62,000 | 57,079 | |
3.45% 1/15/50 | 60,000 | 43,954 | |
5.45% 3/1/28 | 150,000 | 151,006 | |
Exelon Corp.: | |||
3.4% 4/15/26 | 150,000 | 142,516 | |
4.05% 4/15/30 | 150,000 | 140,172 | |
4.45% 4/15/46 | 144,000 | 122,286 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 85,000 | 76,872 | |
5.1% 7/15/47 | 140,000 | 125,584 | |
Florida Power & Light Co.: | |||
2.85% 4/1/25 | 317,000 | 304,488 | |
2.875% 12/4/51 | 150,000 | 103,684 | |
4.125% 6/1/48 | 26,000 | 22,455 | |
Georgia Power Co. 4.95% 5/17/33 | 200,000 | 197,419 | |
Interstate Power and Light Co. 2.3% 6/1/30 | 93,000 | 77,253 | |
Kentucky Utilities Co. 5.125% 11/1/40 | 100,000 | 95,737 | |
MidAmerican Energy Co.: | |||
3.65% 4/15/29 | 190,000 | 176,446 | |
3.65% 8/1/48 | 30,000 | 23,097 | |
NextEra Energy Capital Holdings, Inc.: | |||
1.875% 1/15/27 | 500,000 | 445,682 | |
2.44% 1/15/32 | 500,000 | 405,377 | |
3.5% 4/1/29 | 140,000 | 127,582 | |
Northern States Power Co.: | |||
2.9% 3/1/50 | 80,000 | 55,106 | |
3.6% 9/15/47 | 50,000 | 39,316 | |
NSTAR Electric Co. 4.95% 9/15/52 | 50,000 | 48,513 | |
Oncor Electric Delivery Co. LLC: | |||
3.1% 9/15/49 | 100,000 | 70,616 | |
3.75% 4/1/45 | 120,000 | 98,038 | |
4.55% 9/15/32 | 150,000 | 145,563 | |
Pacific Gas & Electric Co.: | |||
2.1% 8/1/27 | 210,000 | 179,379 | |
3.5% 8/1/50 | 682,000 | 433,824 | |
PacifiCorp 6% 1/15/39 | 235,000 | 230,131 | |
PECO Energy Co. 3.9% 3/1/48 | 96,000 | 78,876 | |
PG&E Wildfire Recovery: | |||
5.099% 6/1/54 | 50,000 | 50,573 | |
5.212% 12/1/49 | 160,000 | 159,591 | |
PPL Capital Funding, Inc. 4% 9/15/47 | 20,000 | 14,754 | |
PPL Electric Utilities Corp. 3% 10/1/49 | 100,000 | 70,723 | |
Public Service Co. of Colorado: | |||
3.7% 6/15/28 | 87,000 | 82,554 | |
6.25% 9/1/37 | 182,000 | 195,311 | |
Public Service Electric & Gas Co.: | |||
2.45% 1/15/30 | 70,000 | 60,323 | |
2.7% 5/1/50 | 100,000 | 66,823 | |
3.15% 1/1/50 | 70,000 | 50,897 | |
3.6% 12/1/47 | 44,000 | 34,546 | |
Puget Sound Energy, Inc. 4.223% 6/15/48 | 45,000 | 38,020 | |
Southern California Edison Co. 4% 4/1/47 | 562,000 | 446,211 | |
Southern Co. 3.25% 7/1/26 | 352,000 | 331,093 | |
Southwestern Electric Power Co. 3.85% 2/1/48 | 190,000 | 142,196 | |
Tampa Electric Co. 4.45% 6/15/49 | 100,000 | 84,748 | |
Union Electric Co. 5.45% 3/15/53 | 100,000 | 101,899 | |
Virginia Electric & Power Co.: | |||
3.3% 12/1/49 | 60,000 | 42,986 | |
3.8% 9/15/47 | 50,000 | 39,071 | |
4.6% 12/1/48 | 52,000 | 46,310 | |
Xcel Energy, Inc.: | |||
3.4% 6/1/30 | 63,000 | 56,100 | |
4% 6/15/28 | 76,000 | 72,318 | |
9,987,824 | |||
Gas Utilities - 0.1% | |||
Atmos Energy Corp. 5.45% 10/15/32 | 180,000 | 185,671 | |
Dominion Gas Holdings LLC 2.5% 11/15/24 | 50,000 | 47,751 | |
Southern Co. Gas Capital Corp. 3.95% 10/1/46 | 308,000 | 237,616 | |
Southwest Gas Corp. 5.45% 3/23/28 | 76,000 | 75,769 | |
546,807 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Constellation Energy Generation, LLC 5.8% 3/1/33 | 130,000 | 133,072 | |
Southern Power Co. 4.95% 12/15/46 | 80,000 | 70,167 | |
203,239 | |||
Multi-Utilities - 0.5% | |||
Ameren Illinois Co. 4.95% 6/1/33 | 140,000 | 138,888 | |
Berkshire Hathaway Energy Co.: | |||
4.25% 10/15/50 | 290,000 | 235,120 | |
4.45% 1/15/49 | 54,000 | 45,540 | |
CenterPoint Energy, Inc. 3.7% 9/1/49 | 80,000 | 60,012 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.95% 4/1/50 | 130,000 | 106,232 | |
4.65% 12/1/48 | 50,000 | 44,498 | |
5.2% 3/1/33 | 100,000 | 101,074 | |
5.5% 12/1/39 | 256,000 | 252,573 | |
Consumers Energy Co.: | |||
2.5% 5/1/60 | 100,000 | 57,402 | |
4.625% 5/15/33 | 130,000 | 126,453 | |
Dominion Energy, Inc.: | |||
3.375% 4/1/30 | 720,000 | 644,005 | |
4.6% 3/15/49 | 50,000 | 42,898 | |
4.7% 12/1/44 | 26,000 | 22,485 | |
7% 6/15/38 | 130,000 | 142,828 | |
DTE Energy Co. 2.85% 10/1/26 | 140,000 | 128,762 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 280,000 | 255,342 | |
2.95% 9/1/29 | 190,000 | 166,370 | |
3.49% 5/15/27 | 50,000 | 47,043 | |
3.95% 3/30/48 | 46,000 | 36,913 | |
5.25% 2/15/43 | 156,000 | 149,189 | |
Public Service Enterprise Group, Inc. 5.85% 11/15/27 | 100,000 | 102,013 | |
Puget Energy, Inc. 4.1% 6/15/30 | 200,000 | 182,099 | |
San Diego Gas & Electric Co. 5.35% 4/1/53 | 100,000 | 99,185 | |
Sempra Energy 6% 10/15/39 | 274,000 | 280,355 | |
WEC Energy Group, Inc. 4.75% 1/15/28 | 100,000 | 97,721 | |
3,565,000 | |||
Water Utilities - 0.0% | |||
American Water Capital Corp. 3.75% 9/1/47 | 240,000 | 189,902 | |
TOTAL UTILITIES | 14,492,772 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $222,371,705) | 192,705,903 | ||
U.S. Government and Government Agency Obligations - 40.6% | |||
Principal Amount (a) | Value ($) | ||
U.S. Government Agency Obligations - 1.0% | |||
Fannie Mae: | |||
0.375% 8/25/25 | 95,000 | 86,445 | |
0.5% 6/17/25 | 2,248,000 | 2,063,850 | |
0.625% 4/22/25 | 258,000 | 238,602 | |
0.875% 8/5/30 | 339,000 | 272,501 | |
1.75% 7/2/24 | 100,000 | 96,432 | |
1.875% 9/24/26 | 60,000 | 55,380 | |
Federal Farm Credit Bank 1.4% 3/10/28 | 900,000 | 788,009 | |
Federal Home Loan Bank: | |||
0.375% 9/4/25 | 160,000 | 145,754 | |
0.79% 2/25/26 | 750,000 | 675,728 | |
1.5% 8/15/24 | 100,000 | 95,915 | |
Freddie Mac: | |||
0.25% 8/24/23 | 500,000 | 496,501 | |
0.375% 7/21/25 | 448,000 | 408,750 | |
0.375% 9/23/25 | 231,000 | 209,602 | |
6.25% 7/15/32 | 360,000 | 418,195 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 600,000 | 553,605 | |
2.875% 2/1/27 | 130,000 | 122,270 | |
4.25% 9/15/65 | 30,000 | 26,901 | |
5.88% 4/1/36 | 260,000 | 295,363 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 7,049,803 | ||
U.S. Treasury Obligations - 39.6% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 2,921,000 | 1,893,515 | |
1.125% 8/15/40 | 331,000 | 212,823 | |
1.25% 5/15/50 | 2,000 | 1,125 | |
1.375% 11/15/40 | 4,440,000 | 2,970,638 | |
1.375% 8/15/50 | 5,875,000 | 3,413,696 | |
1.625% 11/15/50 | 4,208,000 | 2,613,234 | |
1.75% 8/15/41 | 3,170,000 | 2,227,049 | |
1.875% 2/15/41 | 5,295,000 | 3,845,287 | |
1.875% 2/15/51 | 2,014,000 | 1,333,567 | |
1.875% 11/15/51 | 3,115,000 | 2,056,143 | |
2% 11/15/41 | 1,418,000 | 1,037,965 | |
2% 8/15/51 | 1,564,000 | 1,066,147 | |
2.25% 5/15/41 | 280,000 | 215,644 | |
2.25% 8/15/46 | 110,000 | 80,364 | |
2.25% 8/15/49 | 129,000 | 93,722 | |
2.25% 2/15/52 | 1,201,000 | 867,910 | |
2.375% 2/15/42 | 780,000 | 606,952 | |
2.375% 5/15/51 | 2,575,000 | 1,914,452 | |
2.5% 2/15/45 | 18,000 | 13,936 | |
2.5% 2/15/46 | 112,000 | 86,209 | |
2.5% 5/15/46 | 93,000 | 71,512 | |
2.75% 8/15/42 | 197,000 | 162,325 | |
2.75% 11/15/42 | 587,000 | 482,830 | |
2.75% 8/15/47 | 51,000 | 41,023 | |
2.75% 11/15/47 | 107,000 | 86,064 | |
2.875% 5/15/43 | 20,000 | 16,729 | |
2.875% 8/15/45 | 156,000 | 128,730 | |
2.875% 5/15/49 | 1,000 | 827 | |
2.875% 5/15/52 | 1,460,000 | 1,209,918 | |
3% 5/15/42 | 89,000 | 76,498 | |
3% 11/15/44 | 299,000 | 253,017 | |
3% 5/15/45 | 4,000 | 3,378 | |
3% 2/15/47 | 49,000 | 41,256 | |
3% 5/15/47 | 48,000 | 40,419 | |
3% 2/15/48 | 87,000 | 73,355 | |
3% 8/15/48 | 3,000 | 2,531 | |
3% 2/15/49 | 134,000 | 113,319 | |
3% 8/15/52 | 4,160,000 | 3,536,975 | |
3.125% 11/15/41 | 113,000 | 99,506 | |
3.125% 2/15/42 | 65,000 | 57,134 | |
3.125% 2/15/43 | 838,000 | 730,795 | |
3.125% 8/15/44 | 167,000 | 144,514 | |
3.125% 5/15/48 | 29,000 | 25,016 | |
3.25% 5/15/42 | 690,000 | 615,717 | |
3.375% 8/15/42 | 5,620,000 | 5,101,248 | |
3.375% 5/15/44 | 1,536,000 | 1,384,740 | |
3.375% 11/15/48 | 157,000 | 141,883 | |
3.5% 2/15/39 | 8,000 | 7,664 | |
3.625% 2/15/44 | 2,647,000 | 2,479,908 | |
3.625% 2/15/53 | 600,000 | 575,813 | |
3.625% 5/15/53 | 1,730,000 | 1,662,692 | |
3.75% 8/15/41 | 45,000 | 43,465 | |
3.75% 11/15/43 | 1,120,000 | 1,070,387 | |
3.875% 8/15/40 | 52,000 | 51,596 | |
3.875% 2/15/43 | 1,910,000 | 1,862,250 | |
3.875% 5/15/43 | 1,170,000 | 1,142,379 | |
4% 11/15/42 | 3,480,000 | 3,457,706 | |
4% 11/15/52 | 4,160,000 | 4,273,100 | |
4.375% 2/15/38 | 12,000 | 12,771 | |
4.375% 11/15/39 | 24,000 | 25,410 | |
4.375% 5/15/41 | 32,000 | 33,676 | |
4.5% 5/15/38 | 92,000 | 99,062 | |
4.5% 8/15/39 | 17,000 | 18,274 | |
4.75% 2/15/41 | 48,000 | 52,989 | |
5.5% 8/15/28 | 4,000 | 4,239 | |
U.S. Treasury Notes: | |||
0.125% 7/15/23 | 4,000 | 3,993 | |
0.125% 10/15/23 | 8,000 | 7,884 | |
0.125% 12/15/23 | 7,000 | 6,841 | |
0.125% 1/15/24 | 8,000 | 7,781 | |
0.25% 5/31/25 | 3,034,000 | 2,776,466 | |
0.25% 6/30/25 | 635,000 | 579,934 | |
0.25% 7/31/25 | 45,000 | 40,948 | |
0.25% 8/31/25 | 154,000 | 139,719 | |
0.25% 9/30/25 | 13,103,000 | 11,867,940 | |
0.25% 10/31/25 | 1,394,000 | 1,258,085 | |
0.375% 10/31/23 | 9,000 | 8,859 | |
0.375% 4/30/25 | 1,297,000 | 1,193,341 | |
0.375% 1/31/26 | 1,602,000 | 1,438,296 | |
0.375% 7/31/27 | 509,000 | 435,434 | |
0.375% 9/30/27 | 1,151,000 | 979,609 | |
0.5% 2/28/26 | 7,878,000 | 7,076,660 | |
0.5% 4/30/27 | 718,000 | 622,304 | |
0.5% 5/31/27 | 1,393,000 | 1,204,346 | |
0.5% 6/30/27 | 2,827,000 | 2,437,404 | |
0.5% 10/31/27 | 3,232,000 | 2,758,562 | |
0.625% 7/31/26 | 5,694,000 | 5,072,776 | |
0.625% 3/31/27 | 1,460,000 | 1,274,648 | |
0.625% 11/30/27 | 1,680,000 | 1,438,828 | |
0.625% 12/31/27 | 3,820,000 | 3,264,309 | |
0.625% 5/15/30 | 2,549,000 | 2,041,988 | |
0.625% 8/15/30 | 360,000 | 286,805 | |
0.75% 11/15/24 | 3,110,000 | 2,925,101 | |
0.75% 3/31/26 | 2,331,000 | 2,106,823 | |
0.75% 4/30/26 | 961,000 | 865,350 | |
0.75% 5/31/26 | 1,269,000 | 1,139,869 | |
0.75% 1/31/28 | 98,000 | 84,066 | |
1% 12/15/24 | 1,610,000 | 1,515,224 | |
1% 7/31/28 | 1,229,000 | 1,054,060 | |
1.125% 2/28/27 | 691,000 | 616,610 | |
1.125% 2/29/28 | 3,054,000 | 2,661,513 | |
1.125% 8/31/28 | 110,000 | 94,776 | |
1.25% 8/31/24 | 1,923,000 | 1,834,136 | |
1.25% 11/30/26 | 545,000 | 491,032 | |
1.25% 12/31/26 | 2,240,000 | 2,016,000 | |
1.25% 3/31/28 | 2,218,000 | 1,941,270 | |
1.25% 4/30/28 | 2,488,000 | 2,173,501 | |
1.25% 6/30/28 | 2,989,000 | 2,601,831 | |
1.25% 9/30/28 | 748,000 | 647,517 | |
1.25% 8/15/31 | 6,574,000 | 5,394,789 | |
1.375% 1/31/25 | 1,386,000 | 1,307,117 | |
1.375% 8/31/26 | 253,000 | 230,210 | |
1.375% 10/31/28 | 580,000 | 504,600 | |
1.5% 9/30/24 | 1,783,000 | 1,701,233 | |
1.5% 10/31/24 | 2,714,000 | 2,582,329 | |
1.5% 11/30/24 | 2,519,000 | 2,391,672 | |
1.5% 8/15/26 | 557,000 | 509,111 | |
1.5% 1/31/27 | 5,287,000 | 4,789,072 | |
1.5% 11/30/28 | 1,091,000 | 954,284 | |
1.5% 2/15/30 | 876,000 | 750,280 | |
1.625% 2/15/26 | 261,000 | 241,874 | |
1.625% 5/15/26 | 264,000 | 243,592 | |
1.625% 9/30/26 | 653,000 | 598,184 | |
1.625% 10/31/26 | 457,000 | 417,941 | |
1.625% 11/30/26 | 180,000 | 164,341 | |
1.625% 8/15/29 | 66,000 | 57,551 | |
1.625% 5/15/31 | 990,000 | 841,307 | |
1.75% 7/31/24 | 1,000,000 | 961,797 | |
1.75% 12/31/24 | 2,363,000 | 2,246,511 | |
1.75% 1/31/29 | 581,000 | 513,595 | |
1.875% 6/30/26 | 589,000 | 546,620 | |
1.875% 7/31/26 | 909,000 | 841,606 | |
1.875% 2/28/29 | 230,000 | 204,529 | |
2% 2/15/25 | 82,000 | 78,054 | |
2% 8/15/25 | 50,000 | 47,170 | |
2% 11/15/26 | 25,000 | 23,124 | |
2.125% 5/15/25 | 13,000 | 12,346 | |
2.25% 10/31/24 | 279,000 | 268,123 | |
2.25% 12/31/24 | 160,000 | 153,200 | |
2.25% 2/15/27 | 393,000 | 365,444 | |
2.25% 8/15/27 | 639,000 | 590,701 | |
2.25% 11/15/27 | 682,000 | 628,159 | |
2.375% 4/30/26 | 405,000 | 381,918 | |
2.375% 5/15/27 | 46,000 | 42,834 | |
2.375% 5/15/29 | 108,000 | 98,466 | |
2.5% 1/31/25 | 238,000 | 228,415 | |
2.5% 2/28/26 | 191,000 | 181,040 | |
2.5% 3/31/27 | 2,220,000 | 2,080,470 | |
2.625% 12/31/25 | 331,000 | 315,239 | |
2.625% 1/31/26 | 461,000 | 438,724 | |
2.625% 5/31/27 | 2,770,000 | 2,602,718 | |
2.625% 2/15/29 | 391,000 | 362,301 | |
2.625% 7/31/29 | 4,810,000 | 4,443,425 | |
2.75% 6/30/25 | 113,000 | 108,409 | |
2.75% 4/30/27 | 2,550,000 | 2,408,854 | |
2.75% 7/31/27 | 2,460,000 | 2,319,223 | |
2.75% 2/15/28 | 363,000 | 341,149 | |
2.75% 5/31/29 | 530,000 | 493,438 | |
2.75% 8/15/32 | 11,046,000 | 10,126,507 | |
2.875% 11/30/23 | 5,000 | 4,949 | |
2.875% 5/31/25 | 144,000 | 138,600 | |
2.875% 5/15/28 | 216,000 | 203,808 | |
2.875% 8/15/28 | 113,000 | 106,441 | |
2.875% 5/15/32 | 120,000 | 111,263 | |
3% 7/31/24 | 250,000 | 243,662 | |
3% 9/30/25 | 148,000 | 142,444 | |
3% 10/31/25 | 130,000 | 125,034 | |
3.125% 8/31/27 | 2,710,000 | 2,591,755 | |
3.125% 11/15/28 | 940,000 | 895,460 | |
3.125% 8/31/29 | 820,000 | 778,840 | |
3.25% 6/30/27 | 70,000 | 67,320 | |
3.25% 6/30/29 | 100,000 | 95,672 | |
3.375% 5/15/33 | 3,000,000 | 2,893,125 | |
3.5% 9/15/25 | 2,990,000 | 2,909,177 | |
3.5% 1/31/28 | 2,820,000 | 2,738,374 | |
3.5% 4/30/28 | 4,620,000 | 4,487,629 | |
3.5% 1/31/30 | 2,340,000 | 2,270,623 | |
3.5% 4/30/30 | 660,000 | 640,819 | |
3.5% 2/15/33 | 370,000 | 360,403 | |
3.625% 3/31/28 | 1,770,000 | 1,728,792 | |
3.625% 3/31/30 | 3,450,000 | 3,374,801 | |
3.75% 4/15/26 | 3,540,000 | 3,464,775 | |
3.75% 5/31/30 | 2,570,000 | 2,534,261 | |
3.875% 4/30/25 | 6,370,000 | 6,246,084 | |
3.875% 1/15/26 | 2,240,000 | 2,198,175 | |
3.875% 11/30/27 | 1,840,000 | 1,813,909 | |
3.875% 12/31/27 | 2,950,000 | 2,908,028 | |
3.875% 9/30/29 | 2,240,000 | 2,217,950 | |
3.875% 11/30/29 | 2,450,000 | 2,427,797 | |
4% 2/15/26 | 720,000 | 708,947 | |
4% 2/29/28 | 3,120,000 | 3,096,966 | |
4% 6/30/28 | 1,540,000 | 1,531,578 | |
4% 10/31/29 | 1,950,000 | 1,944,896 | |
4% 2/28/30 | 1,610,000 | 1,608,868 | |
4.125% 1/31/25 | 960,000 | 944,925 | |
4.125% 6/15/26 | 1,880,000 | 1,861,053 | |
4.125% 9/30/27 | 4,180,000 | 4,156,651 | |
4.125% 10/31/27 | 3,550,000 | 3,531,418 | |
4.125% 11/15/32 | 3,910,000 | 3,995,531 | |
4.25% 9/30/24 | 460,000 | 453,963 | |
4.25% 12/31/24 | 840,000 | 828,253 | |
4.25% 5/31/25 | 1,580,000 | 1,560,127 | |
4.25% 10/15/25 | 2,880,000 | 2,847,825 | |
4.375% 10/31/24 | 1,400,000 | 1,383,102 | |
4.5% 11/15/25 | 2,070,000 | 2,059,246 | |
4.625% 2/28/25 | 7,160,000 | 7,104,342 | |
TOTAL U.S. TREASURY OBLIGATIONS | 279,528,714 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $314,236,238) | 286,578,517 | ||
U.S. Government Agency - Mortgage Securities - 27.0% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 11.7% | |||
1.5% 10/1/36 to 4/1/52 | 7,354,806 | 6,115,860 | |
2% 7/1/35 to 12/1/51 | 27,329,089 | 22,731,867 | |
2% 9/1/50 | 215,066 | 176,921 | |
2.5% 1/1/27 to 3/1/52 | 15,355,404 | 13,233,192 | |
3% 4/1/32 to 6/1/52 | 18,840,682 | 16,881,845 | |
3.5% 2/1/27 to 10/1/52 | 8,689,026 | 8,083,033 | |
4% 6/1/34 to 3/1/53 | 6,390,953 | 6,055,000 | |
4.5% 10/1/39 to 2/1/53 | 3,581,913 | 3,474,708 | |
5% 7/1/48 to 2/1/53 | 2,709,144 | 2,670,326 | |
5.5% 5/1/44 to 4/1/53 | 1,072,856 | 1,071,314 | |
6% 10/1/52 to 1/1/53 | 1,343,423 | 1,355,914 | |
6.5% 5/1/53 | 485,302 | 495,546 | |
TOTAL FANNIE MAE | 82,345,526 | ||
Freddie Mac - 8.7% | |||
1.5% 10/1/36 to 11/1/51 | 3,930,757 | 3,120,063 | |
2% 10/1/30 to 1/1/52 | 23,139,359 | 19,215,186 | |
2% 9/1/35 | 226,728 | 201,870 | |
2% 11/1/35 | 324,598 | 289,010 | |
2% 11/1/35 | 110,517 | 98,401 | |
2.5% 4/1/27 to 6/1/52 | 20,632,055 | 17,678,525 | |
2.5% 4/1/52 | 585,105 | 497,298 | |
3% 1/1/29 to 6/1/52 | 1,875,493 | 1,681,017 | |
3% 8/1/47 | 28,993 | 25,940 | |
3.5% 7/1/33 to 9/1/52 | 5,992,925 | 5,541,509 | |
4% 3/1/26 to 10/1/52 | 4,209,656 | 3,996,507 | |
4.5% 11/1/40 to 1/1/53 | 3,769,709 | 3,646,556 | |
5% 6/1/30 to 6/1/53 | 2,406,895 | 2,375,289 | |
5.5% 6/1/49 to 4/1/53 | 2,294,127 | 2,286,690 | |
6% 12/1/52 to 1/1/53 | 395,210 | 398,831 | |
6.5% 11/1/52 | 199,828 | 204,614 | |
TOTAL FREDDIE MAC | 61,257,306 | ||
Ginnie Mae - 6.0% | |||
1.5% 5/20/51 | 108,907 | 87,637 | |
2% 2/20/51 to 3/20/52 | 9,629,417 | 8,099,468 | |
2% 7/1/53 (e) | 100,000 | 83,964 | |
2% 7/1/53 (e) | 150,000 | 125,946 | |
2% 7/1/53 (e) | 50,000 | 41,982 | |
2% 7/1/53 (e) | 100,000 | 83,964 | |
2% 7/1/53 (e) | 300,000 | 251,892 | |
2% 8/1/53 (e) | 50,000 | 42,033 | |
2% 8/1/53 (e) | 50,000 | 42,033 | |
2.5% 10/20/46 to 5/20/52 | 10,193,934 | 8,854,378 | |
2.5% 7/1/53 (e) | 200,000 | 173,084 | |
2.5% 7/1/53 (e) | 300,000 | 259,626 | |
2.5% 7/1/53 (e) | 100,000 | 86,542 | |
2.5% 7/1/53 (e) | 150,000 | 129,813 | |
2.5% 7/1/53 (e) | 250,000 | 216,355 | |
2.5% 8/1/53 (e) | 150,000 | 129,973 | |
2.5% 8/1/53 (e) | 250,000 | 216,621 | |
3% 7/20/42 to 11/20/52 | 7,564,587 | 6,814,780 | |
3% 7/1/53 (e) | 100,000 | 89,335 | |
3% 7/1/53 (e) | 100,000 | 89,335 | |
3.5% 2/20/46 to 10/20/52 | 5,701,528 | 5,318,258 | |
3.5% 7/1/53 (e) | 200,000 | 184,546 | |
4% 4/20/47 to 1/20/53 | 3,834,923 | 3,651,126 | |
4.5% 1/20/47 to 5/20/53 | 2,739,637 | 2,653,913 | |
4.5% 7/1/53 (e) | 200,000 | 192,973 | |
5% 11/20/47 to 6/20/53 | 1,983,624 | 1,956,223 | |
5% 7/1/53 (e) | 200,000 | 196,509 | |
5.5% 9/20/47 to 2/20/53 | 1,019,420 | 1,016,101 | |
5.5% 7/1/53 (e) | 400,000 | 398,240 | |
6% 12/20/52 to 1/20/53 | 696,865 | 701,935 | |
6% 7/1/53 (e) | 100,000 | 100,664 | |
6.5% 12/20/52 | 198,550 | 202,317 | |
6.5% 7/1/53 (e) | 200,000 | 203,516 | |
TOTAL GINNIE MAE | 42,695,082 | ||
Uniform Mortgage Backed Securities - 0.6% | |||
1.5% 7/1/38 (e) | 100,000 | 86,252 | |
2% 7/1/38 (e) | 250,000 | 221,529 | |
2% 7/1/53 (e) | 450,000 | 366,699 | |
2% 7/1/53 (e) | 450,000 | 366,699 | |
2% 7/1/53 (e) | 150,000 | 122,233 | |
2% 7/1/53 (e) | 700,000 | 570,420 | |
2% 7/1/53 (e) | 350,000 | 285,210 | |
2% 7/1/53 (e) | 350,000 | 285,210 | |
2% 8/1/53 (e) | 300,000 | 244,841 | |
2.5% 7/1/53 (e) | 150,000 | 127,119 | |
2.5% 7/1/53 (e) | 400,000 | 338,984 | |
2.5% 7/1/53 (e) | 100,000 | 84,746 | |
4% 7/1/53 (e) | 100,000 | 93,820 | |
4.5% 7/1/53 (e) | 100,000 | 96,094 | |
5% 7/1/53 (e) | 400,000 | 391,891 | |
5.5% 7/1/53 (e) | 500,000 | 497,597 | |
6% 7/1/53 (e) | 300,000 | 302,613 | |
6.5% 7/1/53 (e) | 100,000 | 102,102 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 4,584,059 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $217,777,921) | 190,881,973 | ||
Asset-Backed Securities - 0.3% | |||
Principal Amount (a) | Value ($) | ||
Capital One Multi-Asset Execution Trust: | |||
Series 2019-A3 Class A3, 2.06% 8/15/28 | 116,000 | 105,941 | |
1.39% 7/15/30 | 150,000 | 125,837 | |
Capital One Prime Auto Receivables Series 2023-1 Class A3, 4.87% 2/15/28 | 60,000 | 59,351 | |
CarMax Auto Owner Trust: | |||
Series 2021-1 Class A3, 0.34% 12/15/25 | 196,806 | 191,099 | |
Series 2022-3 Class A2A, 3.97% 4/15/27 | 330,000 | 322,063 | |
Carmax Auto Owner Trust Series 2023 2 Class A3, 5.05% 1/18/28 | 220,000 | 218,427 | |
Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/30 | 250,000 | 238,016 | |
Ford Credit Auto Owner Trust Series 2023-A Class A3, 4.65% 2/15/28 | 156,000 | 153,990 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 30,000 | 28,339 | |
GM Financial Consumer Automobile Re Series 2023 2 Class A3, 4.47% 2/16/28 | 220,000 | 216,065 | |
GM Financial Consumer Automobile Receivables Trust Series 2021-1 Class A3, 0.35% 10/16/25 | 170,876 | 166,610 | |
Hyundai Auto Receivables Trust: | |||
Series 2022-C Class A3, 5.39% 6/15/27 | 150,000 | 149,859 | |
Series 2023 A Class A3, 4.58% 4/15/27 | 220,000 | 216,590 | |
3.72% 11/16/26 | 223,000 | 217,233 | |
TOTAL ASSET-BACKED SECURITIES (Cost $2,520,229) | 2,409,420 | ||
Commercial Mortgage Securities - 1.4% | |||
Principal Amount (a) | Value ($) | ||
BANK sequential payer: | |||
Series 2017-BNK4 Class ASB, 3.419% 5/15/50 | 146,333 | 139,408 | |
Series 2020-BN25 Class A5, 2.649% 1/15/63 | 220,000 | 185,649 | |
Series 2020-BN28 Class A4, 1.844% 3/15/63 | 360,000 | 284,776 | |
Series 2022-BNK39 Class A4, 2.928% 2/15/55 | 100,000 | 83,453 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2020-B19 Class A5, 1.85% 9/15/53 | 410,000 | 317,225 | |
Series 2021-B24 Class A5, 2.5843% 3/15/54 | 500,000 | 398,406 | |
Series 2019-B12 Class A5, 3.1156% 8/15/52 | 95,000 | 82,927 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 130,000 | 117,847 | |
BMO Mortgage Trust sequential payer Series 2022-C1 Class A5, 3.374% 2/15/55 | 100,000 | 86,452 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2015-GC29 Class A4, 3.192% 4/10/48 | 80,000 | 75,448 | |
Series 2016-C1 Class A4, 3.209% 5/10/49 | 90,000 | 83,363 | |
Series 2018-B2 Class A4, 4.009% 3/10/51 | 1,000,000 | 923,676 | |
CSAIL Commercial Mortgage Trust sequential payer Series 2019-C17: | |||
Class A4, 2.7628% 9/15/52 | 200,000 | 168,560 | |
Class A5, 3.0161% 9/15/52 | 200,000 | 171,978 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2016-K057 Class A2, 2.57% 7/25/26 | 159,400 | 149,575 | |
Series 2020-K104 Class A2, 2.253% 1/25/30 | 680,000 | 592,616 | |
Series 2020-K116 Class A2, 1.378% 7/25/30 | 770,000 | 623,927 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 590,000 | 478,035 | |
Series 2020-K118 Class A2, 1.493% 9/25/30 | 590,000 | 480,276 | |
Series 2020-K121 Class A2, 1.547% 10/25/30 | 890,000 | 725,047 | |
Series 2021-K125 Class A2, 1.846% 1/25/31 | 100,000 | 82,909 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 200,000 | 168,784 | |
Series 2021-K128 Class A2, 2.02% 3/25/31 | 200,000 | 167,877 | |
Series K080 Class A2, 3.926% 7/25/28 | 80,000 | 77,698 | |
Series 2017-K068 Class A2, 3.244% 8/25/27 | 130,000 | 122,853 | |
Series 2019-K094 Class A2, 2.903% 6/25/29 | 300,000 | 274,491 | |
Series 2019-K1510 Class A2, 3.718% 1/25/31 | 124,000 | 116,666 | |
Series 2021-K123 Class A2, 1.621% 12/25/30 | 700,000 | 572,021 | |
Series K079 Class A2, 3.926% 6/25/28 | 20,000 | 19,423 | |
GS Mortgage Securities Trust sequential payer: | |||
Series 2014-GC26 Class A4, 3.364% 11/10/47 | 63,412 | 61,115 | |
Series 2020-GC45 Class A5, 2.9106% 2/13/53 | 260,000 | 222,224 | |
JPMBB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2014-C21 Class A5, 3.7748% 8/15/47 | 150,000 | 145,804 | |
Series 2014-C24 Class A5, 3.6385% 11/15/47 | 150,000 | 143,964 | |
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2020-COR7 Class A5, 2.1798% 5/13/53 | 500,000 | 402,707 | |
Morgan Stanley Capital I Trust sequential payer Series 2020-L4 Class A3, 2.698% 2/15/53 | 100,000 | 83,839 | |
UBS Commercial Mortgage Trust sequential payer Series 2019-C16 Class A4, 3.6048% 4/15/52 | 350,000 | 313,602 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2019-C52 Class A5, 2.892% 8/15/52 | 200,000 | 172,046 | |
Series 2019-C54 Class A4, 3.146% 12/15/52 | 538,000 | 468,124 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 123,000 | 115,482 | |
Wells Fargo Commercial Mtg Trust 2020-C sequential payer Series 2020-C55 Class A5, 2.725% 2/15/53 | 90,000 | 75,672 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $12,076,624) | 9,975,945 | ||
Municipal Securities - 0.5% | |||
Principal Amount (a) | Value ($) | ||
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 7.834% 2/15/41 | 55,000 | 69,326 | |
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | |||
Series 2009 F2, 6.263% 4/1/49 | 75,000 | 88,821 | |
Series 2010 S1, 7.043% 4/1/50 | 75,000 | 96,274 | |
California Gen. Oblig.: | |||
Series 2009, 7.55% 4/1/39 | 145,000 | 182,671 | |
Series 2010, 7.6% 11/1/40 | 350,000 | 446,837 | |
California State Univ. Rev. Series 2021 B, 2.719% 11/1/52 | 195,000 | 136,242 | |
Chicago O'Hare Int'l. Arpt. Rev. Series 2010 B, 6.395% 1/1/40 | 250,000 | 286,012 | |
Dallas Area Rapid Transit Sales Tax Rev. Series 2021 A, 2.613% 12/1/48 | 200,000 | 142,302 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2019 A, 3.144% 11/1/45 | 20,000 | 15,344 | |
Series 2021 C, 2.843% 11/1/46 | 150,000 | 110,237 | |
Series 2022 A, 4.507% 11/1/51 | 65,000 | 60,493 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 B: | |||
2.746% 6/1/34 | 80,000 | 65,097 | |
3.293% 6/1/42 | 40,000 | 30,051 | |
Idaho Energy Resources Auth. Series 2021, 2.861% 9/1/46 | 45,000 | 32,709 | |
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 | 500,000 | 491,354 | |
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series 2019 B, 3.395% 10/15/40 | 100,000 | 82,681 | |
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2021 C, 2.823% 8/1/41 | 100,000 | 77,991 | |
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2021 A, 3.225% 9/1/47 | 100,000 | 76,624 | |
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39 | 60,000 | 63,671 | |
New York State Dorm. Auth. Series 2021 C, 2.202% 3/15/34 | 200,000 | 157,217 | |
Port Auth. of New York & New Jersey Series 225, 3.175% 7/15/60 | 400,000 | 283,606 | |
Univ. of California Regents Med. Ctr. Pool Rev. Series N: | |||
3.006% 5/15/50 | 175,000 | 123,004 | |
3.256% 5/15/60 | 150,000 | 105,294 | |
Univ. of Virginia Gen. Rev. Series 2021 B, 2.584% 11/1/51 | 140,000 | 93,047 | |
TOTAL MUNICIPAL SECURITIES (Cost $4,313,954) | 3,316,905 | ||
Foreign Government and Government Agency Obligations - 2.0% | |||
Principal Amount (a) | Value ($) | ||
Alberta Province: | |||
2.95% 1/23/24 | 110,000 | 108,367 | |
3.3% 3/15/28 | 75,000 | 71,325 | |
Chilean Republic: | |||
3.24% 2/6/28 | 200,000 | 187,562 | |
3.86% 6/21/47 | 325,000 | 265,873 | |
4.95% 1/5/36 | 270,000 | 265,893 | |
Export Development Canada 2.625% 2/21/24 | 120,000 | 117,761 | |
Hungarian Republic: | |||
5.375% 3/25/24 | 662,000 | 659,352 | |
5.75% 11/22/23 | 10,000 | 9,989 | |
Indonesian Republic: | |||
2.85% 2/14/30 | 200,000 | 177,234 | |
3.5% 2/14/50 | 200,000 | 152,362 | |
3.85% 10/15/30 | 348,000 | 326,059 | |
4.1% 4/24/28 | 200,000 | 192,656 | |
Israeli State 3.375% 1/15/50 | 225,000 | 168,660 | |
Italian Republic: | |||
2.375% 10/17/24 | 550,000 | 525,055 | |
2.875% 10/17/29 | 350,000 | 304,066 | |
Manitoba Province 2.6% 4/16/24 | 410,000 | 400,734 | |
Ontario Province: | |||
1.05% 5/21/27 | 1,413,000 | 1,234,920 | |
1.125% 10/7/30 | 175,000 | 139,988 | |
2.3% 6/15/26 | 50,000 | 46,640 | |
2.5% 4/27/26 | 115,000 | 108,179 | |
3.05% 1/29/24 | 90,000 | 88,669 | |
Panamanian Republic: | |||
3.16% 1/23/30 | 800,000 | 699,784 | |
4.5% 4/16/50 | 200,000 | 153,906 | |
6.7% 1/26/36 | 100,000 | 106,782 | |
Peruvian Republic: | |||
1.862% 12/1/32 | 340,000 | 261,100 | |
2.78% 12/1/60 | 100,000 | 60,717 | |
2.844% 6/20/30 | 190,000 | 166,151 | |
3.55% 3/10/51 | 170,000 | 126,456 | |
4.125% 8/25/27 | 50,000 | 48,667 | |
Philippine Republic: | |||
2.65% 12/10/45 | 500,000 | 335,360 | |
3% 2/1/28 | 200,000 | 185,612 | |
5.17% 10/13/27 | 200,000 | 202,488 | |
6.375% 10/23/34 | 100,000 | 111,373 | |
Polish Government: | |||
3.25% 4/6/26 | 73,000 | 70,310 | |
5.5% 4/4/53 | 100,000 | 100,388 | |
Quebec Province: | |||
1.5% 2/11/25 | 2,149,000 | 2,027,560 | |
2.5% 4/9/24 | 140,000 | 136,752 | |
2.75% 4/12/27 | 95,000 | 88,872 | |
United Mexican States: | |||
3.25% 4/16/30 | 1,971,000 | 1,752,042 | |
3.5% 2/12/34 | 619,000 | 516,568 | |
4.75% 4/27/32 | 387,000 | 369,326 | |
6.05% 1/11/40 | 170,000 | 172,465 | |
Uruguay Republic 7.625% 3/21/36 | 678,000 | 834,347 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $16,230,568) | 14,078,370 | ||
Supranational Obligations - 1.2% | |||
Principal Amount (a) | Value ($) | ||
African Development Bank 0.875% 7/22/26 | 160,000 | 142,859 | |
Asian Development Bank: | |||
0.375% 9/3/25 | 450,000 | 409,095 | |
0.75% 10/8/30 | 100,000 | 79,054 | |
1.5% 10/18/24 | 200,000 | 190,482 | |
1.875% 1/24/30 | 610,000 | 530,588 | |
2.625% 1/30/24 | 80,000 | 78,686 | |
5.82% 6/16/28 | 110,000 | 116,926 | |
European Investment Bank: | |||
0.75% 9/23/30 | 250,000 | 199,225 | |
0.875% 5/17/30 | 18,000 | 14,584 | |
2.25% 6/24/24 | 1,678,000 | 1,626,105 | |
2.875% 8/15/23 | 260,000 | 259,304 | |
Inter-American Development Bank: | |||
0.625% 7/15/25 | 390,000 | 357,961 | |
1.75% 3/14/25 | 194,000 | 183,448 | |
2.25% 6/18/29 | 1,029,000 | 920,219 | |
4.375% 1/24/44 | 39,000 | 39,001 | |
International Bank for Reconstruction & Development: | |||
0.375% 7/28/25 | 270,000 | 246,461 | |
0.5% 10/28/25 | 218,000 | 197,865 | |
0.75% 8/26/30 | 160,000 | 126,757 | |
0.875% 5/14/30 | 176,000 | 141,831 | |
1.25% 2/10/31 | 110,000 | 89,750 | |
1.5% 8/28/24 | 1,012,000 | 968,230 | |
1.625% 1/15/25 | 155,000 | 146,954 | |
2.5% 3/19/24 | 130,000 | 127,294 | |
2.5% 11/22/27 | 92,000 | 85,349 | |
2.5% 3/29/32 | 290,000 | 258,795 | |
3% 9/27/23 | 100,000 | 99,427 | |
International Finance Corp.: | |||
0.75% 8/27/30 | 60,000 | 47,615 | |
1.375% 10/16/24 | 1,051,000 | 999,728 | |
2.875% 7/31/23 | 112,000 | 111,812 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $9,690,408) | 8,795,405 | ||
Bank Notes - 0.3% | |||
Principal Amount (a) | Value ($) | ||
Bank of America NA 6% 10/15/36 | 250,000 | 267,083 | |
Discover Bank 2.7% 2/6/30 | 500,000 | 403,393 | |
PNC Bank NA 3.875% 4/10/25 | 260,000 | 248,192 | |
Truist Bank 3.3% 5/15/26 | 200,000 | 183,373 | |
U.S. Bank NA, Cincinnati 2.8% 1/27/25 | 1,000,000 | 954,535 | |
TOTAL BANK NOTES (Cost $2,208,025) | 2,056,576 | ||
Money Market Funds - 0.8% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (f) (Cost $5,507,848) | 5,506,747 | 5,507,848 | |
TOTAL INVESTMENT IN SECURITIES - 101.4% (Cost $806,933,520) | 716,306,862 |
NET OTHER ASSETS (LIABILITIES) - (1.4)% | (9,761,707) |
NET ASSETS - 100.0% | 706,545,155 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 7/1/53 | (50,000) | (41,982) |
2% 7/1/53 | (50,000) | (41,982) |
2.5% 7/1/53 | (150,000) | (129,813) |
2.5% 7/1/53 | (250,000) | (216,355) |
2.5% 7/1/53 | (150,000) | (129,813) |
2.5% 7/1/53 | (250,000) | (216,355) |
TOTAL GINNIE MAE | (776,300) | |
Uniform Mortgage Backed Securities | ||
2% 7/1/38 | (250,000) | (221,529) |
2% 7/1/53 | (300,000) | (244,466) |
2% 7/1/53 | (200,000) | (162,977) |
2.5% 7/1/53 | (550,000) | (466,104) |
4.5% 7/1/53 | (400,000) | (384,375) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (1,479,451) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $2,261,506) | (2,255,751) |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $653,126 or 0.1% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(e) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 2,369,438 | 75,551,185 | 72,412,775 | 49,973 | - | - | 5,507,848 | 0.0% |
Total | 2,369,438 | 75,551,185 | 72,412,775 | 49,973 | - | - | 5,507,848 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Corporate Bonds | 192,705,903 | - | 192,705,903 | - |
U.S. Government and Government Agency Obligations | 286,578,517 | - | 286,578,517 | - |
U.S. Government Agency - Mortgage Securities | 190,881,973 | - | 190,881,973 | - |
Asset-Backed Securities | 2,409,420 | - | 2,409,420 | - |
Commercial Mortgage Securities | 9,975,945 | - | 9,975,945 | - |
Municipal Securities | 3,316,905 | - | 3,316,905 | - |
Foreign Government and Government Agency Obligations | 14,078,370 | - | 14,078,370 | - |
Supranational Obligations | 8,795,405 | - | 8,795,405 | - |
Bank Notes | 2,056,576 | - | 2,056,576 | - |
Money Market Funds | 5,507,848 | 5,507,848 | - | - |
Total Investments in Securities: | 716,306,862 | 5,507,848 | 710,799,014 | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (2,255,751) | - | (2,255,751) | - |
Total Other Financial Instruments: | (2,255,751) | - | (2,255,751) | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $801,425,672) | $ | 710,799,014 | ||
Fidelity Central Funds (cost $5,507,848) | 5,507,848 | |||
Total Investment in Securities (cost $806,933,520) | $ | 716,306,862 | ||
Cash | 22,593 | |||
Receivable for investments sold | 3,501,786 | |||
Receivable for TBA sale commitments | 2,261,506 | |||
Receivable for fund shares sold | 148,454 | |||
Interest receivable | 4,436,209 | |||
Distributions receivable from Fidelity Central Funds | 8,620 | |||
Total assets | 726,686,030 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 9,435,002 | ||
Delayed delivery | 7,952,904 | |||
TBA sale commitments, at value | 2,255,751 | |||
Payable for fund shares redeemed | 375,070 | |||
Accrued management fee | 52,680 | |||
Distribution and service plan fees payable | 40,202 | |||
Other affiliated payables | 29,266 | |||
Total Liabilities | 20,140,875 | |||
Net Assets | $ | 706,545,155 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 803,834,319 | ||
Total accumulated earnings (loss) | (97,289,164) | |||
Net Assets | $ | 706,545,155 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($510,671,810 ÷ 53,361,503 shares) | $ | 9.57 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($3,023,663 ÷ 315,869 shares) | $ | 9.57 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($192,849,682 ÷ 20,227,392 shares) | $ | 9.53 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 9,663,052 | ||
Income from Fidelity Central Funds | 49,973 | |||
Total Income | 9,713,025 | |||
Expenses | ||||
Management fee | $ | 309,789 | ||
Transfer agent fees | 172,106 | |||
Distribution and service plan fees | 241,174 | |||
Independent trustees' fees and expenses | 1,168 | |||
Total expenses before reductions | 724,237 | |||
Expense reductions | (3,590) | |||
Total expenses after reductions | 720,647 | |||
Net Investment income (loss) | 8,992,378 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (3,893,348) | |||
Total net realized gain (loss) | (3,893,348) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 8,519,870 | |||
TBA Sale commitments | 5,755 | |||
Total change in net unrealized appreciation (depreciation) | 8,525,625 | |||
Net gain (loss) | 4,632,277 | |||
Net increase (decrease) in net assets resulting from operations | $ | 13,624,655 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 8,992,378 | $ | 12,420,149 |
Net realized gain (loss) | (3,893,348) | (9,132,556) | ||
Change in net unrealized appreciation (depreciation) | 8,525,625 | (99,058,336) | ||
Net increase (decrease) in net assets resulting from operations | 13,624,655 | (95,770,743) | ||
Distributions to shareholders | (2,526,555) | (10,947,690) | ||
Share transactions - net increase (decrease) | 45,639,682 | 13,082,659 | ||
Total increase (decrease) in net assets | 56,737,782 | (93,635,774) | ||
Net Assets | ||||
Beginning of period | 649,807,373 | 743,443,147 | ||
End of period | $ | 706,545,155 | $ | 649,807,373 |
VIP Bond Index Portfolio Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 A | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.40 | $ | 11.02 | $ | 11.35 | $ | 10.68 | $ | 10.06 | $ | 10.00 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .129 | .196 | .132 | .183 | .283 | .212 | ||||||
Net realized and unrealized gain (loss) | .078 | (1.646) | (.353) | .621 | .560 | (.022) | ||||||
Total from investment operations | .207 | (1.450) | (.221) | .804 | .843 | .190 | ||||||
Distributions from net investment income | (.037) | (.170) | (.109) | (.104) | (.191) | (.130) | ||||||
Distributions from net realized gain | - | - | - | (.030) | (.032) | - | ||||||
Total distributions | (.037) | (.170) | (.109) | (.134) | (.223) | (.130) | ||||||
Net asset value, end of period | $ | 9.57 | $ | 9.40 | $ | 11.02 | $ | 11.35 | $ | 10.68 | $ | 10.06 |
Total Return D,E,F | 2.20% | (13.19)% | (1.95)% | 7.53% | 8.38% | 1.90% | ||||||
Ratios to Average Net Assets C,G,H | ||||||||||||
Expenses before reductions | .14% I | .14% | .14% | .14% | .14% | .14% I | ||||||
Expenses net of fee waivers, if any | .14% I | .14% | .14% | .14% | .14% | .14% I | ||||||
Expenses net of all reductions | .14% I | .14% | .14% | .14% | .14% | .13% I | ||||||
Net investment income (loss) | 2.71% I | 1.97% | 1.19% | 1.63% | 2.67% | 3.01% I | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 510,672 | $ | 461,166 | $ | 513,626 | $ | 569,594 | $ | 258,250 | $ | 91,033 |
Portfolio turnover rate J | 39% I | 33% | 138% | 101% | 81% | 168% I |
VIP Bond Index Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 A | ||||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 9.41 | $ | 11.03 | $ | 11.37 | $ | 10.67 | $ | 10.33 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .124 | .185 | .119 | .171 | .197 | |||||
Net realized and unrealized gain (loss) | .072 | (1.645) | (.352) | .632 | .359 | |||||
Total from investment operations | .196 | (1.460) | (.233) | .803 | .556 | |||||
Distributions from net investment income | (.036) | (.160) | (.107) | (.073) | (.184) | |||||
Distributions from net realized gain | - | - | - | (.030) | (.032) | |||||
Total distributions | (.036) | (.160) | (.107) | (.103) | (.216) | |||||
Net asset value, end of period | $ | 9.57 | $ | 9.41 | $ | 11.03 | $ | 11.37 | $ | 10.67 |
Total Return D,E,F | 2.08% | (13.27)% | (2.05)% | 7.53% | 5.38% | |||||
Ratios to Average Net Assets C,G,H | ||||||||||
Expenses before reductions | .24% I | .24% | .24% | .24% | .24% I | |||||
Expenses net of fee waivers, if any | .24% I | .24% | .24% | .24% | .24% I | |||||
Expenses net of all reductions | .24% I | .24% | .24% | .24% | .24% I | |||||
Net investment income (loss) | 2.61% I | 1.87% | 1.09% | 1.53% | 2.53% I | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 3,024 | $ | 3,144 | $ | 2,759 | $ | 550 | $ | 103 |
Portfolio turnover rate J | 39% I | 33% | 138% | 101% | 81% |
VIP Bond Index Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 A | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.37 | $ | 10.98 | $ | 11.32 | $ | 10.68 | $ | 10.06 | $ | 10.00 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .117 | .170 | .104 | .161 | .262 | .195 | ||||||
Net realized and unrealized gain (loss) | .076 | (1.636) | (.357) | .614 | .556 | (.023) | ||||||
Total from investment operations | .193 | (1.466) | (.253) | .775 | .818 | .172 | ||||||
Distributions from net investment income | (.033) | (.144) | (.087) | (.105) | (.166) | (.112) | ||||||
Distributions from net realized gain | - | - | - | (.030) | (.032) | - | ||||||
Total distributions | (.033) | (.144) | (.087) | (.135) | (.198) | (.112) | ||||||
Net asset value, end of period | $ | 9.53 | $ | 9.37 | $ | 10.98 | $ | 11.32 | $ | 10.68 | $ | 10.06 |
Total Return D,E,F | 2.06% | (13.38)% | (2.24)% | 7.26% | 8.13% | 1.72% | ||||||
Ratios to Average Net Assets C,G,H | ||||||||||||
Expenses before reductions | .39% I | .39% | .39% | .37% | .39% | .39% I | ||||||
Expenses net of fee waivers, if any | .39% I | .39% | .39% | .37% | .39% | .39% I | ||||||
Expenses net of all reductions | .39% I | .39% | .39% | .37% | .39% | .38% I | ||||||
Net investment income (loss) | 2.46% I | 1.72% | .94% | 1.40% | 2.48% | 2.76% I | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 192,850 | $ | 185,497 | $ | 227,058 | $ | 215,977 | $ | 1,167 | $ | 1,006 |
Portfolio turnover rate J | 39% I | 33% | 138% | 101% | 81% | 168% I |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
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% |
Gross unrealized appreciation | $831,425 |
Gross unrealized depreciation | (90,548,179) |
Net unrealized appreciation (depreciation) | $(89,716,754) |
Tax cost | $806,029,371 |
Short-term | $(5,859,437) |
Long-term | (6,332,777) |
Total capital loss carryforward | $(12,192,214) |
Purchases ($) | Sales ($) | |
VIP Bond Index Portfolio | 74,389,991 | 43,085,424 |
Initial Class | .14% |
Service Class | .24% |
Service Class 2 | .39% |
Service Class | $1,576 |
Service Class 2 | 239,598 |
$241,174 |
Initial Class | $123,398 |
Service Class | 788 |
Service Class 2 | 47,920 |
$172,106 |
Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Bond Index Portfolio | ||
Distributions to shareholders | ||
Initial Class | $1,857,440 | $8,073,922 |
Service Class | 12,196 | 37,032 |
Service Class 2 | 656,919 | 2,836,736 |
Total | $2,526,555 | $10,947,690 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 | Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Bond Index Portfolio | ||||
Initial Class | ||||
Shares sold | 6,583,851 | 9,678,037 | $63,346,309 | $94,186,424 |
Reinvestment of distributions | 192,282 | 839,583 | 1,857,440 | 8,073,922 |
Shares redeemed | (2,464,544) | (8,075,341) | (23,598,597) | (80,837,184) |
Net increase (decrease) | 4,311,589 | 2,442,279 | $41,605,152 | $21,423,162 |
Service Class | ||||
Shares sold | 113,704 | 523,608 | $1,094,364 | $5,286,095 |
Reinvestment of distributions | 1,225 | 3,705 | 11,848 | 35,483 |
Shares redeemed | (133,205) | (443,381) | (1,274,263) | (4,614,624) |
Net increase (decrease) | (18,276) | 83,932 | $(168,051) | $706,954 |
Service Class 2 | ||||
Shares sold | 1,628,346 | 3,433,019 | $15,569,665 | $33,987,127 |
Reinvestment of distributions | 68,185 | 295,508 | 656,619 | 2,835,428 |
Shares redeemed | (1,256,036) | (4,614,007) | (12,023,703) | (45,870,012) |
Net increase (decrease) | 440,495 | (885,480) | $4,202,581 | $(9,047,457) |
Fund | Affiliated % | Number ofUnaffiliated Shareholders | Unaffiliated Shareholders % |
VIP Bond Index Portfolio | 61% | 1 | 32% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Bond Index Portfolio | ||||||||||
Initial Class | .14% | |||||||||
Actual | $ 1,000 | $ 1,022.00 | $ .70 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.10 | $ .70 | |||||||
Service Class | .24% | |||||||||
Actual | $ 1,000 | $ 1,020.80 | $ 1.20 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.60 | $ 1.20 | |||||||
Service Class 2 | .39% | |||||||||
Actual | $ 1,000 | $ 1,020.60 | $ 1.95 | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.86 | $ 1.96 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Top Bond Issuers (% of Fund's net assets) | ||
(with maturities greater than one year) | ||
U.S. Treasury Obligations | 25.6 | |
German Federal Republic | 2.7 | |
Fannie Mae | 1.9 | |
Freddie Mac | 2.3 | |
TransDigm, Inc. | 1.4 | |
JPMorgan Chase & Co. | 1.1 | |
CCO Holdings LLC/CCO Holdings Capital Corp. | 1.0 | |
Bank of America Corp. | 1.1 | |
Citigroup, Inc. | 0.8 | |
Caesars Entertainment, Inc. | 0.9 | |
38.8 | ||
Market Sectors (% of Fund's net assets) | ||
Financials | 10.2 | |
Energy | 7.6 | |
Consumer Discretionary | 7.4 | |
Industrials | 7.0 | |
Communication Services | 5.6 | |
Materials | 4.6 | |
Information Technology | 3.9 | |
Health Care | 2.7 | |
Utilities | 2.6 | |
Consumer Staples | 1.9 | |
Real Estate | 1.4 | |
Quality Diversification (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
Futures - 6.7% |
Forward foreign currency contracts - (7.7)% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Geographic Diversification (% of Fund's net assets) |
* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
Corporate Bonds - 39.1% | |||
Principal Amount (a) | Value ($) | ||
Convertible Bonds - 0.1% | |||
COMMUNICATION SERVICES - 0.0% | |||
Media - 0.0% | |||
DISH Network Corp. 3.375% 8/15/26 | 70,000 | 35,525 | |
CONSUMER DISCRETIONARY - 0.1% | |||
Hotels, Restaurants & Leisure - 0.1% | |||
New Cotai LLC 5% 2/24/27 (b) | 294,912 | 609,790 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 119,924 | 119,924 | |
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 208,674 | 208,674 | |
328,598 | |||
TOTAL CONVERTIBLE BONDS | 973,913 | ||
Nonconvertible Bonds - 39.0% | |||
COMMUNICATION SERVICES - 4.6% | |||
Diversified Telecommunication Services - 1.3% | |||
Altice France SA: | |||
5.125% 7/15/29(d) | 3,835,000 | 2,722,364 | |
5.5% 1/15/28(d) | 1,190,000 | 898,781 | |
5.5% 10/15/29(d) | 2,810,000 | 2,009,550 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) | 2,745,000 | 2,381,288 | |
Cablevision Lightpath LLC 3.875% 9/15/27 (d) | 325,000 | 272,188 | |
Colombia Telecomunicaciones SA 4.95% 7/17/30 (d) | 210,000 | 155,005 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28(d) | 1,165,000 | 1,005,174 | |
5.875% 10/15/27(d) | 620,000 | 569,012 | |
IHS Holding Ltd. 5.625% 11/29/26 (d) | 415,000 | 361,519 | |
Level 3 Financing, Inc. 3.75% 7/15/29 (d) | 1,140,000 | 686,710 | |
Liquid Telecommunications Financing PLC 5.5% 9/4/26 (d) | 605,000 | 335,412 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 4.75% 4/30/27 (d) | 280,000 | 247,296 | |
Qtel International Finance Ltd.: | |||
2.625% 4/8/31(d) | 460,000 | 395,375 | |
5% 10/19/25(d) | 230,000 | 229,761 | |
Qwest Corp. 7.25% 9/15/25 | 35,000 | 33,836 | |
Sable International Finance Ltd. 5.75% 9/7/27 (d) | 1,467,000 | 1,348,584 | |
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (d) | 570,000 | 522,975 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 600,000 | 550,200 | |
Virgin Media Finance PLC 5% 7/15/30 (d) | 1,385,000 | 1,102,418 | |
Windstream Escrow LLC 7.75% 8/15/28 (d) | 2,470,000 | 2,049,867 | |
Zayo Group Holdings, Inc. 4% 3/1/27 (d) | 900,000 | 635,629 | |
18,512,944 | |||
Entertainment - 0.1% | |||
Roblox Corp. 3.875% 5/1/30 (d) | 1,160,000 | 977,915 | |
Interactive Media & Services - 0.1% | |||
Baidu, Inc.: | |||
1.72% 4/9/26 | 460,000 | 415,812 | |
2.375% 10/9/30 | 270,000 | 222,907 | |
Tencent Holdings Ltd.: | |||
1.81% 1/26/26(d) | 240,000 | 218,974 | |
2.39% 6/3/30(d) | 495,000 | 411,993 | |
3.975% 4/11/29(d) | 180,000 | 167,036 | |
1,436,722 | |||
Media - 2.8% | |||
Altice Financing SA: | |||
5% 1/15/28(d) | 990,000 | 791,172 | |
5.75% 8/15/29(d) | 1,190,000 | 921,916 | |
Block Communications, Inc. 4.875% 3/1/28 (d) | 410,000 | 339,275 | |
Cable Onda SA 4.5% 1/30/30 (d) | 1,020,000 | 866,225 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31(d) | 1,005,000 | 813,015 | |
4.5% 8/15/30(d) | 4,690,000 | 3,905,321 | |
4.5% 5/1/32 | 665,000 | 530,974 | |
4.75% 3/1/30(d) | 4,810,000 | 4,112,953 | |
5.375% 6/1/29(d) | 4,800,000 | 4,339,656 | |
5.5% 5/1/26(d) | 365,000 | 355,886 | |
6.375% 9/1/29(d) | 595,000 | 560,584 | |
Clear Channel International BV 6.625% 8/1/25 (d) | 965,000 | 960,164 | |
CSC Holdings LLC: | |||
3.375% 2/15/31(d) | 860,000 | 582,126 | |
4.5% 11/15/31(d) | 1,600,000 | 1,115,546 | |
5.375% 2/1/28(d) | 2,505,000 | 2,012,869 | |
6.5% 2/1/29(d) | 1,905,000 | 1,539,610 | |
11.25% 5/15/28(d) | 300,000 | 290,919 | |
DISH DBS Corp. 5.75% 12/1/28 (d) | 685,000 | 509,492 | |
DISH Network Corp. 11.75% 11/15/27 (d) | 2,090,000 | 2,039,654 | |
Gannett Holdings LLC 6% 11/1/26 (d) | 400,000 | 336,978 | |
Gray Escrow II, Inc. 5.375% 11/15/31 (d) | 245,000 | 162,383 | |
LCPR Senior Secured Financing DAC: | |||
5.125% 7/15/29(d) | 1,370,000 | 1,151,192 | |
6.75% 10/15/27(d) | 544,000 | 509,718 | |
Nexstar Media, Inc.: | |||
4.75% 11/1/28(d) | 625,000 | 542,197 | |
5.625% 7/15/27(d) | 600,000 | 559,255 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (d) | 945,000 | 753,416 | |
Scripps Escrow II, Inc. 3.875% 1/15/29 (d) | 165,000 | 133,228 | |
Sirius XM Radio, Inc.: | |||
3.875% 9/1/31(d) | 570,000 | 440,777 | |
4% 7/15/28(d) | 580,000 | 503,946 | |
5% 8/1/27(d) | 485,000 | 449,978 | |
Townsquare Media, Inc. 6.875% 2/1/26 (d) | 325,000 | 310,800 | |
TV Azteca SA de CV 8.25% (Reg. S) (e) | 1,500,000 | 567,375 | |
Univision Communications, Inc.: | |||
4.5% 5/1/29(d) | 570,000 | 489,720 | |
7.375% 6/30/30(d) | 2,170,000 | 2,066,095 | |
Videotron Ltd. 5.125% 4/15/27 (d) | 615,000 | 589,631 | |
VTR Finance BV 6.375% 7/15/28 (d) | 320,000 | 120,000 | |
VZ Secured Financing BV 5% 1/15/32 (d) | 1,105,000 | 889,930 | |
Ziggo Bond Co. BV: | |||
5.125% 2/28/30(d) | 315,000 | 238,551 | |
6% 1/15/27(d) | 635,000 | 582,816 | |
Ziggo BV 4.875% 1/15/30 (d) | 430,000 | 356,870 | |
38,342,213 | |||
Wireless Telecommunication Services - 0.3% | |||
AXIAN Telecom 7.375% 2/16/27 (d) | 525,000 | 475,823 | |
Bharti Airtel International BV 5.35% 5/20/24 (d) | 594,000 | 590,020 | |
CT Trust 5.125% 2/3/32 (d) | 720,000 | 577,800 | |
Digicel Group Ltd. 6.75% (d)(e) | 270,000 | 51,300 | |
Intelsat Jackson Holdings SA 6.5% 3/15/30 (d) | 1,160,000 | 1,056,014 | |
Millicom International Cellular SA 4.5% 4/27/31 (d) | 530,000 | 405,715 | |
MTN (Mauritius) Investments Ltd.: | |||
4.755% 11/11/24(d) | 170,000 | 165,070 | |
6.5% 10/13/26(d) | 315,000 | 309,749 | |
Sprint Corp. 7.625% 3/1/26 | 540,000 | 560,938 | |
VTR Comunicaciones SpA: | |||
4.375% 4/15/29(d) | 210,000 | 106,903 | |
5.125% 1/15/28(d) | 620,000 | 319,567 | |
4,618,899 | |||
TOTAL COMMUNICATION SERVICES | 63,888,693 | ||
CONSUMER DISCRETIONARY - 5.1% | |||
Automobile Components - 0.2% | |||
Adient Global Holdings Ltd. 7% 4/15/28 (d) | 300,000 | 303,269 | |
Allison Transmission, Inc. 5.875% 6/1/29 (d) | 420,000 | 409,637 | |
Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (d) | 600,000 | 597,901 | |
Dana, Inc. 4.5% 2/15/32 | 410,000 | 340,308 | |
Exide Technologies: | |||
11% pay-in-kind(b)(d)(e)(f) | 384,000 | 0 | |
11% pay-in-kind(b)(d)(e)(f) | 185,848 | 0 | |
Hertz Corp.: | |||
4.625% 12/1/26(d) | 230,000 | 207,575 | |
5% 12/1/29(d) | 450,000 | 371,986 | |
5.5%(b)(d)(e) | 650,000 | 14,625 | |
6%(b)(d)(e) | 575,000 | 33,781 | |
6.25%(b)(e) | 670,000 | 838 | |
7.125%(b)(d)(e) | 620,000 | 49,600 | |
Metalsa SA de CV 3.75% 5/4/31 (d) | 455,000 | 357,007 | |
Nesco Holdings II, Inc. 5.5% 4/15/29 (d) | 715,000 | 639,925 | |
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (d) | 250,000 | 140,625 | |
3,467,077 | |||
Automobiles - 0.2% | |||
Ford Motor Co. 3.25% 2/12/32 | 1,255,000 | 987,181 | |
McLaren Finance PLC 7.5% 8/1/26 (d) | 390,000 | 331,500 | |
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.9311% 10/15/26 (d)(f)(g) | 1,395,000 | 1,352,252 | |
2,670,933 | |||
Broadline Retail - 0.3% | |||
Alibaba Group Holding Ltd. 2.125% 2/9/31 | 300,000 | 244,023 | |
Angi Group LLC 3.875% 8/15/28 (d) | 335,000 | 273,530 | |
Cmg Media Corp. 8.875% 12/15/27 (d) | 445,000 | 311,876 | |
JD.com, Inc. 3.375% 1/14/30 | 850,000 | 761,600 | |
Macy's Retail Holdings LLC: | |||
5.875% 3/15/30(d) | 290,000 | 258,422 | |
6.125% 3/15/32(d) | 280,000 | 244,964 | |
Millennium Escrow Corp. 6.625% 8/1/26 (d) | 570,000 | 419,540 | |
Prosus NV: | |||
2.031% 8/3/32 (Reg. S) | EUR | 210,000 | 162,125 |
3.061% 7/13/31(d) | 385,000 | 299,578 | |
3.68% 1/21/30(d) | 370,000 | 309,690 | |
4.027% 8/3/50(d) | 595,000 | 369,644 | |
4.193% 1/19/32(d) | 205,000 | 171,190 | |
3,826,182 | |||
Distributors - 0.0% | |||
Windsor Holdings III, LLC 8.5% 6/15/30 (d)(h) | 295,000 | 293,619 | |
Diversified Consumer Services - 0.3% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (d) | 420,000 | 381,150 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 1,130,000 | 1,094,089 | |
Service Corp. International 4% 5/15/31 | 570,000 | 485,629 | |
Sotheby's 7.375% 10/15/27 (d) | 295,000 | 265,321 | |
Sotheby's/Bidfair Holdings, Inc. 5.875% 6/1/29 (d) | 430,000 | 334,325 | |
TKC Holdings, Inc. 6.875% 5/15/28 (d) | 635,000 | 558,821 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d) | 475,000 | 443,447 | |
3,562,782 | |||
Hotels, Restaurants & Leisure - 3.2% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.875% 1/15/28(d) | 570,000 | 521,079 | |
4% 10/15/30(d) | 2,320,000 | 1,985,532 | |
4.375% 1/15/28(d) | 560,000 | 516,977 | |
Affinity Gaming LLC 6.875% 12/15/27 (d) | 250,000 | 219,999 | |
Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (d) | 270,000 | 241,278 | |
Boyd Gaming Corp. 4.75% 6/15/31 (d) | 715,000 | 638,748 | |
Caesars Entertainment, Inc.: | |||
4.625% 10/15/29(d) | 835,000 | 729,131 | |
6.25% 7/1/25(d) | 2,520,000 | 2,508,330 | |
7% 2/15/30(d) | 905,000 | 908,837 | |
8.125% 7/1/27(d) | 3,360,000 | 3,438,856 | |
Caesars Resort Collection LLC 5.75% 7/1/25 (d) | 840,000 | 849,932 | |
Carnival Corp.: | |||
4% 8/1/28(d) | 3,420,000 | 3,040,446 | |
7.625% 3/1/26(d) | 1,070,000 | 1,047,957 | |
9.875% 8/1/27(d) | 1,000,000 | 1,041,648 | |
10.5% 2/1/26(d) | 730,000 | 767,411 | |
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (d) | 885,000 | 967,950 | |
CDI Escrow Issuer, Inc. 5.75% 4/1/30 (d) | 725,000 | 674,843 | |
Churchill Downs, Inc. 6.75% 5/1/31 (d) | 600,000 | 593,250 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.: | |||
4.625% 1/15/29(d) | 1,175,000 | 1,031,063 | |
6.75% 1/15/30(d) | 1,600,000 | 1,361,660 | |
Garden SpinCo Corp. 8.625% 7/20/30 (d) | 260,000 | 279,435 | |
GENM Capital Labuan Ltd. 3.882% 4/19/31 (d) | 595,000 | 480,070 | |
Hilton Domestic Operating Co., Inc.: | |||
3.75% 5/1/29(d) | 330,000 | 292,912 | |
4% 5/1/31(d) | 500,000 | 434,241 | |
4.875% 1/15/30 | 975,000 | 909,109 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 435,000 | 421,986 | |
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d) | 395,000 | 353,545 | |
McDonald's Corp. 4.25% 3/7/35 (Reg. S) | EUR | 1,824,000 | 2,036,342 |
Meituan: | |||
2.125% 10/28/25(d) | 510,000 | 464,090 | |
3.05% 10/28/30(d) | 335,000 | 265,139 | |
Melco Resorts Finance Ltd.: | |||
5.25% 4/26/26(d) | 475,000 | 439,595 | |
5.75% 7/21/28(d) | 270,000 | 237,600 | |
Merlin Entertainments PLC 5.75% 6/15/26 (d) | 395,000 | 380,630 | |
MGM Resorts International: | |||
4.75% 10/15/28 | 665,000 | 603,719 | |
6.75% 5/1/25 | 1,485,000 | 1,488,420 | |
NagaCorp Ltd. 7.95% 7/6/24 (Reg. S) | 600,000 | 561,606 | |
NCL Corp. Ltd. 5.875% 2/15/27 (d) | 550,000 | 535,502 | |
Papa John's International, Inc. 3.875% 9/15/29 (d) | 255,000 | 215,858 | |
Premier Entertainment Sub LLC: | |||
5.625% 9/1/29(d) | 1,020,000 | 772,599 | |
5.875% 9/1/31(d) | 575,000 | 424,206 | |
Royal Caribbean Cruises Ltd.: | |||
5.375% 7/15/27(d) | 415,000 | 388,047 | |
7.25% 1/15/30(d) | 300,000 | 303,853 | |
8.25% 1/15/29(d) | 2,295,000 | 2,409,636 | |
9.25% 1/15/29(d) | 1,725,000 | 1,837,858 | |
11.5% 6/1/25(d) | 955,000 | 1,012,300 | |
11.625% 8/15/27(d) | 595,000 | 647,095 | |
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (d) | 560,000 | 501,243 | |
Station Casinos LLC 4.625% 12/1/31 (d) | 410,000 | 345,425 | |
Studio City Finance Ltd. 5% 1/15/29 (d) | 320,000 | 237,501 | |
Vail Resorts, Inc. 6.25% 5/15/25 (d) | 380,000 | 380,454 | |
Viking Cruises Ltd. 13% 5/15/25 (d) | 570,000 | 598,538 | |
Voc Escrow Ltd. 5% 2/15/28 (d) | 990,000 | 908,325 | |
Yum! Brands, Inc. 4.625% 1/31/32 | 590,000 | 532,944 | |
44,784,750 | |||
Household Durables - 0.3% | |||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (d) | 410,000 | 349,976 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d) | 405,000 | 317,717 | |
Century Communities, Inc. 3.875% 8/15/29 (d) | 420,000 | 363,956 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.625% 3/1/24 (d) | 65,000 | 64,513 | |
Tempur Sealy International, Inc.: | |||
3.875% 10/15/31(d) | 735,000 | 598,770 | |
4% 4/15/29(d) | 790,000 | 683,901 | |
TopBuild Corp. 3.625% 3/15/29 (d) | 305,000 | 265,407 | |
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24 | 780,000 | 774,150 | |
TRI Pointe Homes, Inc. 5.7% 6/15/28 | 865,000 | 835,590 | |
4,253,980 | |||
Specialty Retail - 0.5% | |||
Arko Corp. 5.125% 11/15/29 (d) | 415,000 | 337,258 | |
Asbury Automotive Group, Inc.: | |||
4.5% 3/1/28 | 184,000 | 168,692 | |
4.625% 11/15/29(d) | 450,000 | 399,431 | |
4.75% 3/1/30 | 184,000 | 163,501 | |
5% 2/15/32(d) | 485,000 | 422,287 | |
Bath & Body Works, Inc.: | |||
6.625% 10/1/30(d) | 925,000 | 892,984 | |
6.75% 7/1/36 | 870,000 | 782,758 | |
7.5% 6/15/29 | 500,000 | 506,771 | |
Carvana Co.: | |||
4.875% 9/1/29(d) | 1,085,000 | 615,340 | |
5.875% 10/1/28(d) | 70,000 | 40,600 | |
Foot Locker, Inc. 4% 10/1/29 (d) | 280,000 | 210,854 | |
LBM Acquisition LLC 6.25% 1/15/29 (d) | 900,000 | 744,525 | |
Michaels Companies, Inc. 5.25% 5/1/28 (d) | 685,000 | 553,439 | |
PetSmart, Inc. / PetSmart Finance Corp.: | |||
4.75% 2/15/28(d) | 610,000 | 563,710 | |
7.75% 2/15/29(d) | 445,000 | 442,142 | |
6,844,292 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Crocs, Inc.: | |||
4.125% 8/15/31(d) | 280,000 | 226,100 | |
4.25% 3/15/29(d) | 435,000 | 369,837 | |
Kontoor Brands, Inc. 4.125% 11/15/29 (d) | 240,000 | 200,409 | |
796,346 | |||
TOTAL CONSUMER DISCRETIONARY | 70,499,961 | ||
CONSUMER STAPLES - 1.6% | |||
Beverages - 0.1% | |||
Central American Bottling Corp. 5.25% 4/27/29 (d) | 465,000 | 429,437 | |
Heineken NV 4.125% 3/23/35 (Reg. S) | EUR | 563,000 | 633,396 |
Triton Water Holdings, Inc. 6.25% 4/1/29 (d) | 315,000 | 270,339 | |
1,333,172 | |||
Consumer Staples Distribution & Retail - 0.7% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29(d) | 525,000 | 454,461 | |
4.625% 1/15/27(d) | 1,310,000 | 1,241,230 | |
4.875% 2/15/30(d) | 5,365,000 | 4,953,075 | |
C&S Group Enterprises LLC 5% 12/15/28 (d) | 510,000 | 392,700 | |
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d) | 420,000 | 420,525 | |
NBM U.S. Holdings, Inc. 6.625% 8/6/29 (d) | 615,000 | 560,283 | |
Performance Food Group, Inc.: | |||
4.25% 8/1/29(d) | 400,000 | 356,124 | |
5.5% 10/15/27(d) | 475,000 | 457,678 | |
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d) | 665,000 | 628,684 | |
United Natural Foods, Inc. 6.75% 10/15/28 (d) | 465,000 | 385,429 | |
9,850,189 | |||
Food Products - 0.7% | |||
Adecoagro SA 6% 9/21/27 (d) | 570,000 | 528,344 | |
Camposol SA 6% 2/3/27 (d) | 295,000 | 198,960 | |
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (d) | 375,000 | 341,250 | |
Darling Ingredients, Inc. 6% 6/15/30 (d) | 675,000 | 659,242 | |
Lamb Weston Holdings, Inc.: | |||
4.125% 1/31/30(d) | 555,000 | 496,011 | |
4.375% 1/31/32(d) | 275,000 | 245,651 | |
MARB BondCo PLC 3.95% 1/29/31 (d) | 345,000 | 245,813 | |
Pilgrim's Pride Corp. 4.25% 4/15/31 | 1,020,000 | 874,701 | |
Post Holdings, Inc.: | |||
4.5% 9/15/31(d) | 1,215,000 | 1,037,651 | |
4.625% 4/15/30(d) | 3,850,000 | 3,373,982 | |
5.5% 12/15/29(d) | 1,085,000 | 1,001,205 | |
5.75% 3/1/27(d) | 143,000 | 139,586 | |
Simmons Foods, Inc. 4.625% 3/1/29 (d) | 430,000 | 344,522 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 220,000 | 188,038 | |
9,674,956 | |||
Household Products - 0.0% | |||
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (d) | 430,000 | 352,600 | |
Personal Care Products - 0.1% | |||
BellRing Brands, Inc. 7% 3/15/30 (d) | 685,000 | 689,281 | |
Natura Cosmeticos SA 4.125% 5/3/28 (d) | 195,000 | 168,696 | |
857,977 | |||
TOTAL CONSUMER STAPLES | 22,068,894 | ||
ENERGY - 6.3% | |||
Energy Equipment & Services - 0.7% | |||
CGG SA 8.75% 4/1/27 (d) | 590,000 | 493,667 | |
Guara Norte SARL 5.198% 6/15/34 (d) | 442,130 | 384,322 | |
Jonah Energy Parent LLC 12% 11/5/25 (b)(c) | 347,812 | 351,290 | |
Nabors Industries Ltd.: | |||
7.25% 1/15/26(d) | 595,000 | 555,444 | |
7.5% 1/15/28(d) | 510,000 | 446,281 | |
Noble Finance II LLC 8% 4/15/30 (d) | 300,000 | 305,004 | |
NuStar Logistics LP 6% 6/1/26 | 640,000 | 623,429 | |
Oleoducto Central SA 4% 7/14/27 (d) | 454,000 | 398,054 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 (d) | 1,185,000 | 1,201,009 | |
State Oil Co. of Azerbaijan Republic 6.95% 3/18/30 (Reg. S) | 400,000 | 410,652 | |
Summit Midstream Holdings LLC: | |||
5.75% 4/15/25 | 285,000 | 258,915 | |
9% 10/15/26(d) | 415,000 | 403,069 | |
The Oil and Gas Holding Co.: | |||
7.5% 10/25/27(d) | 665,000 | 673,605 | |
8.375% 11/7/28(d) | 180,000 | 189,286 | |
Transocean Titan Finance Ltd. 8.375% 2/1/28 (d) | 621,000 | 634,196 | |
Transocean, Inc.: | |||
7.5% 1/15/26(d) | 150,000 | 142,500 | |
8% 2/1/27(d) | 360,000 | 326,347 | |
8.75% 2/15/30(d) | 1,475,000 | 1,497,125 | |
Vier Gas Transport GmbH 4.625% 9/26/32 (Reg. S) | EUR | 300,000 | 338,230 |
9,632,425 | |||
Oil, Gas & Consumable Fuels - 5.6% | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 6/15/29(d) | 430,000 | 399,548 | |
5.75% 1/15/28(d) | 955,000 | 910,391 | |
BP Capital Markets BV 4.323% 5/12/35 (Reg. S) | EUR | 2,243,000 | 2,440,522 |
Centennial Resource Production LLC 5.875% 7/1/29 (d) | 405,000 | 380,700 | |
Cheniere Energy Partners LP: | |||
3.25% 1/31/32 | 420,000 | 345,513 | |
4% 3/1/31 | 910,000 | 801,245 | |
Chesapeake Energy Corp.: | |||
5.875% 2/1/29(d) | 310,000 | 294,460 | |
6.75% 4/15/29(d) | 440,000 | 436,584 | |
7%(b)(e) | 360,000 | 0 | |
8%(b)(e) | 115,000 | 0 | |
8%(b)(e) | 180,000 | 0 | |
Citgo Holding, Inc. 9.25% 8/1/24 (d) | 1,770,000 | 1,770,000 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26(d) | 470,000 | 452,375 | |
7% 6/15/25(d) | 1,340,000 | 1,314,875 | |
CNX Midstream Partners LP 4.75% 4/15/30 (d) | 295,000 | 250,215 | |
CNX Resources Corp.: | |||
6% 1/15/29(d) | 315,000 | 291,976 | |
7.375% 1/15/31(d) | 295,000 | 287,017 | |
Comstock Resources, Inc.: | |||
5.875% 1/15/30(d) | 1,525,000 | 1,323,960 | |
6.75% 3/1/29(d) | 1,030,000 | 942,395 | |
CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/31 (d) | 1,265,000 | 1,128,269 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27(d) | 2,960,000 | 2,806,080 | |
5.75% 4/1/25 | 250,000 | 245,627 | |
6% 2/1/29(d) | 2,415,000 | 2,255,006 | |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d) | 245,000 | 229,381 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25(d) | 895,000 | 862,905 | |
5.75% 2/15/28(d) | 2,320,000 | 2,041,600 | |
Delek Overriding Royalty Levia 7.494% 12/30/23 (Reg. S) (d) | 1,079,000 | 1,070,908 | |
DT Midstream, Inc.: | |||
4.125% 6/15/29(d) | 430,000 | 377,357 | |
4.375% 6/15/31(d) | 430,000 | 370,339 | |
Ecopetrol SA: | |||
4.625% 11/2/31 | 335,000 | 256,175 | |
8.875% 1/13/33 | 795,000 | 783,691 | |
EG Global Finance PLC: | |||
6.75% 2/7/25(d) | 300,000 | 291,375 | |
8.5% 10/30/25(d) | 1,150,000 | 1,115,807 | |
EIG Pearl Holdings SARL 3.545% 8/31/36 (d) | 1,345,000 | 1,144,070 | |
Empresa Nacional de Petroleo 6.15% 5/10/33 (d) | 305,000 | 304,143 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (d) | 880,000 | 860,798 | |
Energean Israel Finance Ltd.: | |||
4.875% 3/30/26 (Reg. S)(d) | 570,000 | 528,823 | |
8.5% 9/30/33 (Reg. S)(d)(h) | 200,000 | 199,500 | |
Energean PLC 6.5% 4/30/27 (d) | 550,000 | 499,994 | |
Energy Transfer LP 5.5% 6/1/27 | 860,000 | 835,951 | |
EnLink Midstream LLC 6.5% 9/1/30 (d) | 895,000 | 893,910 | |
FEL Energy VI SARL 5.75% 12/1/40 (d) | 260,480 | 221,789 | |
Galaxy Pipeline Assets BidCo Ltd.: | |||
2.16% 3/31/34(d) | 345,969 | 293,209 | |
2.625% 3/31/36(d) | 1,210,000 | 975,998 | |
GeoPark Ltd. 5.5% 1/17/27 (d) | 505,000 | 413,428 | |
Hess Midstream Partners LP: | |||
4.25% 2/15/30(d) | 460,000 | 401,350 | |
5.125% 6/15/28(d) | 595,000 | 556,855 | |
5.5% 10/15/30(d) | 275,000 | 254,374 | |
5.625% 2/15/26(d) | 795,000 | 782,081 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (d) | 590,000 | 555,370 | |
Holly Energy Partners LP/Holly Energy Finance Corp.: | |||
5% 2/1/28(d) | 400,000 | 368,984 | |
6.375% 4/15/27(d) | 280,000 | 276,591 | |
Howard Midstream Energy Partners LLC 8.875% 7/15/28 (d) | 595,000 | 597,975 | |
Indika Energy Capital IV Pte Ltd. 8.25% 10/22/25 (d) | 345,000 | 342,016 | |
KazMunaiGaz National Co.: | |||
3.5% 4/14/33(d) | 335,000 | 258,878 | |
5.375% 4/24/30(d) | 165,000 | 153,071 | |
5.75% 4/19/47(d) | 170,000 | 138,159 | |
Kosmos Energy Ltd. 7.125% 4/4/26 (d) | 1,565,000 | 1,374,320 | |
Leviathan Bond Ltd.: | |||
6.125% 6/30/25 (Reg. S)(d) | 605,000 | 589,337 | |
6.5% 6/30/27 (Reg. S)(d) | 90,000 | 85,950 | |
MC Brazil Downstream Trading SARL 7.25% 6/30/31 (d) | 1,009,733 | 673,401 | |
Medco Laurel Tree PTE Ltd. 6.95% 11/12/28 (d) | 640,000 | 585,670 | |
Medco Oak Tree Pte Ltd. 7.375% 5/14/26 (d) | 210,000 | 206,390 | |
Medco Platinum Road Pte Ltd. 6.75% 1/30/25 (d) | 485,000 | 478,506 | |
MEG Energy Corp. 7.125% 2/1/27 (d) | 595,000 | 604,569 | |
Mesquite Energy, Inc. 7.25% (b)(d)(e) | 1,063,000 | 0 | |
Murphy Oil U.S.A., Inc.: | |||
4.75% 9/15/29 | 370,000 | 339,686 | |
5.625% 5/1/27 | 305,000 | 296,745 | |
NAK Naftogaz Ukraine: | |||
7.375% (Reg. S)(e) | 655,000 | 370,075 | |
7.625% 11/8/26(d) | 230,000 | 86,250 | |
New Fortress Energy, Inc.: | |||
6.5% 9/30/26(d) | 1,185,000 | 1,060,215 | |
6.75% 9/15/25(d) | 1,365,000 | 1,280,418 | |
NGPL PipeCo LLC 4.875% 8/15/27 (d) | 150,000 | 142,141 | |
Northern Oil & Gas, Inc. 8.75% 6/15/31 (d) | 300,000 | 294,750 | |
Nostrum Oil & Gas Finance BV: | |||
5% 6/30/26(d) | 588,000 | 381,871 | |
14% 6/30/26 pay-in-kind(d)(f) | 811,845 | 292,264 | |
Occidental Petroleum Corp.: | |||
3.5% 8/15/29 | 255,000 | 219,042 | |
7.2% 3/15/29 | 240,000 | 249,413 | |
Parkland Corp.: | |||
4.5% 10/1/29(d) | 440,000 | 381,700 | |
4.625% 5/1/30(d) | 550,000 | 476,880 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
6% 2/15/28 | 1,445,000 | 1,350,259 | |
7.25% 6/15/25 | 1,145,000 | 1,143,009 | |
PDC Energy, Inc. 6.125% 9/15/24 | 100,000 | 99,949 | |
Petroleos de Venezuela SA: | |||
5.375%(e) | 480,000 | 14,549 | |
6%(d)(e) | 930,000 | 28,830 | |
6%(d)(e) | 585,000 | 20,475 | |
12.75%(d)(e) | 110,000 | 3,960 | |
Petroleos Mexicanos: | |||
5.95% 1/28/31 | 305,000 | 222,232 | |
6.5% 6/2/41 | 170,000 | 107,279 | |
6.625% 6/15/35 | 1,965,000 | 1,361,843 | |
6.7% 2/16/32 | 821,000 | 623,098 | |
6.75% 9/21/47 | 798,000 | 498,662 | |
6.875% 8/4/26 | 555,000 | 515,456 | |
6.95% 1/28/60 | 780,000 | 482,430 | |
7.69% 1/23/50 | 4,073,000 | 2,745,121 | |
8.625% 12/1/23(f) | 250,000 | 249,745 | |
Petronas Capital Ltd.: | |||
3.404% 4/28/61(d) | 500,000 | 361,065 | |
3.5% 4/21/30(d) | 230,000 | 213,192 | |
Petrorio Luxembourg SARL 6.125% 6/9/26 (d) | 230,000 | 218,622 | |
PT Adaro Indonesia 4.25% 10/31/24 (d) | 930,000 | 895,320 | |
PT Pertamina Persero 4.175% 1/21/50 (d) | 240,000 | 190,183 | |
Qatar Petroleum: | |||
1.375% 9/12/26(d) | 1,260,000 | 1,132,876 | |
2.25% 7/12/31(d) | 1,255,000 | 1,050,837 | |
3.125% 7/12/41(d) | 1,235,000 | 942,453 | |
3.3% 7/12/51(d) | 930,000 | 680,007 | |
SA Global Sukuk Ltd. 1.602% 6/17/26 (d) | 775,000 | 700,329 | |
Saudi Arabian Oil Co.: | |||
2.25% 11/24/30(d) | 1,010,000 | 837,623 | |
3.25% 11/24/50(d) | 800,000 | 553,000 | |
3.5% 4/16/29(d) | 1,400,000 | 1,286,390 | |
3.5% 11/24/70(d) | 460,000 | 304,180 | |
4.25% 4/16/39(d) | 1,705,000 | 1,497,808 | |
4.375% 4/16/49(d) | 215,000 | 182,873 | |
Sibur Securities DAC 2.95% (d)(e) | 225,000 | 177,188 | |
Sinopec Group Overseas Development Ltd.: | |||
1.45% 1/8/26(d) | 355,000 | 322,674 | |
2.7% 5/13/30(d) | 220,000 | 197,397 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 330,000 | 322,473 | |
6.625% 1/15/27 | 1,125,000 | 1,092,656 | |
6.75% 9/15/26 | 250,000 | 243,677 | |
Southwestern Energy Co.: | |||
5.375% 3/15/30 | 560,000 | 522,594 | |
5.7% 1/23/25(j) | 14,000 | 13,926 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 605,000 | 536,750 | |
4.5% 4/30/30 | 555,000 | 485,207 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28(d) | 30,000 | 27,419 | |
6% 3/1/27(d) | 300,000 | 281,523 | |
6% 9/1/31(d) | 540,000 | 464,634 | |
7.5% 10/1/25(d) | 495,000 | 494,052 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 | 625,000 | 577,588 | |
Teine Energy Ltd. 6.875% 4/15/29 (d) | 445,000 | 406,259 | |
Tengizchevroil Finance Co. International Ltd. 3.25% 8/15/30 (d) | 650,000 | 495,580 | |
Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 50,000 | 56,709 | |
Tullow Oil PLC: | |||
7% 3/1/25(d) | 180,000 | 109,264 | |
10.25% 5/15/26(d) | 857,000 | 652,177 | |
Unit Corp. 0% 12/1/29 (b) | 120,000 | 0 | |
Uzbekneftegaz JSC 4.75% 11/16/28 (d) | 200,000 | 165,000 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29(d) | 355,000 | 310,125 | |
4.125% 8/15/31(d) | 355,000 | 305,288 | |
6.25% 1/15/30(d) | 1,195,000 | 1,185,365 | |
YPF SA 8.75% 4/4/24 (d) | 76,000 | 73,315 | |
78,835,701 | |||
TOTAL ENERGY | 88,468,126 | ||
FINANCIALS - 5.2% | |||
Banks - 1.4% | |||
Access Bank PLC 6.125% 9/21/26 (d) | 600,000 | 504,924 | |
AIB Group PLC 2.875% 5/30/31 (Reg. S) (f) | EUR | 619,000 | 611,925 |
Banco de Sabadell SA 2.625% 3/24/26 (Reg. S) (f) | EUR | 700,000 | 725,772 |
Banco Santander SA 5.75% 8/23/33 (Reg. S) (f) | EUR | 2,000,000 | 2,166,343 |
Bank of Ireland Group PLC 6.75% 3/1/33 (Reg. S) (f) | EUR | 400,000 | 442,661 |
BankMuscat SAOG 4.75% 3/17/26 (Reg. S) | 225,000 | 217,661 | |
Banque Federative du Credit Mutuel SA 4.375% 5/2/30 (Reg. S) | EUR | 2,400,000 | 2,596,305 |
Barclays PLC 5.262% 1/29/34 (Reg. S) (f) | EUR | 1,872,000 | 2,038,286 |
CaixaBank SA 6.25% 2/23/33 (Reg. S) (f) | EUR | 2,500,000 | 2,739,534 |
Commerzbank AG: | |||
6.5% 12/6/32 (Reg. S)(f) | EUR | 300,000 | 324,346 |
6.75% 10/5/33 (Reg. S)(f) | EUR | 1,300,000 | 1,407,152 |
HSBC Holdings PLC Eur Swap Annual 5Y Index + 3.300% 6.364% 11/16/32 (Reg. S) (f)(g) | EUR | 1,125,000 | 1,248,763 |
Intesa Sanpaolo SpA 6.184% 2/20/34 (Reg. S) (f) | EUR | 2,603,000 | 2,805,479 |
Magyar Export-Import Bank 6.125% 12/4/27 (d) | 200,000 | 197,424 | |
National Bank of Uzbekistan 4.85% 10/21/25 (Reg. S) | 225,000 | 212,216 | |
NatWest Group PLC 5.763% 2/28/34 (Reg. S) (f) | EUR | 1,886,000 | 2,028,401 |
20,267,192 | |||
Capital Markets - 0.6% | |||
AssuredPartners, Inc.: | |||
5.625% 1/15/29(d) | 390,000 | 337,560 | |
7% 8/15/25(d) | 245,000 | 241,955 | |
Broadstreet Partners, Inc. 5.875% 4/15/29 (d) | 725,000 | 628,966 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28(d) | 405,000 | 270,881 | |
3.625% 10/1/31(d) | 420,000 | 248,150 | |
Deutsche Bank AG 4% 6/24/32 (Reg. S) (f) | EUR | 3,300,000 | 3,159,554 |
Hightower Holding LLC 6.75% 4/15/29 (d) | 285,000 | 246,502 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d) | 395,000 | 339,885 | |
MSCI, Inc.: | |||
3.25% 8/15/33(d) | 420,000 | 338,251 | |
4% 11/15/29(d) | 340,000 | 307,707 | |
UBS Group AG 4.75% 3/17/32 (Reg. S) (f) | EUR | 1,601,000 | 1,737,417 |
VistaJet Malta Finance PLC / XO Management Holding, Inc. 9.5% 6/1/28 (d) | 450,000 | 413,168 | |
8,269,996 | |||
Consumer Finance - 1.3% | |||
Ally Financial, Inc.: | |||
8% 11/1/31 | 823,000 | 849,888 | |
8% 11/1/31 | 5,273,000 | 5,474,011 | |
Ford Motor Credit Co. LLC: | |||
3.375% 11/13/25 | 1,155,000 | 1,074,005 | |
4% 11/13/30 | 2,525,000 | 2,157,823 | |
5.113% 5/3/29 | 610,000 | 565,720 | |
6.95% 6/10/26 | 595,000 | 597,933 | |
7.35% 11/4/27 | 1,195,000 | 1,220,238 | |
OneMain Finance Corp.: | |||
4% 9/15/30 | 330,000 | 254,100 | |
5.375% 11/15/29 | 500,000 | 425,074 | |
6.625% 1/15/28 | 385,000 | 363,159 | |
6.875% 3/15/25 | 700,000 | 693,092 | |
7.125% 3/15/26 | 3,310,000 | 3,252,132 | |
Shriram Transport Finance Co. Ltd.: | |||
4.15% 7/18/25(d) | 500,000 | 471,075 | |
5.1% 7/16/23(d) | 120,000 | 119,736 | |
17,517,986 | |||
Financial Services - 0.8% | |||
Altus Midstream LP 5.875% 6/15/30 (d) | 425,000 | 403,958 | |
Block, Inc. 3.5% 6/1/31 | 570,000 | 472,087 | |
Compass Group Diversified Holdings LLC 5% 1/15/32 (d) | 275,000 | 221,964 | |
GACI First Investment 5.25% 10/13/32 (Reg. S) | 315,000 | 320,497 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 | 630,000 | 494,991 | |
5.25% 5/15/27 | 1,730,000 | 1,492,125 | |
6.25% 5/15/26 | 1,305,000 | 1,187,705 | |
6.375% 12/15/25 | 790,000 | 734,949 | |
James Hardie International Finance Ltd. 5% 1/15/28 (d) | 455,000 | 426,294 | |
Liberty Costa Rica SR SF 10.875% 1/15/31 (d) | 425,000 | 419,849 | |
MDGH GMTN RSC Ltd.: | |||
2.875% 11/7/29(d) | 530,000 | 477,032 | |
4.375% 11/22/33(d) | 305,000 | 294,325 | |
5.084% 5/22/53(d) | 345,000 | 342,413 | |
5.5% 4/28/33(d) | 300,000 | 314,799 | |
MGIC Investment Corp. 5.25% 8/15/28 | 465,000 | 438,616 | |
PTT Treasury Center Co. Ltd. 3.7% 7/16/70 (d) | 230,000 | 154,139 | |
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d) | 225,000 | 210,998 | |
Temasek Financial Ltd. 3.5% 2/15/33 (Reg. S) | EUR | 1,605,000 | 1,737,694 |
VMED O2 UK Financing I PLC 4.75% 7/15/31 (d) | 995,000 | 827,341 | |
10,971,776 | |||
Insurance - 1.1% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
6% 8/1/29(d) | 425,000 | 367,972 | |
7% 11/15/25(d) | 2,205,000 | 2,134,630 | |
10.125% 8/1/26(d) | 605,000 | 619,008 | |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27(d) | 665,000 | 596,766 | |
5.875% 11/1/29(d) | 415,000 | 361,017 | |
6.75% 10/15/27(d) | 965,000 | 907,100 | |
6.75% 4/15/28(d) | 1,260,000 | 1,249,590 | |
AmWINS Group, Inc. 4.875% 6/30/29 (d) | 415,000 | 374,738 | |
ASR Nederland NV 7% 12/7/43 (Reg. S) (f) | EUR | 2,916,000 | 3,307,409 |
HUB International Ltd.: | |||
5.625% 12/1/29(d) | 655,000 | 587,588 | |
7% 5/1/26(d) | 595,000 | 593,426 | |
7.25% 6/15/30(d) | 1,490,000 | 1,538,574 | |
MAPFRE SA 2.875% 4/13/30 (Reg. S) | EUR | 400,000 | 374,865 |
NN Group NV 6% 11/3/43 (Reg. S) (f) | EUR | 1,221,000 | 1,331,225 |
Sagicor Financial Co. Ltd. 5.3% 5/13/28 (d) | 345,000 | 325,163 | |
Sampo Oyj 2.5% 9/3/52 (Reg. S) (f) | EUR | 222,000 | 187,053 |
14,856,124 | |||
TOTAL FINANCIALS | 71,883,074 | ||
HEALTH CARE - 2.1% | |||
Biotechnology - 0.0% | |||
Grifols Escrow Issuer SA 4.75% 10/15/28 (d) | 280,000 | 243,006 | |
Health Care Equipment & Supplies - 0.0% | |||
Avantor Funding, Inc. 3.875% 11/1/29 (d) | 275,000 | 240,770 | |
Hologic, Inc. 4.625% 2/1/28 (d) | 215,000 | 202,217 | |
442,987 | |||
Health Care Providers & Services - 1.6% | |||
180 Medical, Inc. 3.875% 10/15/29 (d) | 300,000 | 261,634 | |
Cano Health, Inc. 6.25% 10/1/28 (d) | 185,000 | 115,625 | |
Centene Corp.: | |||
4.25% 12/15/27 | 615,000 | 574,997 | |
4.625% 12/15/29 | 2,150,000 | 1,978,939 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31(d) | 1,150,000 | 869,151 | |
5.25% 5/15/30(d) | 825,000 | 649,875 | |
5.625% 3/15/27(d) | 400,000 | 352,495 | |
6% 1/15/29(d) | 485,000 | 408,006 | |
6.125% 4/1/30(d) | 1,035,000 | 616,570 | |
8% 3/15/26(d) | 3,270,000 | 3,185,298 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31(d) | 210,000 | 167,902 | |
4.625% 6/1/30(d) | 1,590,000 | 1,364,980 | |
HealthEquity, Inc. 4.5% 10/1/29 (d) | 295,000 | 259,993 | |
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d) | 650,000 | 652,656 | |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d) | 325,000 | 240,500 | |
Modivcare, Inc. 5.875% 11/15/25 (d) | 485,000 | 449,178 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30(d) | 640,000 | 549,862 | |
3.875% 5/15/32(d) | 550,000 | 461,092 | |
4.375% 6/15/28(d) | 465,000 | 428,661 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (d) | 615,000 | 453,686 | |
Tenet Healthcare Corp.: | |||
4.875% 1/1/26 | 1,625,000 | 1,582,733 | |
5.125% 11/1/27 | 975,000 | 930,810 | |
6.125% 10/1/28 | 645,000 | 620,942 | |
6.125% 6/15/30 | 1,140,000 | 1,123,242 | |
6.25% 2/1/27 | 1,850,000 | 1,831,071 | |
6.75% 5/15/31(d) | 1,750,000 | 1,754,263 | |
21,884,161 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. 5% 5/15/27 (d) | 640,000 | 615,593 | |
Life Sciences Tools & Services - 0.1% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29(d) | 525,000 | 462,017 | |
4% 3/15/31(d) | 605,000 | 525,477 | |
4.25% 5/1/28(d) | 185,000 | 169,381 | |
1,156,875 | |||
Pharmaceuticals - 0.4% | |||
AstraZeneca PLC 3.75% 3/3/32 (Reg. S) | EUR | 1,303,000 | 1,432,261 |
Bayer AG 5.375% 3/25/82 (Reg. S) (f) | EUR | 900,000 | 908,424 |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28(d) | 1,015,000 | 900,844 | |
5.125% 4/30/31(d) | 885,000 | 730,147 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
4.75% 5/9/27 | 555,000 | 513,443 | |
5.125% 5/9/29 | 275,000 | 249,437 | |
7.875% 9/15/29 | 850,000 | 876,012 | |
5,610,568 | |||
TOTAL HEALTH CARE | 29,953,190 | ||
INDUSTRIALS - 5.3% | |||
Aerospace & Defense - 1.7% | |||
Bombardier, Inc.: | |||
6% 2/15/28(d) | 280,000 | 264,629 | |
7.125% 6/15/26(d) | 570,000 | 566,161 | |
7.875% 4/15/27(d) | 1,330,000 | 1,326,472 | |
BWX Technologies, Inc. 4.125% 6/30/28 (d) | 630,000 | 574,780 | |
DAE Funding LLC 1.55% 8/1/24 (d) | 650,000 | 614,218 | |
Embraer Netherlands Finance BV: | |||
5.4% 2/1/27 | 325,000 | 311,243 | |
6.95% 1/17/28(d) | 220,000 | 218,350 | |
Moog, Inc. 4.25% 12/15/27 (d) | 185,000 | 171,196 | |
Rolls-Royce PLC 5.75% 10/15/27 (d) | 650,000 | 633,515 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) | 630,000 | 622,509 | |
TransDigm UK Holdings PLC 6.875% 5/15/26 | 1,805,000 | 1,788,280 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 | 930,000 | 827,288 | |
5.5% 11/15/27 | 7,825,000 | 7,375,063 | |
6.25% 3/15/26(d) | 2,125,000 | 2,114,614 | |
6.375% 6/15/26 | 2,060,000 | 2,033,234 | |
6.75% 8/15/28(d) | 3,560,000 | 3,573,492 | |
7.5% 3/15/27 | 960,000 | 961,363 | |
Triumph Group, Inc. 9% 3/15/28 (d) | 450,000 | 459,468 | |
24,435,875 | |||
Air Freight & Logistics - 0.1% | |||
Aeropuerto Internacional de Tocumen SA: | |||
4% 8/11/41(d) | 280,000 | 225,884 | |
5.125% 8/11/61(d) | 205,000 | 157,612 | |
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d) | 365,000 | 318,006 | |
Rand Parent LLC 8.5% 2/15/30 (d) | 300,000 | 271,606 | |
973,108 | |||
Building Products - 0.1% | |||
Advanced Drain Systems, Inc.: | |||
5% 9/30/27(d) | 125,000 | 118,302 | |
6.375% 6/15/30(d) | 280,000 | 276,996 | |
CP Atlas Buyer, Inc. 7% 12/1/28 (d) | 325,000 | 255,125 | |
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (d) | 185,000 | 152,625 | |
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 | 475,000 | 412,406 | |
1,215,454 | |||
Commercial Services & Supplies - 0.8% | |||
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28(d) | 502,000 | 424,928 | |
4.625% 6/1/28(d) | 348,000 | 292,755 | |
Clean Harbors, Inc. 6.375% 2/1/31 (d) | 250,000 | 251,565 | |
CoreCivic, Inc. 8.25% 4/15/26 | 1,495,000 | 1,508,605 | |
Covanta Holding Corp.: | |||
4.875% 12/1/29(d) | 425,000 | 367,625 | |
5% 9/1/30 | 670,000 | 568,244 | |
GFL Environmental, Inc.: | |||
4% 8/1/28(d) | 420,000 | 375,502 | |
4.75% 6/15/29(d) | 575,000 | 525,327 | |
Madison IAQ LLC: | |||
4.125% 6/30/28(d) | 535,000 | 470,958 | |
5.875% 6/30/29(d) | 425,000 | 344,211 | |
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (d) | 2,380,000 | 2,184,869 | |
OpenLane, Inc. 5.125% 6/1/25 (d) | 525,000 | 514,491 | |
The Bidvest Group UK PLC 3.625% 9/23/26 (d) | 335,000 | 298,227 | |
The Brink's Co. 4.625% 10/15/27 (d) | 620,000 | 575,584 | |
The GEO Group, Inc.: | |||
9.5% 12/31/28(d) | 521,000 | 507,965 | |
10.5% 6/30/28 | 1,563,000 | 1,566,904 | |
10,777,760 | |||
Construction & Engineering - 0.5% | |||
AECOM 5.125% 3/15/27 | 625,000 | 604,731 | |
Arcosa, Inc. 4.375% 4/15/29 (d) | 415,000 | 371,841 | |
Bouygues SA 5.375% 6/30/42 (Reg. S) | EUR | 1,800,000 | 2,150,755 |
Greensaif Pipelines Bidco SARL: | |||
6.129% 2/23/38(d) | 1,015,000 | 1,035,087 | |
6.51% 2/23/42(d) | 305,000 | 315,440 | |
Pike Corp. 5.5% 9/1/28 (d) | 1,415,000 | 1,269,699 | |
SRS Distribution, Inc.: | |||
4.625% 7/1/28(d) | 550,000 | 491,026 | |
6.125% 7/1/29(d) | 230,000 | 198,635 | |
6,437,214 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 4% 4/15/29 (d) | 590,000 | 525,289 | |
Ground Transportation - 0.7% | |||
JSC Georgian Railway 4% 6/17/28 (d) | 191,000 | 163,080 | |
Uber Technologies, Inc.: | |||
4.5% 8/15/29(d) | 1,260,000 | 1,159,702 | |
6.25% 1/15/28(d) | 545,000 | 542,308 | |
7.5% 9/15/27(d) | 2,950,000 | 3,017,416 | |
8% 11/1/26(d) | 4,260,000 | 4,341,417 | |
XPO, Inc.: | |||
6.25% 5/1/25(d) | 515,000 | 508,582 | |
6.25% 6/1/28(d) | 300,000 | 294,968 | |
10,027,473 | |||
Industrial Conglomerates - 0.1% | |||
Honeywell International, Inc. 4.125% 11/2/34 | EUR | 1,625,000 | 1,792,336 |
Turkiye Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (d) | 445,000 | 431,072 | |
2,223,408 | |||
Machinery - 0.1% | |||
ATS Corp. 4.125% 12/15/28 (d) | 460,000 | 411,717 | |
Chart Industries, Inc. 7.5% 1/1/30 (d) | 790,000 | 806,001 | |
1,217,718 | |||
Marine Transportation - 0.1% | |||
MISC Capital Two (Labuan) Ltd.: | |||
3.625% 4/6/25(d) | 360,000 | 345,456 | |
3.75% 4/6/27(d) | 570,000 | 533,355 | |
Seaspan Corp. 5.5% 8/1/29 (d) | 425,000 | 332,954 | |
1,211,765 | |||
Passenger Airlines - 0.8% | |||
Air Canada 3.875% 8/15/26 (d) | 425,000 | 393,912 | |
Allegiant Travel Co. 7.25% 8/15/27 (d) | 445,000 | 443,358 | |
American Airlines, Inc.: | |||
7.25% 2/15/28(d) | 990,000 | 984,103 | |
11.75% 7/15/25(d) | 660,000 | 723,708 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.75% 4/20/29 (d) | 1,195,000 | 1,160,320 | |
Azul Investments LLP: | |||
5.875% 10/26/24(d) | 765,000 | 643,839 | |
7.25% 6/15/26(d) | 265,000 | 210,911 | |
Delta Air Lines, Inc. 7% 5/1/25 (d) | 164,000 | 167,492 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd. 4.75% 10/20/28 (d) | 2,365,000 | 2,291,820 | |
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) | 1,636,000 | 1,640,085 | |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd.: | |||
8% 9/20/25(d) | 150,000 | 151,120 | |
8% 9/20/25(d) | 462,000 | 465,490 | |
United Airlines, Inc.: | |||
4.375% 4/15/26(d) | 1,450,000 | 1,377,653 | |
4.625% 4/15/29(d) | 870,000 | 792,716 | |
11,446,527 | |||
Professional Services - 0.1% | |||
ASGN, Inc. 4.625% 5/15/28 (d) | 510,000 | 461,387 | |
Booz Allen Hamilton, Inc.: | |||
3.875% 9/1/28(d) | 620,000 | 560,765 | |
4% 7/1/29(d) | 280,000 | 250,809 | |
TriNet Group, Inc. 3.5% 3/1/29 (d) | 455,000 | 395,619 | |
1,668,580 | |||
Trading Companies & Distributors - 0.1% | |||
Foundation Building Materials, Inc. 6% 3/1/29 (d) | 310,000 | 258,850 | |
H&E Equipment Services, Inc. 3.875% 12/15/28 (d) | 995,000 | 861,451 | |
1,120,301 | |||
Transportation Infrastructure - 0.1% | |||
DP World Crescent Ltd.: | |||
3.7495% 1/30/30(d) | 425,000 | 396,984 | |
3.875% 7/18/29 (Reg. S) | 315,000 | 297,426 | |
DP World Ltd. 5.625% 9/25/48 (d) | 400,000 | 373,680 | |
1,068,090 | |||
TOTAL INDUSTRIALS | 74,348,562 | ||
INFORMATION TECHNOLOGY - 1.4% | |||
Communications Equipment - 0.0% | |||
HTA Group Ltd. 7% 12/18/25 (d) | 340,000 | 321,235 | |
IHS Netherlands Holdco BV 8% 9/18/27 (d) | 345,000 | 313,181 | |
634,416 | |||
Electronic Equipment, Instruments & Components - 0.0% | |||
Coherent Corp. 5% 12/15/29 (d) | 435,000 | 392,635 | |
TTM Technologies, Inc. 4% 3/1/29 (d) | 455,000 | 386,737 | |
779,372 | |||
IT Services - 0.3% | |||
Acuris Finance U.S. 5% 5/1/28 (d) | 430,000 | 332,814 | |
CA Magnum Holdings 5.375% 10/31/26 (d) | 955,000 | 852,968 | |
Camelot Finance SA 4.5% 11/1/26 (d) | 570,000 | 537,002 | |
Gartner, Inc.: | |||
3.625% 6/15/29(d) | 405,000 | 356,531 | |
3.75% 10/1/30(d) | 685,000 | 596,579 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
3.5% 3/1/29(d) | 610,000 | 522,674 | |
5.25% 12/1/27(d) | 500,000 | 475,000 | |
Rackspace Hosting, Inc. 5.375% 12/1/28 (d) | 380,000 | 117,966 | |
Unisys Corp. 6.875% 11/1/27 (d) | 365,000 | 262,895 | |
4,054,429 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
ON Semiconductor Corp. 3.875% 9/1/28 (d) | 690,000 | 627,969 | |
Synaptics, Inc. 4% 6/15/29 (d) | 350,000 | 293,428 | |
921,397 | |||
Software - 0.8% | |||
Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 690,000 | 617,550 | |
Clarivate Science Holdings Corp.: | |||
3.875% 7/1/28(d) | 500,000 | 443,223 | |
4.875% 7/1/29(d) | 475,000 | 421,375 | |
Cloud Software Group, Inc.: | |||
6.5% 3/31/29(d) | 2,385,000 | 2,123,558 | |
9% 9/30/29(d) | 445,000 | 388,678 | |
Elastic NV 4.125% 7/15/29 (d) | 810,000 | 698,766 | |
Fair Isaac Corp. 4% 6/15/28 (d) | 580,000 | 532,096 | |
Gen Digital, Inc. 5% 4/15/25 (d) | 530,000 | 519,059 | |
ION Trading Technologies Ltd. 5.75% 5/15/28 (d) | 575,000 | 496,346 | |
MicroStrategy, Inc. 6.125% 6/15/28 (d) | 995,000 | 892,112 | |
NCR Corp.: | |||
5% 10/1/28(d) | 335,000 | 298,964 | |
5.25% 10/1/30(d) | 335,000 | 291,250 | |
5.75% 9/1/27(d) | 485,000 | 484,871 | |
6.125% 9/1/29(d) | 485,000 | 485,405 | |
Open Text Corp. 6.9% 12/1/27 (d) | 530,000 | 539,556 | |
Open Text Holdings, Inc.: | |||
4.125% 2/15/30(d) | 300,000 | 254,041 | |
4.125% 12/1/31(d) | 245,000 | 200,831 | |
PTC, Inc.: | |||
3.625% 2/15/25(d) | 350,000 | 337,974 | |
4% 2/15/28(d) | 345,000 | 317,610 | |
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (d) | 445,000 | 361,165 | |
10,704,430 | |||
Technology Hardware, Storage & Peripherals - 0.2% | |||
Lenovo Group Ltd.: | |||
3.421% 11/2/30(d) | 485,000 | 405,950 | |
5.875% 4/24/25 (Reg. S) | 200,000 | 198,646 | |
Seagate HDD Cayman: | |||
8.25% 12/15/29(d) | 985,000 | 1,028,803 | |
8.5% 7/15/31(d) | 640,000 | 671,162 | |
2,304,561 | |||
TOTAL INFORMATION TECHNOLOGY | 19,398,605 | ||
MATERIALS - 3.7% | |||
Chemicals - 1.3% | |||
Air Products & Chemicals, Inc. 4% 3/3/35 | EUR | 954,000 | 1,052,027 |
BASF AG 4.25% 3/8/32 (Reg. S) | EUR | 1,700,000 | 1,901,442 |
Braskem Idesa SAPI: | |||
6.99% 2/20/32(d) | 240,000 | 153,600 | |
7.45% 11/15/29(d) | 330,000 | 219,970 | |
Braskem Netherlands BV 7.25% 2/13/33 (d) | 230,000 | 224,900 | |
ENN Clean Energy International Investment Ltd. 3.375% 5/12/26 (d) | 620,000 | 571,156 | |
Gpd Companies, Inc. 10.125% 4/1/26 (d) | 790,000 | 726,792 | |
Ingevity Corp. 3.875% 11/1/28 (d) | 665,000 | 567,755 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. 5% 12/31/26 (d) | 205,000 | 187,575 | |
LSB Industries, Inc. 6.25% 10/15/28 (d) | 960,000 | 857,234 | |
Meglobal BV: | |||
2.625% 4/28/28(d) | 275,000 | 239,415 | |
4.25% 11/3/26(d) | 235,000 | 225,184 | |
MEGlobal Canada, Inc. 5% 5/18/25 (d) | 445,000 | 435,539 | |
OCP SA: | |||
3.75% 6/23/31(d) | 525,000 | 433,745 | |
5.625% 4/25/24(d) | 670,000 | 664,801 | |
6.875% 4/25/44(d) | 210,000 | 192,480 | |
Olympus Water U.S. Holding Corp.: | |||
4.25% 10/1/28(d) | 560,000 | 442,706 | |
7.125% 10/1/27(d) | 300,000 | 270,479 | |
9.75% 11/15/28(d) | 450,000 | 438,885 | |
Orbia Advance Corp. S.A.B. de CV: | |||
1.875% 5/11/26(d) | 630,000 | 563,604 | |
2.875% 5/11/31(d) | 340,000 | 268,624 | |
Sasol Financing U.S.A. LLC: | |||
4.375% 9/18/26 | 795,000 | 704,402 | |
5.5% 3/18/31 | 200,000 | 157,285 | |
5.875% 3/27/24 | 320,000 | 314,896 | |
8.75% 5/3/29(d) | 200,000 | 194,828 | |
SCIH Salt Holdings, Inc. 4.875% 5/1/28 (d) | 375,000 | 334,877 | |
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d) | 640,000 | 583,366 | |
The Chemours Co. LLC: | |||
4.625% 11/15/29(d) | 180,000 | 152,121 | |
5.375% 5/15/27 | 1,700,000 | 1,601,398 | |
5.75% 11/15/28(d) | 1,055,000 | 969,429 | |
The Scotts Miracle-Gro Co. 4% 4/1/31 | 595,000 | 465,287 | |
W.R. Grace Holding LLC: | |||
5.625% 8/15/29(d) | 1,300,000 | 1,065,090 | |
7.375% 3/1/31(d) | 300,000 | 293,994 | |
17,474,886 | |||
Construction Materials - 0.0% | |||
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (d) | 645,000 | 609,377 | |
Containers & Packaging - 0.6% | |||
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
3.25% 9/1/28(d) | 300,000 | 257,725 | |
4% 9/1/29(d) | 605,000 | 479,143 | |
6% 6/15/27(d) | 280,000 | 275,074 | |
BWAY Holding Co. 7.875% 8/15/26 (d) | 605,000 | 601,073 | |
Cascades, Inc.: | |||
5.125% 1/15/26(d) | 300,000 | 286,672 | |
5.375% 1/15/28(d) | 300,000 | 280,387 | |
Clydesdale Acquisition Holdings, Inc.: | |||
6.625% 4/15/29(d) | 915,000 | 872,634 | |
8.75% 4/15/30(d) | 1,945,000 | 1,716,898 | |
Crown Cork & Seal, Inc.: | |||
7.375% 12/15/26 | 1,210,000 | 1,250,866 | |
7.5% 12/15/96 | 160,000 | 182,400 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) | 365,000 | 311,619 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (d) | 355,000 | 306,253 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) | 255,000 | 216,392 | |
Sealed Air Corp./Sealed Air Cor 6.125% 2/1/28 (d) | 300,000 | 297,788 | |
Trident Holdings, Inc. 12.75% 12/31/28 (d) | 295,000 | 305,915 | |
Trivium Packaging Finance BV 5.5% 8/15/26 (d) | 375,000 | 360,057 | |
8,000,896 | |||
Metals & Mining - 1.7% | |||
Alcoa Nederland Holding BV: | |||
4.125% 3/31/29(d) | 775,000 | 692,656 | |
6.125% 5/15/28(d) | 200,000 | 198,924 | |
Algoma Steel SCA 0% 12/31/23 (b) | 102,200 | 0 | |
Antofagasta PLC: | |||
2.375% 10/14/30(d) | 685,000 | 555,117 | |
5.625% 5/13/32(d) | 260,000 | 257,132 | |
Arconic Corp.: | |||
6% 5/15/25(d) | 400,000 | 403,181 | |
6.125% 2/15/28(d) | 875,000 | 885,854 | |
ATI, Inc.: | |||
4.875% 10/1/29 | 280,000 | 252,053 | |
5.125% 10/1/31 | 245,000 | 218,273 | |
Celtic Resources Holdings DAC 4.125% (b)(d)(e) | 445,000 | 63,715 | |
Cleveland-Cliffs, Inc.: | |||
4.625% 3/1/29(d) | 465,000 | 418,798 | |
4.875% 3/1/31(d) | 465,000 | 408,670 | |
5.875% 6/1/27 | 960,000 | 936,935 | |
6.75% 4/15/30(d) | 965,000 | 929,731 | |
Compania de Minas Buenaventura SAA 5.5% 7/23/26 (d) | 245,000 | 210,894 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (d) | 1,305,000 | 1,258,151 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3% 9/30/29(d) | 105,000 | 92,366 | |
3.15% 1/14/30(d) | 280,000 | 247,710 | |
3.7% 1/30/50(d) | 870,000 | 656,154 | |
5.125% 2/2/33(d) | 290,000 | 285,833 | |
CSN Islands XI Corp. 6.75% 1/28/28 (d) | 485,000 | 447,849 | |
CSN Resources SA 5.875% 4/8/32 (d) | 420,000 | 337,470 | |
Eldorado Gold Corp. 6.25% 9/1/29 (d) | 420,000 | 376,816 | |
Endeavour Mining PLC 5% 10/14/26 (d) | 350,000 | 309,537 | |
ERO Copper Corp. 6.5% 2/15/30 (d) | 415,000 | 357,000 | |
First Quantum Minerals Ltd.: | |||
6.875% 3/1/26(d) | 1,265,000 | 1,240,016 | |
6.875% 10/15/27(d) | 3,000,000 | 2,909,610 | |
7.5% 4/1/25(d) | 1,055,000 | 1,051,276 | |
FMG Resources Pty Ltd.: | |||
4.375% 4/1/31(d) | 445,000 | 379,948 | |
4.5% 9/15/27(d) | 485,000 | 451,656 | |
Fresnillo PLC 4.25% 10/2/50 (d) | 360,000 | 267,883 | |
Gcm Mining Corp. 6.875% 8/9/26 (d) | 715,000 | 529,100 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (d) | 360,000 | 335,210 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (d) | 595,000 | 520,363 | |
Metinvest BV 8.5% 4/23/26 (Reg. S) | 200,000 | 135,000 | |
Mineral Resources Ltd.: | |||
8% 11/1/27(d) | 280,000 | 279,600 | |
8.125% 5/1/27(d) | 960,000 | 959,709 | |
8.5% 5/1/30(d) | 210,000 | 210,720 | |
Murray Energy Corp.: | |||
11.25%(b)(d)(e) | 490,000 | 0 | |
12% pay-in-kind(b)(d)(e)(f) | 548,100 | 0 | |
POSCO: | |||
5.75% 1/17/28(d) | 420,000 | 425,963 | |
5.875% 1/17/33(d) | 200,000 | 210,294 | |
PT Freeport Indonesia: | |||
4.763% 4/14/27(d) | 225,000 | 216,626 | |
5.315% 4/14/32(d) | 450,000 | 424,116 | |
6.2% 4/14/52(d) | 265,000 | 238,860 | |
PT Indonesia Asahan Aluminium 5.45% 5/15/30 (d) | 610,000 | 592,212 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d) | 200,000 | 179,182 | |
Stillwater Mining Co.: | |||
4% 11/16/26(d) | 580,000 | 514,785 | |
4.5% 11/16/29(d) | 245,000 | 197,916 | |
TMK Capital SA 4.3% (Reg. S) (b)(e) | 400,000 | 253,000 | |
VM Holding SA 6.5% 1/18/28 (d) | 525,000 | 501,932 | |
Volcan Compania Minera SAA 4.375% 2/11/26 (d) | 455,000 | 334,475 | |
24,160,271 | |||
Paper & Forest Products - 0.1% | |||
Glatfelter Corp. 4.75% 11/15/29 (d) | 415,000 | 271,525 | |
LABL, Inc. 5.875% 11/1/28 (d) | 665,000 | 604,804 | |
876,329 | |||
TOTAL MATERIALS | 51,121,759 | ||
REAL ESTATE - 1.4% | |||
Equity Real Estate Investment Trusts (REITs) - 1.2% | |||
Iron Mountain Information Management Services, Inc. 5% 7/15/32 (d) | 415,000 | 358,239 | |
Iron Mountain, Inc.: | |||
4.875% 9/15/29(d) | 1,300,000 | 1,163,677 | |
5% 7/15/28(d) | 630,000 | 583,745 | |
5.25% 7/15/30(d) | 585,000 | 527,117 | |
5.625% 7/15/32(d) | 585,000 | 523,329 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
3.5% 3/15/31 | 665,000 | 458,201 | |
4.625% 8/1/29 | 970,000 | 733,281 | |
5% 10/15/27 | 2,850,000 | 2,397,762 | |
Prologis International Funding II SA: | |||
3.125% 6/1/31 (Reg. S) | EUR | 2,300,000 | 2,218,814 |
4.625% 2/21/35 (Reg. S) | EUR | 957,000 | 1,004,366 |
SBA Communications Corp. 3.875% 2/15/27 | 890,000 | 819,874 | |
Uniti Group LP / Uniti Group Finance, Inc.: | |||
4.75% 4/15/28(d) | 940,000 | 780,107 | |
6.5% 2/15/29(d) | 1,965,000 | 1,390,588 | |
10.5% 2/15/28(d) | 1,205,000 | 1,195,437 | |
Uniti Group, Inc. 6% 1/15/30 (d) | 695,000 | 470,863 | |
VICI Properties LP / VICI Note Co.: | |||
3.875% 2/15/29(d) | 665,000 | 583,579 | |
4.25% 12/1/26(d) | 1,140,000 | 1,066,449 | |
4.625% 12/1/29(d) | 650,000 | 590,116 | |
16,865,544 | |||
Real Estate Management & Development - 0.2% | |||
SELP Finance SARL 3.75% 8/10/27 (Reg. S) | EUR | 1,069,000 | 1,090,818 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30(d) | 635,000 | 586,297 | |
5.875% 6/15/27(d) | 495,000 | 486,184 | |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d) | 300,000 | 270,006 | |
2,433,305 | |||
TOTAL REAL ESTATE | 19,298,849 | ||
UTILITIES - 2.3% | |||
Electric Utilities - 1.4% | |||
Clearway Energy Operating LLC: | |||
3.75% 1/15/32(d) | 280,000 | 227,894 | |
4.75% 3/15/28(d) | 365,000 | 336,756 | |
Comision Federal de Electricidad: | |||
3.348% 2/9/31(d) | 130,000 | 102,075 | |
4.688% 5/15/29(d) | 565,000 | 506,376 | |
Electricite de France SA 4.625% 1/25/43 (Reg. S) | EUR | 1,200,000 | 1,252,278 |
Energias de Portugal SA: | |||
1.875% 3/14/82 (Reg. S)(f) | EUR | 600,000 | 504,142 |
5.943% 4/23/83 (Reg. S)(f) | EUR | 100,000 | 108,030 |
Eskom Holdings SOC Ltd.: | |||
6.35% 8/10/28(d) | 590,000 | 548,045 | |
6.75% 8/6/23(d) | 520,000 | 516,584 | |
7.125% 2/11/25(d) | 735,000 | 721,557 | |
8.45% 8/10/28(d) | 240,000 | 227,554 | |
Israel Electric Corp. Ltd. 3.75% 2/22/32 (Reg. S) (d) | 605,000 | 515,998 | |
Lamar Funding Ltd. 3.958% 5/7/25 (d) | 600,000 | 573,096 | |
Mong Duong Finance Holdings BV 5.125% 5/7/29 (d) | 655,000 | 573,688 | |
NRG Energy, Inc.: | |||
3.375% 2/15/29(d) | 305,000 | 249,453 | |
3.625% 2/15/31(d) | 605,000 | 472,290 | |
3.875% 2/15/32(d) | 645,000 | 496,934 | |
5.75% 1/15/28 | 1,665,000 | 1,577,838 | |
6.625% 1/15/27 | 315,000 | 312,694 | |
ORSTED A/S 5.25% 12/8/22 (Reg. S) (f) | EUR | 600,000 | 649,810 |
Pacific Gas & Electric Co.: | |||
3.75% 8/15/42 | 555,000 | 383,602 | |
3.95% 12/1/47 | 1,691,000 | 1,151,609 | |
4% 12/1/46 | 1,023,000 | 685,642 | |
4.25% 3/15/46 | 125,000 | 88,780 | |
4.3% 3/15/45 | 315,000 | 224,747 | |
PG&E Corp.: | |||
5% 7/1/28 | 1,345,000 | 1,234,179 | |
5.25% 7/1/30 | 510,000 | 457,110 | |
PT Pertamina Geothermal Energy 5.15% 4/27/28 (d) | 205,000 | 203,741 | |
Vistra Operations Co. LLC: | |||
4.375% 5/1/29(d) | 1,105,000 | 967,831 | |
5% 7/31/27(d) | 1,220,000 | 1,141,941 | |
5.5% 9/1/26(d) | 820,000 | 789,041 | |
5.625% 2/15/27(d) | 1,495,000 | 1,432,923 | |
19,234,238 | |||
Gas Utilities - 0.1% | |||
ENN Energy Holdings Ltd. 4.625% 5/17/27 (d) | 640,000 | 621,229 | |
Southern Natural Gas Co. LLC: | |||
7.35% 2/15/31 | 175,000 | 186,200 | |
8% 3/1/32 | 335,000 | 384,878 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (d) | 570,000 | 477,175 | |
1,669,482 | |||
Independent Power and Renewable Electricity Producers - 0.3% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d) | 370,000 | 329,636 | |
Aydem Yenilenebilir Enerji A/S 7.75% 2/2/27 (d) | 245,000 | 206,386 | |
Energo-Pro A/S 8.5% 2/4/27 (d) | 245,000 | 231,057 | |
EnfraGen Energia Sur SA 5.375% 12/30/30 (d) | 1,020,000 | 665,550 | |
Investment Energy Resources Ltd. 6.25% 4/26/29 (d) | 485,000 | 450,043 | |
RWE AG: | |||
2.75% 5/24/30 (Reg. S) | EUR | 870,000 | 872,096 |
4.125% 2/13/35 (Reg. S) | EUR | 971,000 | 1,030,801 |
Termocandelaria Power Ltd. 7.875% 1/30/29 (d) | 445,625 | 396,606 | |
4,182,175 | |||
Multi-Utilities - 0.2% | |||
Abu Dhabi National Energy Co. PJSC: | |||
4% 10/3/49(d) | 448,000 | 376,006 | |
4.696% 4/24/33(d) | 350,000 | 346,938 | |
4.875% 4/23/30(d) | 195,000 | 196,232 | |
National Grid PLC 4.275% 1/16/35 (Reg. S) | EUR | 1,388,000 | 1,493,163 |
2,412,339 | |||
Water Utilities - 0.3% | |||
Suez SACA 2.375% 5/24/30 (Reg. S) | EUR | 1,800,000 | 1,765,713 |
Thames Water Utility Finance PLC: | |||
1.25% 1/31/32 (Reg. S) | EUR | 1,477,000 | 1,142,333 |
4.375% 1/18/31 (Reg. S) | EUR | 1,875,000 | 1,810,542 |
4,718,588 | |||
TOTAL UTILITIES | 32,216,822 | ||
TOTAL NONCONVERTIBLE BONDS | 543,146,535 | ||
TOTAL CORPORATE BONDS (Cost $593,739,557) | 544,120,448 | ||
U.S. Government and Government Agency Obligations - 25.9% | |||
Principal Amount (a) | Value ($) | ||
U.S. Government Agency Obligations - 0.2% | |||
Fannie Mae 0.625% 4/22/25 | 210,000 | 194,211 | |
Freddie Mac 4% 11/25/24 | 2,200,000 | 2,147,207 | |
Tennessee Valley Authority: | |||
5.25% 9/15/39 | 126,000 | 133,631 | |
5.375% 4/1/56 | 302,000 | 330,468 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 2,805,517 | ||
U.S. Treasury Obligations - 25.6% | |||
U.S. Treasury Bills, yield at date of purchase 5.19% 7/27/23 (k) | 400,000 | 398,662 | |
U.S. Treasury Bonds: | |||
2% 8/15/51 | 16,756,000 | 11,422,225 | |
2.25% 2/15/52 | 12,700,000 | 9,177,734 | |
2.5% 2/15/45 | 17,524,000 | 13,567,409 | |
2.875% 5/15/52 | 6,426,000 | 5,325,297 | |
3% 5/15/45 | 1,800,000 | 1,520,227 | |
3% 2/15/49 | 13,991,000 | 11,831,686 | |
3.25% 5/15/42 | 1,302,000 | 1,161,832 | |
3.625% 2/15/53 | 20,859,000 | 20,018,122 | |
3.625% 5/15/53 | 360,000 | 345,994 | |
4.75% 2/15/37 | 8,126,000 | 8,989,388 | |
U.S. Treasury Notes: | |||
0.25% 5/15/24 | 73,000 | 69,803 | |
0.25% 9/30/25 | 237,000 | 214,661 | |
0.25% 10/31/25 | 1,700,000 | 1,534,250 | |
0.375% 12/31/25 | 8,019,000 | 7,228,064 | |
0.375% 1/31/26 | 2,100,000 | 1,885,406 | |
0.625% 7/31/26 | 2,400,000 | 2,138,156 | |
0.75% 3/31/26 | 4,704,000 | 4,251,607 | |
0.75% 8/31/26 | 3,400,000 | 3,032,375 | |
0.875% 9/30/26 | 15,620,000 | 13,975,019 | |
1% 7/31/28 | 4,418,000 | 3,789,125 | |
1.125% 10/31/26 | 1,700,000 | 1,528,672 | |
1.125% 8/31/28 | 42,292,000 | 36,438,826 | |
1.25% 12/31/26 | 698,000 | 628,200 | |
1.25% 9/30/28 | 2,930,000 | 2,536,396 | |
1.375% 8/31/23 | 500,000 | 496,878 | |
1.375% 10/31/28 | 3,514,000 | 3,057,180 | |
1.5% 2/29/24 | 29,600,000 | 28,839,188 | |
1.5% 9/30/24 | 1,995,000 | 1,903,511 | |
1.5% 10/31/24 | 280,000 | 266,416 | |
1.5% 1/31/27 | 4,595,000 | 4,162,244 | |
1.5% 11/30/28 | 860,000 | 752,231 | |
1.625% 9/30/26 | 4,153,000 | 3,804,375 | |
1.75% 1/31/29 | 2,583,000 | 2,283,332 | |
1.875% 2/28/27 | 27,200,000 | 24,932,625 | |
2.125% 7/31/24 | 9,671,000 | 9,339,315 | |
2.25% 4/30/24 | 9,144,000 | 8,907,899 | |
2.25% 3/31/26 | 3,329,000 | 3,132,511 | |
2.5% 1/31/24 | 630,000 | 619,541 | |
2.5% 2/28/26 | 7,215,000 | 6,838,749 | |
2.5% 3/31/27 | 900,000 | 843,434 | |
2.625% 7/31/29 | 1,400,000 | 1,293,305 | |
2.75% 2/15/24 | 14,838,000 | 14,594,564 | |
2.75% 7/31/27 | 2,800,000 | 2,639,766 | |
2.75% 5/31/29 | 155,000 | 144,307 | |
2.75% 8/15/32 | 3,955,000 | 3,625,777 | |
2.875% 4/30/29 | 3,300,000 | 3,094,523 | |
2.875% 5/15/32 | 4,651,000 | 4,312,349 | |
3.125% 11/15/28 | 1,180,000 | 1,124,088 | |
3.375% 5/15/33 | 250,000 | 241,094 | |
3.5% 1/31/28 | 4,190,000 | 4,068,719 | |
3.5% 2/15/33 | 3,800,000 | 3,701,438 | |
3.625% 5/15/26 | 3,720,000 | 3,629,754 | |
3.625% 3/31/30 | 7,767,000 | 7,597,704 | |
3.75% 5/31/30 | 189,000 | 186,372 | |
3.875% 4/30/25 | 900,000 | 882,492 | |
3.875% 1/15/26 | 2,390,000 | 2,345,374 | |
3.875% 11/30/27 | 850,000 | 837,947 | |
3.875% 12/31/27 | 6,700,000 | 6,604,673 | |
4% 2/15/26 | 2,800,000 | 2,757,016 | |
4% 10/31/29 | 1,300,000 | 1,296,598 | |
4% 2/28/30 | 504,000 | 503,646 | |
4.125% 10/31/27 | 900,000 | 895,289 | |
4.125% 11/15/32 | 4,064,000 | 4,152,900 | |
4.25% 12/31/24 | 5,800,000 | 5,718,891 | |
4.375% 10/31/24 | 1,650,000 | 1,630,084 | |
4.5% 11/30/24 | 11,000,000 | 10,883,125 | |
4.625% 3/15/26 | 4,310,000 | 4,314,714 | |
TOTAL U.S. TREASURY OBLIGATIONS | 356,265,074 | ||
Other Government Related - 0.1% | |||
Private Export Funding Corp. Secured 1.75% 11/15/24 | 1,030,000 | 981,449 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $395,953,730) | 360,052,040 | ||
U.S. Government Agency - Mortgage Securities - 3.5% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 1.5% | |||
1.5% 11/1/40 to 11/1/41 | 4,003,604 | 3,285,149 | |
2% 2/1/28 to 12/1/41 | 6,603,392 | 5,779,726 | |
2.5% 10/1/27 to 12/1/51 | 5,587,328 | 5,012,025 | |
3% 2/1/31 to 2/1/52 (k) | 2,059,727 | 1,924,609 | |
3.5% 5/1/35 to 3/1/52 | 1,439,706 | 1,328,581 | |
5% 10/1/52 to 12/1/52 | 1,493,204 | 1,477,608 | |
5.5% 5/1/53 to 6/1/53 | 756,913 | 758,505 | |
6% 6/1/53 | 904,981 | 925,741 | |
TOTAL FANNIE MAE | 20,491,944 | ||
Freddie Mac - 0.8% | |||
1.5% 12/1/40 to 4/1/41 | 1,121,389 | 925,749 | |
2% 7/1/41 | 1,537,749 | 1,317,518 | |
2.5% 1/1/28 to 1/1/42 | 5,095,825 | 4,623,270 | |
3% 12/1/30 to 9/1/34 | 442,590 | 417,081 | |
3.5% 3/1/50 to 3/1/52 (k) | 2,810,594 | 2,575,730 | |
5% 10/1/52 to 12/1/52 (k) | 1,413,589 | 1,398,945 | |
5.5% 5/1/53 | 323,357 | 323,670 | |
TOTAL FREDDIE MAC | 11,581,963 | ||
Ginnie Mae - 0.6% | |||
2% 2/20/51 | 49,107 | 41,359 | |
2% 7/1/53 (h) | 1,800,000 | 1,511,352 | |
2% 7/1/53 (h) | 2,400,000 | 2,015,136 | |
2% 7/1/53 (h) | 600,000 | 503,784 | |
2% 7/1/53 (h) | 725,000 | 608,739 | |
2% 7/1/53 (h) | 1,175,000 | 986,577 | |
2% 8/1/53 (h) | 850,000 | 714,557 | |
2% 8/1/53 (h) | 450,000 | 378,295 | |
2% 8/1/53 (h) | 150,000 | 126,098 | |
5.5% 7/1/53 (h) | 1,400,000 | 1,393,840 | |
TOTAL GINNIE MAE | 8,279,737 | ||
Uniform Mortgage Backed Securities - 0.6% | |||
2% 7/1/53 (h) | 1,600,000 | 1,303,818 | |
4% 7/1/53 (h) | 200,000 | 187,641 | |
5% 7/1/38 (h) | 250,000 | 248,223 | |
5% 7/1/38 (h) | 250,000 | 248,223 | |
5% 7/1/38 (h) | 200,000 | 198,578 | |
5% 7/1/38 (h) | 225,000 | 223,400 | |
5% 7/1/38 (h) | 100,000 | 99,289 | |
5% 7/1/38 (h) | 75,000 | 74,467 | |
5% 8/1/38 (h) | 100,000 | 99,309 | |
5.5% 7/1/53 (h) | 3,300,000 | 3,284,142 | |
5.5% 7/1/53 (h) | 2,100,000 | 2,089,908 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 8,056,998 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $50,193,561) | 48,410,642 | ||
Collateralized Mortgage Obligations - 1.0% | |||
Principal Amount (a) | Value ($) | ||
U.S. Government Agency - 1.0% | |||
Fannie Mae: | |||
sequential payer: | |||
Series 2020-101 Class BA, 1.5% 9/25/45 | 384,419 | 322,697 | |
Series 2020-49 Class JA, 2% 8/25/44 | 132,698 | 117,753 | |
Series 2021-68 Class A, 2% 7/25/49 | 257,952 | 208,286 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 140,615 | 122,891 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 234,412 | 205,732 | |
Series 2022-1 Class KA, 3% 5/25/48 | 242,898 | 217,430 | |
Series 2022-13 Class MA, 3% 5/25/44 | 993,546 | 917,176 | |
Series 2022-3 Class N, 2% 10/25/47 | 1,885,774 | 1,604,235 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 169,548 | 148,535 | |
Series 2022-49 Class TE, 4.5% 12/25/48 | 1,901,634 | 1,829,253 | |
Series 2022-65 Class GA, 5% 4/25/46 | 1,772,280 | 1,722,339 | |
Series 2022-7 Class A, 3% 5/25/48 | 345,399 | 309,225 | |
Series 2021-59 Class H, 2% 6/25/48 | 146,025 | 120,651 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 157,816 | 130,772 | |
Class DM, 2% 1/25/48 | 167,713 | 138,973 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2021-5175 Class CB, 2.5% 4/25/50 | 837,392 | 727,261 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 168,935 | 149,266 | |
Series 2022-5189 Class DA, 2.5% 5/25/49 | 179,610 | 153,229 | |
Series 2022-5190 Class BA, 2.5% 11/25/47 | 175,697 | 152,794 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 199,445 | 173,429 | |
Series 2022-5197 Class DA, 2.5% 11/25/47 | 133,451 | 116,063 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 684,745 | 602,472 | |
Series 2022-5202 Class LB, 2.5% 10/25/47 | 142,478 | 123,564 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 2,145,777 | 1,979,897 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 633,225 | 545,372 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 1,088,314 | 944,144 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 2021-5159 Class GC, 2% 11/25/47 | 135,697 | 116,900 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $14,109,963) | 13,900,339 | ||
Commercial Mortgage Securities - 0.8% | |||
Principal Amount (a) | Value ($) | ||
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K043 Class A2, 3.062% 12/25/24 | 1,278,000 | 1,235,590 | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | 36,000 | 34,476 | |
Series 2015-K050 Class A2, 3.334% 8/25/25 (f) | 1,457,293 | 1,402,802 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 57,000 | 54,794 | |
Series 2016-K052 Class A2, 3.151% 11/25/25 | 2,852,314 | 2,733,552 | |
Series 2017-K729 Class A2, 3.136% 10/25/24 | 900,000 | 873,108 | |
Series 2022-150 Class A2, 3.71% 9/25/32 | 300,000 | 282,361 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 1,822,433 | 1,775,383 | |
Series K063 Class A2, 3.43% 1/25/27 | 600,000 | 573,130 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25 | 1,721,826 | 1,656,712 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $10,737,230) | 10,621,908 | ||
Foreign Government and Government Agency Obligations - 9.7% | |||
Principal Amount (a) | Value ($) | ||
Abu Dhabi National Energy Co. PJSC 4.375% 1/24/29 (d) | 315,000 | 309,881 | |
Angola Republic: | |||
8.25% 5/9/28 (d) | 610,000 | 540,381 | |
8.75% 4/14/32 (d) | 170,000 | 142,960 | |
9.375% 5/8/48 (d) | 175,000 | 138,236 | |
9.5% 11/12/25 (d) | 795,000 | 774,266 | |
Arab Republic of Egypt: | |||
7.0529% 1/15/32 (d) | 30,000 | 16,949 | |
7.5% 1/31/27 (d) | 830,000 | 601,426 | |
7.5% 2/16/61 (d) | 480,000 | 239,266 | |
7.6003% 3/1/29 (d) | 370,000 | 238,391 | |
7.903% 2/21/48 (d) | 460,000 | 235,488 | |
8.5% 1/31/47 (d) | 580,000 | 307,180 | |
8.7002% 3/1/49 (d) | 460,000 | 246,477 | |
Argentine Republic: | |||
0.5% 7/9/30 (j) | 6,465,308 | 2,144,349 | |
1% 7/9/29 | 738,798 | 239,622 | |
1.5% 7/9/35 (j) | 3,607,241 | 1,080,260 | |
3.5% 7/9/41 (j) | 1,140,000 | 364,549 | |
3.875% 1/9/38 (j) | 2,032,304 | 713,298 | |
Australian Commonwealth: | |||
1.75% 11/21/32 (Reg. S) | AUD | 1,600,000 | 877,269 |
1.75% 6/21/51 (Reg. S) | AUD | 8,595,000 | 3,328,894 |
Bahamian Republic 6% 11/21/28 (d) | 310,000 | 247,169 | |
Bahrain Kingdom 5.625% 5/18/34 (d) | 155,000 | 134,639 | |
Bank Gospodarstwa Krajowego 5.375% 5/22/33 (d) | 200,000 | 198,000 | |
Barbados Government 6.5% 10/1/29 (d) | 594,000 | 553,899 | |
Bermuda Government: | |||
2.375% 8/20/30 (d) | 55,000 | 45,685 | |
3.375% 8/20/50 (d) | 165,000 | 113,104 | |
3.717% 1/25/27 (d) | 645,000 | 611,886 | |
4.75% 2/15/29 (d) | 360,000 | 351,004 | |
5% 7/15/32 (d) | 260,000 | 253,581 | |
Brazilian Federative Republic: | |||
3.875% 6/12/30 | 830,000 | 734,998 | |
6% 10/20/33 | 335,000 | 330,645 | |
7.125% 1/20/37 | 565,000 | 601,233 | |
8.25% 1/20/34 | 1,045,000 | 1,197,466 | |
Buenos Aires Province 5.25% 9/1/37 (d)(j) | 725,000 | 276,588 | |
Cameroon Republic 5.95% 7/7/32 (d) | EUR | 585,000 | 457,341 |
Canadian Government: | |||
0.75% 2/1/24 | CAD | 705,000 | 519,579 |
1.25% 3/1/27 | CAD | 3,000,000 | 2,061,989 |
Chilean Republic: | |||
2.45% 1/31/31 | 1,355,000 | 1,167,725 | |
2.75% 1/31/27 | 310,000 | 287,426 | |
3.1% 1/22/61 | 700,000 | 454,951 | |
3.5% 1/31/34 | 200,000 | 175,706 | |
4% 1/31/52 | 200,000 | 162,598 | |
4.34% 3/7/42 | 260,000 | 230,672 | |
5.33% 1/5/54 | 505,000 | 500,440 | |
Colombian Republic: | |||
3% 1/30/30 | 1,025,000 | 798,598 | |
3.125% 4/15/31 | 535,000 | 404,069 | |
3.25% 4/22/32 | 290,000 | 213,904 | |
4.125% 5/15/51 | 220,000 | 131,413 | |
5% 6/15/45 | 855,000 | 592,985 | |
5.2% 5/15/49 | 650,000 | 450,613 | |
6.125% 1/18/41 | 40,000 | 32,511 | |
7.375% 9/18/37 | 140,000 | 133,295 | |
7.5% 2/2/34 | 250,000 | 244,403 | |
8% 4/20/33 | 280,000 | 284,690 | |
Costa Rican Republic: | |||
5.625% 4/30/43 (d) | 285,000 | 244,245 | |
6.125% 2/19/31 (d) | 360,000 | 357,059 | |
6.55% 4/3/34 (d) | 205,000 | 205,390 | |
7% 4/4/44 (d) | 135,000 | 131,217 | |
Democratic Socialist Republic of Sri Lanka: | |||
6.2% (d)(e) | 300,000 | 130,500 | |
6.825% (d)(e) | 225,000 | 104,622 | |
7.55% (d)(e) | 235,000 | 102,225 | |
7.85% (d)(e) | 505,000 | 221,064 | |
Dominican Republic: | |||
4.5% 1/30/30 (d) | 735,000 | 642,375 | |
4.875% 9/23/32 (d) | 860,000 | 731,869 | |
5.875% 1/30/60 (d) | 270,000 | 208,235 | |
5.95% 1/25/27 (d) | 445,000 | 435,130 | |
6% 7/19/28 (d) | 360,000 | 350,118 | |
6.4% 6/5/49 (d) | 340,000 | 288,721 | |
6.5% 2/15/48 (d) | 215,000 | 185,732 | |
6.85% 1/27/45 (d) | 300,000 | 271,578 | |
6.875% 1/29/26 (d) | 790,000 | 795,356 | |
7.05% 2/3/31 (d) | 225,000 | 224,127 | |
7.45% 4/30/44 (d) | 335,000 | 326,937 | |
Dutch Government 0.5% 7/15/32 (Reg. S) (d) | EUR | 10,000 | 9,015 |
Ecuador Republic: | |||
2.5% 7/31/35 (d)(j) | 705,000 | 243,422 | |
5.5% 7/31/30 (d)(j) | 1,320,000 | 635,488 | |
El Salvador Republic: | |||
6.375% 1/18/27 (d) | 75,000 | 51,650 | |
7.1246% 1/20/50 (d) | 290,000 | 160,251 | |
7.625% 2/1/41 (d) | 90,000 | 50,850 | |
Emirate of Abu Dhabi: | |||
3% 9/15/51 (d) | 645,000 | 456,892 | |
3.125% 9/30/49 (d) | 1,915,000 | 1,397,759 | |
3.875% 4/16/50 (d) | 620,000 | 520,329 | |
Emirate of Dubai: | |||
3.9% 9/9/50 (Reg. S) | 920,000 | 663,099 | |
5.25% 1/30/43 (Reg. S) | 330,000 | 309,619 | |
Gabonese Republic 7% 11/24/31 (d) | 455,000 | 360,901 | |
Georgia Republic 2.75% 4/22/26 (d) | 480,000 | 430,003 | |
German Federal Republic: | |||
1.7% 8/15/32(Reg. S) | EUR | 28,960,306 | 29,882,934 |
1.8% 8/15/53(Reg. S) | EUR | 2,500,000 | 2,382,673 |
2.3% 2/15/33(Reg. S) | EUR | 3,370,000 | 3,646,369 |
Ghana Republic: | |||
7.75% (d)(e) | 560,000 | 236,880 | |
8.627% (d)(e) | 255,000 | 103,423 | |
10.75% 10/14/30 (d) | 360,000 | 241,308 | |
Guatemalan Republic: | |||
4.9% 6/1/30 (d) | 230,000 | 214,112 | |
5.375% 4/24/32 (d) | 380,000 | 360,130 | |
6.125% 6/1/50 (d) | 225,000 | 206,750 | |
6.6% 6/13/36 (d) | 395,000 | 397,568 | |
Hungarian Republic: | |||
2.125% 9/22/31 (d) | 205,000 | 158,551 | |
3.125% 9/21/51 (d) | 340,000 | 211,001 | |
5.25% 6/16/29 (d) | 295,000 | 286,551 | |
5.5% 6/16/34 (d) | 305,000 | 295,505 | |
6.125% 5/22/28 (d) | 225,000 | 228,485 | |
Indonesian Republic: | |||
3.2% 9/23/61 | 400,000 | 270,828 | |
3.85% 10/15/30 | 330,000 | 309,194 | |
4.1% 4/24/28 | 490,000 | 472,007 | |
4.35% 1/11/48 | 300,000 | 264,552 | |
4.4% 6/6/27 (d) | 345,000 | 339,528 | |
5.125% 1/15/45 (d) | 1,160,000 | 1,151,497 | |
5.25% 1/17/42 (d) | 305,000 | 304,954 | |
5.95% 1/8/46 (d) | 350,000 | 379,418 | |
6.625% 2/17/37 (d) | 220,000 | 250,470 | |
6.75% 1/15/44 (d) | 330,000 | 386,694 | |
7.75% 1/17/38 (d) | 930,000 | 1,161,245 | |
8.5% 10/12/35 (d) | 875,000 | 1,136,118 | |
Islamic Republic of Pakistan: | |||
6% 4/8/26 (d) | 730,000 | 351,159 | |
6.875% 12/5/27 (d) | 215,000 | 101,837 | |
Israeli State 3.375% 1/15/50 | 595,000 | 446,012 | |
Ivory Coast: | |||
5.875% 10/17/31 (d) | EUR | 500,000 | 455,423 |
6.125% 6/15/33 (d) | 400,000 | 349,196 | |
6.375% 3/3/28 (d) | 490,000 | 471,140 | |
Jamaican Government: | |||
6.75% 4/28/28 | 255,000 | 266,087 | |
7.875% 7/28/45 | 160,000 | 183,842 | |
Jordanian Kingdom: | |||
4.95% 7/7/25 (d) | 575,000 | 555,628 | |
7.375% 10/10/47 (d) | 110,000 | 94,437 | |
7.5% 1/13/29 (d) | 200,000 | 199,470 | |
7.75% 1/15/28 (d) | 320,000 | 325,670 | |
Kingdom of Saudi Arabia: | |||
2.25% 2/2/33 (d) | 665,000 | 535,139 | |
3.45% 2/2/61 (d) | 1,120,000 | 785,926 | |
3.625% 3/4/28 (d) | 315,000 | 298,100 | |
3.75% 1/21/55 (d) | 655,000 | 494,289 | |
4.5% 10/26/46 (d) | 640,000 | 559,424 | |
4.5% 4/22/60 (d) | 225,000 | 194,382 | |
4.625% 10/4/47 (d) | 330,000 | 293,057 | |
5% 1/18/53 (d) | 375,000 | 346,894 | |
Lebanese Republic: | |||
5.8% (e) | 625,000 | 40,131 | |
6.375% (e) | 810,000 | 52,316 | |
Ministry of Finance of the Russian Federation: | |||
4.375% (Reg. S) (b)(e) | 200,000 | 84,000 | |
5.1% (Reg. S) (b)(e) | 600,000 | 252,000 | |
Moroccan Kingdom 6.5% 9/8/33 (d) | 495,000 | 508,929 | |
Panamanian Republic: | |||
2.252% 9/29/32 | 400,000 | 305,112 | |
3.298% 1/19/33 | 445,000 | 370,200 | |
3.87% 7/23/60 | 715,000 | 470,992 | |
4.5% 5/15/47 | 250,000 | 197,115 | |
4.5% 4/16/50 | 780,000 | 600,233 | |
6.853% 3/28/54 | 200,000 | 207,680 | |
Peruvian Republic: | |||
2.783% 1/23/31 | 740,000 | 633,595 | |
3% 1/15/34 | 440,000 | 363,849 | |
3.3% 3/11/41 | 360,000 | 276,206 | |
Philippine Republic: | |||
2.65% 12/10/45 | 390,000 | 261,581 | |
2.95% 5/5/45 | 160,000 | 113,798 | |
5% 7/17/33 | 210,000 | 212,434 | |
5.5% 1/17/48 | 200,000 | 205,588 | |
5.609% 4/13/33 | 305,000 | 321,116 | |
5.95% 10/13/47 | 490,000 | 531,087 | |
Polish Government: | |||
5.5% 4/4/53 | 210,000 | 210,815 | |
5.75% 11/16/32 | 425,000 | 444,852 | |
Provincia de Cordoba: | |||
6.875% 12/10/25 (d) | 676,536 | 507,402 | |
6.99% 6/1/27 (d) | 515,562 | 352,603 | |
Republic of Armenia 3.6% 2/2/31 (d) | 545,000 | 425,836 | |
Republic of Benin 4.875% 1/19/32 (d) | EUR | 275,000 | 227,113 |
Republic of Kenya: | |||
6.3% 1/23/34 (d) | 165,000 | 124,224 | |
6.875% 6/24/24 (d) | 190,000 | 179,978 | |
7% 5/22/27 (d) | 355,000 | 318,758 | |
7.25% 2/28/28 (d) | 100,000 | 86,450 | |
8% 5/22/32 (d) | 120,000 | 101,094 | |
Republic of Nigeria: | |||
6.125% 9/28/28 (d) | 795,000 | 660,876 | |
6.5% 11/28/27 (d) | 445,000 | 386,291 | |
7.143% 2/23/30 (d) | 360,000 | 301,133 | |
7.625% 11/21/25 (d) | 395,000 | 376,771 | |
7.696% 2/23/38 (d) | 280,000 | 209,054 | |
8.375% 3/24/29 (d) | 130,000 | 116,750 | |
Republic of Paraguay: | |||
2.739% 1/29/33 (d) | 225,000 | 180,176 | |
4.95% 4/28/31 (d) | 480,000 | 460,277 | |
5.4% 3/30/50 (d) | 265,000 | 226,996 | |
Republic of Senegal 6.25% 5/23/33 (d) | 335,000 | 279,424 | |
Republic of Serbia 2.125% 12/1/30 (d) | 675,000 | 516,638 | |
Republic of Uzbekistan: | |||
3.7% 11/25/30 (d) | 115,000 | 92,577 | |
3.9% 10/19/31 (d) | 395,000 | 316,988 | |
Republic of Zambia 8.97% (d)(e) | 335,000 | 192,193 | |
Romanian Republic: | |||
3% 2/27/27 (d) | 470,000 | 424,880 | |
3% 2/14/31 (d) | 600,000 | 496,536 | |
3.375% 1/28/50 (Reg. S) | EUR | 170,000 | 115,818 |
3.624% 5/26/30 (d) | EUR | 260,000 | 247,658 |
3.625% 3/27/32 (d) | 470,000 | 399,232 | |
4% 2/14/51 (d) | 150,000 | 106,752 | |
6.625% 2/17/28 (d) | 225,000 | 231,368 | |
Rwanda Republic 5.5% 8/9/31 (d) | 595,000 | 446,684 | |
South African Republic: | |||
4.85% 9/27/27 | 285,000 | 266,552 | |
4.85% 9/30/29 | 235,000 | 206,410 | |
5% 10/12/46 | 395,000 | 262,000 | |
5.65% 9/27/47 | 190,000 | 134,395 | |
5.75% 9/30/49 | 620,000 | 438,222 | |
5.875% 4/20/32 | 280,000 | 247,985 | |
State of Qatar: | |||
3.75% 4/16/30 (d) | 1,510,000 | 1,451,790 | |
4% 3/14/29 (d) | 380,000 | 370,815 | |
4.4% 4/16/50 (d) | 1,450,000 | 1,316,238 | |
4.625% 6/2/46 (d) | 575,000 | 545,566 | |
4.817% 3/14/49 (d) | 1,060,000 | 1,017,420 | |
5.103% 4/23/48 (d) | 620,000 | 616,658 | |
9.75% 6/15/30 (d) | 295,000 | 387,763 | |
Sultanate of Oman: | |||
4.75% 6/15/26 (d) | 230,000 | 223,245 | |
5.375% 3/8/27 (d) | 120,000 | 117,529 | |
5.625% 1/17/28 (d) | 1,465,000 | 1,445,633 | |
6% 8/1/29 (d) | 450,000 | 449,150 | |
6.25% 1/25/31 (d) | 425,000 | 430,287 | |
6.5% 3/8/47 (d) | 195,000 | 181,194 | |
6.75% 1/17/48 (d) | 920,000 | 881,848 | |
Turkish Republic: | |||
4.25% 4/14/26 | 830,000 | 739,513 | |
4.75% 1/26/26 | 980,000 | 892,790 | |
4.875% 10/9/26 | 650,000 | 579,170 | |
4.875% 4/16/43 | 815,000 | 521,567 | |
5.125% 2/17/28 | 520,000 | 451,126 | |
5.25% 3/13/30 | 185,000 | 151,565 | |
5.75% 5/11/47 | 520,000 | 354,921 | |
6% 3/25/27 | 170,000 | 154,275 | |
6% 1/14/41 | 445,000 | 326,292 | |
6.125% 10/24/28 | 365,000 | 325,321 | |
6.625% 2/17/45 | 310,000 | 237,007 | |
9.125% 7/13/30 | 350,000 | 346,297 | |
9.375% 3/14/29 | 490,000 | 489,951 | |
9.375% 1/19/33 | 840,000 | 841,050 | |
9.875% 1/15/28 | 1,165,000 | 1,185,760 | |
Ukraine Government: | |||
6.876% 5/21/31 (d) | 170,000 | 38,386 | |
7.253% 3/15/35 (d) | 585,000 | 133,830 | |
7.375% 9/25/34 (d) | 285,000 | 65,835 | |
7.75% 9/1/24 (d) | 566,000 | 138,461 | |
7.75% 9/1/25 (d) | 1,345,000 | 337,461 | |
7.75% 9/1/26 (d) | 1,505,000 | 358,356 | |
7.75% 9/1/28 (d) | 200,000 | 47,632 | |
7.75% 9/1/29 (d) | 110,000 | 26,121 | |
7.75% 8/1/41 (d)(f) | 370,000 | 147,445 | |
United Mexican States: | |||
2.659% 5/24/31 | 510,000 | 423,173 | |
3.25% 4/16/30 | 620,000 | 551,124 | |
3.5% 2/12/34 | 610,000 | 509,057 | |
3.75% 4/19/71 | 1,000,000 | 669,180 | |
4.5% 4/22/29 | 345,000 | 334,595 | |
4.875% 5/19/33 | 345,000 | 329,178 | |
5.75% 10/12/2110 | 840,000 | 749,196 | |
6.05% 1/11/40 | 670,000 | 679,715 | |
6.338% 5/4/53 | 305,000 | 310,490 | |
6.35% 2/9/35 | 465,000 | 487,794 | |
Uruguay Republic 5.1% 6/18/50 | 675,000 | 673,711 | |
Venezuelan Republic: | |||
9.25% (e) | 2,395,000 | 203,575 | |
11.95% (Reg. S) (e) | 1,090,000 | 95,375 | |
12.75% (e) | 190,000 | 16,150 | |
Vietnamese Socialist Republic 5.5% 3/12/28 | 1,677,000 | 1,604,235 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $151,890,132) | 134,615,121 | ||
Common Stocks - 4.0% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 0.3% | |||
Entertainment - 0.1% | |||
Netflix, Inc. (l) | 1,200 | 528,588 | |
Interactive Media & Services - 0.2% | |||
Alphabet, Inc. Class A (l) | 11,300 | 1,352,610 | |
Meta Platforms, Inc. Class A (l) | 6,200 | 1,779,276 | |
3,131,886 | |||
Media - 0.0% | |||
iHeartMedia, Inc. (l) | 5,655 | 20,584 | |
Nexstar Broadcasting Group, Inc. Class A | 1,000 | 166,550 | |
187,134 | |||
TOTAL COMMUNICATION SERVICES | 3,847,608 | ||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobile Components - 0.0% | |||
Exide Technologies (b)(l) | 84 | 0 | |
Exide Technologies (b)(l) | 2,115 | 0 | |
Exide Technologies (b)(l) | 124,905 | 1 | |
UC Holdings, Inc. (b)(l) | 33,750 | 200,138 | |
200,139 | |||
Broadline Retail - 0.0% | |||
Amazon.com, Inc. (l) | 4,500 | 586,620 | |
Hotels, Restaurants & Leisure - 0.3% | |||
Airbnb, Inc. Class A (l) | 2,400 | 307,584 | |
Booking Holdings, Inc. (l) | 200 | 540,066 | |
Boyd Gaming Corp. | 12,300 | 853,251 | |
Caesars Entertainment, Inc. (l) | 31,600 | 1,610,652 | |
New Cotai LLC/New Cotai Capital Corp. (b)(c)(l) | 247,076 | 187,778 | |
Studio City International Holdings Ltd.: | |||
ADR (d)(l) | 10,083 | 69,963 | |
(NYSE) ADR (l) | 11,100 | 77,020 | |
3,646,314 | |||
Household Durables - 0.1% | |||
Tempur Sealy International, Inc. | 27,400 | 1,097,918 | |
TopBuild Corp. (l) | 300 | 79,806 | |
1,177,724 | |||
Specialty Retail - 0.1% | |||
Dick's Sporting Goods, Inc. | 5,900 | 779,921 | |
Lowe's Companies, Inc. | 2,900 | 654,530 | |
Williams-Sonoma, Inc. | 2,300 | 287,822 | |
1,722,273 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
LVMH Moet Hennessy Louis Vuitton SE | 500 | 471,456 | |
Tapestry, Inc. | 9,300 | 398,040 | |
869,496 | |||
TOTAL CONSUMER DISCRETIONARY | 8,202,566 | ||
CONSUMER STAPLES - 0.1% | |||
Consumer Staples Distribution & Retail - 0.1% | |||
Southeastern Grocers, Inc. (b)(c)(l) | 40,826 | 1,031,265 | |
Food Products - 0.0% | |||
JBS SA | 109,400 | 398,923 | |
Reddy Ice Holdings, Inc. (b)(l) | 2,286 | 0 | |
398,923 | |||
TOTAL CONSUMER STAPLES | 1,430,188 | ||
ENERGY - 0.6% | |||
Energy Equipment & Services - 0.0% | |||
Diamond Offshore Drilling, Inc. (l) | 5,989 | 85,283 | |
Forbes Energy Services Ltd. (l) | 6,562 | 0 | |
Halliburton Co. | 900 | 29,691 | |
Superior Energy Services, Inc. Class A (b)(l) | 5,560 | 377,190 | |
492,164 | |||
Oil, Gas & Consumable Fuels - 0.6% | |||
Antero Resources Corp. (l) | 12,900 | 297,087 | |
California Resources Corp. | 41,452 | 1,877,361 | |
California Resources Corp. warrants 10/27/24 (l) | 3,099 | 36,754 | |
Canadian Natural Resources Ltd. | 10,500 | 590,730 | |
Chaparral Energy, Inc.: | |||
Series A warrants 10/1/24 (b)(l) | 13 | 0 | |
Series B warrants 10/1/25 (b)(l) | 13 | 0 | |
Cheniere Energy, Inc. | 7,900 | 1,203,644 | |
Chesapeake Energy Corp. | 9,974 | 834,624 | |
Chesapeake Energy Corp. (c)(l) | 1,691 | 141,503 | |
Civitas Resources, Inc. | 3,070 | 212,966 | |
Diamondback Energy, Inc. | 4,400 | 577,984 | |
EP Energy Corp. (b)(l) | 52,316 | 310,757 | |
Mesquite Energy, Inc. (b)(l) | 15,322 | 2,290,114 | |
Nostrum Oil & Gas LP warrants (b)(l) | 44,232 | 0 | |
Unit Corp. | 2,069 | 99,064 | |
8,472,588 | |||
TOTAL ENERGY | 8,964,752 | ||
FINANCIALS - 0.5% | |||
Capital Markets - 0.0% | |||
Penson Worldwide, Inc. Class A (b)(l) | 314,563 | 3 | |
Consumer Finance - 0.1% | |||
OneMain Holdings, Inc. | 29,100 | 1,271,379 | |
Financial Services - 0.4% | |||
Apollo Global Management, Inc. | 11,800 | 906,358 | |
Carnelian Point Holdings LP warrants (b)(l) | 54 | 158 | |
Fiserv, Inc. (l) | 9,300 | 1,173,195 | |
Global Payments, Inc. | 3,600 | 354,672 | |
MasterCard, Inc. Class A | 3,000 | 1,179,900 | |
Visa, Inc. Class A | 7,600 | 1,804,848 | |
5,419,131 | |||
Insurance - 0.0% | |||
Arthur J. Gallagher & Co. | 2,000 | 439,140 | |
TOTAL FINANCIALS | 7,129,653 | ||
HEALTH CARE - 0.1% | |||
Health Care Providers & Services - 0.0% | |||
Humana, Inc. | 600 | 268,278 | |
Tenet Healthcare Corp. (l) | 3,700 | 301,106 | |
UnitedHealth Group, Inc. | 1,100 | 528,704 | |
1,098,088 | |||
Life Sciences Tools & Services - 0.1% | |||
Charles River Laboratories International, Inc. (l) | 1,100 | 231,275 | |
IQVIA Holdings, Inc. (l) | 4,300 | 966,511 | |
1,197,786 | |||
TOTAL HEALTH CARE | 2,295,874 | ||
INDUSTRIALS - 0.3% | |||
Building Products - 0.0% | |||
Builders FirstSource, Inc. (l) | 3,200 | 435,200 | |
Construction & Engineering - 0.0% | |||
Willscot Mobile Mini Holdings (l) | 12,800 | 611,712 | |
Electrical Equipment - 0.1% | |||
AMETEK, Inc. | 3,200 | 518,016 | |
Regal Rexnord Corp. | 5,200 | 800,280 | |
1,318,296 | |||
Machinery - 0.0% | |||
Parker Hannifin Corp. | 1,400 | 546,056 | |
Passenger Airlines - 0.0% | |||
Delta Air Lines, Inc. | 5,200 | 247,208 | |
Professional Services - 0.1% | |||
ASGN, Inc. (l) | 5,000 | 378,150 | |
SS&C Technologies Holdings, Inc. | 5,908 | 358,025 | |
736,175 | |||
Trading Companies & Distributors - 0.1% | |||
Penhall Acquisition Co.: | |||
Class A (b)(l) | 321 | 44,747 | |
Class B (b)(l) | 107 | 14,916 | |
WESCO International, Inc. | 3,900 | 698,334 | |
757,997 | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA: | |||
Class A1 (b)(c)(l) | 16,755 | 0 | |
Class A2 (b)(c)(l) | 16,755 | 0 | |
Class A3 (b)(c)(l) | 16,755 | 0 | |
Class A4 (b)(c)(l) | 16,755 | 0 | |
Class A5 (b)(c)(l) | 16,755 | 0 | |
Class A6 (b)(c)(l) | 16,755 | 0 | |
Class A7 (b)(c)(l) | 16,755 | 0 | |
Class A8 (b)(c)(l) | 16,755 | 0 | |
Class A9 (b)(c)(l) | 16,755 | 0 | |
0 | |||
TOTAL INDUSTRIALS | 4,652,644 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Communications Equipment - 0.1% | |||
Arista Networks, Inc. (l) | 4,600 | 745,476 | |
Electronic Equipment, Instruments & Components - 0.0% | |||
CDW Corp. | 2,700 | 495,450 | |
IT Services - 0.0% | |||
GTT Communications, Inc. (b) | 4,921 | 60,776 | |
Semiconductors & Semiconductor Equipment - 0.6% | |||
Advanced Micro Devices, Inc. (l) | 4,500 | 512,595 | |
ASML Holding NV (depository receipt) | 900 | 652,275 | |
Enphase Energy, Inc. (l) | 3,100 | 519,188 | |
Marvell Technology, Inc. | 14,000 | 836,920 | |
Microchip Technology, Inc. | 11,100 | 994,449 | |
NVIDIA Corp. | 5,500 | 2,326,610 | |
NXP Semiconductors NV | 3,700 | 757,316 | |
ON Semiconductor Corp. (l) | 17,765 | 1,680,214 | |
8,279,567 | |||
Software - 0.4% | |||
Adobe, Inc. (l) | 2,000 | 977,980 | |
Microsoft Corp. | 5,600 | 1,907,024 | |
Oracle Corp. | 7,800 | 928,902 | |
Palo Alto Networks, Inc. (l) | 2,000 | 511,020 | |
Salesforce, Inc. (l) | 2,600 | 549,276 | |
Synopsys, Inc. (l) | 1,100 | 478,951 | |
5,353,153 | |||
TOTAL INFORMATION TECHNOLOGY | 14,934,422 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
Celanese Corp. Class A | 4,000 | 463,200 | |
Olin Corp. | 10,300 | 529,317 | |
The Chemours Co. LLC | 22,445 | 827,996 | |
1,820,513 | |||
Containers & Packaging - 0.1% | |||
Graphic Packaging Holding Co. | 34,200 | 821,826 | |
Metals & Mining - 0.1% | |||
Algoma Steel Group, Inc. | 32,940 | 233,874 | |
Algoma Steel SCA (b)(l) | 10,220 | 0 | |
Elah Holdings, Inc. (l) | 14 | 700 | |
First Quantum Minerals Ltd. | 21,800 | 515,729 | |
Freeport-McMoRan, Inc. | 8,800 | 352,000 | |
1,102,303 | |||
TOTAL MATERIALS | 3,744,642 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
PG&E Corp. (l) | 56,566 | 977,460 | |
Portland General Electric Co. | 140 | 6,556 | |
984,016 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
PureWest Energy (b)(l) | 901 | 1,680 | |
PureWest Energy rights (b)(l) | 543 | 0 | |
1,680 | |||
TOTAL UTILITIES | 985,696 | ||
TOTAL COMMON STOCKS (Cost $45,289,108) | 56,188,045 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
Shares | Value ($) | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobile Components - 0.0% | |||
Exide Technologies (b)(l) | 187 | 0 | |
INDUSTRIALS - 0.0% | |||
Passenger Airlines - 0.0% | |||
Azul SA (l) | 38,500 | 175,768 | |
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA (b)(c)(l) | 8,042,141 | 80 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $580,400) | 175,848 | ||
Bank Loan Obligations - 2.0% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
Aventiv Technologies LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 10.0379% 11/1/24 (f)(g)(m) | 408,123 | 363,116 | |
Connect U.S. Finco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.7% 12/12/26 (f)(g)(m) | 469,238 | 468,505 | |
Gtt Remainco LLC 1LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.2025% 12/30/27 (f)(g)(m) | 244,755 | 203,147 | |
Zayo Group Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.000% 8.217% 3/9/27 (f)(g)(m) | 409,763 | 320,709 | |
1,355,477 | |||
Media - 0.0% | |||
Diamond Sports Group LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.2534% 8/24/26 (f)(g)(m) | 356,478 | 272,039 | |
Univision Communications, Inc.: | |||
1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.4919% 6/24/29 (f)(g)(m) | 34,650 | 34,506 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.443% 1/31/29 (f)(g)(m) | 350,563 | 342,938 | |
649,483 | |||
TOTAL COMMUNICATION SERVICES | 2,004,960 | ||
CONSUMER DISCRETIONARY - 0.4% | |||
Automobile Components - 0.0% | |||
Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.8525% 4/20/30 (f)(g)(m) | 135,000 | 134,536 | |
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.5227% 12/17/28 (f)(g)(m) | 103,425 | 84,291 | |
218,827 | |||
Diversified Consumer Services - 0.1% | |||
Sotheby's Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 9.7603% 1/15/27 (f)(g)(m) | 585,276 | 569,767 | |
Spin Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.2303% 3/4/28 (f)(g)(m) | 829,394 | 707,946 | |
1,277,713 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Delta 2 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.1025% 1/15/30 (f)(g)(m) | 170,000 | 169,915 | |
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.1025% 1/27/29 (f)(g)(m) | 769,790 | 758,728 | |
Scientific Games Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.2476% 4/14/29 (f)(g)(m) | 108,900 | 108,610 | |
1,037,253 | |||
Leisure Products - 0.0% | |||
Topgolf Callaway Brands Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7025% 3/9/30 (f)(g)(m) | 149,625 | 149,375 | |
Specialty Retail - 0.2% | |||
LBM Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.9525% 12/18/27 (f)(g)(m) | 1,378,344 | 1,321,060 | |
Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 9.7535% 4/15/28 (f)(g)(m) | 264,600 | 233,708 | |
New SK Holdco Sub LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.350% 13.4271% 6/30/27 (f)(g)(m) | 51,119 | 44,218 | |
Wand NewCo 3, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 7.9031% 2/5/26 (f)(g)(m) | 945,917 | 936,855 | |
2,535,841 | |||
TOTAL CONSUMER DISCRETIONARY | 5,219,009 | ||
CONSUMER STAPLES - 0.0% | |||
Beverages - 0.0% | |||
Bengal Debt Merger Sub LLC 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.59% 1/24/29 (f)(g)(m) | 103,950 | 96,497 | |
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services LLC Tranche B, term loan 0% (b)(e)(f)(m) | 61,482 | 0 | |
Oil, Gas & Consumable Fuels - 0.0% | |||
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (b)(e)(g)(m) | 283,417 | 0 | |
term loan 3 month U.S. LIBOR + 0.000% 0% (b)(e)(g)(m) | 122,000 | 0 | |
0 | |||
TOTAL ENERGY | 0 | ||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Citadel Securities LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.717% 2/2/28 (f)(g)(m) | 527,850 | 526,778 | |
Insurance - 0.1% | |||
Acrisure LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.443% 2/15/27 (f)(g)(m) | 64,025 | 62,611 | |
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.6504% 11/12/27 (f)(g)(m) | 631,748 | 627,458 | |
HUB International Ltd. Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 4.000% 9.0722% 11/10/29 (f)(g)(m) | 44,888 | 44,818 | |
CME Term SOFR 1 Month Index + 4.250% 6/8/30 (g)(m)(n) | 225,000 | 225,407 | |
960,294 | |||
TOTAL FINANCIALS | 1,487,072 | ||
HEALTH CARE - 0.2% | |||
Health Care Providers & Services - 0.1% | |||
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.3419% 10/1/27 (f)(g)(m) | 961,878 | 946,247 | |
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.467% 11/15/28 (f)(g)(m) | 326,700 | 323,760 | |
1,270,007 | |||
Health Care Technology - 0.1% | |||
Athenahealth Group, Inc.: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5892% 2/15/29 (f)(g)(m) | 1,353,744 | 1,301,287 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (g)(m)(o) | 166,304 | 159,860 | |
1,461,147 | |||
TOTAL HEALTH CARE | 2,731,154 | ||
INDUSTRIALS - 0.4% | |||
Air Freight & Logistics - 0.0% | |||
Dynasty Acquisition Co., Inc.: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.7025% 4/8/26 (f)(g)(m) | 134,762 | 133,471 | |
Tranche B2 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.7025% 4/4/26 (f)(g)(m) | 72,453 | 71,759 | |
205,230 | |||
Building Products - 0.1% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.7535% 5/17/28 (f)(g)(m) | 1,117,200 | 936,493 | |
Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.6662% 2/25/29 (f)(g)(m) | 1,037,163 | 981,094 | |
1,917,587 | |||
Commercial Services & Supplies - 0.2% | |||
ABG Intermediate Holdings 2 LLC: | |||
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.000% 11.2025% 12/20/29 (f)(g)(m) | 50,000 | 46,250 | |
Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7025% 12/21/28 (f)(g)(m) | 247,500 | 246,077 | |
Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2025% 12/21/28 (f)(g)(m) | 564,815 | 562,556 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 12/21/28 (g)(m)(o) | 185,185 | 184,444 | |
Madison IAQ LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.3023% 6/21/28 (f)(g)(m) | 137,200 | 134,216 | |
Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.0044% 4/11/29 (f)(g)(m) | 790,000 | 693,620 | |
Sabert Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 9.717% 12/10/26 (f)(g)(m) | 318,743 | 317,946 | |
2,185,109 | |||
Construction & Engineering - 0.1% | |||
Breakwater Energy Tranche B 1LN, term loan 11% 9/1/26 (b)(f)(m) | 1,047,130 | 994,774 | |
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.693% 6/4/28 (f)(g)(m) | 299,663 | 290,598 | |
1,285,372 | |||
Machinery - 0.0% | |||
Chart Industries, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9406% 3/17/30 (f)(g)(m) | 84,788 | 84,540 | |
Passenger Airlines - 0.0% | |||
Air Canada Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 8.8391% 8/11/28 (f)(g)(m) | 420,750 | 420,148 | |
SkyMiles IP Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 8.7985% 10/20/27 (f)(g)(m) | 184,500 | 191,461 | |
611,609 | |||
TOTAL INDUSTRIALS | 6,289,447 | ||
INFORMATION TECHNOLOGY - 0.5% | |||
Electronic Equipment, Instruments & Components - 0.0% | |||
DG Investment Intermediate Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.967% 3/31/28 (f)(g)(m) | 98,003 | 96,019 | |
IT Services - 0.1% | |||
Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3919% 2/16/28 (f)(g)(m) | 60,938 | 60,089 | |
Camelot Finance SA Tranche B, term loan 1 month U.S. LIBOR + 3.000% 8.217% 10/31/26 (f)(g)(m) | 48,964 | 48,866 | |
GTT Communications, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 9.000% 14.3419% 6/30/28 (f)(g)(m) | 193,079 | 107,481 | |
Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 9.5919% 8/19/28 (f)(g)(m) | 530,775 | 525,027 | |
741,463 | |||
Software - 0.4% | |||
Boxer Parent Co., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.9037% 10/2/25 (f)(g)(m) | 1,596,006 | 1,581,578 | |
MH Sub I LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.3525% 4/25/28 (f)(g)(m) | 900,000 | 862,200 | |
Polaris Newco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.5379% 6/2/28 (f)(g)(m) | 314,400 | 288,723 | |
Proofpoint, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.467% 8/31/28 (f)(g)(m) | 305,350 | 298,480 | |
RealPage, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 8.217% 4/22/28 (f)(g)(m) | 304,575 | 297,646 | |
Ultimate Software Group, Inc.: | |||
1LN, term loan 1 month U.S. LIBOR + 3.250% 8.2706% 5/3/26 (f)(g)(m) | 1,245,358 | 1,220,837 | |
2LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.2706% 5/3/27 (f)(g)(m) | 650,000 | 628,641 | |
Veritas U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 10.217% 9/1/25 (f)(g)(m) | 299,233 | 243,360 | |
VS Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.5242% 2/28/27 (f)(g)(m) | 120,938 | 119,123 | |
5,540,588 | |||
TOTAL INFORMATION TECHNOLOGY | 6,378,070 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.1% | |||
Avient Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.2954% 8/29/29 (f)(g)(m) | 28,152 | 28,228 | |
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.6169% 10/4/29 (f)(g)(m) | 905,450 | 864,424 | |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2535% 11/9/28 (f)(g)(m) | 167,450 | 160,543 | |
W.R. Grace Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.3125% 9/22/28 (f)(g)(m) | 128,050 | 126,999 | |
1,180,194 | |||
Containers & Packaging - 0.1% | |||
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 9.3775% 4/13/29 (f)(g)(m) | 1,162,031 | 1,142,079 | |
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 4.750% 10.1043% 2/9/26 (f)(g)(m) | 78,400 | 74,284 | |
1,216,363 | |||
TOTAL MATERIALS | 2,396,557 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 8.217% 6/23/25 (f)(g)(m) | 1,629,600 | 1,625,819 | |
TOTAL BANK LOAN OBLIGATIONS (Cost $29,332,217) | 28,228,585 | ||
Fixed-Income Funds - 5.6% | |||
Shares | Value ($) | ||
Fidelity Floating Rate Central Fund (p) (Cost $79,611,039) | 799,712 | 77,779,943 | |
Preferred Securities - 4.8% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
CAS Capital No 1 Ltd. 4% (Reg. S) (f)(i) | 800,000 | 671,988 | |
Orange SA 5.375% (Reg. S) (f)(i) | EUR | 700,000 | 764,498 |
1,436,486 | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Volkswagen International Finance NV 4.375% (Reg. S) (f)(i) | EUR | 2,200,000 | 2,019,867 |
CONSUMER STAPLES - 0.1% | |||
Food Products - 0.1% | |||
Cosan Overseas Ltd. 8.25% (i) | 710,000 | 715,246 | |
ENERGY - 0.5% | |||
Oil, Gas & Consumable Fuels - 0.5% | |||
Energy Transfer LP: | |||
3 month U.S. LIBOR + 4.020% 9.3487% (f)(g)(i) | 4,050,000 | 3,684,306 | |
6.625% (f)(i) | 1,515,000 | 1,196,787 | |
7.125% (f)(i) | 1,660,000 | 1,422,656 | |
Gazprom PJSC Via Gaz Finance PLC 4.5985% (Reg. S) (e)(f)(i) | 550,000 | 330,000 | |
Summit Midstream Partners LP 3 month U.S. LIBOR + 7.430% 12.982% (e)(f)(g)(i) | 148,000 | 101,750 | |
6,735,499 | |||
FINANCIALS - 3.8% | |||
Banks - 3.5% | |||
Banco Do Brasil SA 6.25% (d)(f)(i) | 560,000 | 506,513 | |
Banco Mercantil del Norte SA: | |||
6.75% (d)(f)(i) | 590,000 | 566,148 | |
7.625% (d)(f)(i) | 480,000 | 441,636 | |
Bank of America Corp.: | |||
5.875% (f)(i) | 5,125,000 | 4,784,146 | |
6.25% (f)(i) | 2,910,000 | 2,931,449 | |
8.631% (f)(g)(i) | 5,217,000 | 5,254,377 | |
BBVA Bancomer SA Texas Branch: | |||
5.125% 1/18/33 (d)(f) | 340,000 | 304,018 | |
5.35% 11/12/29 (d)(f) | 180,000 | 174,177 | |
8.45% 6/29/38 (d)(f) | 310,000 | 310,453 | |
Citigroup, Inc.: | |||
4.7% (f)(i) | 3,805,000 | 3,342,793 | |
5% (f)(i) | 3,245,000 | 3,077,506 | |
6.3% (f)(i) | 270,000 | 264,747 | |
9.3407% (f)(g)(i) | 2,675,000 | 2,727,395 | |
9.5507% (f)(g)(i) | 1,455,000 | 1,478,235 | |
Emirates NBD Bank PJSC 6.125% (Reg. S) (f)(i) | 625,000 | 628,683 | |
Georgia Bank Joint Stock Co. 11.125% (Reg. S) (f)(i) | 200,000 | 197,086 | |
JPMorgan Chase & Co.: | |||
4% (f)(i) | 4,805,000 | 4,435,428 | |
4.6% (f)(i) | 1,225,000 | 1,165,662 | |
5% (f)(i) | 1,660,000 | 1,655,777 | |
6% (f)(i) | 6,524,000 | 6,690,896 | |
6.125% (f)(i) | 850,000 | 852,872 | |
6.75% (f)(i) | 400,000 | 412,228 | |
NBK Tier 1 Financing 2 Ltd. 4.5% (d)(f)(i) | 455,000 | 418,678 | |
NBK Tier 1 Ltd. 3.625% (d)(f)(i) | 230,000 | 201,489 | |
Tinkoff Credit Systems 6% (b)(d)(e)(f)(i) | 275,000 | 116,875 | |
Wells Fargo & Co.: | |||
5.875% (f)(i) | 2,600,000 | 2,554,413 | |
5.9% (f)(i) | 3,065,000 | 3,030,762 | |
48,524,442 | |||
Capital Markets - 0.3% | |||
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 2.870% 8.2109% (f)(g)(i) | 2,951,000 | 2,953,833 | |
4.4% (f)(i) | 420,000 | 358,146 | |
4.95% (f)(i) | 710,000 | 683,027 | |
3,995,006 | |||
Financial Services - 0.0% | |||
OEC Finance Ltd. 7.5% pay-in-kind (d)(i) | 2,027 | 178 | |
TOTAL FINANCIALS | 52,519,626 | ||
INDUSTRIALS - 0.0% | |||
Marine Transportation - 0.0% | |||
DP World Salaam 6% (Reg. S) (f)(i) | 600,000 | 611,329 | |
INFORMATION TECHNOLOGY - 0.1% | |||
IT Services - 0.1% | |||
Network i2i Ltd.: | |||
3.975% (d)(f)(i) | 315,000 | 281,970 | |
5.65% (d)(f)(i) | 570,000 | 558,735 | |
840,705 | |||
MATERIALS - 0.1% | |||
Construction Materials - 0.1% | |||
CEMEX S.A.B. de CV: | |||
5.125% (d)(f)(i) | 845,000 | 764,958 | |
9.125% (d)(f)(i) | 270,000 | 274,068 | |
1,039,026 | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Enel SpA 6.625% (Reg. S) (f)(i) | EUR | 564,000 | 637,156 |
TOTAL PREFERRED SECURITIES (Cost $70,032,672) | 66,554,940 | ||
Money Market Funds - 3.9% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (q) (Cost $54,142,269) | 54,139,994 | 54,150,822 | |
TOTAL INVESTMENT IN SECURITIES - 100.3% (Cost $1,495,611,878) | 1,394,798,681 |
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (4,053,379) |
NET ASSETS - 100.0% | 1,390,745,302 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 7/1/53 | (1,800,000) | (1,511,352) |
2% 7/1/53 | (850,000) | (713,694) |
2% 7/1/53 | (150,000) | (125,946) |
2% 7/1/53 | (450,000) | (377,838) |
5.5% 7/1/53 | (1,400,000) | (1,393,840) |
TOTAL GINNIE MAE | (4,122,670) | |
Uniform Mortgage Backed Securities | ||
2% 7/1/53 | (3,200,000) | (2,607,636) |
3.5% 7/1/53 | (1,400,000) | (1,275,203) |
4% 7/1/53 | (200,000) | (187,641) |
5% 7/1/38 | (100,000) | (99,289) |
5.5% 7/1/53 | (600,000) | (597,117) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (4,766,886) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $8,928,022) | (8,889,556) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Bond Index Contracts | |||||
Eurex Euro-Bund Contracts (Germany) | 87 | Sep 2023 | 12,696,527 | (42,721) | (42,721) |
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 297 | Sep 2023 | 33,342,891 | (498,167) | (498,167) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 273 | Sep 2023 | 55,512,844 | (768,571) | (768,571) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 34 | Sep 2023 | 4,314,813 | (3,263) | (3,263) |
TOTAL TREASURY CONTRACTS | (1,270,001) | ||||
TOTAL PURCHASED | (1,312,722) | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-BTP Contracts (Germany) | 98 | Sep 2023 | 12,416,525 | (79,160) | (79,160) |
TOTAL FUTURES CONTRACTS | (1,391,882) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 7.6% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.9% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
USD | 22,819 | BRL | 109,400 | Ssb Loan Services | 7/03/23 | (29) |
EUR | 1,294,603 | USD | 1,413,091 | Barclays Bank PLC | 7/05/23 | (420) |
AUD | 413,000 | USD | 281,547 | Citibank, N. A. | 7/20/23 | (6,294) |
EUR | 697,000 | USD | 757,341 | BNP Paribas S.A. | 7/20/23 | 3,840 |
EUR | 642,000 | USD | 696,451 | Citibank, N. A. | 7/20/23 | 4,666 |
EUR | 488,000 | USD | 535,265 | Royal Bank of Canada | 7/20/23 | (2,329) |
USD | 4,592,807 | AUD | 6,769,000 | Bank of America, N.A. | 7/20/23 | 81,451 |
USD | 2,581,353 | CAD | 3,445,000 | Canadian Imperial Bk. of Comm. | 7/20/23 | (19,777) |
USD | 1,515,038 | EUR | 1,387,000 | Barclays Bank PLC | 7/20/23 | 319 |
USD | 584,107 | EUR | 534,000 | HSBC Bank | 7/20/23 | 935 |
USD | 99,471,941 | EUR | 91,906,000 | JPMorgan Chase Bank, N.A. | 7/20/23 | (896,993) |
USD | 964,912 | EUR | 885,000 | Morgan Stanley Cap. Group, Inc | 7/20/23 | (1,581) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | (836,212) | |||||
Unrealized Appreciation | 91,211 | |||||
Unrealized Depreciation | (927,423) |
AUD | - | Australian dollar |
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
USD | - | U.S. dollar |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Level 3 security |
(c) | 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 $2,040,514 or 0.1% of net assets. |
(d) | 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 $436,956,624 or 31.4% of net assets. |
(e) | Non-income producing - Security is in default. |
(f) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(g) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(h) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) | Security is perpetual in nature with no stated maturity date. |
(j) | 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. |
(k) | 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 $1,111,346. |
(l) | Non-income producing |
(m) | 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. |
(n) | The coupon rate will be determined upon settlement of the loan after period end. |
(o) | 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 $351,490 and $344,305, respectively. |
(p) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(q) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Additional information on each restricted holding is as follows: | ||
Security | Acquisition Date | Acquisition Cost ($) |
Chesapeake Energy Corp. | 2/10/21 | 16,014 |
Jonah Energy Parent LLC 12% 11/5/25 | 5/05/23 | 340,856 |
Mesquite Energy, Inc. 15% 7/15/23 | 7/10/20 - 1/18/22 | 119,924 |
Mesquite Energy, Inc. 15% 7/15/23 | 11/05/20 - 1/18/22 | 208,674 |
New Cotai LLC/New Cotai Capital Corp. | 9/11/20 | 1,223,948 |
Southeastern Grocers, Inc. | 6/01/18 | 287,174 |
Tricer Holdco SCA | 10/16/09 - 12/30/17 | 286,754 |
Tricer Holdco SCA Class A1 | 10/16/09 - 10/29/09 | 45,666 |
Tricer Holdco SCA Class A2 | 10/16/09 - 10/29/09 | 45,666 |
Tricer Holdco SCA Class A3 | 10/16/09 - 10/29/09 | 45,666 |
Tricer Holdco SCA Class A4 | 10/16/09 - 10/29/09 | 45,666 |
Tricer Holdco SCA Class A5 | 10/16/09 - 10/29/09 | 45,666 |
Tricer Holdco SCA Class A6 | 10/16/09 - 10/29/09 | 45,666 |
Tricer Holdco SCA Class A7 | 10/16/09 - 10/29/09 | 45,666 |
Tricer Holdco SCA Class A8 | 10/16/09 - 10/29/09 | 45,666 |
Tricer Holdco SCA Class A9 | 10/16/09 - 10/29/09 | 45,706 |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 81,299,275 | 201,207,717 | 228,356,170 | 1,541,392 | - | - | 54,150,822 | 0.1% |
Fidelity Floating Rate Central Fund | 107,855,301 | 3,934,280 | 36,228,843 | 3,934,279 | (3,030,812) | 5,250,017 | 77,779,943 | 4.8% |
Fidelity Securities Lending Cash Central Fund 5.14% | 7,087,500 | 19,478,289 | 26,565,789 | 4,536 | - | - | - | 0.0% |
Total | 196,242,076 | 224,620,286 | 291,150,802 | 5,480,207 | (3,030,812) | 5,250,017 | 131,930,765 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | 3,847,608 | 3,847,608 | - | - |
Consumer Discretionary | 8,202,566 | 7,343,193 | 471,456 | 387,917 |
Consumer Staples | 1,430,188 | 398,923 | - | 1,031,265 |
Energy | 8,964,752 | 5,986,691 | - | 2,978,061 |
Financials | 7,129,653 | 7,129,492 | - | 161 |
Health Care | 2,295,874 | 2,295,874 | - | - |
Industrials | 4,828,492 | 4,768,749 | - | 59,743 |
Information Technology | 14,934,422 | 14,873,646 | - | 60,776 |
Materials | 3,744,642 | 3,743,942 | 700 | - |
Utilities | 985,696 | 984,016 | - | 1,680 |
Corporate Bonds | 544,120,448 | - | 542,415,211 | 1,705,237 |
U.S. Government and Government Agency Obligations | 360,052,040 | - | 360,052,040 | - |
U.S. Government Agency - Mortgage Securities | 48,410,642 | - | 48,410,642 | - |
Collateralized Mortgage Obligations | 13,900,339 | - | 13,900,339 | - |
Commercial Mortgage Securities | 10,621,908 | - | 10,621,908 | - |
Foreign Government and Government Agency Obligations | 134,615,121 | - | 134,279,121 | 336,000 |
Bank Loan Obligations | 28,228,585 | - | 27,233,811 | 994,774 |
Fixed-Income Funds | 77,779,943 | 77,779,943 | - | - |
Preferred Securities | 66,554,940 | - | 66,438,065 | 116,875 |
Money Market Funds | 54,150,822 | 54,150,822 | - | - |
Total Investments in Securities: | 1,394,798,681 | 183,302,899 | 1,203,823,293 | 7,672,489 |
Derivative Instruments: | ||||
Assets | ||||
Forward Foreign Currency Contracts | 91,211 | - | 91,211 | - |
Total Assets | 91,211 | - | 91,211 | - |
Liabilities | ||||
Forward Foreign Currency Contracts | (927,423) | - | (927,423) | - |
Futures Contracts | (1,391,882) | (1,391,882) | - | - |
Total Liabilities | (2,319,305) | (1,391,882) | (927,423) | - |
Total Derivative Instruments: | (2,228,094) | (1,391,882) | (836,212) | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (8,889,556) | - | (8,889,556) | - |
Total Other Financial Instruments: | (8,889,556) | - | (8,889,556) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts (a) | 91,211 | (927,423) |
Total Foreign Exchange Risk | 91,211 | (927,423) |
Interest Rate Risk | ||
Futures Contracts (b) | 0 | (1,391,882) |
Total Interest Rate Risk | 0 | (1,391,882) |
Total Value of Derivatives | 91,211 | (2,319,305) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $1,361,858,570) | $ | 1,262,867,916 | ||
Fidelity Central Funds (cost $133,753,308) | 131,930,765 | |||
Total Investment in Securities (cost $1,495,611,878) | $ | 1,394,798,681 | ||
Segregated cash with brokers for derivative instruments | 227,118 | |||
Cash | 3,600,151 | |||
Foreign currency held at value (cost $29,774) | 29,930 | |||
Receivable for investments sold | 1,948,095 | |||
Receivable for TBA sale commitments | 8,928,022 | |||
Unrealized appreciation on forward foreign currency contracts | 91,211 | |||
Receivable for fund shares sold | 1,596,725 | |||
Dividends receivable | 22,101 | |||
Interest receivable | 15,263,616 | |||
Distributions receivable from Fidelity Central Funds | 254,739 | |||
Receivable for daily variation margin on futures contracts | 60,987 | |||
Total assets | 1,426,821,376 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 8,228,212 | ||
Delayed delivery | 16,862,391 | |||
TBA sale commitments, at value | 8,889,556 | |||
Unrealized depreciation on forward foreign currency contracts | 927,423 | |||
Payable for fund shares redeemed | 226,500 | |||
Accrued management fee | 631,355 | |||
Distribution and service plan fees payable | 109,599 | |||
Other affiliated payables | 140,267 | |||
Other payables and accrued expenses | 60,771 | |||
Total Liabilities | 36,076,074 | |||
Net Assets | $ | 1,390,745,302 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 1,508,314,652 | ||
Total accumulated earnings (loss) | (117,569,350) | |||
Net Assets | $ | 1,390,745,302 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($74,146,285 ÷ 7,131,845 shares) | $ | 10.40 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($1,438,075 ÷ 138,601 shares) | $ | 10.38 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($530,452,566 ÷ 51,699,011 shares) | $ | 10.26 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($784,708,376 ÷ 75,795,049 shares) | $ | 10.35 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends | $ | 2,786,253 | ||
Interest | 26,971,381 | |||
Income from Fidelity Central Funds (including $4,536 from security lending) | 5,480,207 | |||
Total Income | 35,237,841 | |||
Expenses | ||||
Management fee | $ | 3,818,028 | ||
Transfer agent fees | 610,243 | |||
Distribution and service plan fees | 654,568 | |||
Accounting fees | 238,537 | |||
Custodian fees and expenses | 22,462 | |||
Independent trustees' fees and expenses | 2,432 | |||
Registration fees | 175 | |||
Audit | 56,947 | |||
Legal | 15,467 | |||
Miscellaneous | 3,818 | |||
Total expenses before reductions | 5,422,677 | |||
Expense reductions | (37,770) | |||
Total expenses after reductions | 5,384,907 | |||
Net Investment income (loss) | 29,852,934 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (18,495,124) | |||
Fidelity Central Funds | (3,030,812) | |||
Forward foreign currency contracts | (629,149) | |||
Foreign currency transactions | 47,069 | |||
Futures contracts | (16,069) | |||
Total net realized gain (loss) | (22,124,085) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 38,994,489 | |||
Fidelity Central Funds | 5,250,017 | |||
Forward foreign currency contracts | (269,595) | |||
Assets and liabilities in foreign currencies | (3,846) | |||
Futures contracts | (1,269,662) | |||
TBA Sale commitments | (79,980) | |||
Total change in net unrealized appreciation (depreciation) | 42,621,423 | |||
Net gain (loss) | 20,497,338 | |||
Net increase (decrease) in net assets resulting from operations | $ | 50,350,272 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 29,852,934 | $ | 50,537,551 |
Net realized gain (loss) | (22,124,085) | (29,232,044) | ||
Change in net unrealized appreciation (depreciation) | 42,621,423 | (210,771,681) | ||
Net increase (decrease) in net assets resulting from operations | 50,350,272 | (189,466,174) | ||
Distributions to shareholders | - | (50,844,461) | ||
Distributions to shareholders from tax return of capital | - | (2,030,056) | ||
Total Distributions | - | (52,874,517) | ||
Share transactions - net increase (decrease) | (36,981,495) | (71,296,973) | ||
Total increase (decrease) in net assets | 13,368,777 | (313,637,664) | ||
Net Assets | ||||
Beginning of period | 1,377,376,525 | 1,691,014,189 | ||
End of period | $ | 1,390,745,302 | $ | 1,377,376,525 |
VIP Strategic Income Portfolio Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.02 | $ | 11.74 | $ | 11.81 | $ | 11.45 | $ | 10.75 | $ | 11.50 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .227 | .377 | .327 | .380 | .421 | .418 C | ||||||
Net realized and unrealized gain (loss) | .153 | (1.690) | .113 | .477 | .749 | (.716) C | ||||||
Total from investment operations | .380 | (1.313) | .440 | .857 | 1.170 | (.298) | ||||||
Distributions from net investment income | - | (.380) | (.320) | (.385) | (.385) | (.444) | ||||||
Distributions from net realized gain | - | (.011) | (.190) | (.112) | (.085) | (.008) | ||||||
Tax return of capital | - | (.016) | - | - | - | - | ||||||
Total distributions | - | (.407) | (.510) | (.497) | (.470) | (.452) | ||||||
Net asset value, end of period | $ | 10.40 | $ | 10.02 | $ | 11.74 | $ | 11.81 | $ | 11.45 | $ | 10.75 |
Total Return D,E,F | 3.79% | (11.26)% | 3.74% | 7.52% | 10.89% | (2.57)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .67% I | .67% | .66% | .67% | .67% | .66% | ||||||
Expenses net of fee waivers, if any | .67% I | .66% | .66% | .67% | .67% | .66% | ||||||
Expenses net of all reductions | .67% I | .66% | .66% | .66% | .66% | .66% | ||||||
Net investment income (loss) | 4.44% I | 3.52% | 2.72% | 3.32% | 3.67% | 3.66% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 74,146 | $ | 71,244 | $ | 84,605 | $ | 79,320 | $ | 83,769 | $ | 82,529 |
Portfolio turnover rate J | 75% I | 75% | 103% | 116% | 144% | 118% |
VIP Strategic Income Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.00 | $ | 11.73 | $ | 11.81 | $ | 11.42 | $ | 10.72 | $ | 11.47 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .222 | .356 | .315 | .371 | .409 | .406 C | ||||||
Net realized and unrealized gain (loss) | .158 | (1.682) | .105 | .489 | .750 | (.715) C | ||||||
Total from investment operations | .380 | (1.326) | .420 | .860 | 1.159 | (.309) | ||||||
Distributions from net investment income | - | (.377) | (.310) | (.358) | (.374) | (.433) | ||||||
Distributions from net realized gain | - | (.011) | (.190) | (.112) | (.085) | (.008) | ||||||
Tax return of capital | - | (.016) | - | - | - | - | ||||||
Total distributions | - | (.404) | (.500) | (.470) | (.459) | (.441) | ||||||
Net asset value, end of period | $ | 10.38 | $ | 10.00 | $ | 11.73 | $ | 11.81 | $ | 11.42 | $ | 10.72 |
Total Return D,E,F | 3.80% | (11.38)% | 3.57% | 7.56% | 10.82% | (2.68)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .77% I | .77% | .76% | .77% | .77% | .76% | ||||||
Expenses net of fee waivers, if any | .77% I | .76% | .76% | .77% | .77% | .76% | ||||||
Expenses net of all reductions | .77% I | .76% | .76% | .77% | .76% | .76% | ||||||
Net investment income (loss) | 4.34% I | 3.42% | 2.62% | 3.21% | 3.57% | 3.56% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 1,438 | $ | 1,446 | $ | 502 | $ | 426 | $ | 1,945 | $ | 1,745 |
Portfolio turnover rate J | 75% I | 75% | 103% | 116% | 144% | 118% |
VIP Strategic Income Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.90 | $ | 11.61 | $ | 11.69 | $ | 11.34 | $ | 10.65 | $ | 11.40 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .211 | .346 | .293 | .348 | .389 | .385 C | ||||||
Net realized and unrealized gain (loss) | .149 | (1.675) | .108 | .471 | .745 | (.709) C | ||||||
Total from investment operations | .360 | (1.329) | .401 | .819 | 1.134 | (.324) | ||||||
Distributions from net investment income | - | (.355) | (.292) | (.357) | (.359) | (.418) | ||||||
Distributions from net realized gain | - | (.011) | (.189) | (.112) | (.085) | (.008) | ||||||
Tax return of capital | - | (.015) | - | - | - | - | ||||||
Total distributions | - | (.381) | (.481) | (.469) | (.444) | (.426) | ||||||
Net asset value, end of period | $ | 10.26 | $ | 9.90 | $ | 11.61 | $ | 11.69 | $ | 11.34 | $ | 10.65 |
Total Return D,E,F | 3.64% | (11.52)% | 3.44% | 7.25% | 10.66% | (2.82)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .92% I | .92% | .91% | .92% | .92% | .91% | ||||||
Expenses net of fee waivers, if any | .92% I | .91% | .91% | .92% | .92% | .91% | ||||||
Expenses net of all reductions | .92% I | .91% | .91% | .91% | .91% | .91% | ||||||
Net investment income (loss) | 4.19% I | 3.27% | 2.47% | 3.07% | 3.42% | 3.41% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 530,453 | $ | 507,410 | $ | 619,208 | $ | 534,029 | $ | 502,859 | $ | 397,785 |
Portfolio turnover rate J | 75% I | 75% | 103% | 116% | 144% | 118% |
VIP Strategic Income Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.98 | $ | 11.70 | $ | 11.77 | $ | 11.41 | $ | 10.71 | $ | 11.46 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .224 | .372 | .322 | .375 | .416 | .413 C | ||||||
Net realized and unrealized gain (loss) | .146 | (1.689) | .114 | .478 | .750 | (.715) C | ||||||
Total from investment operations | .370 | (1.317) | .436 | .853 | 1.166 | (.302) | ||||||
Distributions from net investment income | - | (.376) | (.316) | (.381) | (.381) | (.440) | ||||||
Distributions from net realized gain | - | (.011) | (.190) | (.112) | (.085) | (.008) | ||||||
Tax return of capital | - | (.016) | - | - | - | - | ||||||
Total distributions | - | (.403) | (.506) | (.493) | (.466) | (.448) | ||||||
Net asset value, end of period | $ | 10.35 | $ | 9.98 | $ | 11.70 | $ | 11.77 | $ | 11.41 | $ | 10.71 |
Total Return D,E,F | 3.71% | (11.33)% | 3.72% | 7.51% | 10.89% | (2.62)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .71% I | .70% | .69% | .70% | .70% | .70% | ||||||
Expenses net of fee waivers, if any | .70% I | .70% | .69% | .70% | .70% | .70% | ||||||
Expenses net of all reductions | .70% I | .70% | .69% | .70% | .70% | .70% | ||||||
Net investment income (loss) | 4.40% I | 3.49% | 2.69% | 3.28% | 3.63% | 3.63% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 784,708 | $ | 797,276 | $ | 986,699 | $ | 944,625 | $ | 969,943 | $ | 907,456 |
Portfolio turnover rate J | 75% I | 75% | 103% | 116% | 144% | 118% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
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. | Foreign Securities Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
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% |
Gross unrealized appreciation | $29,795,812 |
Gross unrealized depreciation | (128,631,834) |
Net unrealized appreciation (depreciation) | $(98,836,022) |
Tax cost | $1,491,445,075 |
Short-term | $(25,758,195) |
Long-term | (3,795,744) |
Total capital loss carryforward | $(29,553,939) |
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. |
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. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
VIP Strategic Income Portfolio | ||
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | $(629,149) | $(269,595) |
Total Foreign Exchange Risk | (629,149) | (269,595) |
Interest Rate Risk | ||
Futures Contracts | (16,069) | (1,269,662) |
Total Interest Rate Risk | (16,069) | (1,269,662) |
Totals | $(645,218) | $(1,539,257) |
Purchases ($) | Sales ($) | |
VIP Strategic Income Portfolio | 329,098,528 | 312,927,482 |
Service Class | $702 |
Service Class 2 | 653,866 |
$654,568 |
Amount | % of Class-Level Average Net Assets A | |
Initial Class | $24,693 | .07 |
Service Class | 477 | .07 |
Service Class 2 | 177,852 | .07 |
Investor Class | 407,221 | .10 |
$610,243 |
% of Average Net Assets | |
VIP Strategic Income Portfolio | .03 |
Amount | |
VIP Strategic Income Portfolio | $172 |
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
VIP Strategic Income Portfolio | 537,703 | 218,802 | (29,717) |
Amount | |
VIP Strategic Income Portfolio | $1,370 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
VIP Strategic Income Portfolio | $373 | $- | $- |
Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Strategic Income Portfolio | ||
Distributions to shareholders | ||
Initial Class | $- | $2,695,437 |
Service Class | - | 53,232 |
Service Class 2 | - | 18,183,982 |
Investor Class | - | 29,911,810 |
Total | $- | $50,844,461 |
Tax Return of Capital | ||
Initial Class | $- | $107,840 |
Service Class | - | 2,174 |
Service Class 2 | - | 725,296 |
Investor Class | - | 1,194,746 |
Total | $- | $2,030,056 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 | Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Strategic Income Portfolio | ||||
Initial Class | ||||
Shares sold | 499,533 | 841,064 | $5,151,719 | $9,090,677 |
Reinvestment of distributions | - | 273,477 | - | 2,803,277 |
Shares redeemed | (478,111) | (1,209,024) | (4,931,374) | (13,041,616) |
Net increase (decrease) | 21,422 | (94,483) | $220,345 | $(1,147,662) |
Service Class | ||||
Shares sold | 15,390 | 128,171 | $157,937 | $1,341,550 |
Reinvestment of distributions | - | 4,346 | - | 44,389 |
Shares redeemed | (21,318) | (30,817) | (216,244) | (320,481) |
Net increase (decrease) | (5,928) | 101,700 | $(58,307) | $1,065,458 |
Service Class 2 | ||||
Shares sold | 3,440,474 | 6,071,749 | $35,041,664 | $64,807,255 |
Reinvestment of distributions | - | 1,866,053 | - | 18,909,278 |
Shares redeemed | (2,991,777) | (10,027,902) | (30,396,921) | (105,870,834) |
Net increase (decrease) | 448,697 | (2,090,100) | $4,644,743 | $(22,154,301) |
Investor Class | ||||
Shares sold | 947,301 | 3,624,468 | $9,751,284 | $38,688,016 |
Reinvestment of distributions | - | 3,046,031 | - | 31,106,556 |
Shares redeemed | (5,045,954) | (11,134,435) | (51,539,560) | (118,855,040) |
Net increase (decrease) | (4,098,653) | (4,463,936) | $(41,788,276) | $(49,060,468) |
Fund | Affiliated % | Number of Unaffiliated Shareholders | Unaffiliated Shareholders % |
VIP Strategic Income Portfolio | 60% | 2 | 22% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Strategic Income Portfolio | ||||||||||
Initial Class | .67% | |||||||||
Actual | $ 1,000 | $ 1,037.90 | $ 3.39 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.47 | $ 3.36 | |||||||
Service Class | .77% | |||||||||
Actual | $ 1,000 | $ 1,038.00 | $ 3.89 | |||||||
Hypothetical- B | $ 1,000 | $ 1,020.98 | $ 3.86 | |||||||
Service Class 2 | .92% | |||||||||
Actual | $ 1,000 | $ 1,036.40 | $ 4.65 | |||||||
Hypothetical- B | $ 1,000 | $ 1,020.23 | $ 4.61 | |||||||
Investor Class | .70% | |||||||||
Actual | $ 1,000 | $ 1,037.10 | $ 3.54 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.32 | $ 3.51 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Top Holdings (% of Fund's net assets) | ||
Microsoft Corp. | 2.4 | |
Apple, Inc. | 2.0 | |
iShares MSCI USA Minimum Volatility ETF | 1.3 | |
iShares 20+ Year Treasury Bond ETF | 1.3 | |
Alphabet, Inc. Class A | 1.3 | |
Amazon.com, Inc. | 1.1 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 0.6 | |
Exxon Mobil Corp. | 0.6 | |
Meta Platforms, Inc. Class A | 0.6 | |
JPMorgan Chase & Co. | 0.6 | |
11.8 | ||
Top Bond Issuers (% of Fund's net assets) | ||
(with maturities greater than one year) | ||
U.S. Treasury Obligations | 16.6 | |
Uniform Mortgage Backed Securities | 2.3 | |
Fannie Mae | 2.0 | |
Freddie Mac | 1.7 | |
Ginnie Mae | 1.2 | |
JPMorgan Chase & Co. | 0.7 | |
Bank of America Corp. | 0.5 | |
Morgan Stanley | 0.5 | |
Citigroup, Inc. | 0.5 | |
Petroleos Mexicanos | 0.4 | |
26.4 | ||
Market Sectors (% of Fund's net assets) | ||
Financials | 14.5 | |
Information Technology | 12.2 | |
Health Care | 7.4 | |
Industrials | 7.4 | |
Consumer Discretionary | 7.1 | |
Communication Services | 5.1 | |
Consumer Staples | 4.8 | |
Energy | 3.8 | |
Materials | 2.6 | |
Real Estate | 2.4 | |
Utilities | 1.7 | |
Investment Companies | 1.3 | |
Quality Diversification (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
Geographic Diversification (% of Fund's net assets) |
* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
U.S. Treasury Obligations - 0.4% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.19% to 5.19% 7/27/23 to 9/7/23 (b) (Cost $4,295,836) | 4,320,000 | 4,297,298 | |
Fixed-Income Funds - 40.9% | |||
Shares | Value ($) | ||
Fidelity Emerging Markets Debt Central Fund (c) | 200,702 | 1,523,324 | |
Fidelity Emerging Markets Debt Local Currency Central Fund (c) | 82,952 | 7,610,004 | |
Fidelity Floating Rate Central Fund (c) | 160,578 | 15,617,846 | |
Fidelity High Income Central Fund (c) | 61,252 | 6,273,406 | |
Fidelity Inflation-Protected Bond Index Central Fund (c) | 133,097 | 11,849,644 | |
Fidelity International Credit Central Fund (c) | 75,240 | 5,794,270 | |
Fidelity VIP Investment Grade Central Fund (c) | 3,543,157 | 327,600,306 | |
iShares 20+ Year Treasury Bond ETF | 115,724 | 11,912,629 | |
TOTAL FIXED-INCOME FUNDS (Cost $423,755,978) | 388,181,429 | ||
Money Market Funds - 0.1% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (d) (Cost $791,956) | 791,797 | 791,956 | |
Equity Funds - 58.6% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 36.5% | |||
Fidelity Commodity Strategy Central Fund (c) | 46,536 | 4,358,053 | |
Fidelity Hedged Equity Central Fund (c) | 113,145 | 12,078,220 | |
Fidelity Real Estate Equity Central Fund (c) | 32,879 | 4,047,391 | |
Fidelity U.S. Equity Central Fund (c) | 2,609,705 | 313,817,018 | |
iShares MSCI USA Minimum Volatility ETF | 162,326 | 12,065,691 | |
TOTAL DOMESTIC EQUITY FUNDS | 346,366,373 | ||
International Equity Funds - 22.1% | |||
Fidelity Emerging Markets Equity Central Fund (c) | 328,225 | 64,355,070 | |
Fidelity International Equity Central Fund (c) | 1,544,507 | 145,600,692 | |
TOTAL INTERNATIONAL EQUITY FUNDS | 209,955,762 | ||
TOTAL EQUITY FUNDS (Cost $384,946,431) | 556,322,135 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $813,790,201) | 949,592,818 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 125,246 |
NET ASSETS - 100.0% | 949,718,064 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI EAFE Index Contracts (United States) | 48 | Sep 2023 | 5,173,200 | 38,013 | 38,013 |
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 22 | Sep 2023 | 2,356,063 | (46,622) | (46,622) |
TOTAL PURCHASED | (8,609) | ||||
Sold | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 331 | Sep 2023 | 74,280,538 | (2,301,173) | (2,301,173) |
TOTAL FUTURES CONTRACTS | (2,309,782) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 0.7% | |||||
The notional amount of futures sold as a percentage of Net Assets is 7.8% |
ETF | - | EXCHANGE-TRADED FUND |
(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 $4,297,298. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, other than the Commodity Strategy Central Fund, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(d) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 7,455,959 | 53,528,413 | 60,192,416 | 142,851 | - | - | 791,956 | 0.0% |
Fidelity Commodity Strategy Central Fund | 16,528,012 | 148,466 | 11,336,511 | - | (1,901,093) | 919,179 | 4,358,053 | 1.9% |
Fidelity Emerging Markets Debt Central Fund | 1,940,360 | 145,355 | 573,689 | 49,780 | (98,050) | 109,348 | 1,523,324 | 0.1% |
Fidelity Emerging Markets Debt Local Currency Central Fund | 2,664,658 | 4,520,239 | 24 | 6,530 | 8,819 | 416,312 | 7,610,004 | 2.7% |
Fidelity Emerging Markets Equity Central Fund | 51,368,089 | 13,147,206 | 3,955,045 | 601,596 | (195,343) | 3,990,163 | 64,355,070 | 2.7% |
Fidelity Floating Rate Central Fund | 27,484,957 | 1,219,026 | 13,617,428 | 1,003,620 | (508,266) | 1,039,557 | 15,617,846 | 1.0% |
Fidelity Hedged Equity Central Fund | - | 11,764,363 | - | 1,527 | - | 313,857 | 12,078,220 | 2.7% |
Fidelity High Income Central Fund | 7,782,988 | 330,708 | 1,970,169 | 254,189 | 51,756 | 78,123 | 6,273,406 | 0.4% |
Fidelity Inflation-Protected Bond Index Central Fund | 18,475,824 | 232,494 | 7,142,102 | 40,085 | (755,955) | 1,039,383 | 11,849,644 | 2.7% |
Fidelity International Credit Central Fund | 9,231,536 | 165,072 | 3,565,557 | 71,131 | (1,008,974) | 972,193 | 5,794,270 | 2.5% |
Fidelity International Equity Central Fund | 113,983,095 | 25,441,714 | 9,122,545 | 1,748,587 | 117,931 | 15,180,497 | 145,600,692 | 2.8% |
Fidelity Real Estate Equity Central Fund | 6,262,297 | 79,439 | 2,681,735 | 31,041 | 25,123 | 362,267 | 4,047,391 | 0.4% |
Fidelity Securities Lending Cash Central Fund 5.14% | 2,514,975 | 27,862,835 | 30,377,810 | 225 | - | - | - | 0.0% |
Fidelity U.S. Equity Central Fund | 301,048,011 | 4,070,792 | 37,555,445 | 1,550,203 | 5,737,953 | 40,515,707 | 313,817,018 | 1.9% |
Fidelity VIP Investment Grade Central Fund | 333,520,507 | 16,988,871 | 25,586,715 | 6,136,017 | (548,648) | 3,226,291 | 327,600,306 | 12.3% |
Total | 900,261,268 | 159,644,993 | 207,677,191 | 11,637,382 | 925,253 | 68,162,877 | 921,317,200 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 4,297,298 | - | 4,297,298 | - |
Fixed-Income Funds | 388,181,429 | 388,181,429 | - | - |
Money Market Funds | 791,956 | 791,956 | - | - |
Equity Funds | 556,322,135 | 556,322,135 | - | - |
Total Investments in Securities: | 949,592,818 | 945,295,520 | 4,297,298 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 38,013 | 38,013 | - | - |
Total Assets | 38,013 | 38,013 | - | - |
Liabilities | ||||
Futures Contracts | (2,347,795) | (2,347,795) | - | - |
Total Liabilities | (2,347,795) | (2,347,795) | - | - |
Total Derivative Instruments: | (2,309,782) | (2,309,782) | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Futures Contracts (a) | 38,013 | (2,301,173) |
Total Equity Risk | 38,013 | (2,301,173) |
Interest Rate Risk | ||
Futures Contracts (a) | 0 | (46,622) |
Total Interest Rate Risk | 0 | (46,622) |
Total Value of Derivatives | 38,013 | (2,347,795) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $28,569,243) | $ | 28,275,618 | ||
Fidelity Central Funds (cost $785,220,958) | 921,317,200 | |||
Total Investment in Securities (cost $813,790,201) | $ | 949,592,818 | ||
Receivable for investments sold | 1,911,377 | |||
Receivable for fund shares sold | 67,603 | |||
Distributions receivable from Fidelity Central Funds | 10,941 | |||
Other receivables | 3,154 | |||
Total assets | 951,585,893 | |||
Liabilities | ||||
Payable for fund shares redeemed | $ | 550,556 | ||
Accrued management fee | 374,458 | |||
Distribution and service plan fees payable | 3,553 | |||
Payable for daily variation margin on futures contracts | 808,155 | |||
Other affiliated payables | 96,428 | |||
Other payables and accrued expenses | 34,679 | |||
Total Liabilities | 1,867,829 | |||
Net Assets | $ | 949,718,064 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 818,195,779 | ||
Total accumulated earnings (loss) | 131,522,285 | |||
Net Assets | $ | 949,718,064 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($699,021,108 ÷ 45,943,557 shares) | $ | 15.21 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($2,647,687 ÷ 176,033 shares) | $ | 15.04 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($16,174,164 ÷ 1,098,498 shares) | $ | 14.72 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($231,875,105 ÷ 15,374,800 shares) | $ | 15.08 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends | $ | 138,734 | ||
Interest | 91,941 | |||
Income from Fidelity Central Funds (including $225 from security lending) | 11,637,382 | |||
Total Income | 11,868,057 | |||
Expenses | ||||
Management fee | $ | 2,255,123 | ||
Transfer agent fees | 386,560 | |||
Distribution and service plan fees | 20,910 | |||
Accounting fees | 192,784 | |||
Custodian fees and expenses | 13,199 | |||
Independent trustees' fees and expenses | 1,653 | |||
Audit | 24,430 | |||
Legal | 4,367 | |||
Miscellaneous | 2,615 | |||
Total expenses before reductions | 2,901,641 | |||
Expense reductions | (21,915) | |||
Total expenses after reductions | 2,879,726 | |||
Net Investment income (loss) | 8,988,331 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (1,983,576) | |||
Fidelity Central Funds | 925,253 | |||
Futures contracts | (4,498,977) | |||
Total net realized gain (loss) | (5,557,300) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 558,789 | |||
Fidelity Central Funds | 68,162,877 | |||
Futures contracts | (3,564,372) | |||
Total change in net unrealized appreciation (depreciation) | 65,157,294 | |||
Net gain (loss) | 59,599,994 | |||
Net increase (decrease) in net assets resulting from operations | $ | 68,588,325 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 8,988,331 | $ | 20,909,265 |
Net realized gain (loss) | (5,557,300) | 3,887,476 | ||
Change in net unrealized appreciation (depreciation) | 65,157,294 | (200,538,663) | ||
Net increase (decrease) in net assets resulting from operations | 68,588,325 | (175,741,922) | ||
Distributions to shareholders | (11,326,581) | (89,791,253) | ||
Share transactions - net increase (decrease) | (37,728,024) | (3,782,308) | ||
Total increase (decrease) in net assets | 19,533,720 | (269,315,483) | ||
Net Assets | ||||
Beginning of period | 930,184,344 | 1,199,499,827 | ||
End of period | $ | 949,718,064 | $ | 930,184,344 |
VIP Asset Manager Portfolio Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 14.32 | $ | 18.33 | $ | 17.04 | $ | 15.23 | $ | 13.68 | $ | 15.23 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .14 | .32 | .29 | .22 | .27 | .24 | ||||||
Net realized and unrealized gain (loss) | .93 | (2.94) | 1.40 | 2.03 | 2.16 | (1.04) | ||||||
Total from investment operations | 1.07 | (2.62) | 1.69 | 2.25 | 2.43 | (.80) | ||||||
Distributions from net investment income | (.02) | (.32) | (.30) | (.24) | (.27) | (.26) C | ||||||
Distributions from net realized gain | (.16) | (1.07) | (.10) | (.21) | (.61) | (.49) C | ||||||
Total distributions | (.18) | (1.39) | (.40) | (.44) D | (.88) | (.75) | ||||||
Net asset value, end of period | $ | 15.21 | $ | 14.32 | $ | 18.33 | $ | 17.04 | $ | 15.23 | $ | 13.68 |
Total Return E,F,G | 7.48% | (14.94)% | 9.92% | 14.87% | 18.25% | (5.35)% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | .59% J | .59% | .59% | .59% | .60% | .60% | ||||||
Expenses net of fee waivers, if any | .58% J | .59% | .58% | .59% | .60% | .60% | ||||||
Expenses net of all reductions | .58% J | .59% | .58% | .59% | .60% | .60% | ||||||
Net investment income (loss) | 1.92% J | 2.08% | 1.62% | 1.41% | 1.88% | 1.64% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 699,021 | $ | 688,649 | $ | 889,923 | $ | 889,473 | $ | 843,000 | $ | 788,193 |
Portfolio turnover rate K | 22% J | 29% | 20% | 20% | 30% | 27% |
VIP Asset Manager Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 14.16 | $ | 18.14 | $ | 16.86 | $ | 15.08 | $ | 13.55 | $ | 15.09 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .13 | .30 | .27 | .20 | .26 | .23 | ||||||
Net realized and unrealized gain (loss) | .93 | (2.91) | 1.38 | 2.01 | 2.13 | (1.03) | ||||||
Total from investment operations | 1.06 | (2.61) | 1.65 | 2.21 | 2.39 | (.80) | ||||||
Distributions from net investment income | (.02) | (.31) | (.27) | (.23) | (.25) | (.25) C | ||||||
Distributions from net realized gain | (.16) | (1.07) | (.10) | (.21) | (.61) | (.49) C | ||||||
Total distributions | (.18) | (1.37) D | (.37) | (.43) D | (.86) | (.74) | ||||||
Net asset value, end of period | $ | 15.04 | $ | 14.16 | $ | 18.14 | $ | 16.86 | $ | 15.08 | $ | 13.55 |
Total Return E,F,G | 7.49% | (15.03)% | 9.80% | 14.74% | 18.16% | (5.44)% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | .69% J | .69% | .69% | .69% | .70% | .70% | ||||||
Expenses net of fee waivers, if any | .68% J | .69% | .69% | .69% | .70% | .70% | ||||||
Expenses net of all reductions | .68% J | .69% | .69% | .69% | .70% | .70% | ||||||
Net investment income (loss) | 1.82% J | 1.98% | 1.52% | 1.31% | 1.78% | 1.54% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 2,648 | $ | 2,480 | $ | 3,627 | $ | 5,108 | $ | 3,923 | $ | 4,378 |
Portfolio turnover rate K | 22% J | 29% | 20% | 20% | 30% | 27% |
VIP Asset Manager Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 13.88 | $ | 17.81 | $ | 16.56 | $ | 14.82 | $ | 13.33 | $ | 14.86 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .12 | .27 | .24 | .17 | .23 | .20 | ||||||
Net realized and unrealized gain (loss) | .90 | (2.85) | 1.36 | 1.97 | 2.11 | (1.02) | ||||||
Total from investment operations | 1.02 | (2.58) | 1.60 | 2.14 | 2.34 | (.82) | ||||||
Distributions from net investment income | (.02) | (.28) | (.25) | (.20) | (.23) | (.22) C | ||||||
Distributions from net realized gain | (.16) | (1.07) | (.10) | (.21) | (.61) | (.49) C | ||||||
Total distributions | (.18) | (1.35) | (.35) | (.40) D | (.85) D | (.71) | ||||||
Net asset value, end of period | $ | 14.72 | $ | 13.88 | $ | 17.81 | $ | 16.56 | $ | 14.82 | $ | 13.33 |
Total Return E,F,G | 7.35% | (15.15)% | 9.68% | 14.54% | 18.01% | (5.61)% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | .84% J | .84% | .84% | .84% | .85% | .85% | ||||||
Expenses net of fee waivers, if any | .83% J | .84% | .83% | .84% | .85% | .85% | ||||||
Expenses net of all reductions | .83% J | .84% | .83% | .84% | .85% | .85% | ||||||
Net investment income (loss) | 1.67% J | 1.83% | 1.37% | 1.16% | 1.63% | 1.39% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 16,174 | $ | 14,925 | $ | 20,038 | $ | 19,943 | $ | 19,343 | $ | 18,211 |
Portfolio turnover rate K | 22% J | 29% | 20% | 20% | 30% | 27% |
VIP Asset Manager Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 14.20 | $ | 18.19 | $ | 16.91 | $ | 15.12 | $ | 13.59 | $ | 15.13 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .14 | .31 | .28 | .20 | .26 | .23 | ||||||
Net realized and unrealized gain (loss) | .92 | (2.92) | 1.39 | 2.02 | 2.14 | (1.03) | ||||||
Total from investment operations | 1.06 | (2.61) | 1.67 | 2.22 | 2.40 | (.80) | ||||||
Distributions from net investment income | (.02) | (.31) | (.28) | (.23) | (.25) | (.25) C | ||||||
Distributions from net realized gain | (.16) | (1.07) | (.10) | (.21) | (.61) | (.49) C | ||||||
Total distributions | (.18) | (1.38) | (.39) D | (.43) D | (.87) D | (.74) | ||||||
Net asset value, end of period | $ | 15.08 | $ | 14.20 | $ | 18.19 | $ | 16.91 | $ | 15.12 | $ | 13.59 |
Total Return E,F,G | 7.47% | (15.00)% | 9.85% | 14.77% | 18.14% | (5.39)% | ||||||
Ratios to Average Net Assets B,H,I | ||||||||||||
Expenses before reductions | .66% J | .66% | .66% | .67% | .68% | .68% | ||||||
Expenses net of fee waivers, if any | .66% J | .66% | .66% | .67% | .68% | .68% | ||||||
Expenses net of all reductions | .66% J | .66% | .66% | .67% | .68% | .68% | ||||||
Net investment income (loss) | 1.84% J | 2.01% | 1.55% | 1.33% | 1.80% | 1.56% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 231,875 | $ | 224,131 | $ | 285,912 | $ | 254,632 | $ | 229,330 | $ | 202,182 |
Portfolio turnover rate K | 22% J | 29% | 20% | 20% | 30% | 27% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
Fidelity Commodity Strategy Central Fund | Geode Capital Management, LLC (Geode) | Seeks to provide investment returns that correspond to the performance of the commodities market. | Investment in commodity-related investments through a wholly-owned subsidiary organized under the laws of the Cayman Islands Futures | Less than .005% |
Fidelity Emerging Markets Debt Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks high total return by normally investing in debt securities of issuers in emerging markets and other debt investments that are tied economically to emerging markets. | Foreign Securities Restricted Securities | Less than .005% |
Fidelity Emerging Markets Equity Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks capital appreciation by investing primarily in equity securities of issuers in emerging markets. | Foreign Securities Loans & Direct Debt Instruments | .02% |
Fidelity International Equity Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks capital appreciation by investing primarily in non-U.S. based common stocks, including securities of issuers located in emerging markets. | Foreign Securities Loans & Direct Debt Instruments | .01% |
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. | Foreign Securities Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
Fidelity High Income Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Restricted Securities | .04% |
Fidelity Inflation-Protected Bond Index Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks to provide investment results that correspond to the performance of the inflation-protected United States Treasury market, and may invest in derivatives. | Less than .005% | |
Fidelity VIP Investment Grade Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in investment-grade debt securities and repurchase agreements. | Delayed Delivery & When Issued Securities Restricted Securities | Less than .005% |
Fidelity Real Estate Equity Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks above-average income and long-term capital growth by investing primarily in equity securities of issuers in the real estate industry. | Loans & Direct Debt Instruments | Less than .005% |
Fidelity International Credit Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in debt securities of foreign issuers, including debt securities of issuers located in emerging markets. Foreign currency exposure is hedged utilizing foreign currency contracts. | Foreign Securities Forward Foreign Currency Contracts Futures Options Restricted Securities Swaps | Less than .005% |
Fidelity U.S. Equity Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks capital appreciation by investing primarily in common stocks, allocated across different market sectors. | Foreign Securities Futures Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
Fidelity Emerging Markets Debt Local Currency Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks high total return by normally investing in debt securities of issuers in emerging markets and other debt investments that are tied economically to emerging markets and denominated in the local currency of the issuer. | Foreign Securities Restricted Securities | .02% |
Fidelity Hedged Equity Central Fund | Fidelity Diversifying Solutions LLC (FDS) | Seeks capital appreciation by investing primarily in common stocks of companies with market capitalizations generally similar to companies in the S&P 500® Index. | Options | .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% |
VIP Asset Manager Portfolio | $2,977 |
Gross unrealized appreciation | $176,559,005 |
Gross unrealized depreciation | (35,989,656) |
Net unrealized appreciation (depreciation) | $140,569,349 |
Tax cost | $806,713,687 |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
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. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
VIP Asset Manager Portfolio | ||
Equity Risk | ||
Futures Contracts | $(4,275,358) | $(3,515,489) |
Total Equity Risk | (4,275,358) | (3,515,489) |
Interest Rate Risk | ||
Futures Contracts | (223,619) | (48,883) |
Total Interest Rate Risk | (223,619) | (48,883) |
Totals | $(4,498,977) | $(3,564,372) |
Purchases ($) | Sales ($) | |
VIP Asset Manager Portfolio | 104,602,127 | 144,461,870 |
Service Class | $1,292 |
Service Class 2 | 19,618 |
$20,910 |
Amount | % of Class-Level Average Net Assets A | |
Initial Class | $220,631 | .06 |
Service Class | 814 | .06 |
Service Class 2 | 4,944 | .06 |
Investor Class | 160,171 | .14 |
$386,560 |
% of Average Net Assets | |
VIP Asset Manager Portfolio | .04 |
Amount | |
VIP Asset Manager Portfolio | $1 |
Amount | |
VIP Asset Manager Portfolio | $930 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
VIP Asset Manager Portfolio | $22 | $- | $- |
Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Asset Manager Portfolio | ||
Distributions to shareholders | ||
Initial Class | $ 8,352,169 | $66,577,504 |
Service Class | 30,562 | 263,506 |
Service Class 2 | 187,305 | 1,491,304 |
Investor Class | 2,756,545 | 21,458,939 |
Total | $11,326,581 | $89,791,253 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 | Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Asset Manager Portfolio | ||||
Initial Class | ||||
Shares sold | 1,016,631 | 1,206,877 | $14,971,207 | $18,518,559 |
Reinvestment of distributions | 564,717 | 4,181,615 | 8,352,169 | 66,577,504 |
Shares redeemed | (3,738,602) | (5,843,233) | (55,340,507) | (89,425,484) |
Net increase (decrease) | (2,157,254) | (454,741) | $(32,017,131) | $(4,329,421) |
Service Class | ||||
Shares sold | 5,083 | 54,671 | $73,907 | $841,893 |
Reinvestment of distributions | 2,089 | 16,666 | 30,562 | 263,506 |
Shares redeemed | (6,265) | (96,133) | (91,375) | (1,451,771) |
Net increase (decrease) | 907 | (24,796) | $13,094 | $(346,372) |
Service Class 2 | ||||
Shares sold | 79,027 | 111,874 | $1,128,349 | $1,658,202 |
Reinvestment of distributions | 13,071 | 96,283 | 187,305 | 1,491,304 |
Shares redeemed | (69,071) | (257,921) | (993,612) | (3,831,281) |
Net increase (decrease) | 23,027 | (49,764) | $322,042 | $(681,775) |
Investor Class | ||||
Shares sold | 63,593 | 528,213 | $944,857 | $7,816,663 |
Reinvestment of distributions | 187,904 | 1,358,600 | 2,756,545 | 21,458,939 |
Shares redeemed | (662,542) | (1,820,313) | (9,747,431) | (27,700,342) |
Net increase (decrease) | (411,045) | 66,500 | $(6,046,029) | $1,575,260 |
Fund | Affiliated % | Number ofUnaffiliated Shareholders | Unaffiliated Shareholders % |
VIP Asset Manager Portfolio | 44% | 2 | 27% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Asset Manager Portfolio | ||||||||||
Initial Class | .58% | |||||||||
Actual | $ 1,000 | $ 1,074.80 | $ 2.98 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.92 | $ 2.91 | |||||||
Service Class | .68% | |||||||||
Actual | $ 1,000 | $ 1,074.90 | $ 3.50 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.42 | $ 3.41 | |||||||
Service Class 2 | .83% | |||||||||
Actual | $ 1,000 | $ 1,073.50 | $ 4.27 | |||||||
Hypothetical- B | $ 1,000 | $ 1,020.68 | $ 4.16 | |||||||
Investor Class | .66% | |||||||||
Actual | $ 1,000 | $ 1,074.70 | $ 3.40 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.52 | $ 3.31 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Quality Diversification (% of Fund's net assets) |
Short-Term Investments and Net Other Assets (Liabilities) - (5.6)%* |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
Short-Term Investments and Net Other Assets (Liabilities) - (5.6)% |
Futures and Swaps - 1.7% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Geographic Diversification (% of Fund's net assets) |
* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
Nonconvertible Bonds - 28.9% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 2.6% | |||
Diversified Telecommunication Services - 0.6% | |||
AT&T, Inc.: | |||
1.65% 2/1/28 | 284,000 | 244,076 | |
2.25% 2/1/32 | 467,000 | 370,938 | |
2.55% 12/1/33 | 1,877,000 | 1,474,339 | |
2.75% 6/1/31 | 509,000 | 429,474 | |
2.95% 7/15/26 | 219,000 | 205,960 | |
3.3% 2/1/52 | 484,000 | 338,696 | |
3.5% 6/1/41 | 261,000 | 200,366 | |
3.5% 9/15/53 | 864,000 | 611,639 | |
3.55% 9/15/55 | 1,880,000 | 1,316,124 | |
3.65% 6/1/51 | 400,000 | 293,648 | |
3.65% 9/15/59 | 1,076,000 | 749,132 | |
3.8% 2/15/27 | 247,000 | 235,931 | |
3.8% 12/1/57 | 1,915,000 | 1,386,455 | |
4.35% 6/15/45 | 175,000 | 146,654 | |
4.5% 3/9/48 | 224,000 | 189,473 | |
4.65% 6/1/44 | 216,000 | 188,179 | |
Orange SA 5.5% 2/6/44 | 82,000 | 83,153 | |
Telefonica Emisiones S.A.U.: | |||
4.103% 3/8/27 | 367,000 | 352,113 | |
5.213% 3/8/47 | 180,000 | 156,553 | |
7.045% 6/20/36 | 71,000 | 77,429 | |
Verizon Communications, Inc.: | |||
1.5% 9/18/30 | 110,000 | 86,933 | |
1.68% 10/30/30 | 92,000 | 72,632 | |
2.1% 3/22/28 | 751,000 | 659,733 | |
2.355% 3/15/32 | 1,607,000 | 1,292,485 | |
2.55% 3/21/31 | 2,142,000 | 1,788,427 | |
2.987% 10/30/56 | 2,392,000 | 1,519,305 | |
3% 3/22/27 | 163,000 | 152,097 | |
3.55% 3/22/51 | 299,000 | 223,039 | |
4.125% 3/16/27 | 192,000 | 186,421 | |
4.272% 1/15/36 | 666,000 | 600,490 | |
4.329% 9/21/28 | 419,000 | 403,918 | |
4.4% 11/1/34 | 103,000 | 95,066 | |
4.75% 11/1/41 | 27,000 | 24,798 | |
4.862% 8/21/46 | 934,000 | 856,293 | |
5.012% 4/15/49 | 67,000 | 62,912 | |
5.012% 8/21/54 | 344,000 | 318,334 | |
17,393,215 | |||
Entertainment - 0.2% | |||
The Walt Disney Co.: | |||
2% 9/1/29 | 286,000 | 243,483 | |
2.65% 1/13/31 | 435,000 | 378,728 | |
2.75% 9/1/49 | 286,000 | 193,638 | |
3.5% 5/13/40 | 187,000 | 154,614 | |
3.6% 1/13/51 | 186,000 | 148,005 | |
3.7% 10/15/25 | 192,000 | 186,257 | |
3.8% 3/22/30 | 2,891,000 | 2,732,067 | |
3.8% 5/13/60 | 187,000 | 149,291 | |
4.7% 3/23/50 | 1,046,000 | 999,890 | |
5.4% 10/1/43 | 106,000 | 108,067 | |
6.15% 3/1/37 | 108,000 | 116,691 | |
6.15% 2/15/41 | 288,000 | 315,912 | |
5,726,643 | |||
Interactive Media & Services - 0.0% | |||
Alphabet, Inc.: | |||
0.45% 8/15/25 | 204,000 | 186,755 | |
1.1% 8/15/30 | 404,000 | 326,824 | |
1.998% 8/15/26 | 63,000 | 58,311 | |
2.05% 8/15/50 | 404,000 | 252,729 | |
Baidu, Inc. 3.425% 4/7/30 | 334,000 | 298,857 | |
�� | 1,123,476 | ||
Media - 1.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
2.8% 4/1/31 | 701,000 | 564,067 | |
3.5% 6/1/41 | 924,000 | 624,998 | |
3.7% 4/1/51 | 243,000 | 153,547 | |
3.85% 4/1/61 | 2,000,000 | 1,209,657 | |
3.9% 6/1/52 | 4,000,000 | 2,617,459 | |
4.2% 3/15/28 | 302,000 | 283,116 | |
4.4% 4/1/33 | 318,000 | 279,126 | |
4.8% 3/1/50 | 6,000,000 | 4,526,993 | |
4.908% 7/23/25 | 704,000 | 690,375 | |
5.05% 3/30/29 | 167,000 | 159,246 | |
5.125% 7/1/49 | 339,000 | 266,699 | |
5.25% 4/1/53 | 318,000 | 256,843 | |
5.375% 5/1/47 | 2,438,000 | 2,015,141 | |
5.5% 4/1/63 | 318,000 | 256,033 | |
5.75% 4/1/48 | 143,000 | 122,402 | |
6.384% 10/23/35 | 369,000 | 359,659 | |
6.484% 10/23/45 | 474,000 | 445,616 | |
6.834% 10/23/55 | 3,000,000 | 2,828,182 | |
Comcast Corp.: | |||
1.5% 2/15/31 | 390,000 | 310,223 | |
1.95% 1/15/31 | 70,000 | 57,280 | |
2.35% 1/15/27 | 653,000 | 599,563 | |
2.45% 8/15/52 | 390,000 | 238,494 | |
2.65% 2/1/30 | 216,000 | 188,938 | |
2.8% 1/15/51 | 224,000 | 148,275 | |
3.15% 3/1/26 | 137,000 | 131,224 | |
3.3% 2/1/27 | 327,000 | 310,306 | |
3.375% 8/15/25 | 376,000 | 362,796 | |
3.4% 4/1/30 | 200,000 | 183,761 | |
3.45% 2/1/50 | 204,000 | 155,257 | |
3.75% 4/1/40 | 160,000 | 134,806 | |
3.9% 3/1/38 | 135,000 | 117,294 | |
3.969% 11/1/47 | 143,000 | 118,437 | |
4% 3/1/48 | 329,000 | 274,172 | |
4.15% 10/15/28 | 517,000 | 500,910 | |
4.65% 7/15/42 | 319,000 | 294,172 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 765,000 | 671,041 | |
4% 9/15/55 | 314,000 | 208,701 | |
4.65% 5/15/50 | 1,508,000 | 1,148,725 | |
5.2% 9/20/47 | 230,000 | 188,238 | |
Fox Corp.: | |||
4.03% 1/25/24 | 288,000 | 285,115 | |
4.709% 1/25/29 | 515,000 | 500,456 | |
5.476% 1/25/39 | 331,000 | 309,192 | |
5.576% 1/25/49 | 406,000 | 380,127 | |
Magallanes, Inc.: | |||
3.428% 3/15/24 | 513,000 | 503,672 | |
3.638% 3/15/25 | 281,000 | 271,031 | |
3.755% 3/15/27 | 853,000 | 795,650 | |
4.054% 3/15/29 | 190,000 | 173,683 | |
4.279% 3/15/32 | 4,437,000 | 3,935,066 | |
5.05% 3/15/42 | 692,000 | 583,264 | |
5.141% 3/15/52 | 7,416,000 | 6,038,463 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 418,000 | 312,661 | |
5.5% 9/1/41 | 214,000 | 178,034 | |
5.875% 11/15/40 | 188,000 | 165,844 | |
6.55% 5/1/37 | 2,538,000 | 2,433,115 | |
7.3% 7/1/38 | 585,000 | 596,156 | |
TWDC Enterprises 18 Corp.: | |||
1.85% 7/30/26 | 140,000 | 127,805 | |
3% 7/30/46 | 123,000 | 88,645 | |
3.15% 9/17/25 | 260,000 | 249,633 | |
4.125% 6/1/44 | 156,000 | 137,082 | |
42,066,466 | |||
Wireless Telecommunication Services - 0.4% | |||
Rogers Communications, Inc.: | |||
2.9% 11/15/26 | 69,000 | 63,243 | |
3.2% 3/15/27 (b) | 594,000 | 552,239 | |
3.625% 12/15/25 | 55,000 | 52,035 | |
3.7% 11/15/49 | 167,000 | 118,251 | |
3.8% 3/15/32 (b) | 1,320,000 | 1,153,841 | |
4.1% 10/1/23 | 132,000 | 131,357 | |
5.45% 10/1/43 | 158,000 | 144,708 | |
T-Mobile U.S.A., Inc.: | |||
2.05% 2/15/28 | 412,000 | 357,239 | |
2.25% 11/15/31 | 5,000,000 | 4,000,194 | |
3.3% 2/15/51 | 412,000 | 289,014 | |
3.5% 4/15/25 | 241,000 | 231,706 | |
3.75% 4/15/27 | 997,000 | 943,766 | |
3.875% 4/15/30 | 1,339,000 | 1,233,579 | |
4.375% 4/15/40 | 396,000 | 349,705 | |
4.5% 4/15/50 | 723,000 | 620,367 | |
Vodafone Group PLC: | |||
5.125% 6/19/59 | 180,000 | 159,442 | |
5.25% 5/30/48 | 655,000 | 615,195 | |
11,015,881 | |||
TOTAL COMMUNICATION SERVICES | 77,325,681 | ||
CONSUMER DISCRETIONARY - 0.8% | |||
Automobiles - 0.2% | |||
American Honda Finance Corp. 3.55% 1/12/24 | 669,000 | 661,656 | |
General Motors Co.: | |||
5% 10/1/28 | 189,000 | 183,761 | |
5.2% 4/1/45 | 117,000 | 99,804 | |
5.95% 4/1/49 | 173,000 | 161,647 | |
6.6% 4/1/36 | 160,000 | 164,281 | |
6.75% 4/1/46 | 196,000 | 198,151 | |
6.8% 10/1/27 | 364,000 | 378,113 | |
General Motors Financial Co., Inc.: | |||
3.85% 1/5/28 | 192,000 | 177,008 | |
4% 1/15/25 | 169,000 | 163,783 | |
4% 10/6/26 | 101,000 | 95,780 | |
4.3% 7/13/25 | 340,000 | 329,771 | |
4.35% 1/17/27 | 219,000 | 209,951 | |
5.65% 1/17/29 | 587,000 | 577,330 | |
5.85% 4/6/30 | 1,080,000 | 1,070,564 | |
Toyota Motor Corp.: | |||
0.681% 3/25/24 | 760,000 | 733,571 | |
2.358% 7/2/24 | 170,000 | 164,650 | |
5,369,821 | |||
Broadline Retail - 0.0% | |||
Alibaba Group Holding Ltd.: | |||
2.125% 2/9/31 | 572,000 | 465,271 | |
3.15% 2/9/51 | 589,000 | 378,123 | |
Kohl's Corp.: | |||
4.25% 7/17/25 | 100,000 | 92,536 | |
10.75% 5/15/25 | 43,000 | 43,597 | |
Macy's Retail Holdings LLC 4.3% 2/15/43 | 130,000 | 78,737 | |
Nordstrom, Inc.: | |||
4% 3/15/27 | 124,000 | 110,360 | |
5% 1/15/44 | 55,000 | 38,197 | |
1,206,821 | |||
Diversified Consumer Services - 0.1% | |||
American University 3.672% 4/1/49 | 66,000 | 52,589 | |
Duke University 2.832% 10/1/55 | 128,000 | 89,155 | |
George Washington University: | |||
4.126% 9/15/48 | 192,000 | 165,748 | |
4.3% 9/15/44 | 55,000 | 49,223 | |
Ingersoll-Rand Global Holding Co. Ltd.: | |||
3.75% 8/21/28 | 127,000 | 120,252 | |
4.3% 2/21/48 | 136,000 | 116,938 | |
Massachusetts Institute of Technology: | |||
2.989% 7/1/50 | 128,000 | 95,713 | |
3.885% 7/1/2116 | 78,000 | 59,979 | |
3.959% 7/1/38 | 130,000 | 119,284 | |
Northwestern University: | |||
3.662% 12/1/57 | 152,000 | 123,079 | |
4.643% 12/1/44 | 92,000 | 89,002 | |
President and Fellows of Harvard College: | |||
3.3% 7/15/56 | 133,000 | 101,606 | |
3.619% 10/1/37 | 27,000 | 23,584 | |
Rice University 3.774% 5/15/55 | 50,000 | 42,231 | |
Trustees of Princeton Univ. 5.7% 3/1/39 | 27,000 | 30,347 | |
University Notre Dame du Lac 3.438% 2/15/45 | 91,000 | 74,743 | |
University of Chicago 3% 10/1/52 | 173,000 | 125,470 | |
University of Southern California: | |||
2.945% 10/1/51 | 314,000 | 223,453 | |
5.25% 10/1/2111 | 55,000 | 55,349 | |
1,757,745 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Expedia, Inc. 3.25% 2/15/30 | 237,000 | 206,273 | |
McDonald's Corp.: | |||
3.3% 7/1/25 | 165,000 | 159,061 | |
3.5% 7/1/27 | 475,000 | 452,193 | |
3.6% 7/1/30 | 448,000 | 416,792 | |
3.7% 1/30/26 | 463,000 | 447,542 | |
Metropolitan Museum of Art 3.4% 7/1/45 | 82,000 | 63,204 | |
Starbucks Corp. 3.85% 10/1/23 | 51,000 | 50,788 | |
1,795,853 | |||
Household Durables - 0.0% | |||
Lennar Corp. 4.75% 11/29/27 | 217,000 | 210,545 | |
Leisure Products - 0.0% | |||
Hasbro, Inc. 3% 11/19/24 | 552,000 | 530,372 | |
Specialty Retail - 0.4% | |||
AutoNation, Inc.: | |||
3.85% 3/1/32 | 2,004,000 | 1,700,160 | |
4.75% 6/1/30 | 96,000 | 89,761 | |
AutoZone, Inc.: | |||
3.125% 7/15/23 | 105,000 | 104,895 | |
3.25% 4/15/25 | 110,000 | 105,274 | |
3.625% 4/15/25 | 461,000 | 444,885 | |
3.75% 6/1/27 | 159,000 | 151,309 | |
4% 4/15/30 | 996,000 | 924,839 | |
Lowe's Companies, Inc.: | |||
1.3% 4/15/28 | 220,000 | 185,798 | |
1.7% 10/15/30 | 334,000 | 267,634 | |
3.35% 4/1/27 | 85,000 | 80,274 | |
3.65% 4/5/29 | 294,000 | 272,422 | |
3.7% 4/15/46 | 96,000 | 73,071 | |
3.75% 4/1/32 | 899,000 | 813,662 | |
4.05% 5/3/47 | 315,000 | 253,339 | |
4.25% 4/1/52 | 1,065,000 | 868,912 | |
4.45% 4/1/62 | 1,098,000 | 881,591 | |
4.5% 4/15/30 | 811,000 | 788,400 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 148,000 | 139,737 | |
The Home Depot, Inc.: | |||
2.375% 3/15/51 | 180,000 | 111,521 | |
2.5% 4/15/27 | 333,000 | 308,882 | |
2.8% 9/14/27 | 137,000 | 127,472 | |
2.95% 6/15/29 | 574,000 | 522,479 | |
3% 4/1/26 | 275,000 | 263,032 | |
3.125% 12/15/49 | 183,000 | 133,888 | |
3.3% 4/15/40 | 167,000 | 135,608 | |
3.75% 2/15/24 | 184,000 | 182,072 | |
3.9% 12/6/28 | 158,000 | 152,953 | |
3.9% 6/15/47 | 235,000 | 199,713 | |
4.2% 4/1/43 | 43,000 | 38,424 | |
4.25% 4/1/46 | 90,000 | 79,781 | |
4.5% 12/6/48 | 205,000 | 189,949 | |
4.875% 2/15/44 | 79,000 | 76,894 | |
5.875% 12/16/36 | 405,000 | 440,915 | |
11,109,546 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
NIKE, Inc.: | |||
2.4% 3/27/25 | 171,000 | 163,532 | |
2.85% 3/27/30 | 165,000 | 148,992 | |
3.25% 3/27/40 | 334,000 | 274,438 | |
3.375% 11/1/46 | 123,000 | 98,650 | |
3.375% 3/27/50 | 165,000 | 133,662 | |
Tapestry, Inc. 3.05% 3/15/32 | 80,000 | 63,884 | |
883,158 | |||
TOTAL CONSUMER DISCRETIONARY | 22,863,861 | ||
CONSUMER STAPLES - 1.8% | |||
Beverages - 1.0% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46 | 10,000,000 | 9,557,908 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.625% 2/1/44 | 158,000 | 144,954 | |
4.7% 2/1/36 | 1,297,000 | 1,261,481 | |
4.9% 2/1/46 | 1,943,000 | 1,857,102 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 465,000 | 432,397 | |
4.35% 6/1/40 | 443,000 | 407,356 | |
4.439% 10/6/48 | 203,000 | 182,673 | |
4.5% 6/1/50 | 628,000 | 579,107 | |
4.6% 4/15/48 | 514,000 | 477,121 | |
4.6% 6/1/60 | 465,000 | 419,091 | |
4.75% 4/15/58 | 722,000 | 669,347 | |
5.45% 1/23/39 | 589,000 | 609,467 | |
5.55% 1/23/49 | 2,509,000 | 2,644,470 | |
5.8% 1/23/59 (Reg. S) | 1,804,000 | 1,965,796 | |
8.2% 1/15/39 | 77,000 | 100,636 | |
Constellation Brands, Inc.: | |||
3.5% 5/9/27 | 274,000 | 259,252 | |
3.7% 12/6/26 | 207,000 | 196,914 | |
5.25% 11/15/48 | 199,000 | 190,536 | |
Diageo Capital PLC: | |||
1.375% 9/29/25 | 380,000 | 349,534 | |
2% 4/29/30 | 407,000 | 342,983 | |
2.125% 4/29/32 | 367,000 | 298,180 | |
Dr. Pepper Snapple Group, Inc. 3.8% 5/1/50 | 87,000 | 68,469 | |
Molson Coors Beverage Co.: | |||
3% 7/15/26 | 1,419,000 | 1,325,483 | |
4.2% 7/15/46 | 363,000 | 300,582 | |
5% 5/1/42 | 1,644,000 | 1,522,380 | |
PepsiCo, Inc.: | |||
1.4% 2/25/31 | 430,000 | 346,040 | |
1.625% 5/1/30 | 1,184,000 | 983,888 | |
2.375% 10/6/26 | 185,000 | 173,514 | |
3% 10/15/27 | 499,000 | 469,676 | |
3.6% 8/13/42 | 82,000 | 69,440 | |
3.875% 3/19/60 | 167,000 | 144,029 | |
4.25% 10/22/44 | 165,000 | 149,673 | |
4.45% 4/14/46 | 159,000 | 153,392 | |
The Coca-Cola Co.: | |||
1.375% 3/15/31 | 334,000 | 267,540 | |
1.45% 6/1/27 | 230,000 | 205,545 | |
1.65% 6/1/30 | 230,000 | 191,611 | |
2.5% 6/1/40 | 230,000 | 173,226 | |
2.5% 3/15/51 | 167,000 | 114,092 | |
2.6% 6/1/50 | 230,000 | 160,628 | |
2.75% 6/1/60 | 230,000 | 158,351 | |
3.375% 3/25/27 | 713,000 | 687,377 | |
3.45% 3/25/30 | 436,000 | 411,368 | |
31,022,609 | |||
Consumer Staples Distribution & Retail - 0.0% | |||
Dollar Tree, Inc. 4% 5/15/25 | 219,000 | 212,001 | |
Sysco Corp.: | |||
3.3% 7/15/26 | 90,000 | 85,007 | |
3.3% 2/15/50 | 387,000 | 274,954 | |
3.75% 10/1/25 | 156,000 | 150,842 | |
6.6% 4/1/40 | 270,000 | 292,690 | |
1,015,494 | |||
Food Products - 0.3% | |||
Campbell Soup Co. 4.8% 3/15/48 | 384,000 | 346,668 | |
General Mills, Inc.: | |||
2.875% 4/15/30 | 289,000 | 256,646 | |
3% 2/1/51 | 168,000 | 118,640 | |
4.2% 4/17/28 | 472,000 | 458,091 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
2.5% 1/15/27 (b) | 1,107,000 | 969,843 | |
3% 5/15/32 (b) | 991,000 | 760,543 | |
3.625% 1/15/32 (b) | 381,000 | 309,159 | |
5.125% 2/1/28 (b) | 1,205,000 | 1,157,123 | |
5.5% 1/15/30 (b) | 159,000 | 152,529 | |
5.75% 4/1/33 (b) | 2,485,000 | 2,335,783 | |
Kraft Heinz Foods Co.: | |||
3.875% 5/15/27 | 1,001,000 | 961,076 | |
4.375% 6/1/46 | 500,000 | 424,170 | |
8,250,271 | |||
Household Products - 0.1% | |||
Colgate-Palmolive Co. 3.25% 3/15/24 | 274,000 | 271,220 | |
Kimberly-Clark Corp.: | |||
1.05% 9/15/27 | 579,000 | 499,737 | |
3.1% 3/26/30 | 116,000 | 105,833 | |
3.2% 7/30/46 | 69,000 | 51,699 | |
3.95% 11/1/28 | 234,000 | 227,164 | |
Procter & Gamble Co.: | |||
1% 4/23/26 | 315,000 | 285,088 | |
1.95% 4/23/31 | 500,000 | 424,645 | |
2.85% 8/11/27 | 123,000 | 115,222 | |
3% 3/25/30 | 272,000 | 251,673 | |
3.1% 8/15/23 | 274,000 | 273,526 | |
2,505,807 | |||
Personal Care Products - 0.0% | |||
Estee Lauder Companies, Inc. 1.95% 3/15/31 | 467,000 | 383,450 | |
Tobacco - 0.4% | |||
Altria Group, Inc.: | |||
3.8% 2/14/24 | 127,000 | 125,361 | |
3.875% 9/16/46 | 274,000 | 192,042 | |
4.25% 8/9/42 | 963,000 | 751,158 | |
4.5% 5/2/43 | 466,000 | 370,586 | |
4.8% 2/14/29 | 491,000 | 477,524 | |
5.375% 1/31/44 | 422,000 | 396,774 | |
5.8% 2/14/39 | 256,000 | 250,579 | |
5.95% 2/14/49 | 452,000 | 429,106 | |
BAT Capital Corp.: | |||
3.222% 8/15/24 | 282,000 | 273,670 | |
3.557% 8/15/27 | 580,000 | 533,346 | |
4.39% 8/15/37 | 298,000 | 238,372 | |
4.54% 8/15/47 | 459,000 | 337,764 | |
4.758% 9/6/49 | 334,000 | 252,140 | |
Imperial Tobacco Finance PLC: | |||
4.25% 7/21/25 (b) | 1,945,000 | 1,865,408 | |
6.125% 7/27/27 (b) | 1,309,000 | 1,311,280 | |
Philip Morris International, Inc.: | |||
2.75% 2/25/26 | 103,000 | 96,817 | |
3.6% 11/15/23 | 101,000 | 100,241 | |
3.875% 8/21/42 | 132,000 | 104,372 | |
4.125% 3/4/43 | 274,000 | 223,688 | |
4.875% 11/15/43 | 165,000 | 147,495 | |
6.375% 5/16/38 | 40,000 | 43,678 | |
Reynolds American, Inc.: | |||
4.45% 6/12/25 | 488,000 | 474,209 | |
4.85% 9/15/23 | 49,000 | 48,872 | |
5.7% 8/15/35 | 153,000 | 143,795 | |
5.85% 8/15/45 | 116,000 | 103,159 | |
6.15% 9/15/43 | 502,000 | 482,916 | |
7.25% 6/15/37 | 570,000 | 596,541 | |
10,370,893 | |||
TOTAL CONSUMER STAPLES | 53,548,524 | ||
ENERGY - 2.5% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co.: | |||
4.08% 12/15/47 | 659,000 | 532,009 | |
5.125% 9/15/40 | 55,000 | 53,347 | |
Halliburton Co.: | |||
2.92% 3/1/30 | 264,000 | 231,968 | |
3.8% 11/15/25 | 14,000 | 13,521 | |
4.85% 11/15/35 | 270,000 | 254,245 | |
5% 11/15/45 | 207,000 | 187,295 | |
7.45% 9/15/39 | 41,000 | 47,517 | |
1,319,902 | |||
Oil, Gas & Consumable Fuels - 2.5% | |||
Apache Corp. 5.1% 9/1/40 | 82,000 | 66,625 | |
Boardwalk Pipelines LP 4.95% 12/15/24 | 130,000 | 127,879 | |
BP Capital Markets PLC 3.279% 9/19/27 | 349,000 | 328,600 | |
Canadian Natural Resources Ltd.: | |||
3.8% 4/15/24 | 852,000 | 838,078 | |
3.9% 2/1/25 | 51,000 | 49,300 | |
4.95% 6/1/47 | 175,000 | 156,057 | |
5.85% 2/1/35 | 644,000 | 625,388 | |
6.25% 3/15/38 | 188,000 | 191,369 | |
Cenovus Energy, Inc.: | |||
2.65% 1/15/32 | 196,000 | 158,214 | |
5.4% 6/15/47 | 258,000 | 233,554 | |
6.75% 11/15/39 | 25,000 | 26,208 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 259,000 | 252,735 | |
ConocoPhillips Co.: | |||
5.95% 3/15/46 | 165,000 | 177,982 | |
6.5% 2/1/39 | 206,000 | 237,494 | |
DCP Midstream Operating LP: | |||
5.125% 5/15/29 | 1,257,000 | 1,229,652 | |
5.6% 4/1/44 | 154,000 | 145,968 | |
6.45% 11/3/36 (b) | 311,000 | 319,349 | |
6.75% 9/15/37 (b) | 1,205,000 | 1,278,842 | |
Devon Energy Corp.: | |||
5% 6/15/45 | 456,000 | 395,364 | |
5.6% 7/15/41 | 79,000 | 74,353 | |
Eastern Gas Transmission & Storage, Inc. 3.9% 11/15/49 | 334,000 | 245,549 | |
Enbridge, Inc.: | |||
3.5% 6/10/24 | 77,000 | 75,334 | |
4% 10/1/23 | 353,000 | 351,593 | |
4.25% 12/1/26 | 223,000 | 215,068 | |
5.5% 12/1/46 | 397,000 | 379,254 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 750,000 | 676,731 | |
3.9% 5/15/24 (c) | 166,000 | 163,190 | |
3.9% 7/15/26 | 206,000 | 195,770 | |
4.2% 9/15/23 | 149,000 | 148,445 | |
4.5% 4/15/24 | 158,000 | 156,184 | |
4.95% 6/15/28 | 767,000 | 743,968 | |
5% 5/15/50 | 3,892,000 | 3,287,039 | |
5.15% 3/15/45 | 219,000 | 188,850 | |
5.25% 4/15/29 | 258,000 | 251,871 | |
5.3% 4/1/44 | 159,000 | 137,698 | |
5.4% 10/1/47 | 420,000 | 370,176 | |
5.8% 6/15/38 | 523,000 | 501,084 | |
6% 6/15/48 | 923,000 | 875,285 | |
6.125% 12/15/45 | 120,000 | 114,007 | |
6.25% 4/15/49 | 257,000 | 251,006 | |
Enterprise Products Operating LP: | |||
3.3% 2/15/53 | 104,000 | 74,210 | |
3.7% 2/15/26 | 652,000 | 628,619 | |
3.95% 2/15/27 | 710,000 | 685,292 | |
4.2% 1/31/50 | 163,000 | 136,231 | |
4.25% 2/15/48 | 547,000 | 463,350 | |
4.8% 2/1/49 | 201,000 | 183,980 | |
4.85% 8/15/42 | 69,000 | 63,262 | |
4.85% 3/15/44 | 137,000 | 126,446 | |
4.9% 5/15/46 | 117,000 | 107,826 | |
5.7% 2/15/42 | 55,000 | 55,888 | |
7.55% 4/15/38 | 55,000 | 63,172 | |
EOG Resources, Inc. 4.15% 1/15/26 | 154,000 | 150,729 | |
Equinor ASA: | |||
2.375% 5/22/30 | 316,000 | 274,296 | |
3.125% 4/6/30 | 274,000 | 250,779 | |
3.625% 9/10/28 | 331,000 | 315,779 | |
3.7% 3/1/24 | 100,000 | 98,723 | |
3.7% 4/6/50 | 438,000 | 356,022 | |
5.1% 8/17/40 | 55,000 | 55,222 | |
Exxon Mobil Corp.: | |||
3.043% 3/1/26 | 228,000 | 217,927 | |
3.452% 4/15/51 | 114,000 | 88,577 | |
3.482% 3/19/30 | 2,355,000 | 2,208,804 | |
3.567% 3/6/45 | 182,000 | 147,947 | |
Hess Corp.: | |||
3.5% 7/15/24 | 104,000 | 101,453 | |
4.3% 4/1/27 | 614,000 | 588,885 | |
5.6% 2/15/41 | 2,043,000 | 1,954,690 | |
5.8% 4/1/47 | 117,000 | 113,669 | |
7.125% 3/15/33 | 126,000 | 137,440 | |
7.3% 8/15/31 | 168,000 | 184,222 | |
7.875% 10/1/29 | 551,000 | 607,270 | |
Kinder Morgan Energy Partners LP: | |||
3.5% 9/1/23 | 55,000 | 54,793 | |
4.25% 9/1/24 | 411,000 | 402,701 | |
4.7% 11/1/42 | 104,000 | 86,422 | |
5% 3/1/43 | 27,000 | 23,231 | |
5.5% 3/1/44 | 192,000 | 174,981 | |
5.625% 9/1/41 | 27,000 | 24,789 | |
6.55% 9/15/40 | 140,000 | 142,140 | |
Kinder Morgan, Inc.: | |||
4.3% 3/1/28 | 273,000 | 260,918 | |
5.2% 3/1/48 | 241,000 | 211,019 | |
5.3% 12/1/34 | 234,000 | 225,300 | |
5.55% 6/1/45 | 573,000 | 527,888 | |
Magellan Midstream Partners LP: | |||
4.25% 9/15/46 | 151,000 | 111,148 | |
5% 3/1/26 | 82,000 | 81,211 | |
Marathon Oil Corp. 5.2% 6/1/45 | 137,000 | 115,973 | |
Marathon Petroleum Corp.: | |||
4.5% 4/1/48 | 160,000 | 126,153 | |
4.7% 5/1/25 | 601,000 | 589,661 | |
6.5% 3/1/41 | 27,000 | 27,817 | |
MPLX LP: | |||
4.125% 3/1/27 | 259,000 | 247,821 | |
4.7% 4/15/48 | 535,000 | 439,111 | |
4.8% 2/15/29 | 393,000 | 378,996 | |
4.875% 12/1/24 | 344,000 | 339,032 | |
4.95% 9/1/32 | 2,488,000 | 2,376,566 | |
5.2% 3/1/47 | 168,000 | 147,342 | |
5.5% 2/15/49 | 662,000 | 599,901 | |
Occidental Petroleum Corp.: | |||
6.2% 3/15/40 | 214,000 | 210,916 | |
6.45% 9/15/36 | 578,000 | 593,201 | |
6.6% 3/15/46 | 717,000 | 738,187 | |
7.5% 5/1/31 | 964,000 | 1,052,534 | |
ONEOK, Inc.: | |||
4.45% 9/1/49 | 160,000 | 121,263 | |
4.95% 7/13/47 | 160,000 | 131,848 | |
5.2% 7/15/48 | 83,000 | 70,755 | |
Ovintiv, Inc. 6.5% 2/1/38 | 244,000 | 239,216 | |
Petroleos Mexicanos: | |||
4.5% 1/23/26 | 668,000 | 594,103 | |
5.95% 1/28/31 | 457,000 | 332,984 | |
6.35% 2/12/48 | 1,658,000 | 999,210 | |
6.49% 1/23/27 | 481,000 | 426,647 | |
6.5% 3/13/27 | 607,000 | 538,713 | |
6.5% 1/23/29 | 698,000 | 577,665 | |
6.7% 2/16/32 | 634,000 | 481,174 | |
6.75% 9/21/47 | 1,520,000 | 949,833 | |
6.84% 1/23/30 | 2,319,000 | 1,837,228 | |
6.95% 1/28/60 | 989,000 | 611,697 | |
7.69% 1/23/50 | 2,036,000 | 1,372,223 | |
8.75% 6/2/29 | 15,000,000 | 13,449,750 | |
Phillips 66 Co.: | |||
3.85% 4/9/25 | 77,000 | 74,859 | |
4.875% 11/15/44 | 27,000 | 24,744 | |
5.875% 5/1/42 | 260,000 | 269,580 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 166,000 | 146,277 | |
3.6% 11/1/24 | 371,000 | 358,952 | |
4.65% 10/15/25 | 336,000 | 327,322 | |
4.9% 2/15/45 | 52,000 | 41,859 | |
6.65% 1/15/37 | 77,000 | 77,244 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 1,002,000 | 952,463 | |
Shell International Finance BV 3.5% 11/13/23 | 192,000 | 190,578 | |
Spectra Energy Partners LP: | |||
3.375% 10/15/26 | 447,000 | 419,668 | |
4.75% 3/15/24 | 132,000 | 130,862 | |
Suncor Energy, Inc.: | |||
4% 11/15/47 | 137,000 | 105,844 | |
6.8% 5/15/38 | 232,000 | 246,159 | |
6.85% 6/1/39 | 55,000 | 59,120 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 1,068,000 | 954,741 | |
3.75% 6/15/27 | 640,000 | 603,967 | |
3.9% 1/15/25 | 250,000 | 242,635 | |
4.3% 3/4/24 | 684,000 | 676,266 | |
4.5% 11/15/23 | 220,000 | 219,059 | |
4.55% 6/24/24 | 1,831,000 | 1,806,208 | |
4.65% 8/15/32 | 2,571,000 | 2,434,768 | |
4.85% 3/1/48 | 231,000 | 199,853 | |
5.3% 8/15/52 | 581,000 | 535,682 | |
5.75% 6/24/44 | 52,000 | 50,660 | |
Total Capital International SA: | |||
3.127% 5/29/50 | 98,000 | 71,169 | |
3.455% 2/19/29 | 585,000 | 543,875 | |
3.461% 7/12/49 | 179,000 | 138,748 | |
3.75% 4/10/24 | 55,000 | 54,175 | |
TransCanada PipeLines Ltd.: | |||
4.75% 5/15/38 | 288,000 | 257,125 | |
4.875% 1/15/26 | 137,000 | 135,353 | |
4.875% 5/15/48 | 135,000 | 120,891 | |
5.1% 3/15/49 | 96,000 | 89,410 | |
6.1% 6/1/40 | 184,000 | 187,288 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 288,000 | 255,964 | |
3.95% 5/15/50 | 572,000 | 441,085 | |
4.45% 8/1/42 | 212,000 | 181,365 | |
4.6% 3/15/48 | 110,000 | 93,499 | |
Valero Energy Corp. 6.625% 6/15/37 | 149,000 | 159,875 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 109,000 | 104,702 | |
4.5% 3/1/28 | 251,000 | 236,821 | |
4.65% 7/1/26 | 1,137,000 | 1,093,795 | |
4.75% 8/15/28 | 145,000 | 137,620 | |
75,178,014 | |||
TOTAL ENERGY | 76,497,916 | ||
FINANCIALS - 14.1% | |||
Banks - 7.1% | |||
Banco Santander SA: | |||
1.849% 3/25/26 | 400,000 | 357,840 | |
2.958% 3/25/31 | 400,000 | 329,836 | |
3.225% 11/22/32 (c) | 200,000 | 158,444 | |
Bank of America Corp.: | |||
CME Term SOFR 3 Month Index + 0.640% 2.015% 2/13/26 (c)(d) | 692,000 | 648,037 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 1.53% 12/6/25 (c)(d) | 1,351,000 | 1,262,927 | |
1.658% 3/11/27 (c) | 532,000 | 478,737 | |
1.734% 7/22/27 (c) | 690,000 | 616,008 | |
2.087% 6/14/29 (c) | 157,000 | 133,946 | |
2.299% 7/21/32 (c) | 2,174,000 | 1,738,693 | |
2.651% 3/11/32 (c) | 506,000 | 419,088 | |
2.676% 6/19/41 (c) | 340,000 | 238,729 | |
2.687% 4/22/32 (c) | 246,000 | 203,872 | |
2.831% 10/24/51 (c) | 276,000 | 181,216 | |
2.972% 7/21/52 (c) | 268,000 | 182,173 | |
3.194% 7/23/30 (c) | 1,318,000 | 1,161,694 | |
3.248% 10/21/27 | 103,000 | 95,941 | |
3.366% 1/23/26 (c) | 724,000 | 693,673 | |
3.419% 12/20/28 (c) | 3,213,000 | 2,946,397 | |
3.5% 4/19/26 | 631,000 | 605,288 | |
3.593% 7/21/28 (c) | 304,000 | 282,588 | |
3.705% 4/24/28 (c) | 241,000 | 225,879 | |
3.846% 3/8/37 (c) | 197,000 | 168,459 | |
3.864% 7/23/24 (c) | 1,215,000 | 1,213,511 | |
3.95% 4/21/25 | 518,000 | 501,628 | |
3.97% 3/5/29 (c) | 601,000 | 562,674 | |
3.974% 2/7/30 (c) | 388,000 | 359,233 | |
4% 1/22/25 | 165,000 | 160,461 | |
4.083% 3/20/51 (c) | 173,000 | 143,436 | |
4.1% 7/24/23 | 192,000 | 191,858 | |
4.183% 11/25/27 | 425,000 | 403,739 | |
4.2% 8/26/24 | 2,742,000 | 2,690,581 | |
4.25% 10/22/26 | 645,000 | 622,551 | |
4.271% 7/23/29 (c) | 494,000 | 468,704 | |
4.33% 3/15/50 (c) | 359,000 | 308,728 | |
4.443% 1/20/48 (c) | 418,000 | 370,015 | |
4.45% 3/3/26 | 547,000 | 531,644 | |
4.571% 4/27/33 (c) | 10,000,000 | 9,402,437 | |
5% 1/21/44 | 147,000 | 140,875 | |
5.015% 7/22/33 (c) | 14,951,000 | 14,625,722 | |
5.875% 2/7/42 | 90,000 | 95,699 | |
6.11% 1/29/37 | 194,000 | 204,596 | |
7.75% 5/14/38 | 114,000 | 135,301 | |
Bank of Montreal: | |||
3.3% 2/5/24 | 444,000 | 437,234 | |
3.803% 12/15/32 (c) | 320,000 | 282,079 | |
Bank of Nova Scotia: | |||
3.4% 2/11/24 | 1,109,000 | 1,093,140 | |
4.5% 12/16/25 | 435,000 | 419,885 | |
Barclays PLC: | |||
2.279% 11/24/27 (c) | 500,000 | 439,831 | |
2.852% 5/7/26 (c) | 1,383,000 | 1,295,296 | |
2.894% 11/24/32 (c) | 520,000 | 409,225 | |
3.932% 5/7/25 (c) | 435,000 | 425,111 | |
4.375% 1/12/26 | 781,000 | 750,215 | |
4.836% 5/9/28 | 263,000 | 242,220 | |
4.95% 1/10/47 | 443,000 | 390,440 | |
5.088% 6/20/30 (c) | 923,000 | 839,328 | |
5.2% 5/12/26 | 781,000 | 753,468 | |
5.829% 5/9/27 (c) | 4,830,000 | 4,764,329 | |
6.224% 5/9/34 (c) | 2,572,000 | 2,561,803 | |
BB&T Corp. 3.75% 12/6/23 | 482,000 | 477,334 | |
BNP Paribas SA 2.219% 6/9/26 (b)(c) | 947,000 | 875,797 | |
Canadian Imperial Bank of Commerce 3.6% 4/7/32 | 398,000 | 357,722 | |
Citigroup, Inc.: | |||
CME Term SOFR 3 Month Index + 1.150% 3.52% 10/27/28 (c)(d) | 632,000 | 586,971 | |
1.122% 1/28/27 (c) | 487,000 | 434,131 | |
2.561% 5/1/32 (c) | 414,000 | 338,042 | |
3.106% 4/8/26 (c) | 854,000 | 815,310 | |
3.352% 4/24/25 (c) | 623,000 | 609,025 | |
3.668% 7/24/28 (c) | 1,119,000 | 1,046,144 | |
3.7% 1/12/26 | 305,000 | 292,586 | |
3.875% 3/26/25 | 1,193,000 | 1,152,087 | |
3.887% 1/10/28 (c) | 123,000 | 116,555 | |
3.98% 3/20/30 (c) | 976,000 | 902,445 | |
4.125% 7/25/28 | 423,000 | 398,706 | |
4.3% 11/20/26 | 218,000 | 208,640 | |
4.4% 6/10/25 | 110,000 | 106,846 | |
4.412% 3/31/31 (c) | 1,601,000 | 1,505,359 | |
4.45% 9/29/27 | 3,118,000 | 2,977,155 | |
4.6% 3/9/26 | 441,000 | 426,953 | |
4.65% 7/23/48 | 389,000 | 352,127 | |
4.75% 5/18/46 | 216,000 | 184,803 | |
4.91% 5/24/33 (c) | 11,248,000 | 10,884,185 | |
5.3% 5/6/44 | 55,000 | 50,853 | |
5.5% 9/13/25 | 831,000 | 826,191 | |
5.875% 1/30/42 | 149,000 | 156,207 | |
6.27% 11/17/33 (c) | 5,000,000 | 5,307,086 | |
8.125% 7/15/39 | 219,000 | 280,207 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 662,000 | 467,909 | |
Comerica, Inc. 3.8% 7/22/26 | 100,000 | 89,030 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 328,000 | 275,678 | |
Discover Bank 4.2% 8/8/23 | 358,000 | 357,299 | |
Export-Import Bank of Korea: | |||
0.625% 2/9/26 | 719,000 | 635,094 | |
2.875% 1/21/25 | 208,000 | 199,928 | |
Fifth Third Bancorp: | |||
2.55% 5/5/27 | 407,000 | 359,498 | |
8.25% 3/1/38 | 57,000 | 65,348 | |
HSBC Holdings PLC: | |||
2.013% 9/22/28 (c) | 1,336,000 | 1,144,823 | |
2.099% 6/4/26 (c) | 500,000 | 462,677 | |
3.803% 3/11/25 (c) | 891,000 | 873,614 | |
3.9% 5/25/26 | 302,000 | 287,775 | |
4.25% 3/14/24 | 276,000 | 272,476 | |
4.292% 9/12/26 (c) | 1,276,000 | 1,227,142 | |
4.375% 11/23/26 | 787,000 | 743,808 | |
4.95% 3/31/30 | 398,000 | 391,817 | |
6.5% 9/15/37 | 288,000 | 287,506 | |
6.8% 6/1/38 | 167,000 | 175,843 | |
HSBC U.S.A., Inc. 3.5% 6/23/24 | 192,000 | 187,513 | |
ING Groep NV: | |||
1.726% 4/1/27 (c) | 253,000 | 225,312 | |
2.727% 4/1/32 (c) | 256,000 | 211,184 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 545,000 | 527,884 | |
5.71% 1/15/26 (b) | 1,614,000 | 1,536,179 | |
Japan Bank International Cooperation: | |||
1.25% 1/21/31 | 1,072,000 | 846,189 | |
2.375% 4/20/26 | 358,000 | 334,154 | |
2.875% 6/1/27 | 208,000 | 193,328 | |
3.25% 7/20/28 | 246,000 | 230,218 | |
3.375% 10/31/23 | 890,000 | 883,228 | |
JPMorgan Chase & Co.: | |||
0.768% 8/9/25 (c) | 1,241,000 | 1,168,817 | |
1.47% 9/22/27 (c) | 821,000 | 724,798 | |
1.953% 2/4/32 (c) | 440,000 | 350,587 | |
2.083% 4/22/26 (c) | 1,010,000 | 945,867 | |
2.522% 4/22/31 (c) | 329,000 | 278,283 | |
2.545% 11/8/32 (c) | 642,000 | 526,006 | |
2.95% 10/1/26 | 692,000 | 648,601 | |
2.956% 5/13/31 (c) | 884,000 | 757,986 | |
3.109% 4/22/51 (c) | 409,000 | 285,762 | |
3.22% 3/1/25 (c) | 478,000 | 468,545 | |
3.3% 4/1/26 | 247,000 | 235,311 | |
3.509% 1/23/29 (c) | 867,000 | 801,435 | |
3.54% 5/1/28 (c) | 466,000 | 435,638 | |
3.797% 7/23/24 (c) | 1,098,000 | 1,096,687 | |
3.875% 9/10/24 | 6,391,000 | 6,239,486 | |
3.882% 7/24/38 (c) | 123,000 | 106,141 | |
3.9% 7/15/25 | 592,000 | 577,094 | |
3.96% 1/29/27 (c) | 334,000 | 321,128 | |
3.964% 11/15/48 (c) | 258,000 | 212,104 | |
4.005% 4/23/29 (c) | 563,000 | 530,038 | |
4.125% 12/15/26 | 1,929,000 | 1,857,089 | |
4.203% 7/23/29 (c) | 1,198,000 | 1,138,657 | |
4.323% 4/26/28 (c) | 326,000 | 314,667 | |
4.452% 12/5/29 (c) | 335,000 | 321,026 | |
4.493% 3/24/31 (c) | 1,607,000 | 1,544,759 | |
4.586% 4/26/33 (c) | 8,275,000 | 7,888,495 | |
4.85% 2/1/44 | 137,000 | 129,586 | |
4.912% 7/25/33 (c) | 15,028,000 | 14,684,963 | |
4.95% 6/1/45 | 262,000 | 244,554 | |
5.5% 10/15/40 | 156,000 | 160,161 | |
5.6% 7/15/41 | 41,000 | 42,639 | |
5.625% 8/16/43 | 137,000 | 140,441 | |
5.717% 9/14/33 (c) | 2,300,000 | 2,333,334 | |
Korea Development Bank: | |||
0.4% 6/19/24 | 300,000 | 285,383 | |
1.625% 1/19/31 | 367,000 | 295,679 | |
Lloyds Banking Group PLC: | |||
4.344% 1/9/48 | 411,000 | 312,944 | |
4.582% 12/10/25 | 320,000 | 306,451 | |
4.65% 3/24/26 | 236,000 | 225,385 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
1.538% 7/20/27 (c) | 309,000 | 272,713 | |
2.309% 7/20/32 (c) | 300,000 | 238,729 | |
2.801% 7/18/24 | 224,000 | 216,926 | |
3.195% 7/18/29 | 390,000 | 344,485 | |
3.751% 7/18/39 | 217,000 | 183,932 | |
3.961% 3/2/28 | 603,000 | 573,313 | |
Mizuho Financial Group, Inc.: | |||
1.554% 7/9/27 (c) | 317,000 | 279,657 | |
2.226% 5/25/26 (c) | 374,000 | 346,793 | |
2.26% 7/9/32 (c) | 314,000 | 244,753 | |
2.591% 5/25/31 (c) | 454,000 | 376,103 | |
NatWest Group PLC: | |||
3 month U.S. LIBOR + 1.750% 4.892% 5/18/29 (c)(d) | 234,000 | 222,592 | |
3.073% 5/22/28 (c) | 584,000 | 525,231 | |
3.754% 11/1/29 (c) | 354,000 | 332,295 | |
4.8% 4/5/26 | 358,000 | 347,489 | |
Oesterreichische Kontrollbank AG 0.375% 9/17/25 | 299,000 | 271,310 | |
PNC Financial Services Group, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.000% 4.626% 6/6/33 (c)(d) | 15,000,000 | 13,798,245 | |
1.15% 8/13/26 | 345,000 | 302,674 | |
2.2% 11/1/24 | 185,000 | 175,781 | |
2.6% 7/23/26 | 667,000 | 615,429 | |
3.5% 1/23/24 | 479,000 | 472,970 | |
3.9% 4/29/24 | 155,000 | 152,168 | |
Rabobank Nederland: | |||
3.75% 7/21/26 | 528,000 | 492,950 | |
4.375% 8/4/25 | 936,000 | 903,370 | |
5.25% 5/24/41 | 82,000 | 85,695 | |
Royal Bank of Canada: | |||
1.2% 4/27/26 | 308,000 | 274,659 | |
2.05% 1/21/27 | 567,000 | 508,578 | |
4.65% 1/27/26 | 356,000 | 346,636 | |
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c) | 717,000 | 619,259 | |
Santander UK Group Holdings PLC 2.469% 1/11/28 (c) | 334,000 | 291,576 | |
Societe Generale: | |||
1.038% 6/18/25 (b)(c) | 1,987,000 | 1,870,118 | |
1.488% 12/14/26 (b)(c) | 1,222,000 | 1,075,315 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
1.474% 7/8/25 | 390,000 | 358,162 | |
2.142% 9/23/30 | 380,000 | 304,233 | |
2.174% 1/14/27 | 781,000 | 697,801 | |
2.348% 1/15/25 | 247,000 | 234,189 | |
2.75% 1/15/30 | 234,000 | 201,836 | |
3.05% 1/14/42 | 400,000 | 298,392 | |
3.936% 10/16/23 | 430,000 | 427,591 | |
The Toronto-Dominion Bank: | |||
2.65% 6/12/24 | 637,000 | 617,748 | |
3.25% 3/11/24 | 834,000 | 819,932 | |
3.5% 7/19/23 | 274,000 | 273,775 | |
Truist Financial Corp. 1.267% 3/2/27 (c) | 899,000 | 792,784 | |
U.S. Bancorp: | |||
1.375% 7/22/30 | 334,000 | 255,427 | |
3% 7/30/29 | 297,000 | 251,256 | |
3.1% 4/27/26 | 247,000 | 230,830 | |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (c) | 1,018,000 | 958,621 | |
2.188% 4/30/26 (c) | 806,000 | 755,172 | |
2.406% 10/30/25 (c) | 1,970,000 | 1,875,848 | |
2.572% 2/11/31 (c) | 644,000 | 545,268 | |
3% 10/23/26 | 557,000 | 517,043 | |
3.068% 4/30/41 (c) | 487,000 | 358,196 | |
3.35% 3/2/33 (c) | 157,000 | 134,369 | |
3.526% 3/24/28 (c) | 1,167,000 | 1,089,219 | |
3.584% 5/22/28 (c) | 287,000 | 267,295 | |
3.9% 5/1/45 | 130,000 | 104,064 | |
4.1% 6/3/26 | 88,000 | 84,428 | |
4.4% 6/14/46 | 196,000 | 159,172 | |
4.478% 4/4/31 (c) | 1,796,000 | 1,707,633 | |
4.75% 12/7/46 | 439,000 | 373,668 | |
4.897% 7/25/33 (c) | 13,435,000 | 12,887,017 | |
4.9% 11/17/45 | 265,000 | 233,213 | |
5.013% 4/4/51 (c) | 2,815,000 | 2,621,908 | |
5.375% 11/2/43 | 184,000 | 173,231 | |
5.606% 1/15/44 | 312,000 | 299,526 | |
Westpac Banking Corp.: | |||
1.953% 11/20/28 | 200,000 | 171,444 | |
2.85% 5/13/26 | 130,000 | 122,317 | |
3.3% 2/26/24 | 891,000 | 877,142 | |
4.11% 7/24/34 (c) | 800,000 | 695,674 | |
4.421% 7/24/39 | 160,000 | 131,552 | |
215,133,630 | |||
Capital Markets - 3.4% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 826,000 | 780,834 | |
4.25% 2/15/24 | 538,000 | 530,903 | |
Ares Capital Corp.: | |||
2.15% 7/15/26 | 705,000 | 611,287 | |
3.25% 7/15/25 | 173,000 | 160,017 | |
3.875% 1/15/26 | 1,565,000 | 1,450,934 | |
4.2% 6/10/24 | 1,118,000 | 1,091,233 | |
Bank of New York Mellon Corp.: | |||
1.8% 7/28/31 | 574,000 | 454,637 | |
2.8% 5/4/26 | 154,000 | 144,846 | |
BlackRock, Inc.: | |||
2.1% 2/25/32 | 397,000 | 320,155 | |
3.5% 3/18/24 | 80,000 | 78,789 | |
Brookfield Finance, Inc. 2.724% 4/15/31 | 690,000 | 565,042 | |
CME Group, Inc.: | |||
2.65% 3/15/32 | 97,000 | 82,391 | |
5.3% 9/15/43 | 170,000 | 176,638 | |
Credit Suisse AG 3.625% 9/9/24 | 272,000 | 261,939 | |
Deutsche Bank AG: | |||
4.1% 1/13/26 | 330,000 | 311,309 | |
4.5% 4/1/25 | 1,502,000 | 1,426,237 | |
Deutsche Bank AG New York Branch: | |||
2.311% 11/16/27 (c) | 171,000 | 146,947 | |
3.7% 5/30/24 | 269,000 | 261,166 | |
4.1% 1/13/26 | 598,000 | 559,574 | |
6.72% 1/18/29 (c) | 1,810,000 | 1,812,580 | |
Goldman Sachs Group, Inc.: | |||
0.855% 2/12/26 (c) | 471,000 | 434,003 | |
1.093% 12/9/26 (c) | 1,144,000 | 1,019,460 | |
2.383% 7/21/32 (c) | 1,960,000 | 1,569,958 | |
2.6% 2/7/30 | 334,000 | 284,460 | |
2.615% 4/22/32 (c) | 848,000 | 695,461 | |
2.65% 10/21/32 (c) | 434,000 | 353,765 | |
3.102% 2/24/33 (c) | 16,994,000 | 14,355,737 | |
3.272% 9/29/25 (c) | 167,000 | 161,351 | |
3.436% 2/24/43 (c) | 137,000 | 104,211 | |
3.5% 1/23/25 | 1,432,000 | 1,381,705 | |
3.691% 6/5/28 (c) | 5,717,000 | 5,371,368 | |
3.8% 3/15/30 | 1,945,000 | 1,798,654 | |
3.85% 1/26/27 | 829,000 | 788,156 | |
4.25% 10/21/25 | 422,000 | 406,669 | |
4.411% 4/23/39 (c) | 130,000 | 113,440 | |
4.75% 10/21/45 | 433,000 | 393,576 | |
5.95% 1/15/27 | 411,000 | 416,669 | |
6.75% 10/1/37 | 843,000 | 906,683 | |
Intercontinental Exchange, Inc.: | |||
1.85% 9/15/32 | 310,000 | 237,606 | |
2.65% 9/15/40 | 310,000 | 219,752 | |
3.75% 12/1/25 | 158,000 | 153,280 | |
3.75% 9/21/28 | 256,000 | 242,240 | |
4.25% 9/21/48 | 290,000 | 249,699 | |
Jefferies Financial Group, Inc.: | |||
2.625% 10/15/31 | 67,000 | 51,944 | |
4.15% 1/23/30 | 387,000 | 347,934 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 737,000 | 686,300 | |
3.75% 3/24/25 | 637,000 | 619,143 | |
4.875% 2/15/24 | 169,000 | 168,084 | |
4.875% 12/17/48 | 284,000 | 266,035 | |
Morgan Stanley: | |||
CME Term SOFR 3 Month Index + 1.430% 4.457% 4/22/39 (c)(d) | 207,000 | 184,397 | |
1.164% 10/21/25 (c) | 390,000 | 364,504 | |
1.512% 7/20/27 (c) | 270,000 | 239,211 | |
1.593% 5/4/27 (c) | 393,000 | 351,821 | |
2.188% 4/28/26 (c) | 672,000 | 630,812 | |
2.239% 7/21/32 (c) | 255,000 | 202,671 | |
2.511% 10/20/32 (c) | 137,000 | 110,657 | |
2.72% 7/22/25 (c) | 520,000 | 501,430 | |
3.125% 7/27/26 | 2,912,000 | 2,726,924 | |
3.217% 4/22/42 (c) | 498,000 | 377,633 | |
3.591% 7/22/28 (c) | 984,000 | 907,926 | |
3.622% 4/1/31 (c) | 1,260,000 | 1,135,374 | |
3.625% 1/20/27 | 1,381,000 | 1,311,272 | |
3.772% 1/24/29 (c) | 337,000 | 314,615 | |
3.875% 1/27/26 | 144,000 | 139,005 | |
3.95% 4/23/27 | 937,000 | 887,182 | |
3.971% 7/22/38 (c) | 171,000 | 145,573 | |
4.3% 1/27/45 | 55,000 | 48,114 | |
4.375% 1/22/47 | 304,000 | 270,275 | |
4.431% 1/23/30 (c) | 552,000 | 525,192 | |
4.889% 7/20/33 (c) | 10,161,000 | 9,779,446 | |
5% 11/24/25 | 1,838,000 | 1,806,879 | |
5.597% 3/24/51 (c) | 355,000 | 370,590 | |
6.342% 10/18/33 (c) | 15,700,000 | 16,701,710 | |
6.375% 7/24/42 | 80,000 | 89,204 | |
7.25% 4/1/32 | 27,000 | 30,617 | |
Nomura Holdings, Inc. 3.103% 1/16/30 | 660,000 | 562,494 | |
Peachtree Corners Funding Trust 3.976% 2/15/25 (b) | 628,000 | 604,538 | |
S&P Global, Inc.: | |||
2.9% 3/1/32 | 1,181,000 | 1,023,631 | |
2.95% 1/22/27 | 167,000 | 156,452 | |
State Street Corp.: | |||
1.684% 11/18/27 (c) | 548,000 | 488,646 | |
2.65% 5/19/26 | 207,000 | 193,981 | |
UBS Group AG: | |||
1.494% 8/10/27 (b)(c) | 732,000 | 628,664 | |
2.593% 9/11/25 (b)(c) | 1,329,000 | 1,266,764 | |
3.75% 3/26/25 | 585,000 | 559,786 | |
3.869% 1/12/29 (b)(c) | 505,000 | 456,519 | |
4.125% 9/24/25 (b) | 661,000 | 631,599 | |
4.194% 4/1/31 (b)(c) | 1,208,000 | 1,075,192 | |
4.55% 4/17/26 | 323,000 | 310,457 | |
4.875% 5/15/45 | 310,000 | 268,396 | |
6.537% 8/12/33 (b)(c) | 7,000,000 | 7,170,887 | |
100,575,841 | |||
Consumer Finance - 2.1% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 2,018,000 | 1,896,334 | |
2.45% 10/29/26 | 878,000 | 784,186 | |
2.875% 8/14/24 | 1,146,000 | 1,101,297 | |
3% 10/29/28 | 730,000 | 631,196 | |
3.3% 1/30/32 | 567,000 | 463,862 | |
3.4% 10/29/33 | 204,000 | 163,853 | |
3.5% 1/15/25 | 1,042,000 | 997,619 | |
3.85% 10/29/41 | 204,000 | 154,961 | |
3.875% 1/23/28 | 430,000 | 395,331 | |
4.45% 10/1/25 | 270,000 | 259,715 | |
4.45% 4/3/26 | 393,000 | 375,226 | |
4.875% 1/16/24 | 864,000 | 857,929 | |
5.75% 6/6/28 | 4,500,000 | 4,462,776 | |
6.5% 7/15/25 | 455,000 | 457,250 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 277,000 | 273,280 | |
2.2% 11/2/28 | 330,000 | 263,378 | |
5.125% 9/30/24 | 268,000 | 262,926 | |
5.8% 5/1/25 | 1,168,000 | 1,148,128 | |
6.7% 2/14/33 | 6,000,000 | 5,308,728 | |
7.1% 11/15/27 | 2,990,000 | 3,015,666 | |
8% 11/1/31 | 5,339,000 | 5,542,527 | |
Capital One Financial Corp.: | |||
2.636% 3/3/26 (c) | 612,000 | 571,470 | |
3.273% 3/1/30 (c) | 783,000 | 664,829 | |
3.3% 10/30/24 | 398,000 | 382,409 | |
3.65% 5/11/27 | 1,693,000 | 1,572,484 | |
3.75% 7/28/26 | 267,000 | 248,651 | |
3.75% 3/9/27 | 970,000 | 903,490 | |
3.8% 1/31/28 | 1,242,000 | 1,141,308 | |
3.9% 1/29/24 | 468,000 | 462,252 | |
4.985% 7/24/26 (c) | 2,477,000 | 2,400,834 | |
5.247% 7/26/30 (c) | 3,190,000 | 3,007,241 | |
5.268% 5/10/33 (c) | 8,000,000 | 7,490,648 | |
5.468% 2/1/29 (c) | 2,078,000 | 1,990,646 | |
5.817% 2/1/34 (c) | 2,860,000 | 2,728,654 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 358,000 | 344,987 | |
4.1% 2/9/27 | 358,000 | 332,131 | |
4.5% 1/30/26 | 1,105,000 | 1,058,141 | |
6.7% 11/29/32 | 644,000 | 663,470 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 2,211,000 | 2,139,537 | |
5.584% 3/18/24 | 784,000 | 778,435 | |
GE Capital International Funding Co. 3.373% 11/15/25 | 790,000 | 752,981 | |
Synchrony Financial: | |||
3.7% 8/4/26 | 129,000 | 115,748 | |
3.95% 12/1/27 | 965,000 | 840,707 | |
4.25% 8/15/24 | 840,000 | 809,870 | |
4.375% 3/19/24 | 996,000 | 976,541 | |
5.15% 3/19/29 | 1,802,000 | 1,634,925 | |
Toyota Motor Credit Corp.: | |||
0.5% 8/14/23 | 500,000 | 497,277 | |
3.35% 1/8/24 | 384,000 | 379,515 | |
63,705,349 | |||
Financial Services - 0.9% | |||
AB Svensk Exportkredit 0.25% 9/29/23 | 466,000 | 460,286 | |
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31 | 547,000 | 450,467 | |
Blackstone Private Credit Fund: | |||
2.7% 1/15/25 | 437,000 | 407,621 | |
4.7% 3/24/25 | 2,482,000 | 2,390,489 | |
7.05% 9/29/25 | 3,077,000 | 3,069,021 | |
BP Capital Markets America, Inc.: | |||
2.721% 1/12/32 | 1,001,000 | 849,904 | |
3% 2/24/50 | 384,000 | 267,610 | |
3.017% 1/16/27 | 260,000 | 244,626 | |
3.06% 6/17/41 | 234,000 | 177,192 | |
Brixmor Operating Partnership LP: | |||
3.9% 3/15/27 | 155,000 | 142,507 | |
4.05% 7/1/30 | 804,000 | 724,698 | |
4.125% 6/15/26 | 791,000 | 738,817 | |
4.125% 5/15/29 | 819,000 | 730,544 | |
Corebridge Financial, Inc.: | |||
3.5% 4/4/25 | 254,000 | 241,981 | |
3.65% 4/5/27 | 4,362,000 | 4,072,253 | |
3.85% 4/5/29 | 355,000 | 319,257 | |
3.9% 4/5/32 | 423,000 | 367,543 | |
4.35% 4/5/42 | 96,000 | 77,463 | |
4.4% 4/5/52 | 285,000 | 224,060 | |
DH Europe Finance II SARL: | |||
2.2% 11/15/24 | 227,000 | 217,392 | |
2.6% 11/15/29 | 265,000 | 233,214 | |
3.4% 11/15/49 | 287,000 | 224,262 | |
Equitable Holdings, Inc. 4.35% 4/20/28 | 759,000 | 710,307 | |
Jackson Financial, Inc.: | |||
5.17% 6/8/27 | 1,172,000 | 1,116,111 | |
5.67% 6/8/32 | 1,479,000 | 1,403,145 | |
Japan International Cooperation Agency 1.75% 4/28/31 | 274,000 | 221,866 | |
John Deere Capital Corp.: | |||
2.65% 6/24/24 | 287,000 | 279,174 | |
2.65% 6/10/26 | 137,000 | 128,979 | |
2.8% 9/8/27 | 192,000 | 177,908 | |
3.45% 3/7/29 | 548,000 | 512,476 | |
KfW: | |||
0.25% 10/19/23 | 404,000 | 397,956 | |
0.375% 7/18/25 | 472,000 | 430,980 | |
0.625% 1/22/26 | 1,471,000 | 1,328,834 | |
2% 5/2/25 | 105,000 | 99,445 | |
2.5% 11/20/24 | 286,000 | 275,348 | |
2.625% 2/28/24 | 559,000 | 548,424 | |
2.875% 4/3/28 | 421,000 | 395,887 | |
Landwirtschaftliche Rentenbank: | |||
1.75% 7/27/26 | 233,000 | 213,843 | |
2.5% 11/15/27 | 242,000 | 224,415 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 766,000 | 757,275 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 717,000 | 656,851 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 716,000 | 643,533 | |
The Western Union Co. 2.85% 1/10/25 | 300,000 | 285,347 | |
Voya Financial, Inc.: | |||
3.65% 6/15/26 | 433,000 | 408,407 | |
5.7% 7/15/43 | 103,000 | 98,775 | |
27,946,493 | |||
Insurance - 0.6% | |||
AFLAC, Inc.: | |||
3.6% 4/1/30 | 167,000 | 153,207 | |
4% 10/15/46 | 104,000 | 82,816 | |
AIA Group Ltd.: | |||
3.2% 9/16/40 (b) | 438,000 | 335,869 | |
3.375% 4/7/30 (b) | 924,000 | 844,680 | |
Allstate Corp.: | |||
3.28% 12/15/26 | 129,000 | 121,399 | |
4.2% 12/15/46 | 207,000 | 169,152 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 996,000 | 938,041 | |
3.875% 1/15/35 | 74,000 | 63,829 | |
3.9% 4/1/26 | 51,000 | 49,002 | |
4.2% 4/1/28 | 509,000 | 489,564 | |
4.375% 6/30/50 | 157,000 | 132,560 | |
4.5% 7/16/44 | 243,000 | 209,312 | |
4.7% 7/10/35 | 159,000 | 141,875 | |
4.75% 4/1/48 | 269,000 | 241,288 | |
Aon PLC: | |||
3.5% 6/14/24 | 223,000 | 218,137 | |
4% 11/27/23 | 82,000 | 81,437 | |
4.6% 6/14/44 | 44,000 | 38,370 | |
4.75% 5/15/45 | 161,000 | 143,926 | |
Athene Holding Ltd. 3.5% 1/15/31 | 187,000 | 154,515 | |
Baylor Scott & White Holdings: | |||
Series 2021, 2.839% 11/15/50 | 484,000 | 324,628 | |
3.967% 11/15/46 | 69,000 | 57,350 | |
Brighthouse Financial, Inc. 4.7% 6/22/47 | 260,000 | 198,977 | |
Brown & Brown, Inc. 4.2% 3/17/32 | 217,000 | 194,872 | |
Fairfax Financial Holdings Ltd. 4.625% 4/29/30 | 177,000 | 165,844 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 1,385,000 | 1,176,487 | |
Hartford Financial Services Group, Inc.: | |||
2.8% 8/19/29 | 195,000 | 167,867 | |
3.6% 8/19/49 | 233,000 | 175,927 | |
4.4% 3/15/48 | 266,000 | 220,967 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 514,000 | 484,736 | |
Lincoln National Corp.: | |||
3.625% 12/12/26 | 165,000 | 153,430 | |
4.35% 3/1/48 | 83,000 | 59,286 | |
4.375% 6/15/50 | 167,000 | 117,485 | |
Manulife Financial Corp. 4.15% 3/4/26 | 334,000 | 323,368 | |
Markel Group, Inc. 3.35% 9/17/29 | 167,000 | 148,892 | |
Marsh & McLennan Companies, Inc.: | |||
3.5% 6/3/24 | 52,000 | 50,911 | |
3.875% 3/15/24 | 260,000 | 256,485 | |
4.05% 10/15/23 | 186,000 | 184,290 | |
4.2% 3/1/48 | 134,000 | 113,142 | |
4.35% 1/30/47 | 77,000 | 65,939 | |
4.375% 3/15/29 | 711,000 | 690,639 | |
4.75% 3/15/39 | 229,000 | 215,803 | |
4.9% 3/15/49 | 255,000 | 239,806 | |
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (b) | 730,000 | 496,337 | |
MetLife, Inc.: | |||
3.6% 11/13/25 | 334,000 | 320,850 | |
4.125% 8/13/42 | 171,000 | 143,656 | |
4.55% 3/23/30 | 1,754,000 | 1,713,958 | |
4.6% 5/13/46 | 55,000 | 49,702 | |
4.721% 12/15/44 (c) | 137,000 | 122,261 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 660,000 | 610,874 | |
Principal Financial Group, Inc. 4.3% 11/15/46 | 219,000 | 174,650 | |
Progressive Corp.: | |||
2.45% 1/15/27 | 130,000 | 119,453 | |
2.5% 3/15/27 | 254,000 | 232,875 | |
3% 3/15/32 | 478,000 | 415,936 | |
4.2% 3/15/48 | 152,000 | 129,868 | |
Prudential Financial, Inc.: | |||
3.878% 3/27/28 | 114,000 | 108,476 | |
3.905% 12/7/47 | 15,000 | 11,968 | |
3.935% 12/7/49 | 294,000 | 233,929 | |
4.35% 2/25/50 | 343,000 | 290,951 | |
4.418% 3/27/48 | 174,000 | 146,827 | |
5.125% 3/1/52 (c) | 115,000 | 103,830 | |
5.7% 12/14/36 | 10,000 | 10,390 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 200,000 | 191,000 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 671,000 | 607,557 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 222,000 | 215,562 | |
Unum Group: | |||
3.875% 11/5/25 | 610,000 | 576,781 | |
4% 6/15/29 | 554,000 | 509,604 | |
5.75% 8/15/42 | 914,000 | 840,983 | |
18,774,388 | |||
TOTAL FINANCIALS | 426,135,701 | ||
HEALTH CARE - 2.0% | |||
Biotechnology - 0.5% | |||
AbbVie, Inc.: | |||
2.6% 11/21/24 | 424,000 | 406,817 | |
2.95% 11/21/26 | 310,000 | 289,616 | |
3.2% 11/21/29 | 530,000 | 479,266 | |
3.6% 5/14/25 | 247,000 | 238,774 | |
3.8% 3/15/25 | 242,000 | 235,277 | |
4.05% 11/21/39 | 310,000 | 269,905 | |
4.25% 11/14/28 | 227,000 | 220,181 | |
4.25% 11/21/49 | 514,000 | 443,648 | |
4.3% 5/14/36 | 172,000 | 157,957 | |
4.4% 11/6/42 | 131,000 | 117,305 | |
4.45% 5/14/46 | 192,000 | 169,055 | |
4.55% 3/15/35 | 182,000 | 173,314 | |
4.7% 5/14/45 | 361,000 | 329,822 | |
4.75% 3/15/45 | 174,000 | 159,098 | |
4.875% 11/14/48 | 160,000 | 151,204 | |
Amgen, Inc.: | |||
1.65% 8/15/28 | 532,000 | 455,068 | |
1.9% 2/21/25 | 224,000 | 211,285 | |
2.6% 8/19/26 | 288,000 | 266,642 | |
2.8% 8/15/41 | 544,000 | 384,360 | |
3.125% 5/1/25 | 55,000 | 52,679 | |
3.35% 2/22/32 | 160,000 | 140,990 | |
3.375% 2/21/50 | 307,000 | 224,924 | |
4.4% 5/1/45 | 272,000 | 235,582 | |
4.663% 6/15/51 | 342,000 | 306,270 | |
5.15% 3/2/28 | 1,562,000 | 1,560,594 | |
5.25% 3/2/30 | 1,426,000 | 1,428,845 | |
5.25% 3/2/33 | 1,610,000 | 1,612,054 | |
5.6% 3/2/43 | 1,529,000 | 1,533,627 | |
5.65% 3/2/53 | 760,000 | 769,656 | |
5.75% 3/2/63 | 1,385,000 | 1,404,996 | |
14,428,811 | |||
Health Care Equipment & Supplies - 0.1% | |||
Baxter International, Inc.: | |||
1.915% 2/1/27 | 405,000 | 359,727 | |
2.539% 2/1/32 | 446,000 | 361,270 | |
Becton, Dickinson & Co.: | |||
2.823% 5/20/30 | 241,000 | 210,777 | |
3.363% 6/6/24 | 124,000 | 121,300 | |
3.7% 6/6/27 | 761,000 | 723,540 | |
4.685% 12/15/44 | 262,000 | 237,525 | |
Boston Scientific Corp.: | |||
3.45% 3/1/24 | 595,000 | 585,007 | |
4% 3/1/29 | 296,000 | 275,613 | |
4.7% 3/1/49 | 478,000 | 447,719 | |
Zimmer Biomet Holdings, Inc. 3.55% 4/1/25 | 312,000 | 300,562 | |
3,623,040 | |||
Health Care Providers & Services - 1.1% | |||
Allina Health System, Inc. 3.887% 4/15/49 | 182,000 | 147,025 | |
Banner Health: | |||
2.907% 1/1/42 | 45,000 | 32,806 | |
2.913% 1/1/51 | 377,000 | 252,924 | |
Baptist Healthcare System Obli 3.54% 8/15/50 | 368,000 | 272,358 | |
Bon Secours Mercy Health, Inc. 2.095% 6/1/31 | 252,000 | 201,070 | |
Cardinal Health, Inc. 4.368% 6/15/47 | 381,000 | 314,459 | |
Centene Corp.: | |||
2.45% 7/15/28 | 1,232,000 | 1,052,934 | |
2.625% 8/1/31 | 575,000 | 458,206 | |
3.375% 2/15/30 | 640,000 | 550,042 | |
4.25% 12/15/27 | 721,000 | 674,103 | |
4.625% 12/15/29 | 1,121,000 | 1,031,810 | |
Children's Hospital Medical Center 4.268% 5/15/44 | 91,000 | 80,148 | |
Children's Hospital of Philadelphia 2.704% 7/1/50 | 277,000 | 181,062 | |
Cigna Group: | |||
3% 7/15/23 | 274,000 | 273,679 | |
3.05% 10/15/27 | 402,000 | 370,673 | |
3.75% 7/15/23 | 185,000 | 184,833 | |
4.125% 11/15/25 | 270,000 | 262,845 | |
4.375% 10/15/28 | 1,489,000 | 1,439,791 | |
4.5% 2/25/26 | 320,000 | 313,037 | |
4.8% 8/15/38 | 1,120,000 | 1,057,294 | |
4.8% 7/15/46 | 208,000 | 190,819 | |
4.9% 12/15/48 | 707,000 | 657,982 | |
6.125% 11/15/41 | 82,000 | 87,294 | |
CommonSpirit Health: | |||
3.91% 10/1/50 | 425,000 | 328,365 | |
4.35% 11/1/42 | 55,000 | 47,224 | |
CVS Health Corp.: | |||
2.7% 8/21/40 | 415,000 | 289,684 | |
2.875% 6/1/26 | 206,000 | 193,616 | |
3% 8/15/26 | 532,000 | 498,710 | |
3.25% 8/15/29 | 482,000 | 432,849 | |
3.625% 4/1/27 | 225,000 | 213,589 | |
3.875% 7/20/25 | 128,000 | 124,402 | |
4.1% 3/25/25 | 113,000 | 110,572 | |
4.3% 3/25/28 | 655,000 | 631,695 | |
4.78% 3/25/38 | 749,000 | 691,231 | |
4.875% 7/20/35 | 85,000 | 80,770 | |
5% 1/30/29 | 1,255,000 | 1,242,904 | |
5.05% 3/25/48 | 751,000 | 692,229 | |
5.125% 7/20/45 | 242,000 | 223,882 | |
5.25% 1/30/31 | 515,000 | 513,384 | |
5.3% 12/5/43 | 120,000 | 114,776 | |
Franciscan Missionaries of Our Lady Health System, Inc. 3.914% 7/1/49 | 292,000 | 221,333 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 6,450,000 | 5,653,745 | |
3.625% 3/15/32 (b) | 333,000 | 289,047 | |
5.25% 6/15/49 | 475,000 | 428,607 | |
5.625% 9/1/28 | 1,513,000 | 1,513,951 | |
5.875% 2/1/29 | 1,674,000 | 1,684,865 | |
Humana, Inc.: | |||
1.35% 2/3/27 | 346,000 | 301,046 | |
2.15% 2/3/32 | 347,000 | 273,353 | |
3.125% 8/15/29 | 223,000 | 196,848 | |
3.7% 3/23/29 | 333,000 | 304,986 | |
4.95% 10/1/44 | 69,000 | 63,129 | |
INTEGRIS Baptist Medical Center, Inc. 3.875% 8/15/50 | 313,000 | 236,006 | |
Kaiser Foundation Hospitals: | |||
3.266% 11/1/49 | 251,000 | 185,320 | |
4.15% 5/1/47 | 180,000 | 157,195 | |
4.875% 4/1/42 | 49,000 | 47,336 | |
Memorial Sloan-Kettring Cancer Center 4.2% 7/1/55 | 82,000 | 69,662 | |
MidMichigan Health 3.409% 6/1/50 | 129,000 | 92,182 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 96,000 | 81,320 | |
4.063% 8/1/56 | 72,000 | 60,711 | |
Novant Health, Inc. 3.168% 11/1/51 | 227,000 | 162,892 | |
NYU Hospitals Center 4.784% 7/1/44 | 208,000 | 193,238 | |
Orlando Health Obligated Group 3.327% 10/1/50 | 208,000 | 155,382 | |
Partners Healthcare System, Inc. 4.117% 7/1/55 | 96,000 | 80,058 | |
Piedmont Healthcare, Inc. 2.719% 1/1/42 | 42,000 | 29,058 | |
Providence St. Joseph Health Obligated Group 2.7% 10/1/51 | 74,000 | 44,321 | |
Sabra Health Care LP 3.2% 12/1/31 | 1,175,000 | 876,507 | |
Sutter Health 3.361% 8/15/50 | 504,000 | 361,713 | |
Toledo Hospital 5.325% 11/15/28 | 265,000 | 214,650 | |
Trinity Health Corp. 2.632% 12/1/40 | 121,000 | 85,962 | |
UnitedHealth Group, Inc.: | |||
1.15% 5/15/26 | 109,000 | 98,569 | |
1.25% 1/15/26 | 216,000 | 197,332 | |
2% 5/15/30 | 100,000 | 84,154 | |
2.3% 5/15/31 | 92,000 | 77,791 | |
2.375% 8/15/24 | 270,000 | 260,916 | |
2.9% 5/15/50 | 217,000 | 151,246 | |
3.25% 5/15/51 | 105,000 | 78,320 | |
3.375% 4/15/27 | 148,000 | 140,574 | |
3.7% 8/15/49 | 288,000 | 231,326 | |
3.75% 7/15/25 | 96,000 | 93,448 | |
3.75% 10/15/47 | 262,000 | 215,633 | |
3.85% 6/15/28 | 318,000 | 304,822 | |
3.875% 12/15/28 | 411,000 | 393,734 | |
3.875% 8/15/59 | 344,000 | 279,616 | |
4.2% 1/15/47 | 99,000 | 87,151 | |
4.375% 3/15/42 | 324,000 | 293,394 | |
4.75% 7/15/45 | 46,000 | 44,018 | |
West Virginia University Health System Obligated Group 3.129% 6/1/50 | 170,000 | 113,573 | |
33,727,116 | |||
Life Sciences Tools & Services - 0.0% | |||
Danaher Corp. 4.375% 9/15/45 | 65,000 | 58,690 | |
Revvity, Inc.: | |||
0.85% 9/15/24 | 154,000 | 144,730 | |
2.25% 9/15/31 | 191,000 | 153,252 | |
356,672 | |||
Pharmaceuticals - 0.3% | |||
AstraZeneca Finance LLC: | |||
1.2% 5/28/26 | 249,000 | 224,683 | |
2.25% 5/28/31 | 242,000 | 204,199 | |
AstraZeneca PLC: | |||
4.375% 11/16/45 | 207,000 | 192,330 | |
4.375% 8/17/48 | 339,000 | 316,135 | |
6.45% 9/15/37 | 89,000 | 102,039 | |
Bayer U.S. Finance II LLC: | |||
2.85% 4/15/25 (b) | 105,000 | 98,998 | |
3.95% 4/15/45 (b) | 38,000 | 28,166 | |
4.25% 12/15/25 (b) | 548,000 | 528,764 | |
Elanco Animal Health, Inc. 6.65% 8/28/28 (c) | 168,000 | 163,005 | |
Eli Lilly & Co. 2.25% 5/15/50 | 592,000 | 385,918 | |
GSK Consumer Healthcare Capital U.S. LLC: | |||
3.375% 3/24/27 | 498,000 | 466,020 | |
3.625% 3/24/32 | 499,000 | 447,324 | |
Mylan NV: | |||
4.55% 4/15/28 | 502,000 | 472,945 | |
5.2% 4/15/48 | 82,000 | 63,889 | |
Shire Acquisitions Investments Ireland DAC: | |||
2.875% 9/23/23 | 104,000 | 103,313 | |
3.2% 9/23/26 | 1,074,000 | 1,008,435 | |
Utah Acquisition Sub, Inc.: | |||
3.95% 6/15/26 | 398,000 | 378,015 | |
5.25% 6/15/46 | 90,000 | 70,954 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 123,000 | 113,164 | |
2.7% 6/22/30 | 1,067,000 | 863,449 | |
3.85% 6/22/40 | 273,000 | 188,656 | |
4% 6/22/50 | 722,000 | 477,487 | |
Zoetis, Inc.: | |||
3.95% 9/12/47 | 55,000 | 45,649 | |
4.7% 2/1/43 | 36,000 | 33,499 | |
6,977,036 | |||
TOTAL HEALTH CARE | 59,112,675 | ||
INDUSTRIALS - 0.8% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems PLC 3.4% 4/15/30 (b) | 285,000 | 257,718 | |
Lockheed Martin Corp. 3.55% 1/15/26 | 104,000 | 100,864 | |
Raytheon Technologies Corp. 3.65% 8/16/23 | 18,000 | 17,955 | |
The Boeing Co.: | |||
2.5% 3/1/25 | 126,000 | 118,700 | |
2.7% 2/1/27 | 217,000 | 198,340 | |
2.95% 2/1/30 | 278,000 | 241,628 | |
3.625% 3/1/48 | 110,000 | 78,053 | |
3.65% 3/1/47 | 76,000 | 54,342 | |
3.75% 2/1/50 | 424,000 | 318,452 | |
4.875% 5/1/25 | 479,000 | 472,193 | |
5.04% 5/1/27 | 372,000 | 367,450 | |
5.15% 5/1/30 | 706,000 | 699,187 | |
5.705% 5/1/40 | 1,466,000 | 1,462,345 | |
5.805% 5/1/50 | 869,000 | 865,829 | |
5.93% 5/1/60 | 372,000 | 368,424 | |
6.875% 3/15/39 | 90,000 | 98,799 | |
5,720,279 | |||
Air Freight & Logistics - 0.0% | |||
FedEx Corp.: | |||
3.1% 8/5/29 | 173,000 | 155,697 | |
3.9% 2/1/35 | 162,000 | 142,651 | |
4.05% 2/15/48 | 100,000 | 79,897 | |
4.4% 1/15/47 | 219,000 | 185,163 | |
4.55% 4/1/46 | 41,000 | 35,373 | |
4.95% 10/17/48 | 216,000 | 198,270 | |
5.25% 5/15/50 | 117,000 | 112,437 | |
909,488 | |||
Building Products - 0.1% | |||
Carrier Global Corp.: | |||
2.242% 2/15/25 | 347,000 | 328,178 | |
2.493% 2/15/27 | 245,000 | 223,259 | |
2.722% 2/15/30 | 427,000 | 367,525 | |
3.377% 4/5/40 | 171,000 | 131,273 | |
3.577% 4/5/50 | 387,000 | 285,991 | |
Masco Corp.: | |||
2% 2/15/31 | 255,000 | 201,151 | |
3.125% 2/15/51 | 129,000 | 81,058 | |
Owens Corning 3.95% 8/15/29 | 187,000 | 173,801 | |
1,792,236 | |||
Commercial Services & Supplies - 0.1% | |||
Republic Services, Inc.: | |||
1.45% 2/15/31 | 614,000 | 481,868 | |
2.9% 7/1/26 | 116,000 | 108,699 | |
3.2% 3/15/25 | 309,000 | 297,284 | |
3.95% 5/15/28 | 288,000 | 276,074 | |
Waste Management, Inc. 4.15% 7/15/49 | 352,000 | 308,503 | |
1,472,428 | |||
Electrical Equipment - 0.0% | |||
Eaton Corp.: | |||
4% 11/2/32 | 52,000 | 48,973 | |
4.15% 11/2/42 | 52,000 | 46,259 | |
95,232 | |||
Ground Transportation - 0.1% | |||
Burlington Northern Santa Fe LLC: | |||
3.05% 2/15/51 | 121,000 | 85,716 | |
3.25% 6/15/27 | 206,000 | 196,092 | |
3.55% 2/15/50 | 167,000 | 132,480 | |
3.9% 8/1/46 | 127,000 | 104,925 | |
4.05% 6/15/48 | 462,000 | 395,872 | |
4.125% 6/15/47 | 78,000 | 67,370 | |
4.15% 4/1/45 | 47,000 | 40,882 | |
4.375% 9/1/42 | 123,000 | 111,154 | |
4.55% 9/1/44 | 82,000 | 75,490 | |
4.9% 4/1/44 | 110,000 | 106,390 | |
Canadian Pacific Railway Co.: | |||
1.75% 12/2/26 | 310,000 | 278,649 | |
2.45% 12/2/31 | 654,000 | 572,810 | |
3.1% 12/2/51 | 325,000 | 230,347 | |
CSX Corp.: | |||
3.25% 6/1/27 | 137,000 | 128,910 | |
3.4% 8/1/24 | 127,000 | 123,987 | |
3.8% 11/1/46 | 157,000 | 126,161 | |
3.95% 5/1/50 | 98,000 | 79,790 | |
4.1% 3/15/44 | 186,000 | 159,851 | |
4.5% 3/15/49 | 378,000 | 337,743 | |
4.75% 11/15/48 | 159,000 | 147,092 | |
3,501,711 | |||
Industrial Conglomerates - 0.0% | |||
General Electric Co.: | |||
3.625% 5/1/30 | 328,000 | 294,836 | |
6.875% 1/10/39 | 4,000 | 4,790 | |
299,626 | |||
Machinery - 0.1% | |||
Caterpillar Financial Services Corp.: | |||
0.45% 9/14/23 | 382,000 | 378,351 | |
1.1% 9/14/27 | 394,000 | 340,147 | |
2.4% 8/9/26 | 78,000 | 72,426 | |
Caterpillar, Inc.: | |||
3.25% 9/19/49 | 456,000 | 359,029 | |
3.803% 8/15/42 | 69,000 | 60,416 | |
5.3% 9/15/35 | 192,000 | 200,463 | |
Cummins, Inc. 1.5% 9/1/30 | 167,000 | 135,116 | |
Deere & Co.: | |||
2.875% 9/7/49 | 331,000 | 248,584 | |
5.375% 10/16/29 | 27,000 | 27,853 | |
Ingersoll-Rand Luxembourg Finance SA: | |||
3.8% 3/21/29 | 393,000 | 370,238 | |
4.65% 11/1/44 | 165,000 | 146,812 | |
Otis Worldwide Corp.: | |||
2.565% 2/15/30 | 367,000 | 316,404 | |
3.362% 2/15/50 | 279,000 | 204,794 | |
2,860,633 | |||
Passenger Airlines - 0.0% | |||
American Airlines Pass Through Trust equipment trust certificate 2.875% 1/11/36 | 221,887 | 185,291 | |
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 149,158 | 133,553 | |
Southwest Airlines Co. 5.125% 6/15/27 | 167,000 | 165,705 | |
United Airlines 2015-1 Class AA pass-thru trust 3.45% 6/1/29 | 12,569 | 11,513 | |
United Airlines pass-thru trust equipment trust certificate 3.1% 1/7/30 | 304,499 | 275,190 | |
United Airlines, Inc. equipment trust certificate Series 2012-2B 4% 4/29/26 | 67,995 | 65,826 | |
837,078 | |||
Professional Services - 0.0% | |||
Thomson Reuters Corp.: | |||
3.35% 5/15/26 | 192,000 | 182,688 | |
3.85% 9/29/24 | 130,000 | 126,033 | |
308,721 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.2% 1/15/27 | 237,000 | 210,158 | |
3% 9/15/23 | 110,000 | 109,335 | |
3.125% 12/1/30 | 334,000 | 278,231 | |
3.375% 7/1/25 | 809,000 | 766,748 | |
3.625% 12/1/27 | 262,000 | 239,022 | |
3.875% 7/3/23 | 701,000 | 701,000 | |
4.25% 2/1/24 | 1,082,000 | 1,070,560 | |
4.25% 9/15/24 | 448,000 | 437,254 | |
3,812,308 | |||
Transportation Infrastructure - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
3.95% 7/1/24 (b) | 262,000 | 254,153 | |
4.25% 4/15/26 (b) | 198,000 | 184,460 | |
4.375% 5/1/26 (b) | 587,000 | 548,477 | |
5.25% 5/15/24 (b) | 479,000 | 470,605 | |
6.375% 5/4/28 (b) | 2,768,000 | 2,738,277 | |
4,195,972 | |||
TOTAL INDUSTRIALS | 25,805,712 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc. 2.2% 9/20/23 | 206,000 | 204,463 | |
Electronic Equipment, Instruments & Components - 0.1% | |||
Dell International LLC/EMC Corp.: | |||
4% 7/15/24 | 315,000 | 309,734 | |
4.9% 10/1/26 | 259,000 | 257,159 | |
5.3% 10/1/29 | 690,000 | 684,969 | |
5.85% 7/15/25 | 162,000 | 162,592 | |
6.02% 6/15/26 | 638,000 | 648,469 | |
6.1% 7/15/27 | 298,000 | 307,002 | |
6.2% 7/15/30 | 258,000 | 268,060 | |
8.1% 7/15/36 | 287,000 | 335,778 | |
8.35% 7/15/46 | 329,000 | 403,456 | |
Tyco Electronics Group SA: | |||
3.45% 8/1/24 | 100,000 | 97,609 | |
3.7% 2/15/26 | 147,000 | 141,791 | |
7.125% 10/1/37 | 68,000 | 78,588 | |
3,695,207 | |||
IT Services - 0.0% | |||
CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | 394,000 | 353,765 | |
Semiconductors & Semiconductor Equipment - 0.3% | |||
Analog Devices, Inc. 2.8% 10/1/41 | 408,000 | 302,993 | |
Broadcom Corp./Broadcom Cayman LP: | |||
3.5% 1/15/28 | 192,000 | 177,362 | |
3.875% 1/15/27 | 105,000 | 100,127 | |
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 209,000 | 180,744 | |
2.45% 2/15/31 (b) | 2,705,000 | 2,199,981 | |
2.6% 2/15/33 (b) | 1,777,000 | 1,388,714 | |
3.459% 9/15/26 | 346,000 | 326,887 | |
3.469% 4/15/34 (b) | 117,000 | 95,976 | |
3.5% 2/15/41 (b) | 1,435,000 | 1,073,418 | |
3.75% 2/15/51 (b) | 1,267,000 | 931,732 | |
4.3% 11/15/32 | 344,000 | 315,544 | |
4.75% 4/15/29 | 469,000 | 453,709 | |
Lam Research Corp. 2.875% 6/15/50 | 402,000 | 280,850 | |
Micron Technology, Inc. 4.663% 2/15/30 | 227,000 | 214,050 | |
NVIDIA Corp.: | |||
2% 6/15/31 | 697,000 | 583,749 | |
2.85% 4/1/30 | 297,000 | 269,327 | |
3.5% 4/1/50 | 165,000 | 134,084 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.65% 2/15/32 | 609,000 | 491,883 | |
Texas Instruments, Inc. 4.15% 5/15/48 | 191,000 | 173,485 | |
9,694,615 | |||
Software - 0.5% | |||
Microsoft Corp.: | |||
2.525% 6/1/50 | 1,110,000 | 767,838 | |
2.675% 6/1/60 | 184,000 | 123,398 | |
2.7% 2/12/25 | 471,000 | 454,233 | |
2.875% 2/6/24 | 320,000 | 315,161 | |
2.921% 3/17/52 | 1,274,000 | 947,814 | |
3.041% 3/17/62 | 113,000 | 82,399 | |
3.45% 8/8/36 | 80,000 | 72,967 | |
3.625% 12/15/23 | 717,000 | 712,793 | |
Oracle Corp.: | |||
1.65% 3/25/26 | 1,129,000 | 1,024,625 | |
2.3% 3/25/28 | 1,288,000 | 1,136,609 | |
2.5% 4/1/25 | 296,000 | 280,945 | |
2.65% 7/15/26 | 247,000 | 228,346 | |
2.8% 4/1/27 | 736,000 | 676,479 | |
2.875% 3/25/31 | 1,708,000 | 1,458,141 | |
2.95% 5/15/25 | 137,000 | 130,670 | |
2.95% 4/1/30 | 393,000 | 343,036 | |
3.25% 11/15/27 | 469,000 | 435,101 | |
3.4% 7/8/24 | 130,000 | 126,741 | |
3.6% 4/1/40 | 736,000 | 569,375 | |
3.6% 4/1/50 | 427,000 | 305,117 | |
3.85% 7/15/36 | 278,000 | 232,016 | |
3.85% 4/1/60 | 497,000 | 350,282 | |
3.95% 3/25/51 | 365,000 | 275,985 | |
4% 7/15/46 | 269,000 | 206,756 | |
4% 11/15/47 | 480,000 | 369,544 | |
4.125% 5/15/45 | 82,000 | 64,258 | |
4.3% 7/8/34 | 106,000 | 96,265 | |
5.375% 7/15/40 | 343,000 | 327,345 | |
Roper Technologies, Inc.: | |||
1% 9/15/25 | 257,000 | 233,673 | |
1.4% 9/15/27 | 250,000 | 215,521 | |
1.75% 2/15/31 | 250,000 | 198,313 | |
2% 6/30/30 | 494,000 | 403,744 | |
3.8% 12/15/26 | 233,000 | 222,772 | |
VMware, Inc. 1.4% 8/15/26 | 702,000 | 619,895 | |
14,008,157 | |||
Technology Hardware, Storage & Peripherals - 0.2% | |||
Apple, Inc.: | |||
0.55% 8/20/25 | 487,000 | 444,850 | |
0.7% 2/8/26 | 377,000 | 339,856 | |
1.25% 8/20/30 | 452,000 | 366,976 | |
1.7% 8/5/31 | 272,000 | 224,575 | |
2.375% 2/8/41 | 392,000 | 289,103 | |
2.45% 8/4/26 | 565,000 | 528,898 | |
2.55% 8/20/60 | 178,000 | 117,454 | |
2.65% 5/11/50 | 143,000 | 99,544 | |
2.85% 8/5/61 | 272,000 | 185,111 | |
2.9% 9/12/27 | 385,000 | 361,264 | |
2.95% 9/11/49 | 733,000 | 545,136 | |
3% 11/13/27 | 274,000 | 258,153 | |
3.2% 5/13/25 | 288,000 | 278,620 | |
3.2% 5/11/27 | 449,000 | 428,481 | |
3.75% 9/12/47 | 167,000 | 144,328 | |
3.75% 11/13/47 | 191,000 | 165,325 | |
3.85% 5/4/43 | 356,000 | 317,671 | |
4.25% 2/9/47 | 69,000 | 65,781 | |
4.375% 5/13/45 | 129,000 | 122,505 | |
4.5% 2/23/36 | 254,000 | 258,261 | |
4.65% 2/23/46 | 155,000 | 152,914 | |
5,694,806 | |||
TOTAL INFORMATION TECHNOLOGY | 33,651,013 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.1% | |||
Eastman Chemical Co. 4.65% 10/15/44 | 82,000 | 69,119 | |
LYB International Finance BV 4% 7/15/23 | 87,000 | 86,881 | |
Nutrien Ltd.: | |||
4% 12/15/26 | 313,000 | 300,299 | |
4.2% 4/1/29 | 142,000 | 134,066 | |
5% 4/1/49 | 247,000 | 222,055 | |
5.25% 1/15/45 | 96,000 | 88,845 | |
5.625% 12/1/40 | 49,000 | 47,520 | |
The Dow Chemical Co.: | |||
2.1% 11/15/30 | 237,000 | 195,707 | |
3.6% 11/15/50 | 244,000 | 181,546 | |
4.375% 11/15/42 | 134,000 | 112,873 | |
4.8% 11/30/28 | 234,000 | 231,472 | |
4.8% 5/15/49 | 211,000 | 183,680 | |
9.4% 5/15/39 | 82,000 | 110,150 | |
The Mosaic Co.: | |||
4.05% 11/15/27 | 158,000 | 150,444 | |
4.25% 11/15/23 | 298,000 | 296,193 | |
5.625% 11/15/43 | 103,000 | 96,885 | |
Westlake Corp. 5% 8/15/46 | 55,000 | 47,760 | |
2,555,495 | |||
Containers & Packaging - 0.0% | |||
International Paper Co.: | |||
4.4% 8/15/47 | 238,000 | 199,528 | |
5.15% 5/15/46 | 50,000 | 45,991 | |
WRKCo, Inc. 4.2% 6/1/32 | 167,000 | 151,959 | |
397,478 | |||
Metals & Mining - 0.1% | |||
BHP Billiton Financial (U.S.A.) Ltd. 5% 9/30/43 | 82,000 | 82,027 | |
Freeport-McMoRan, Inc. 4.625% 8/1/30 | 1,118,000 | 1,052,370 | |
Nucor Corp.: | |||
2.979% 12/15/55 | 110,000 | 70,341 | |
6.4% 12/1/37 | 167,000 | 183,051 | |
Rio Tinto Finance (U.S.A.) Ltd.: | |||
5.2% 11/2/40 | 357,000 | 360,040 | |
7.125% 7/15/28 | 55,000 | 60,675 | |
Southern Copper Corp.: | |||
3.875% 4/23/25 | 101,000 | 97,901 | |
5.25% 11/8/42 | 158,000 | 149,397 | |
7.5% 7/27/35 | 167,000 | 193,172 | |
Vale Overseas Ltd. 3.75% 7/8/30 | 667,000 | 585,383 | |
Vale SA 5.625% 9/11/42 | 181,000 | 173,172 | |
3,007,529 | |||
Paper & Forest Products - 0.0% | |||
Suzano Austria GmbH: | |||
2.5% 9/15/28 | 412,000 | 349,734 | |
6% 1/15/29 | 330,000 | 327,492 | |
677,226 | |||
TOTAL MATERIALS | 6,637,728 | ||
REAL ESTATE - 1.4% | |||
Equity Real Estate Investment Trusts (REITs) - 1.2% | |||
Alexandria Real Estate Equities, Inc.: | |||
2% 5/18/32 | 254,000 | 191,772 | |
3% 5/18/51 | 193,000 | 118,683 | |
4.85% 4/15/49 | 316,000 | 264,868 | |
4.9% 12/15/30 | 523,000 | 506,189 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 95,000 | 75,432 | |
3.625% 4/15/32 | 389,000 | 336,171 | |
4.25% 2/15/28 | 264,000 | 248,492 | |
AvalonBay Communities, Inc. 2.3% 3/1/30 | 167,000 | 140,247 | |
Boston Properties, Inc.: | |||
2.75% 10/1/26 | 192,000 | 169,516 | |
3.125% 9/1/23 | 52,000 | 51,685 | |
3.25% 1/30/31 | 1,011,000 | 823,709 | |
4.5% 12/1/28 | 489,000 | 448,917 | |
6.75% 12/1/27 | 1,962,000 | 1,984,186 | |
Corporate Office Properties LP: | |||
2% 1/15/29 | 228,000 | 173,759 | |
2.25% 3/15/26 | 209,000 | 185,101 | |
2.75% 4/15/31 | 310,000 | 235,553 | |
Crown Castle International Corp.: | |||
1.35% 7/15/25 | 741,000 | 677,454 | |
2.25% 1/15/31 | 199,000 | 162,193 | |
3.25% 1/15/51 | 180,000 | 122,683 | |
ERP Operating LP: | |||
1.85% 8/1/31 | 500,000 | 392,262 | |
3.25% 8/1/27 | 356,000 | 327,506 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 165,000 | 141,336 | |
3.5% 8/1/26 | 172,000 | 158,244 | |
Healthpeak OP, LLC: | |||
3% 1/15/30 | 343,000 | 297,953 | |
3.25% 7/15/26 | 72,000 | 67,053 | |
3.4% 2/1/25 | 13,000 | 12,489 | |
3.5% 7/15/29 | 82,000 | 73,530 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 972,000 | 685,931 | |
Invitation Homes Operating Partnership LP 4.15% 4/15/32 | 799,000 | 715,530 | |
Kimco Realty Op LLC: | |||
1.9% 3/1/28 | 284,000 | 239,156 | |
3.8% 4/1/27 | 110,000 | 102,638 | |
4.125% 12/1/46 | 274,000 | 202,960 | |
4.45% 9/1/47 | 142,000 | 115,038 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 783,000 | 743,757 | |
4.75% 9/15/30 | 1,220,000 | 1,096,580 | |
LXP Industrial Trust (REIT): | |||
2.375% 10/1/31 | 83,000 | 63,179 | |
2.7% 9/15/30 | 230,000 | 183,679 | |
4.4% 6/15/24 | 181,000 | 176,684 | |
NNN (REIT), Inc. 3% 4/15/52 | 234,000 | 142,228 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 786,000 | 583,716 | |
3.375% 2/1/31 | 527,000 | 418,010 | |
3.625% 10/1/29 | 742,000 | 608,086 | |
4.375% 8/1/23 | 201,000 | 200,566 | |
4.5% 1/15/25 | 556,000 | 532,799 | |
4.5% 4/1/27 | 2,294,000 | 2,130,395 | |
4.75% 1/15/28 | 801,000 | 731,176 | |
4.95% 4/1/24 | 170,000 | 167,608 | |
5.25% 1/15/26 | 714,000 | 687,453 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 184,000 | 123,890 | |
Prologis LP: | |||
1.625% 3/15/31 | 325,000 | 256,786 | |
1.75% 2/1/31 | 807,000 | 641,718 | |
2.125% 4/15/27 | 328,000 | 295,535 | |
3.25% 10/1/26 | 128,000 | 121,192 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 100,000 | 86,584 | |
2.85% 12/15/32 | 123,000 | 100,033 | |
3.25% 1/15/31 | 128,000 | 111,877 | |
3.4% 1/15/28 | 200,000 | 184,395 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 123,000 | 117,825 | |
5% 12/15/23 | 93,000 | 91,635 | |
Simon Property Group LP: | |||
2.2% 2/1/31 | 731,000 | 587,878 | |
2.45% 9/13/29 | 205,000 | 172,578 | |
3.25% 9/13/49 | 320,000 | 215,027 | |
3.375% 12/1/27 | 547,000 | 504,644 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 284,000 | 267,257 | |
4.25% 2/1/26 | 371,000 | 347,485 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 1,096,000 | 791,876 | |
4.625% 3/15/29 | 225,000 | 189,409 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 210,000 | 176,516 | |
2.7% 7/15/31 | 542,000 | 428,268 | |
UDR, Inc. 2.1% 6/15/33 | 446,000 | 328,961 | |
Ventas Realty LP: | |||
3% 1/15/30 | 958,000 | 819,406 | |
3.25% 10/15/26 | 96,000 | 87,892 | |
3.5% 2/1/25 | 919,000 | 880,062 | |
3.85% 4/1/27 | 260,000 | 243,336 | |
4% 3/1/28 | 876,000 | 810,338 | |
4.125% 1/15/26 | 235,000 | 224,768 | |
4.375% 2/1/45 | 178,000 | 142,747 | |
4.75% 11/15/30 | 1,258,000 | 1,190,725 | |
4.875% 4/15/49 | 78,000 | 66,548 | |
VICI Properties LP: | |||
4.375% 5/15/25 | 99,000 | 95,679 | |
4.75% 2/15/28 | 964,000 | 912,748 | |
4.95% 2/15/30 | 1,228,000 | 1,151,962 | |
5.125% 5/15/32 | 823,000 | 770,035 | |
Vornado Realty LP 2.15% 6/1/26 | 237,000 | 200,770 | |
Welltower OP LLC 4.95% 9/1/48 | 274,000 | 244,599 | |
Weyerhaeuser Co. 4% 4/15/30 | 317,000 | 291,535 | |
WP Carey, Inc.: | |||
2.4% 2/1/31 | 477,000 | 383,429 | |
3.85% 7/15/29 | 160,000 | 145,158 | |
4% 2/1/25 | 673,000 | 651,651 | |
34,368,909 | |||
Real Estate Management & Development - 0.2% | |||
Brandywine Operating Partnership LP: | |||
3.95% 11/15/27 | 579,000 | 459,184 | |
4.1% 10/1/24 | 637,000 | 611,230 | |
4.55% 10/1/29 | 734,000 | 530,810 | |
7.55% 3/15/28 | 2,672,000 | 2,404,077 | |
CBRE Group, Inc.: | |||
2.5% 4/1/31 | 699,000 | 562,219 | |
4.875% 3/1/26 | 156,000 | 151,521 | |
Digital Realty Trust LP 3.7% 8/15/27 | 219,000 | 201,194 | |
Essex Portfolio LP: | |||
3% 1/15/30 | 51,000 | 43,595 | |
4% 3/1/29 | 167,000 | 154,105 | |
Mid-America Apartments LP 3.95% 3/15/29 | 190,000 | 178,852 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 551,000 | 399,854 | |
3.125% 9/1/26 | 767,000 | 680,063 | |
3.875% 7/15/27 | 170,000 | 152,027 | |
6,528,731 | |||
TOTAL REAL ESTATE | 40,897,640 | ||
UTILITIES - 1.6% | |||
Electric Utilities - 0.9% | |||
Alabama Power Co.: | |||
1.45% 9/15/30 | 500,000 | 395,720 | |
3.05% 3/15/32 | 828,000 | 719,377 | |
3.7% 12/1/47 | 162,000 | 125,779 | |
3.75% 3/1/45 | 27,000 | 21,220 | |
4.15% 8/15/44 | 127,000 | 105,847 | |
4.3% 7/15/48 | 161,000 | 137,072 | |
5.2% 6/1/41 | 106,000 | 100,432 | |
Appalachian Power Co.: | |||
4.45% 6/1/45 | 165,000 | 135,790 | |
4.5% 3/1/49 | 251,000 | 211,155 | |
Baltimore Gas & Electric Co.: | |||
2.9% 6/15/50 | 220,000 | 146,662 | |
3.5% 8/15/46 | 69,000 | 52,056 | |
CenterPoint Energy Houston Electric LLC: | |||
3.35% 4/1/51 | 313,000 | 233,509 | |
3.55% 8/1/42 | 52,000 | 41,181 | |
4.25% 2/1/49 | 71,000 | 61,791 | |
Cincinnati Gas & Electric Co. 4.3% 2/1/49 | 744,000 | 622,009 | |
Cleco Corporate Holdings LLC: | |||
3.375% 9/15/29 | 433,000 | 367,256 | |
3.743% 5/1/26 | 1,810,000 | 1,694,081 | |
Commonwealth Edison Co.: | |||
3.1% 11/1/24 | 274,000 | 265,543 | |
3.2% 11/15/49 | 467,000 | 334,062 | |
3.65% 6/15/46 | 78,000 | 60,973 | |
3.7% 3/1/45 | 85,000 | 67,427 | |
3.75% 8/15/47 | 169,000 | 133,663 | |
4% 3/1/48 | 187,000 | 156,254 | |
4% 3/1/49 | 164,000 | 135,723 | |
DTE Electric Co. 3.95% 3/1/49 | 100,000 | 82,166 | |
Duke Energy Carolinas LLC: | |||
2.85% 3/15/32 | 83,000 | 70,544 | |
2.95% 12/1/26 | 165,000 | 155,035 | |
3.2% 8/15/49 | 219,000 | 157,517 | |
3.75% 6/1/45 | 55,000 | 43,265 | |
3.875% 3/15/46 | 107,000 | 85,220 | |
4% 9/30/42 | 103,000 | 85,407 | |
Duke Energy Corp.: | |||
2.45% 6/1/30 | 529,000 | 444,223 | |
2.65% 9/1/26 | 366,000 | 338,267 | |
3.75% 4/15/24 | 165,000 | 162,657 | |
3.75% 9/1/46 | 250,000 | 189,106 | |
3.95% 10/15/23 | 67,000 | 66,585 | |
4.2% 6/15/49 | 260,000 | 210,893 | |
4.8% 12/15/45 | 76,000 | 68,088 | |
Duke Energy Florida LLC 3.4% 10/1/46 | 69,000 | 51,539 | |
Duke Energy Progress LLC: | |||
3.4% 4/1/32 | 334,000 | 295,550 | |
4.15% 12/1/44 | 49,000 | 40,636 | |
4.375% 3/30/44 | 55,000 | 47,660 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (b) | 166,000 | 132,656 | |
2.775% 1/7/32 (b) | 574,000 | 447,592 | |
Entergy Corp.: | |||
0.9% 9/15/25 | 464,000 | 416,719 | |
2.8% 6/15/30 | 359,000 | 304,294 | |
2.95% 9/1/26 | 129,000 | 119,125 | |
3.75% 6/15/50 | 113,000 | 83,271 | |
Entergy Louisiana LLC 4.2% 9/1/48 | 87,000 | 72,764 | |
Entergy, Inc.: | |||
3.55% 9/30/49 | 111,000 | 82,184 | |
4% 3/30/29 | 485,000 | 457,046 | |
Eversource Energy: | |||
2.55% 3/15/31 | 440,000 | 365,649 | |
2.9% 10/1/24 | 234,000 | 225,207 | |
3.35% 3/15/26 | 181,000 | 170,528 | |
3.45% 1/15/50 | 122,000 | 89,372 | |
Exelon Corp.: | |||
2.75% 3/15/27 | 183,000 | 167,454 | |
3.35% 3/15/32 | 222,000 | 192,895 | |
3.95% 6/15/25 | 539,000 | 521,165 | |
4.05% 4/15/30 | 218,000 | 203,716 | |
4.1% 3/15/52 | 165,000 | 133,011 | |
4.7% 4/15/50 | 97,000 | 85,724 | |
5.1% 6/15/45 | 30,000 | 27,788 | |
FirstEnergy Corp.: | |||
1.6% 1/15/26 | 344,000 | 311,104 | |
2.25% 9/1/30 | 370,000 | 299,700 | |
3.4% 3/1/50 | 100,000 | 68,916 | |
4.15% 7/15/27 | 233,000 | 221,311 | |
5.1% 7/15/47 | 129,000 | 115,716 | |
Interstate Power and Light Co. 2.3% 6/1/30 | 381,000 | 316,489 | |
IPALCO Enterprises, Inc.: | |||
3.7% 9/1/24 | 271,000 | 262,007 | |
4.25% 5/1/30 | 1,025,000 | 927,348 | |
Northern States Power Co.: | |||
2.6% 6/1/51 | 360,000 | 230,832 | |
2.9% 3/1/50 | 327,000 | 225,244 | |
3.4% 8/15/42 | 55,000 | 43,077 | |
4.125% 5/15/44 | 123,000 | 104,453 | |
NSTAR Electric Co. 3.2% 5/15/27 | 210,000 | 197,228 | |
Oncor Electric Delivery Co. LLC: | |||
0.55% 10/1/25 | 878,000 | 793,411 | |
3.1% 9/15/49 | 525,000 | 370,735 | |
3.8% 9/30/47 | 267,000 | 217,219 | |
Pacific Gas & Electric Co.: | |||
3.15% 1/1/26 | 400,355 | 371,487 | |
3.25% 6/1/31 | 167,000 | 135,798 | |
3.45% 7/1/25 | 166,815 | 157,502 | |
3.5% 6/15/25 | 334,000 | 316,164 | |
4.2% 6/1/41 | 834,000 | 621,084 | |
4.55% 7/1/30 | 1,037,586 | 939,042 | |
4.75% 2/15/44 | 33,000 | 25,606 | |
PacifiCorp 3.6% 4/1/24 | 110,000 | 107,909 | |
Potomac Electric Power Co. 6.5% 11/15/37 | 104,000 | 116,131 | |
PPL Capital Funding, Inc. 3.1% 5/15/26 | 219,000 | 206,713 | |
PPL Electric Utilities Corp.: | |||
3% 10/1/49 | 364,000 | 257,432 | |
4.15% 10/1/45 | 96,000 | 81,960 | |
Progress Energy, Inc. 6% 12/1/39 | 143,000 | 144,669 | |
Public Service Co. of Colorado: | |||
2.9% 5/15/25 | 302,000 | 287,489 | |
3.8% 6/15/47 | 127,000 | 99,750 | |
Public Service Electric & Gas Co.: | |||
2.45% 1/15/30 | 279,000 | 240,431 | |
3.15% 1/1/50 | 315,000 | 229,035 | |
3.65% 9/1/42 | 77,000 | 62,127 | |
4% 6/1/44 | 137,000 | 111,202 | |
Puget Sound Energy, Inc. 4.3% 5/20/45 | 176,000 | 147,228 | |
Southern California Edison Co.: | |||
2.25% 6/1/30 | 248,000 | 207,294 | |
2.95% 2/1/51 | 550,000 | 360,165 | |
4% 4/1/47 | 274,000 | 217,548 | |
4.125% 3/1/48 | 194,000 | 157,360 | |
Southern Co.: | |||
3.25% 7/1/26 | 302,000 | 284,062 | |
4.4% 7/1/46 | 201,000 | 171,893 | |
Tampa Electric Co.: | |||
4.45% 6/15/49 | 321,000 | 272,040 | |
6.15% 5/15/37 | 172,000 | 174,339 | |
Union Electric Co. 3.9% 9/15/42 | 101,000 | 82,394 | |
Virginia Electric & Power Co.: | |||
3.1% 5/15/25 | 110,000 | 104,880 | |
3.3% 12/1/49 | 200,000 | 143,287 | |
3.45% 2/15/24 | 75,000 | 73,887 | |
3.8% 4/1/28 | 409,000 | 387,483 | |
3.8% 9/15/47 | 225,000 | 175,819 | |
4.2% 5/15/45 | 289,000 | 237,419 | |
4.45% 2/15/44 | 75,000 | 64,255 | |
4.6% 12/1/48 | 194,000 | 172,771 | |
6% 5/15/37 | 55,000 | 57,222 | |
Wisconsin Electric Power Co. 4.25% 6/1/44 | 129,000 | 104,249 | |
Xcel Energy, Inc. 3.35% 12/1/26 | 82,000 | 76,924 | |
26,105,940 | |||
Gas Utilities - 0.1% | |||
Dominion Gas Holdings LLC 2.5% 11/15/24 | 304,000 | 290,325 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 195,831 | 204,407 | |
Southern California Gas Co. 2.6% 6/15/26 | 363,000 | 338,305 | |
Southern Co. Gas Capital Corp. 3.95% 10/1/46 | 371,000 | 286,219 | |
1,119,256 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Constellation Energy Generation, LLC 3.25% 6/1/25 | 334,000 | 317,896 | |
Emera U.S. Finance LP: | |||
3.55% 6/15/26 | 237,000 | 224,098 | |
4.75% 6/15/46 | 143,000 | 116,002 | |
The AES Corp.: | |||
1.375% 1/15/26 | 4,000,000 | 3,572,757 | |
2.45% 1/15/31 | 807,000 | 652,287 | |
3.3% 7/15/25 (b) | 1,079,000 | 1,018,941 | |
3.95% 7/15/30 (b) | 941,000 | 843,623 | |
6,745,604 | |||
Multi-Utilities - 0.4% | |||
Ameren Illinois Co. 4.5% 3/15/49 | 207,000 | 188,133 | |
Berkshire Hathaway Energy Co.: | |||
3.25% 4/15/28 | 274,000 | 252,186 | |
3.7% 7/15/30 | 275,000 | 252,973 | |
3.8% 7/15/48 | 274,000 | 211,773 | |
4.05% 4/15/25 | 1,561,000 | 1,523,595 | |
4.25% 10/15/50 | 237,000 | 192,150 | |
4.5% 2/1/45 | 182,000 | 155,619 | |
5.15% 11/15/43 | 212,000 | 196,966 | |
CenterPoint Energy, Inc. 3.7% 9/1/49 | 167,000 | 125,276 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.35% 4/1/30 | 99,000 | 89,937 | |
3.875% 6/15/47 | 78,000 | 61,148 | |
4.45% 3/15/44 | 219,000 | 192,223 | |
4.5% 5/15/58 | 260,000 | 216,912 | |
4.65% 12/1/48 | 287,000 | 255,418 | |
5.5% 12/1/39 | 69,000 | 68,076 | |
Delmarva Power & Light Co. 4% 6/1/42 | 110,000 | 87,912 | |
Dominion Energy, Inc.: | |||
3.375% 4/1/30 | 632,000 | 565,293 | |
3.9% 10/1/25 | 354,000 | 341,006 | |
4.9% 8/1/41 | 55,000 | 49,359 | |
DTE Energy Co.: | |||
2.85% 10/1/26 | 165,000 | 151,755 | |
3.8% 3/15/27 | 370,000 | 345,859 | |
NiSource, Inc.: | |||
0.95% 8/15/25 | 374,000 | 341,064 | |
1.7% 2/15/31 | 444,000 | 347,151 | |
2.95% 9/1/29 | 1,074,000 | 940,427 | |
3.49% 5/15/27 | 210,000 | 197,579 | |
3.6% 5/1/30 | 1,800,000 | 1,621,043 | |
3.95% 3/30/48 | 274,000 | 219,871 | |
4.375% 5/15/47 | 131,000 | 111,484 | |
4.8% 2/15/44 | 151,000 | 136,980 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 221,000 | 211,277 | |
4.1% 6/15/30 | 1,710,000 | 1,556,945 | |
4.224% 3/15/32 | 756,000 | 679,316 | |
San Diego Gas & Electric Co. 4.5% 8/15/40 | 27,000 | 24,767 | |
Sempra Energy: | |||
3.25% 6/15/27 | 167,000 | 154,513 | |
3.8% 2/1/38 | 233,000 | 193,012 | |
4% 2/1/48 | 604,000 | 470,156 | |
6% 10/15/39 | 27,000 | 27,626 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 7.4332% 5/15/67 (c)(d) | 295,000 | 248,112 | |
13,004,892 | |||
Water Utilities - 0.0% | |||
American Water Capital Corp.: | |||
2.95% 9/1/27 | 167,000 | 154,055 | |
3.45% 6/1/29 | 167,000 | 154,995 | |
6.593% 10/15/37 | 179,000 | 201,700 | |
510,750 | |||
TOTAL UTILITIES | 47,486,442 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $918,162,174) | 869,962,893 | ||
U.S. Government and Government Agency Obligations - 40.5% | |||
Principal Amount (a) | Value ($) | ||
U.S. Government Agency Obligations - 0.5% | |||
Fannie Mae: | |||
0.375% 8/25/25 | 981,000 | 892,659 | |
0.5% 6/17/25 | 1,103,000 | 1,012,645 | |
0.625% 4/22/25 | 1,170,000 | 1,082,034 | |
0.75% 10/8/27 | 581,000 | 504,098 | |
0.875% 8/5/30 | 1,394,000 | 1,120,551 | |
1.625% 10/15/24 | 616,000 | 587,734 | |
1.75% 7/2/24 | 791,000 | 762,777 | |
1.875% 9/24/26 | 366,000 | 337,817 | |
2.125% 4/24/26 | 110,000 | 102,865 | |
2.625% 9/6/24 | 110,000 | 106,739 | |
2.875% 9/12/23 | 211,000 | 209,917 | |
6.625% 11/15/30 | 334,000 | 387,527 | |
Federal Home Loan Bank: | |||
0.375% 9/4/25 | 245,000 | 223,186 | |
0.5% 4/14/25 | 1,535,000 | 1,420,174 | |
1.5% 8/15/24 | 135,000 | 129,485 | |
2.5% 2/13/24 | 135,000 | 132,637 | |
3.25% 11/16/28 | 650,000 | 621,187 | |
5.5% 7/15/36 | 40,000 | 45,130 | |
Freddie Mac: | |||
0.25% 8/24/23 | 577,000 | 572,962 | |
0.25% 12/4/23 | 1,462,000 | 1,430,426 | |
0.375% 7/21/25 | 724,000 | 660,570 | |
0.375% 9/23/25 | 818,000 | 742,226 | |
6.25% 7/15/32 | 211,000 | 245,109 | |
6.75% 3/15/31 | 713,000 | 837,297 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 946,000 | 872,851 | |
4.25% 9/15/65 | 204,000 | 182,928 | |
5.25% 9/15/39 | 548,000 | 581,189 | |
5.375% 4/1/56 | 148,000 | 161,951 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 15,966,671 | ||
U.S. Treasury Obligations - 40.0% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 15,985,600 | 10,362,540 | |
1.75% 8/15/41 | 23,171,800 | 16,279,095 | |
1.875% 11/15/51 | 14,846,000 | 9,799,520 | |
2% 8/15/51 | 52,233,600 | 35,606,584 | |
2.25% 2/15/52 | 11,359,700 | 8,209,158 | |
2.375% 11/15/49 | 6,448,000 | 4,814,591 | |
2.375% 5/15/51 | 8,558,600 | 6,363,118 | |
2.875% 5/15/52 | 15,000,000 | 12,430,664 | |
3% 2/15/47 | 15,804,500 | 13,306,648 | |
3% 8/15/52 | 57,000,000 | 48,463,360 | |
3.375% 8/15/42 | 78,200,000 | 70,981,773 | |
3.625% 2/15/53 | 34,620,000 | 33,224,381 | |
3.625% 5/15/53 | 4,420,000 | 4,248,034 | |
4% 11/15/42 | 14,000,000 | 13,910,313 | |
U.S. Treasury Notes: | |||
0.25% 9/30/25 | 6,026,800 | 5,458,727 | |
0.25% 10/31/25 | 6,277,200 | 5,665,173 | |
0.375% 11/30/25 | 12,167,400 | 10,982,980 | |
0.375% 12/31/25 | 8,362,600 | 7,537,773 | |
0.375% 7/31/27 | 8,695,100 | 7,438,386 | |
0.5% 10/31/27 | 12,237,600 | 10,444,983 | |
0.625% 10/15/24 | 6,792,700 | 6,399,732 | |
0.625% 7/31/26 | 6,372,400 | 5,677,161 | |
0.75% 11/15/24 | 9,198,200 | 8,651,338 | |
0.75% 8/31/26 | 16,677,700 | 14,874,424 | |
0.875% 1/31/24 | 8,330,800 | 8,115,696 | |
0.875% 9/30/26 | 14,753,700 | 13,199,951 | |
1% 12/15/24 | 14,172,600 | 13,338,299 | |
1.125% 10/31/26 | 11,868,500 | 10,672,378 | |
1.125% 2/29/28 | 9,043,800 | 7,881,530 | |
1.125% 8/31/28 | 17,817,900 | 15,351,930 | |
1.25% 12/31/26 | 10,596,100 | 9,536,490 | |
1.25% 5/31/28 | 19,521,400 | 17,027,846 | |
1.25% 6/30/28 | 12,849,100 | 11,184,740 | |
1.375% 1/31/25 | 8,268,800 | 7,798,189 | |
1.5% 10/31/24 | 7,620,500 | 7,250,787 | |
1.5% 1/31/27 | 18,609,600 | 16,856,954 | |
1.5% 2/15/30 | 24,988,100 | 21,401,917 | |
1.625% 9/30/26 | 12,924,100 | 11,839,182 | |
1.75% 7/31/24 | 6,198,300 | 5,961,506 | |
1.75% 12/31/24 | 6,637,400 | 6,310,197 | |
2.25% 3/31/24 | 20,141,200 | 19,669,927 | |
2.25% 4/30/24 | 12,287,400 | 11,970,136 | |
2.25% 2/15/27 | 6,285,100 | 5,844,406 | |
2.25% 8/15/27 | 18,256,900 | 16,876,935 | |
2.25% 11/15/27 | 8,316,200 | 7,659,675 | |
2.625% 5/31/27 | 50,000,000 | 46,980,469 | |
2.625% 7/31/29 | 30,000,000 | 27,713,672 | |
2.75% 4/30/27 | 9,654,600 | 9,120,203 | |
2.75% 7/31/27 | 25,000,000 | 23,569,336 | |
2.75% 8/15/32 | 9,228,000 | 8,459,841 | |
2.875% 5/15/32 | 6,902,000 | 6,399,448 | |
3.375% 5/15/33 | 54,800,000 | 52,847,750 | |
3.5% 1/31/30 | 10,000,000 | 9,703,516 | |
3.5% 2/15/33 | 86,600,000 | 84,353,789 | |
3.75% 5/31/30 | 47,700,000 | 47,036,672 | |
3.875% 11/30/27 | 4,000,000 | 3,943,281 | |
3.875% 11/30/29 | 55,000,000 | 54,501,563 | |
4% 2/29/28 | 30,000,000 | 29,778,516 | |
4% 10/31/29 | 53,000,000 | 52,861,289 | |
4% 2/28/30 | 52,000,000 | 51,963,438 | |
4.125% 10/31/27 | 45,000,000 | 44,764,453 | |
4.125% 11/15/32 | 35,000,000 | 35,765,625 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,206,641,988 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,279,799,440) | 1,222,608,659 | ||
U.S. Government Agency - Mortgage Securities - 22.6% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 7.6% | |||
12 month U.S. LIBOR + 1.480% 3.73% 7/1/34 (c)(d) | 340 | 342 | |
12 month U.S. LIBOR + 1.510% 3.789% 11/1/34 (c)(d) | 49,889 | 50,462 | |
12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (c)(d) | 859 | 868 | |
12 month U.S. LIBOR + 1.630% 4.24% 11/1/36 (c)(d) | 9,468 | 9,541 | |
12 month U.S. LIBOR + 1.640% 4.533% 4/1/41 (c)(d) | 12,071 | 12,133 | |
12 month U.S. LIBOR + 1.700% 5.188% 6/1/42 (c)(d) | 6,917 | 7,005 | |
12 month U.S. LIBOR + 1.730% 5.105% 5/1/36 (c)(d) | 6,792 | 6,866 | |
12 month U.S. LIBOR + 1.750% 4.306% 7/1/35 (c)(d) | 651 | 656 | |
12 month U.S. LIBOR + 1.780% 4.163% 2/1/36 (c)(d) | 2,712 | 2,730 | |
12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (c)(d) | 2,706 | 2,747 | |
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (c)(d) | 2,254 | 2,302 | |
12 month U.S. LIBOR + 1.810% 4.119% 7/1/41 (c)(d) | 4,395 | 4,497 | |
12 month U.S. LIBOR + 1.820% 4.195% 12/1/35 (c)(d) | 2,745 | 2,776 | |
12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (c)(d) | 1,864 | 1,834 | |
12 month U.S. LIBOR + 1.880% 4.29% 11/1/34 (c)(d) | 4,215 | 4,269 | |
12 month U.S. LIBOR + 1.950% 4.4% 9/1/36 (c)(d) | 5,093 | 5,145 | |
12 month U.S. LIBOR + 1.950% 5.496% 7/1/37 (c)(d) | 1,925 | 1,960 | |
6 month U.S. LIBOR + 1.310% 4.438% 5/1/34 (c)(d) | 4,034 | 4,021 | |
6 month U.S. LIBOR + 1.420% 3.572% 9/1/33 (c)(d) | 7,141 | 7,104 | |
6 month U.S. LIBOR + 1.550% 5.984% 10/1/33 (c)(d) | 473 | 479 | |
6 month U.S. LIBOR + 1.560% 5.603% 7/1/35 (c)(d) | 459 | 467 | |
U.S. TREASURY 1 YEAR INDEX + 1.940% 3.87% 10/1/33 (c)(d) | 7,311 | 7,451 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (c)(d) | 658 | 666 | |
U.S. TREASURY 1 YEAR INDEX + 2.220% 4.405% 8/1/36 (c)(d) | 8,394 | 8,552 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.405% 10/1/33 (c)(d) | 1,150 | 1,176 | |
U.S. TREASURY 1 YEAR INDEX + 2.420% 4.778% 5/1/35 (c)(d) | 1,425 | 1,452 | |
1.5% 9/1/35 to 6/1/51 | 21,990,241 | 17,738,613 | |
2% 7/1/23 to 4/1/52 | 47,871,047 | 41,294,460 | |
2.5% 7/1/26 to 1/1/52 | 63,048,884 | 54,785,951 | |
3% 8/1/26 to 5/1/52 (e)(f) | 44,483,569 | 40,266,992 | |
3.5% 5/1/28 to 6/1/52 (e) | 21,978,506 | 20,458,708 | |
4% 7/1/30 to 1/1/52 | 13,785,795 | 13,136,397 | |
4.5% to 4.5% 9/1/23 to 2/1/53 (e) | 15,925,793 | 15,467,499 | |
5% 12/1/23 to 12/1/52 | 9,551,415 | 9,455,370 | |
5.5% 12/1/23 to 6/1/53 | 13,160,656 | 13,146,221 | |
6% to 6% 11/1/32 to 6/1/53 | 4,693,981 | 4,780,999 | |
6.5% 12/1/23 to 10/1/39 | 185,994 | 192,473 | |
7% to 7% 11/1/23 to 2/1/29 | 8,211 | 8,470 | |
7.5% to 7.5% 9/1/25 to 11/1/31 | 10,770 | 11,082 | |
TOTAL FANNIE MAE | 230,890,736 | ||
Freddie Mac - 4.2% | |||
12 month U.S. LIBOR + 1.370% 3.634% 3/1/36 (c)(d) | 5,586 | 5,569 | |
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (c)(d) | 3,356 | 3,404 | |
12 month U.S. LIBOR + 1.880% 5.255% 4/1/41 (c)(d) | 869 | 875 | |
12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (c)(d) | 2,202 | 2,257 | |
12 month U.S. LIBOR + 1.910% 5.22% 5/1/41 (c)(d) | 7,005 | 7,071 | |
12 month U.S. LIBOR + 1.910% 5.364% 6/1/41 (c)(d) | 6,782 | 6,863 | |
12 month U.S. LIBOR + 1.910% 5.568% 5/1/41 (c)(d) | 7,313 | 7,385 | |
12 month U.S. LIBOR + 1.940% 4.262% 9/1/37 (c)(d) | 4,382 | 4,466 | |
12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (c)(d) | 70 | 70 | |
12 month U.S. LIBOR + 2.160% 4.41% 11/1/35 (c)(d) | 1,129 | 1,143 | |
6 month U.S. LIBOR + 1.650% 6.179% 4/1/35 (c)(d) | 4,594 | 4,645 | |
6 month U.S. LIBOR + 2.680% 6.988% 10/1/35 (c)(d) | 780 | 802 | |
U.S. TREASURY 1 YEAR INDEX + 1.710% 3.941% 3/1/36 (c)(d) | 38,329 | 38,413 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 4.336% 12/1/35 (c)(d) | 16,711 | 17,008 | |
U.S. TREASURY 1 YEAR INDEX + 2.240% 4.372% 1/1/35 (c)(d) | 710 | 718 | |
U.S. TREASURY 1 YEAR INDEX + 2.250% 4.457% 3/1/35 (c)(d) | 8,120 | 8,212 | |
1.5% 7/1/35 to 2/1/51 | 22,417,179 | 18,297,499 | |
2% 2/1/35 to 4/1/52 | 20,473,468 | 17,380,516 | |
2% 9/1/35 | 255,989 | 227,923 | |
2% 10/1/35 | 1,661,765 | 1,479,575 | |
2.5% 2/1/27 to 3/1/52 | 25,859,611 | 22,559,552 | |
3% 10/1/26 to 1/1/52 | 14,317,495 | 12,960,507 | |
3% 8/1/47 | 5,404 | 4,835 | |
3.5% 4/1/28 to 7/1/52 | 14,162,788 | 13,242,972 | |
3.5% 8/1/47 | 5,225 | 4,834 | |
3.5% 9/1/47 | 246,309 | 228,772 | |
4% 8/1/33 to 8/1/52 | 6,915,795 | 6,575,186 | |
4.5% 8/1/23 to 9/1/52 | 4,775,312 | 4,669,273 | |
5% 5/1/28 to 4/1/53 (e) | 14,570,953 | 14,385,764 | |
5.5% 4/1/27 to 5/1/53 (g) | 10,087,490 | 10,102,358 | |
6% 4/1/32 to 7/1/53 | 3,269,629 | 3,340,348 | |
6.5% 8/1/36 to 12/1/37 | 2,104 | 2,194 | |
7.5% 8/1/26 to 9/1/31 | 1,253 | 1,306 | |
8% 5/1/27 | 24 | 25 | |
8.5% 5/1/27 to 1/1/28 | 196 | 201 | |
TOTAL FREDDIE MAC | 125,572,541 | ||
Ginnie Mae - 4.8% | |||
3.5% 12/15/40 to 6/20/51 | 13,280,461 | 12,438,559 | |
4% 1/15/25 to 10/20/48 | 4,962,916 | 4,772,995 | |
5% 1/20/39 to 4/20/49 | 1,361,792 | 1,361,643 | |
6.5% 4/15/35 to 1/15/39 | 23,877 | 24,843 | |
7% 1/15/28 to 7/15/32 | 32,991 | 33,796 | |
7.5% to 7.5% 12/15/25 to 10/15/28 | 5,422 | 5,521 | |
8% 3/15/30 to 9/15/30 | 842 | 878 | |
1.5% 3/20/51 to 12/20/51 | 295,050 | 237,411 | |
2% 10/20/50 to 11/20/51 | 28,133,592 | 23,672,873 | |
2% 7/1/53 (h) | 6,600,000 | 5,541,625 | |
2% 7/1/53 (h) | 8,750,000 | 7,346,851 | |
2% 7/1/53 (h) | 2,150,000 | 1,805,226 | |
2% 7/1/53 (h) | 2,750,000 | 2,309,010 | |
2% 7/1/53 (h) | 4,400,000 | 3,694,416 | |
2% 8/1/53 (h) | 4,350,000 | 3,656,853 | |
2% 8/1/53 (h) | 2,150,000 | 1,807,410 | |
2% 8/1/53 (h) | 850,000 | 714,557 | |
2.5% 7/20/43 to 12/20/51 | 22,134,143 | 19,246,003 | |
2.5% 7/1/53 (h) | 1,600,000 | 1,384,672 | |
2.5% 7/1/53 (h) | 500,000 | 432,710 | |
2.5% 7/1/53 (h) | 2,450,000 | 2,120,279 | |
2.5% 7/1/53 (h) | 500,000 | 432,710 | |
2.5% 7/1/53 (h) | 1,150,000 | 995,233 | |
2.5% 7/1/53 (h) | 800,000 | 692,336 | |
2.5% 7/1/53 (h) | 1,450,000 | 1,254,859 | |
2.5% 7/1/53 (h) | 1,150,000 | 995,233 | |
2.5% 8/1/53 (h) | 1,650,000 | 1,429,699 | |
2.5% 8/1/53 (h) | 3,250,000 | 2,816,073 | |
3% 7/15/42 to 6/20/51 | 12,464,832 | 11,278,408 | |
3% 7/1/53 (h) | 400,000 | 357,342 | |
3% 7/1/53 (h) | 1,125,000 | 1,005,023 | |
3% 7/1/53 (h) | 1,550,000 | 1,384,698 | |
3% 7/1/53 (h) | 3,800,000 | 3,394,744 | |
3% 7/1/53 (h) | 3,025,000 | 2,702,395 | |
3.5% 7/1/53 (h) | 1,600,000 | 1,476,366 | |
3.5% 8/1/53 (h) | 850,000 | 784,519 | |
4% 7/1/53 (h) | 3,650,000 | 3,451,176 | |
4% 7/1/53 (h) | 2,800,000 | 2,647,478 | |
4.5% to 4.5% 11/20/33 to 5/20/51 | 3,312,251 | 3,248,723 | |
4.5% 7/1/53 (h) | 400,000 | 385,946 | |
4.5% 7/1/53 (h) | 400,000 | 385,946 | |
5% 7/1/53 (h) | 3,000,000 | 2,947,632 | |
5.5% 12/20/32 to 12/20/48 | 252,624 | 255,900 | |
5.5% 7/1/53 (h) | 6,600,000 | 6,570,961 | |
6% to 6% 5/20/34 to 12/15/40 | 93,816 | 96,378 | |
TOTAL GINNIE MAE | 143,597,909 | ||
Uniform Mortgage Backed Securities - 6.0% | |||
1.5% 7/1/38 (h) | 1,000,000 | 862,522 | |
1.5% 7/1/38 (h) | 350,000 | 301,883 | |
1.5% 7/1/38 (h) | 850,000 | 733,143 | |
1.5% 7/1/38 (h) | 925,000 | 797,832 | |
1.5% 7/1/53 (h) | 10,750,000 | 8,316,645 | |
2% 7/1/53 (h) | 13,750,000 | 11,204,688 | |
2% 7/1/53 (h) | 13,750,000 | 11,204,688 | |
2% 7/1/53 (h) | 7,200,000 | 5,867,182 | |
2% 7/1/53 (h) | 8,150,000 | 6,641,324 | |
2% 7/1/53 (h) | 14,800,000 | 12,060,319 | |
2% 7/1/53 (h) | 7,200,000 | 5,867,182 | |
2% 7/1/53 (h) | 7,225,000 | 5,887,554 | |
2% 8/1/53 (h) | 8,150,000 | 6,651,512 | |
2.5% 7/1/53 (h) | 1,100,000 | 932,207 | |
2.5% 7/1/53 (h) | 2,750,000 | 2,330,517 | |
2.5% 7/1/53 (h) | 1,300,000 | 1,101,699 | |
2.5% 7/1/53 (h) | 15,250,000 | 12,923,777 | |
2.5% 7/1/53 (h) | 13,400,000 | 11,355,975 | |
2.5% 7/1/53 (h) | 6,300,000 | 5,339,003 | |
3% 7/1/38 (h) | 2,700,000 | 2,518,699 | |
3% 7/1/53 (h) | 1,600,000 | 1,407,750 | |
3% 7/1/53 (h) | 1,450,000 | 1,275,773 | |
3.5% 7/1/53 (h) | 700,000 | 637,601 | |
3.5% 7/1/53 (h) | 750,000 | 683,144 | |
3.5% 7/1/53 (h) | 1,325,000 | 1,206,888 | |
4% 7/1/53 (h) | 6,075,000 | 5,699,583 | |
4% 7/1/53 (h) | 2,200,000 | 2,064,046 | |
4% 7/1/53 (h) | 3,550,000 | 3,330,620 | |
4% 7/1/53 (h) | 5,400,000 | 5,066,296 | |
4% 7/1/53 (h) | 2,800,000 | 2,626,968 | |
5% 7/1/38 (h) | 1,150,000 | 1,141,825 | |
5% 7/1/38 (h) | 1,400,000 | 1,390,047 | |
5% 7/1/38 (h) | 3,750,000 | 3,723,341 | |
5% 7/1/38 (h) | 3,775,000 | 3,748,164 | |
5% 7/1/38 (h) | 3,050,000 | 3,028,318 | |
5% 7/1/38 (h) | 3,075,000 | 3,053,140 | |
5% 8/1/38 (h) | 1,350,000 | 1,340,666 | |
5% 7/1/53 (h) | 6,800,000 | 6,662,141 | |
5% 7/1/53 (h) | 2,600,000 | 2,547,289 | |
5% 7/1/53 (h) | 2,500,000 | 2,449,317 | |
5.5% 7/1/53 (h) | 6,300,000 | 6,269,725 | |
5.5% 7/1/53 (h) | 3,950,000 | 3,931,018 | |
5.5% 7/1/53 (h) | 5,250,000 | 5,224,771 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 181,406,782 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $707,080,680) | 681,467,968 | ||
Asset-Backed Securities - 5.9% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | 297,843 | 185,856 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 221,110 | 158,958 | |
Series 2019-2 Class A, 3.376% 10/16/39 (b) | 552,597 | 463,644 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 655,643 | 564,843 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 1,240,974 | 1,052,967 | |
AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (b) | 12,094,157 | 11,664,814 | |
AIMCO CLO Series 2021-AA Class AR2, 3 month U.S. LIBOR + 1.140% 6.4003% 10/17/34 (b)(c)(d) | 313,000 | 306,584 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 6.3903% 10/17/34 (b)(c)(d) | 524,413 | 514,810 | |
AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, 3 month U.S. LIBOR + 0.990% 6.2404% 4/20/34 (b)(c)(d) | 2,044,526 | 2,002,912 | |
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.5485% 7/20/35 (b)(c)(d) | 667,851 | 656,980 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 6.3904% 7/20/34 (b)(c)(d) | 627,261 | 613,103 | |
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | 2,000,000 | 1,989,208 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b) | 188,729 | 158,411 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 6.5803% 10/15/32 (b)(c)(d) | 1,079,534 | 1,069,067 | |
Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 6.2851% 4/25/34 (b)(c)(d) | 425,583 | 415,539 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 6.3903% 7/15/34 (b)(c)(d) | 1,132,637 | 1,115,124 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.3163% 1/15/35 (b)(c)(d) | 1,304,759 | 1,267,759 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 6.3303% 4/15/34 (b)(c)(d) | 3,561,718 | 3,486,462 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 6.5103% 4/17/33 (b)(c)(d) | 964,629 | 948,688 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 10/15/36 (b)(c)(d) | 14,190,185 | 13,886,316 | |
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28 | 1,900,000 | 1,885,756 | |
Barings CLO Ltd.: | |||
Series 2021-1A Class A, 3 month U.S. LIBOR + 1.020% 6.2751% 4/25/34 (b)(c)(d) | 934,550 | 916,837 | |
Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 6.4704% 1/20/32 (b)(c)(d) | 847,650 | 839,203 | |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.2863% 1/17/35 (b)(c)(d) | 17,227,148 | 16,881,141 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.3903% 1/15/35 (b)(c)(d) | 799,679 | 782,913 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 781,463 | 718,688 | |
Class AA, 2.487% 12/16/41 (b)(c) | 57,664 | 55,158 | |
Series 2021-1A Class A, 2.443% 7/15/46 (b) | 922,193 | 794,028 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 6.2503% 4/15/29 (b)(c)(d) | 1,823,324 | 1,805,804 | |
Capital One Multi-Asset Execution Trust: | |||
Series 2019-A3 Class A3, 2.06% 8/15/28 | 283,000 | 258,461 | |
Series 2023-A1 Class A, 4.42% 5/15/28 | 1,700,000 | 1,670,536 | |
CarMax Auto Owner Trust Series 2021-1 Class A3, 0.34% 12/15/25 | 474,795 | 461,026 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 486,992 | 432,328 | |
Class B, 5.095% 4/15/39 (b) | 272,765 | 197,135 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (b) | 272,883 | 246,231 | |
Series 2021-1A Class A, 3.474% 1/15/46 (b) | 183,681 | 167,885 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 6.3504% 10/20/32 (b)(c)(d) | 799,316 | 786,776 | |
Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.3685% 4/20/35 (b)(c)(d) | 3,994,984 | 3,891,905 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 6.3851% 10/25/34 (b)(c)(d) | 490,758 | 481,167 | |
Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 1.85% 7/20/36 (b)(c)(d) | 2,065,000 | 2,065,000 | |
CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 6.3004% 4/20/34 (b)(c)(d) | 772,931 | 752,708 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 6.4204% 10/20/34 (b)(c)(d) | 795,912 | 773,677 | |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 1,308,403 | 1,248,679 | |
Citibank Credit Card Issuance Trust: | |||
Series 2013-A9 Class A9, 3.72% 9/8/25 | 128,000 | 127,551 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 442,000 | 420,812 | |
CNH Equipment Trust Series 2023 A Class A2, 5.34% 9/15/26 | 825,000 | 821,427 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 6.4504% 4/20/34 (b)(c)(d) | 853,929 | 831,969 | |
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 6.7706% 7/24/34 (b)(c)(d) | 3,009,000 | 2,963,817 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 6.5604% 1/20/34 (b)(c)(d) | 1,117,642 | 1,099,693 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 717,258 | 655,554 | |
Discover Card Execution Note Trust Series 2023-A2 Class A, 4.93% 6/15/28 | 1,200,000 | 1,194,733 | |
Dominos Pizza Master Issuer LLC Series 2018-1A Class A2II, 4.328% 7/25/48 (b) | 1,910,000 | 1,783,938 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.3485% 4/20/35 (b)(c)(d) | 558,807 | 542,427 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 6.4004% 10/20/34 (b)(c)(d) | 778,431 | 765,616 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 6.4817% 1/18/32 (b)(c)(d) | 2,847,981 | 2,812,151 | |
Dryden Senior Loan Fund: | |||
Series 2018-58A Class A1, 3 month U.S. LIBOR + 1.000% 6.2603% 7/17/31 (b)(c)(d) | 813,000 | 802,416 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 6.4403% 4/17/33 (b)(c)(d) | 839,984 | 829,460 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 10/15/35 (b)(c)(d) | 702,984 | 688,224 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 6.5091% 2/20/35 (b)(c)(d) | 418,048 | 409,260 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 6.3603% 4/15/31 (b)(c)(d) | 362,417 | 358,255 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 1/15/35 (b)(c)(d) | 1,957,851 | 1,925,760 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 6.375% 7/19/34 (b)(c)(d) | 924,249 | 909,703 | |
Class AR, 3 month U.S. LIBOR + 1.080% 6.3983% 11/16/34 (b)(c)(d) | 816,255 | 804,081 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 6.6791% 11/20/33 (b)(c)(d) | 1,017,886 | 1,007,621 | |
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (b) | 1,700,000 | 1,680,582 | |
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | 817,000 | 813,540 | |
GM Financial Consumer Automobile Re Series 2023 2 Class A3, 4.47% 2/16/28 | 1,870,000 | 1,836,555 | |
GM Financial Consumer Automobile Receivables Trust: | |||
Series 2021-1 Class A3, 0.35% 10/16/25 | 318,020 | 310,080 | |
Series 2022-2 Class A3, 3.1% 2/16/27 | 3,100,000 | 2,999,592 | |
Series 2022-4 Class A3, 4.82% 8/16/27 | 1,695,000 | 1,675,357 | |
GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/28 (b) | 1,600,000 | 1,596,491 | |
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27 | 1,321,000 | 1,312,305 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 294,979 | 254,419 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 276,809 | 236,391 | |
Hyundai Auto Lease Securitizat Series 2023-B Class A2A, 5.47% 9/15/25 (b) | 1,918,000 | 1,908,127 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 6.4027% 10/22/34 (b)(c)(d) | 560,077 | 549,517 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.3163% 4/15/35 (b)(c)(d) | 1,298,569 | 1,258,929 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 6.4703% 1/15/33 (b)(c)(d) | 401,849 | 398,099 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 6.1927% 1/22/28 (b)(c)(d) | 464,987 | 462,244 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.4295% 4/19/34 (b)(c)(d) | 1,795,369 | 1,767,295 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 6.3727% 1/22/35 (b)(c)(d) | 910,439 | 890,469 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 6.3803% 7/15/34 (b)(c)(d) | 1,248,118 | 1,228,228 | |
Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 6.9585% 4/22/36 (b)(c)(d) | 1,441,000 | 1,440,271 | |
Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, 3 month U.S. LIBOR + 1.130% 6.3851% 10/25/34 (b)(c)(d) | 965,191 | 947,281 | |
Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 6.2704% 4/20/34 (b)(c)(d) | 746,434 | 733,283 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 6.2503% 1/15/34 (b)(c)(d) | 779,838 | 771,736 | |
Marlette Funding Trust Series 2022-1A Class A, 1.36% 4/15/32 (b) | 161,524 | 160,540 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 6.3204% 10/20/30 (b)(c)(d) | 2,103,799 | 2,086,352 | |
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 6.3954% 1/25/36 (c)(d) | 16,961 | 16,603 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.3804% 10/20/34 (b)(c)(d) | 1,605,558 | 1,576,910 | |
Planet Fitness Master Issuer LLC: | |||
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 587,685 | 497,920 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 643,850 | 572,227 | |
Class A2II, 4.008% 12/5/51 (b) | 575,713 | 472,929 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 518,355 | 440,140 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 6.3704% 4/20/34 (b)(c)(d) | 4,536,406 | 4,473,314 | |
RR 7 Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.3263% 1/15/37 (b)(c)(d) | 1,078,307 | 1,054,191 | |
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b) | 542,827 | 456,344 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 779,000 | 739,605 | |
1.884% 7/15/50 (b) | 300,000 | 269,405 | |
2.328% 7/15/52 (b) | 229,000 | 195,885 | |
Stratus CLO, Ltd. Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.750% 6.7985% 7/20/30 (b)(c)(d) | 451,129 | 449,389 | |
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.3906% 4/23/35 (b)(c)(d) | 1,115,802 | 1,090,989 | |
Symphony CLO Ltd. Series 2020-22A Class A1A, 3 month U.S. LIBOR + 1.290% 6.5517% 4/18/33 (b)(c)(d) | 2,000,000 | 1,977,266 | |
Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, 3 month U.S. LIBOR + 0.960% 6.2203% 4/16/31 (b)(c)(d) | 6,449,000 | 6,368,774 | |
Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, 3 month U.S. LIBOR + 0.980% 6.245% 4/19/34 (b)(c)(d) | 947,359 | 926,415 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 6.3304% 4/20/33 (b)(c)(d) | 875,909 | 861,140 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 6.0104% 9/25/34 (c)(d) | 873 | 837 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 599,023 | 511,613 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 798,152 | 665,706 | |
Toyota Auto Receivables Owner Trust Series 2022-C Class A3, 3.76% 4/15/27 | 3,850,000 | 3,749,297 | |
Toyota Lease Owner Trust Series 2023 A: | |||
Class A2, 5.3% 8/20/25 (b) | 1,541,000 | 1,533,702 | |
Class A3, 4.93% 4/20/26 (b) | 1,485,000 | 1,467,615 | |
Upstart Securitization Trust 3.12% 3/20/32 (b) | 169,737 | 166,154 | |
Valley Stream Park Clo Ltd. / Vy Series 2022-1A Class A, CME Term SOFR 3 Month Index + 2.400% 7.4485% 10/20/34 (b)(c)(d) | 2,667,000 | 2,671,166 | |
Verizon Master Trust: | |||
Series 2021-1: | |||
Class A, 0.5% 5/20/27 | 1,900,000 | 1,813,657 | |
Class B, 0.69% 5/20/27 | 2,008,000 | 1,909,362 | |
Series 2023 2 Class A, 4.89% 4/13/28 | 900,000 | 891,631 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 6.5204% 7/20/32 (b)(c)(d) | 4,522,785 | 4,475,314 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 6.425% 7/19/34 (b)(c)(d) | 522,906 | 513,312 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 6.4004% 10/20/34 (b)(c)(d) | 1,070,174 | 1,050,180 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 7/16/34 (b)(c)(d) | 882,055 | 867,064 | |
World Omni Auto Receivables Trust Series 2023 B: | |||
Class A2A, 5.25% 11/16/26 | 856,000 | 851,015 | |
Class A3, 4.66% 5/15/28 | 1,572,000 | 1,549,267 | |
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | 1,571,000 | 1,563,045 | |
TOTAL ASSET-BACKED SECURITIES (Cost $178,754,510) | 178,396,621 | ||
Collateralized Mortgage Obligations - 1.1% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.5% | |||
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | 647,677 | 583,366 | |
BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | 985,588 | 833,486 | |
BVEBO sequential payer Series 2022-3 Class A, 3.242% 5/29/52 (b) | 1,216,640 | 1,174,903 | |
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 283,888 | 267,897 | |
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 204,449 | 199,954 | |
CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | 2,327,523 | 2,276,532 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 864,422 | 810,058 | |
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b) | 3,211,965 | 2,904,136 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 360,941 | 318,682 | |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | 779,000 | 731,945 | |
Preston Ridge Partners Mortgage Trust Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 575,452 | 538,198 | |
RMF Buyout Issuance Trust sequential payer Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 220,504 | 212,118 | |
Towd Point Mortgage Trust: | |||
sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | 3,372,839 | 3,096,225 | |
Series 2020-1 Class A1, 2.71% 1/25/60 (b) | 1,776,978 | 1,631,655 | |
TOTAL PRIVATE SPONSOR | 15,579,155 | ||
U.S. Government Agency - 0.6% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 1999-54 Class PH, 6.5% 11/18/29 | 1,587 | 1,585 | |
Series 1999-57 Class PH, 6.5% 12/25/29 | 7,811 | 7,829 | |
sequential payer: | |||
Series 2020-101 Class BA, 1.5% 9/25/45 | 576,628 | 484,045 | |
Series 2020-49 Class JA, 2% 8/25/44 | 82,935 | 73,595 | |
Series 2020-80 Class BA, 1.5% 3/25/45 | 752,161 | 633,754 | |
Series 2021-68 Class A, 2% 7/25/49 | 161,220 | 130,178 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 87,884 | 76,807 | |
Series 2021-95: | |||
Class 0, 2.5% 9/25/48 | 688,499 | 598,654 | |
Class BA, 2.5% 6/25/49 | 1,018,822 | 885,940 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 146,507 | 128,583 | |
Series 2022-1 Class KA, 3% 5/25/48 | 355,673 | 318,379 | |
Series 2022-13 Class MA, 3% 5/25/44 | 1,489,893 | 1,375,371 | |
Series 2022-3: | |||
Class D, 2% 2/25/48 | 973,306 | 838,837 | |
Class N, 2% 10/25/47 | 2,878,288 | 2,448,569 | |
Series 2022-30 Class E, 4.5% 7/25/48 | 1,021,317 | 970,584 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 105,967 | 92,835 | |
Series 2022-42 Class BA, 4% 6/25/50 | 1,098,217 | 1,038,819 | |
Series 2022-49 Class TC, 4% 12/25/48 | 326,750 | 312,556 | |
Series 2022-7: | |||
Class A, 3% 5/25/48 | 505,763 | 452,793 | |
Class E, 2.5% 11/25/47 | 1,022,841 | 901,261 | |
Series 2021-59 Class H, 2% 6/25/48 | 91,267 | 75,408 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 98,635 | 81,732 | |
Class DM, 2% 1/25/48 | 104,822 | 86,859 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2021-5175 Class CB, 2.5% 4/25/50 | 523,370 | 454,538 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 105,584 | 93,291 | |
Series 2022-5189 Class DA, 2.5% 5/25/49 | 269,416 | 229,844 | |
Series 2022-5190 Class BA, 2.5% 11/25/47 | 257,270 | 223,733 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 124,654 | 108,394 | |
Series 2022-5197 Class DA, 2.5% 11/25/47 | 195,411 | 169,950 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 978,572 | 860,996 | |
Series 2022-5202 Class LB, 2.5% 10/25/47 | 208,628 | 180,933 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 1,365,495 | 1,259,934 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 395,766 | 340,857 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 680,195 | 590,089 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 2021-5159 Class GC, 2% 11/25/47 | 84,811 | 73,063 | |
TOTAL U.S. GOVERNMENT AGENCY | 16,600,595 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $33,086,922) | 32,179,750 | ||
Commercial Mortgage Securities - 5.8% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.297% 1/15/39 (b)(c)(d) | 497,039 | 483,104 | |
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 484,000 | 440,256 | |
Series 2019-BPR Class BNM, 3.465% 11/5/32 (b) | 109,000 | 91,874 | |
BANK: | |||
sequential payer: | |||
Series 2017-BNK4 Class ASB, 3.419% 5/15/50 | 482,303 | 459,478 | |
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | 400,000 | 366,733 | |
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 3,248,347 | 2,994,373 | |
Series 2018-BN14 Class ASB, 4.185% 9/15/60 | 385,000 | 370,111 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 82,630 | 70,456 | |
Series 2020-BN25 Class A5, 2.649% 1/15/63 | 462,410 | 390,210 | |
Series 2020-BN28 Class A4, 1.844% 3/15/63 | 1,148,351 | 908,397 | |
Series 2021-BN35 Class A5, 2.285% 6/15/64 | 567,169 | 455,188 | |
Series 2022-BNK41 Class A4, 3.7901% 4/15/65 (c) | 963,521 | 864,101 | |
Series 2023-5YR1: | |||
Class A2, 5.779% 4/15/56 | 1,400,000 | 1,393,410 | |
Class A3, 6.26% 4/15/56 | 2,100,000 | 2,134,477 | |
Series 2021-BN33 Class XA, 1.1689% 5/15/64 (c)(i) | 12,042,212 | 668,030 | |
BBCMS Mortgage Trust sequential payer Series 2021-C11 Class A5, 2.322% 9/15/54 | 722,307 | 580,130 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 172,167 | 160,202 | |
Series 2019-B10: | |||
Class A4, 3.717% 3/15/62 | 159,609 | 144,228 | |
Class ASB, 3.615% 3/15/62 | 500,000 | 468,218 | |
Series 2019-B9 Class AAB, 3.9325% 3/15/52 | 1,000,000 | 948,462 | |
Series 2020-B19 Class A5, 1.85% 9/15/53 | 468,749 | 362,680 | |
Series 2021-B24 Class A5, 2.5843% 3/15/54 | 700,621 | 558,263 | |
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 1,180,306 | 1,082,999 | |
Series 2019-B12 Class A5, 3.1156% 8/15/52 | 726,144 | 633,861 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 642,936 | 582,830 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, CME Term SOFR 1 Month Index + 2.160% 7.3115% 11/15/28 (b)(c)(d) | 441,000 | 438,634 | |
BPR Trust floater Series 2022-OANA: | |||
Class A, CME Term SOFR 1 Month Index + 1.890% 7.045% 4/15/37 (b)(c)(d) | 2,835,445 | 2,750,389 | |
Class B, CME Term SOFR 1 Month Index + 2.440% 7.594% 4/15/37 (b)(c)(d) | 841,247 | 818,903 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 5.8831% 10/15/36 (b)(c)(d) | 1,109,960 | 1,076,538 | |
Class B, 1 month U.S. LIBOR + 0.890% 6.0928% 10/15/36 (b)(c)(d) | 162,246 | 156,241 | |
Class C, 1 month U.S. LIBOR + 1.090% 6.2926% 10/15/36 (b)(c)(d) | 217,124 | 207,590 | |
Class D, 1 month U.S. LIBOR + 1.290% 6.4923% 10/15/36 (b)(c)(d) | 210,720 | 199,683 | |
Class E, 1 month U.S. LIBOR + 1.940% 7.1415% 10/15/36 (b)(c)(d) | 732,746 | 697,816 | |
Series 2022-LP2: | |||
Class A, CME Term SOFR 1 Month Index + 1.010% 6.1599% 2/15/39 (b)(c)(d) | 1,156,306 | 1,120,887 | |
Class B, CME Term SOFR 1 Month Index + 1.310% 6.4593% 2/15/39 (b)(c)(d) | 412,006 | 395,065 | |
Class C, CME Term SOFR 1 Month Index + 1.560% 6.7087% 2/15/39 (b)(c)(d) | 412,006 | 390,006 | |
Class D, CME Term SOFR 1 Month Index + 1.960% 7.1078% 2/15/39 (b)(c)(d) | 412,006 | 391,652 | |
Bx Commercial Mortgage Trust 2: | |||
floater Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 6.493% 4/15/34 (b)(c)(d) | 412,398 | 404,272 | |
Class C, 1 month U.S. LIBOR + 1.600% 6.793% 4/15/34 (b)(c)(d) | 272,629 | 266,737 | |
Class D, 1 month U.S. LIBOR + 1.900% 7.093% 4/15/34 (b)(c)(d) | 286,192 | 279,644 | |
floater sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 6.193% 4/15/34 (b)(c)(d) | 1,194,934 | 1,182,020 | |
BX Trust: | |||
floater: | |||
Series 2019-XL: | |||
Class B, CME Term SOFR 1 Month Index + 1.190% 6.3415% 10/15/36 (b)(c)(d) | 4,695,086 | 4,652,098 | |
Class C, CME Term SOFR 1 Month Index + 1.360% 6.5115% 10/15/36 (b)(c)(d) | 415,223 | 410,766 | |
Class D, CME Term SOFR 1 Month Index + 1.560% 6.7115% 10/15/36 (b)(c)(d) | 1,077,637 | 1,064,709 | |
Class E, CME Term SOFR 1 Month Index + 1.910% 7.0615% 10/15/36 (b)(c)(d) | 826,282 | 814,805 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 5.8289% 10/15/26 (b)(c)(d) | 3,200,000 | 3,100,633 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.312% 10/15/39 (b)(c)(d) | 1,629,000 | 1,626,446 | |
Series 2022-IND: | |||
Class A, CME Term SOFR 1 Month Index + 1.490% 6.638% 4/15/37 (b)(c)(d) | 956,815 | 942,165 | |
Class B, CME Term SOFR 1 Month Index + 1.940% 7.087% 4/15/37 (b)(c)(d) | 487,779 | 478,967 | |
Class C, CME Term SOFR 1 Month Index + 2.290% 7.437% 4/15/37 (b)(c)(d) | 110,128 | 107,383 | |
Class D, CME Term SOFR 1 Month Index + 2.830% 7.986% 4/15/37 (b)(c)(d) | 92,215 | 88,402 | |
floater sequential payer Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.1815% 10/15/36 (b)(c)(d) | 5,574,743 | 5,540,069 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE: | |||
Class A, 1 month U.S. LIBOR + 1.070% 6.263% 12/15/37 (b)(c)(d) | 2,145,000 | 2,125,784 | |
Class B, 1 month U.S. LIBOR + 1.250% 6.443% 12/15/37 (b)(c)(d) | 1,400,000 | 1,378,853 | |
Class E, 1 month U.S. LIBOR + 2.150% 7.343% 12/15/37 (b)(c)(d) | 520,000 | 506,920 | |
CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 1,194,866 | 1,034,890 | |
CFCRE Commercial Mortgage Trust sequential payer: | |||
Series 2016-C7 Class A2, 3.5853% 12/10/54 | 546,530 | 510,401 | |
Series 2017-C8 Class A3, 3.3048% 6/15/50 | 1,960,100 | 1,805,633 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class C, 1 month U.S. LIBOR + 1.750% 6.943% 6/15/34 (b)(c)(d) | 95,834 | 93,407 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2014-GC25 Class A4, 3.635% 10/10/47 | 825,999 | 794,171 | |
Series 2015-GC29 Class A4, 3.192% 4/10/48 | 311,943 | 294,195 | |
Series 2015-P1 Class A5, 3.717% 9/15/48 | 160,809 | 152,622 | |
Series 2016-C1 Class A4, 3.209% 5/10/49 | 508,851 | 471,323 | |
Series 2016-P4 Class A4, 2.902% 7/10/49 | 589,456 | 539,083 | |
Series 2019-C7 Class A4, 3.102% 12/15/72 | 2,911,044 | 2,525,515 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 158,730 | 154,878 | |
Series 2015-DC1 Class A4, 3.078% 2/10/48 | 2,600,000 | 2,528,968 | |
Series 2013-CR13 Class AM, 4.449% 11/10/46 | 738,856 | 728,574 | |
Series 2013-LC13 Class AM, 4.557% 8/10/46 (b) | 452,842 | 450,781 | |
Series 2014-CR14 Class AM, 4.526% 2/10/47 (c) | 909,306 | 880,474 | |
Series 2015-CR22 Class A5, 3.309% 3/10/48 | 532,572 | 506,295 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 6.173% 5/15/36 (b)(c)(d) | 498,759 | 496,269 | |
Class B, 1 month U.S. LIBOR + 1.230% 6.423% 5/15/36 (b)(c)(d) | 520,705 | 517,128 | |
Class C, 1 month U.S. LIBOR + 1.430% 6.623% 5/15/36 (b)(c)(d) | 813,975 | 805,193 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 242,022 | 216,462 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 462,377 | 445,919 | |
Class B, 4.5349% 4/15/36 (b) | 142,154 | 135,857 | |
Class D, 4.9414% 4/15/36 (b)(c) | 190,753 | 179,943 | |
CSAIL Commercial Mortgage Trust sequential payer: | |||
Series 2015-C3 Class A4, 3.7182% 8/15/48 | 344,472 | 328,693 | |
Series 2019-C17: | |||
Class A4, 2.7628% 9/15/52 | 516,958 | 435,691 | |
Class A5, 3.0161% 9/15/52 | 516,958 | 444,526 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 5.895% 11/15/38 (b)(c)(d) | 1,497,765 | 1,453,610 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 6.274% 7/15/38 (b)(c)(d) | 770,027 | 754,805 | |
Class B, 1 month U.S. LIBOR + 1.380% 6.574% 7/15/38 (b)(c)(d) | 1,554,509 | 1,516,465 | |
Class C, 1 month U.S. LIBOR + 1.700% 6.894% 7/15/38 (b)(c)(d) | 200,457 | 195,049 | |
Class D, 1 month U.S. LIBOR + 2.250% 7.444% 7/15/38 (b)(c)(d) | 11,153,339 | 10,838,406 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K043 Class A2, 3.062% 12/25/24 | 1,917,000 | 1,853,386 | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | 263,000 | 251,864 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 415,000 | 398,940 | |
Series 2016-K054 Class A2, 2.745% 1/25/26 | 1,287,022 | 1,217,229 | |
Series 2016-K057 Class A2, 2.57% 7/25/26 | 437,441 | 410,478 | |
Series 2017 K726 Class A2, 2.905% 4/25/24 | 1,368,243 | 1,341,148 | |
Series 2020-K104 Class A2, 2.253% 1/25/30 | 2,053,820 | 1,789,892 | |
Series 2020-K116 Class A2, 1.378% 7/25/30 | 1,745,881 | 1,414,679 | |
Series 2020-K117 Class A2, 1.406% 8/25/30 | 890,789 | 721,743 | |
Series 2020-K118 Class A2, 1.493% 9/25/30 | 423,042 | 344,368 | |
Series 2020-K121 Class A2, 1.547% 10/25/30 | 593,860 | 483,793 | |
Series 2021-K125 Class A2, 1.846% 1/25/31 | 230,204 | 190,859 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 1,027,624 | 867,230 | |
Series 2021-K127 Class A2, 2.108% 1/25/31 | 2,000,000 | 1,690,442 | |
Series 2021-K130 Class A2, 1.723% 6/25/31 | 281,917 | 230,011 | |
Series 2021-K136 Class A2, 2.127% 11/25/31 | 1,700,998 | 1,420,554 | |
Series 2022-150 Class A2, 3.71% 9/25/32 | 1,300,000 | 1,223,565 | |
Series 2022-K141 Class A2, 2.25% 2/25/32 | 521,000 | 437,987 | |
Series 2022-K142 Class A2, 2.4% 3/25/32 | 2,531,000 | 2,153,483 | |
Series 2022-K143 Class A2, 2.35% 3/25/32 | 200,000 | 169,936 | |
Series 2022-K144 Class A2, 2.45% 4/25/32 | 1,976,000 | 1,686,130 | |
Series 2022-K145 Class A2, 2.58% 5/25/32 | 494,000 | 426,045 | |
Series 2022-K146 Class A2, 2.92% 6/25/32 | 1,138,000 | 1,006,361 | |
Series 2022-K147 Class A2, 3% 6/25/32 | 1,384,000 | 1,231,605 | |
Series 2022-K750 Class A2, 3% 9/25/29 | 1,600,000 | 1,472,247 | |
Series 2023-K751 Class A2, 4.412% 3/25/30 | 400,000 | 396,451 | |
Series K034 Class A2, 3.531% 7/25/23 | 101,703 | 101,337 | |
Series K080 Class A2, 3.926% 7/25/28 | 454,836 | 441,745 | |
Series 2017-K064 Class A2, 3.224% 3/25/27 | 472,919 | 449,121 | |
Series 2017-K068 Class A2, 3.244% 8/25/27 | 652,712 | 616,826 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 3,014,844 | 2,937,008 | |
Series 2018-K730 Class A2, 3.59% 1/25/25 | 1,015,735 | 988,385 | |
Series 2019-K094 Class A2, 2.903% 6/25/29 | 1,410,116 | 1,290,212 | |
Series 2019-K1510 Class A2, 3.718% 1/25/31 | 407,161 | 383,079 | |
Series 2021-K123 Class A2, 1.621% 12/25/30 | 781,693 | 638,779 | |
Series 2022 K748 Class A2, 2.26% 1/25/29 | 500,000 | 443,555 | |
Series K036 Class A2, 3.527% 10/25/23 | 210,551 | 209,156 | |
Series K046 Class A2, 3.205% 3/25/25 | 912,976 | 881,587 | |
Series K047 Class A2, 3.329% 5/25/25 | 2,200,835 | 2,120,243 | |
Series K053 Class A2, 2.995% 12/25/25 | 194,973 | 185,708 | |
Series K056 Class A2, 2.525% 5/25/26 | 568,904 | 533,477 | |
Series K062 Class A1, 3.032% 9/25/26 | 235,408 | 228,021 | |
Series K063 Class A2, 3.43% 1/25/27 | 3,200,000 | 3,056,696 | |
Series K079 Class A2, 3.926% 6/25/28 | 213,322 | 207,167 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
sequential payer Series 2015 K045 Class A2, 3.023% 1/25/25 | 1,382,420 | 1,333,275 | |
Series K044 Class A2, 2.811% 1/25/25 | 2,787,719 | 2,682,296 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 7.143% 9/15/31 (b)(c)(d) | 282,314 | 276,566 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 6.143% 10/15/36 (b)(c)(d) | 1,163,563 | 1,094,278 | |
Class B, 1 month U.S. LIBOR + 1.150% 6.343% 10/15/36 (b)(c)(d) | 450,000 | 416,013 | |
Class C, 1 month U.S. LIBOR + 1.550% 6.743% 10/15/36 (b)(c)(d) | 2,451,000 | 2,233,251 | |
sequential payer: | |||
Series 2014-GC26 Class A4, 3.364% 11/10/47 | 393,539 | 379,286 | |
Series 2018-GS9 Class A4, 3.992% 3/10/51 | 400,000 | 371,568 | |
Series 2020-GC45 Class A5, 2.9106% 2/13/53 | 1,245,771 | 1,064,768 | |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.6356% 8/15/39 (b)(c)(d) | 4,070,000 | 4,069,996 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 5.7435% 4/15/37 (b)(c)(d) | 324,490 | 308,802 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2014-C21 Class A5, 3.7748% 8/15/47 | 925,287 | 899,404 | |
Series 2014-C23 Class A5, 3.9342% 9/15/47 | 261,832 | 253,162 | |
Series 2014-C24 Class A5, 3.6385% 11/15/47 | 714,600 | 685,846 | |
Series 2015-C29 Class A4, 3.6108% 5/15/48 | 246,754 | 233,304 | |
Series 2013-C17 Class A/S, 4.4584% 1/15/47 | 1,032,479 | 991,781 | |
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class ASB, 3.4743% 12/15/49 | 568,975 | 543,398 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class DFX, 5.3503% 7/5/33 (b) | 158,353 | 132,538 | |
Class EFX, 5.3635% 7/5/33 (b)(c) | 192,511 | 158,239 | |
Life Financial Services Trust floater Series 2022-BMR2: | |||
Class A1, CME Term SOFR 1 Month Index + 1.290% 6.4422% 5/15/39 (b)(c)(d) | 2,976,439 | 2,912,271 | |
Class B, CME Term SOFR 1 Month Index + 1.790% 6.9409% 5/15/39 (b)(c)(d) | 899,162 | 878,306 | |
Class C, CME Term SOFR 1 Month Index + 2.090% 7.2401% 5/15/39 (b)(c)(d) | 511,349 | 496,924 | |
Class D, CME Term SOFR 1 Month Index + 2.540% 7.6889% 5/15/39 (b)(c)(d) | 454,472 | 432,407 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, CME Term SOFR 1 Month Index + 0.810% 5.9615% 3/15/38 (b)(c)(d) | 675,307 | 657,923 | |
Class B, CME Term SOFR 1 Month Index + 0.990% 6.1415% 3/15/38 (b)(c)(d) | 217,253 | 210,706 | |
Class C, CME Term SOFR 1 Month Index + 1.210% 6.3615% 3/15/38 (b)(c)(d) | 136,648 | 131,543 | |
Class D, CME Term SOFR 1 Month Index + 1.510% 6.6615% 3/15/38 (b)(c)(d) | 190,097 | 182,697 | |
Class E, CME Term SOFR 1 Month Index + 1.860% 7.0115% 3/15/38 (b)(c)(d) | 166,149 | 158,743 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2014 C14 Class A5, 4.064% 2/15/47 | 1,988,735 | 1,963,575 | |
Series 2015-C20 Class A4, 3.249% 2/15/48 | 403,691 | 383,977 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP: | |||
Class B, 1 month U.S. LIBOR + 1.250% 6.443% 8/15/33 (b)(c)(d) | 433,796 | 346,282 | |
Class C, 1 month U.S. LIBOR + 1.500% 6.693% 8/15/33 (b)(c)(d)(j) | 1,044,807 | 750,427 | |
sequential payer: | |||
Series 2017-H1 Class A4, 3.259% 6/15/50 | 1,500,000 | 1,368,683 | |
Series 2019-L2 Class A3, 3.806% 3/15/52 | 1,000,000 | 920,569 | |
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 1,052,468 | 977,119 | |
Series 2020-L4 Class A3, 2.698% 2/15/53 | 487,766 | 408,936 | |
Series 2021-L6 Class A4, 2.444% 6/15/54 (c) | 5,000,000 | 4,001,251 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 1,275,945 | 1,187,190 | |
Series 2019-MEAD: | |||
Class B, 3.283% 11/10/36 (b)(c) | 152,075 | 139,526 | |
Class C, 3.283% 11/10/36 (b)(c) | 145,921 | 131,114 | |
MSCCG Trust floater Series 2018-SELF Class A, 1 month U.S. LIBOR + 0.900% 6.094% 10/15/37 (b)(c)(d) | 1,337,908 | 1,322,320 | |
Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (b) | 531,500 | 492,810 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 5.677% 10/15/36 (b)(c)(d) | 1,272,661 | 1,230,348 | |
Prima Capital Ltd. floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 6.6066% 12/15/37 (b)(c)(d)(j) | 57,034 | 56,857 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 267,524 | 269,298 | |
Sfs Auto Receivables Securitiz sequential payer Series 2023-1A Class A2A, 5.89% 3/22/27 (b) | 1,091,000 | 1,089,549 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME Term SOFR 1 Month Index + 2.000% 7.147% 2/15/39 (b)(c)(d) | 263,000 | 248,973 | |
Class C, CME Term SOFR 1 Month Index + 2.650% 7.797% 2/15/39 (b)(c)(d) | 137,000 | 129,245 | |
SREIT Trust floater: | |||
Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 5.7696% 7/15/36 (b)(c)(d) | 813,932 | 789,415 | |
Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 5.9241% 11/15/38 (b)(c)(d) | 1,011,403 | 982,401 | |
Class B, 1 month U.S. LIBOR + 1.070% 6.2731% 11/15/38 (b)(c)(d) | 579,290 | 561,849 | |
Class C, 1 month U.S. LIBOR + 1.320% 6.5223% 11/15/38 (b)(c)(d) | 359,780 | 346,579 | |
Class D, 1 month U.S. LIBOR + 1.570% 6.7715% 11/15/38 (b)(c)(d) | 236,463 | 227,120 | |
VLS Commercial Mortgage Trust sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 1,123,328 | 876,210 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 6.393% 5/15/31 (b)(c)(d) | 552,000 | 526,300 | |
sequential payer: | |||
Series 2015-C26 Class A4, 3.166% 2/15/48 | 420,434 | 399,622 | |
Series 2019-C49 Class ASB, 3.933% 3/15/52 | 500,000 | 477,565 | |
Series 2019-C52 Class A5, 2.892% 8/15/52 | 887,720 | 763,646 | |
Series 2019-C54 Class A4, 3.146% 12/15/52 | 63,390 | 55,157 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 884,202 | 830,160 | |
Wells Fargo Commercial Mtg Trust sequential payer Series 2016-C37, Class A4, 3.525% 12/15/49 | 500,000 | 468,477 | |
Wells Fargo Commercial Mtg Trust 2020-C sequential payer Series 2020-C55 Class A5, 2.725% 2/15/53 | 438,989 | 369,104 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2014 C19 Class A5, 4.101% 3/15/47 | 2,090,000 | 2,056,585 | |
Series 2014-C25 Class A5, 3.631% 11/15/47 | 396,151 | 379,533 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $179,685,813) | 175,720,965 | ||
Municipal Securities - 0.4% | |||
Principal Amount (a) | Value ($) | ||
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50 | 265,000 | 358,450 | |
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | |||
Series 2009 F2, 6.263% 4/1/49 | 130,000 | 153,956 | |
Series 2010 S1, 7.043% 4/1/50 | 195,000 | 250,312 | |
California State Univ. Rev. Series 2021 B, 2.719% 11/1/52 | 235,000 | 164,189 | |
Chicago O'Hare Int'l. Arpt. Rev. Series 2010 B, 6.395% 1/1/40 | 250,000 | 286,012 | |
Commonwealth Fing. Auth. Rev. Series 2016 A, 4.144% 6/1/38 | 210,000 | 191,809 | |
Dallas Area Rapid Transit Sales Tax Rev. Series 2021 A, 2.613% 12/1/48 | 435,000 | 309,507 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2019 A, 3.144% 11/1/45 | 65,000 | 49,869 | |
Series 2021 C, 2.843% 11/1/46 | 400,000 | 293,965 | |
Series 2022 A, 4.507% 11/1/51 | 155,000 | 144,252 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 B: | |||
2.746% 6/1/34 | 175,000 | 142,400 | |
3.293% 6/1/42 | 85,000 | 63,858 | |
Idaho Energy Resources Auth. Series 2021, 2.861% 9/1/46 | 100,000 | 72,687 | |
Illinois Gen. Oblig.: | |||
Series 2003, 5.1% 6/1/33 | 1,355,000 | 1,331,568 | |
Series 2010-1, 6.63% 2/1/35 | 1,426,154 | 1,488,313 | |
Series 2010-3: | |||
6.725% 4/1/35 | 1,098,462 | 1,153,293 | |
7.35% 7/1/35 | 645,357 | 695,521 | |
Kansas St Dev. Fin. Auth. Rev. Series 2015 H, 4.927% 4/15/45 | 210,000 | 201,821 | |
Los Angeles Cmnty. College District Series 2008 E, 6.75% 8/1/49 | 260,000 | 324,389 | |
Los Angeles Dept. Arpt. Rev. Series 2009 C, 6.582% 5/15/39 | 125,000 | 138,483 | |
Massachusetts Gen. Oblig. Series F, 3.277% 6/1/46 | 130,000 | 104,504 | |
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2021 C, 2.823% 8/1/41 | 155,000 | 120,886 | |
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2021 A, 3.225% 9/1/47 | 235,000 | 180,067 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 942,000 | 1,011,782 | |
New Jersey Tpk. Auth. Tpk. Rev. Series 2009 E, 7.414% 1/1/40 | 129,000 | 161,579 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42 | 245,000 | 278,033 | |
New York City Transitional Fin. Auth. Rev. Series 2011 A, 5.508% 8/1/37 | 295,000 | 306,897 | |
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39 | 170,000 | 180,401 | |
New York State Dorm. Auth. Series 2021 C, 2.202% 3/15/34 | 560,000 | 440,207 | |
Port Auth. of New York & New Jersey: | |||
Series 180, 4.96% 8/1/46 | 140,000 | 136,897 | |
Series 2010 164, 5.647% 11/1/40 | 145,000 | 155,710 | |
Series 225, 3.175% 7/15/60 | 635,000 | 450,224 | |
Port of Morrow Transmission Facilities Rev. (Bonneville Coorporation Proj.) Series 2016 1, 2.987% 9/1/36 | 155,000 | 130,408 | |
San Francisco Pub. Utils. Commission Wtr. Rev. Series 2010 E, 6% 11/1/40 | 175,000 | 188,343 | |
South Carolina Pub. Svc. Auth. Rev. Series 2013 C, 5.784% 12/1/41 | 310,000 | 325,125 | |
Univ. of California Regents Med. Ctr. Pool Rev. Series N: | |||
3.006% 5/15/50 | 360,000 | 253,037 | |
3.256% 5/15/60 | 365,000 | 256,217 | |
Univ. of California Revs.: | |||
Series 2009 R, 5.77% 5/15/43 | 30,000 | 32,442 | |
Series 2015 AP, 3.931% 5/15/45 | 105,000 | 95,167 | |
Univ. of Virginia Gen. Rev.: | |||
(Multi-Year Cap. Proj. Fing. Prog.) Series 2017 C, 4.179% 9/1/2117 | 130,000 | 105,600 | |
Series 2021 B, 2.584% 11/1/51 | 65,000 | 43,201 | |
TOTAL MUNICIPAL SECURITIES (Cost $13,516,552) | 12,771,381 | ||
Foreign Government and Government Agency Obligations - 0.7% | |||
Principal Amount (a) | Value ($) | ||
Alberta Province: | |||
1% 5/20/25 | 968,000 | 896,126 | |
3.3% 3/15/28 | 274,000 | 260,574 | |
British Columbia Province 2.25% 6/2/26 | 654,000 | 610,816 | |
Chilean Republic: | |||
2.55% 7/27/33 | 854,000 | 697,547 | |
3.24% 2/6/28 | 318,000 | 298,224 | |
3.625% 10/30/42 | 358,000 | 288,373 | |
Emirate of Abu Dhabi 3.875% 4/16/50 (b) | 716,000 | 600,896 | |
Export Development Canada 2.625% 2/21/24 | 320,000 | 314,029 | |
Hungarian Republic: | |||
5.75% 11/22/23 | 88,000 | 87,907 | |
7.625% 3/29/41 | 200,000 | 225,394 | |
Indonesian Republic: | |||
2.85% 2/14/30 | 961,000 | 851,609 | |
3.5% 2/14/50 | 734,000 | 559,169 | |
Israeli State: | |||
3.25% 1/17/28 | 395,000 | 368,819 | |
3.375% 1/15/50 | 813,000 | 609,425 | |
Italian Republic: | |||
2.875% 10/17/29 | 734,000 | 637,670 | |
6.875% 9/27/23 | 165,000 | 165,333 | |
Kingdom of Saudi Arabia: | |||
3.25% 10/22/30 (b) | 396,000 | 358,523 | |
4.5% 4/22/60 (b) | 301,000 | 260,040 | |
Manitoba Province 3.05% 5/14/24 | 41,000 | 40,148 | |
Ontario Province: | |||
0.625% 1/21/26 | 70,000 | 62,980 | |
1.125% 10/7/30 | 658,000 | 526,354 | |
2.3% 6/15/26 | 391,000 | 364,721 | |
2.5% 4/27/26 | 137,000 | 128,875 | |
3.05% 1/29/24 | 320,000 | 315,267 | |
Panamanian Republic: | |||
3.16% 1/23/30 | 517,000 | 452,235 | |
4.5% 4/16/50 | 353,000 | 271,644 | |
4.5% 4/1/56 | 547,000 | 407,460 | |
Peruvian Republic: | |||
1.862% 12/1/32 | 689,000 | 529,111 | |
2.78% 12/1/60 | 113,000 | 68,610 | |
2.844% 6/20/30 | 448,000 | 391,767 | |
3.55% 3/10/51 | 517,000 | 384,576 | |
6.55% 3/14/37 | 84,000 | 93,968 | |
Polish Government: | |||
3.25% 4/6/26 | 181,000 | 174,330 | |
4% 1/22/24 | 992,000 | 983,409 | |
Quebec Province: | |||
1.5% 2/11/25 | 791,000 | 746,301 | |
2.5% 4/20/26 | 322,000 | 302,732 | |
2.75% 4/12/27 | 350,000 | 327,422 | |
2.875% 10/16/24 | 57,000 | 55,253 | |
State of Qatar 4.4% 4/16/50 (b) | 893,000 | 810,621 | |
United Mexican States: | |||
3.25% 4/16/30 | 366,000 | 325,341 | |
3.5% 2/12/34 | 1,114,000 | 929,655 | |
4.28% 8/14/41 | 1,201,000 | 990,032 | |
4.35% 1/15/47 | 395,000 | 316,565 | |
4.5% 1/31/50 | 254,000 | 207,294 | |
4.6% 2/10/48 | 481,000 | 396,339 | |
4.75% 3/8/44 | 266,000 | 228,021 | |
5.55% 1/21/45 | 107,000 | 102,031 | |
6.05% 1/11/40 | 132,000 | 133,914 | |
Uruguay Republic: | |||
4.125% 11/20/45 | 130,228 | 118,282 | |
4.375% 10/27/27 | 33,363 | 33,076 | |
4.375% 1/23/31 | 434,418 | 428,206 | |
4.975% 4/20/55 | 321,625 | 313,285 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $21,422,116) | 20,050,299 | ||
Supranational Obligations - 0.5% | |||
Principal Amount (a) | Value ($) | ||
African Development Bank 0.875% 7/22/26 | 419,000 | 374,111 | |
Asian Development Bank: | |||
0.375% 9/3/25 | 1,103,000 | 1,002,738 | |
0.5% 2/4/26 | 611,000 | 549,357 | |
0.75% 10/8/30 | 534,000 | 422,148 | |
1.5% 10/18/24 | 617,000 | 587,636 | |
2% 4/24/26 | 173,000 | 161,055 | |
2.5% 11/2/27 | 184,000 | 170,734 | |
2.625% 1/30/24 | 412,000 | 405,235 | |
2.625% 1/12/27 | 178,000 | 167,092 | |
2.75% 1/19/28 | 1,032,000 | 966,455 | |
European Investment Bank: | |||
0.75% 9/23/30 | 762,000 | 607,239 | |
0.875% 5/17/30 | 183,000 | 148,266 | |
1.25% 2/14/31 | 331,000 | 271,902 | |
1.875% 2/10/25 | 82,000 | 77,924 | |
2.25% 6/24/24 | 620,000 | 600,825 | |
2.375% 5/24/27 | 110,000 | 101,941 | |
2.5% 10/15/24 | 157,000 | 151,503 | |
2.875% 8/15/23 | 290,000 | 289,223 | |
3.125% 12/14/23 | 378,000 | 374,160 | |
3.25% 1/29/24 | 55,000 | 54,310 | |
Inter-American Development Bank: | |||
0.625% 7/15/25 | 607,000 | 557,134 | |
0.875% 4/20/26 | 1,388,000 | 1,252,131 | |
1.75% 3/14/25 | 505,000 | 477,533 | |
2% 6/2/26 | 110,000 | 102,049 | |
2.125% 1/15/25 | 50,000 | 47,728 | |
2.25% 6/18/29 | 524,000 | 468,605 | |
2.375% 7/7/27 | 184,000 | 170,845 | |
3% 10/4/23 | 98,000 | 97,411 | |
4.375% 1/24/44 | 239,000 | 239,006 | |
International Bank for Reconstruction & Development: | |||
0.375% 7/28/25 | 717,000 | 654,492 | |
0.5% 10/28/25 | 905,000 | 821,413 | |
0.75% 8/26/30 | 454,000 | 359,673 | |
0.875% 5/14/30 | 555,000 | 447,251 | |
1.25% 2/10/31 | 497,000 | 405,506 | |
1.5% 8/28/24 | 543,000 | 519,515 | |
1.625% 1/15/25 | 488,000 | 462,668 | |
1.875% 10/27/26 | 130,000 | 119,212 | |
2.5% 3/19/24 | 104,000 | 101,835 | |
2.5% 11/25/24 | 156,000 | 150,239 | |
2.5% 7/29/25 | 104,000 | 99,235 | |
2.5% 3/29/32 | 1,000,000 | 892,396 | |
International Finance Corp.: | |||
0.75% 8/27/30 | 303,000 | 240,456 | |
2.875% 7/31/23 | 118,000 | 117,802 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $17,174,022) | 16,287,989 | ||
Bank Notes - 0.1% | |||
Principal Amount (a) | Value ($) | ||
Citizens Bank NA: | |||
2.25% 4/28/25 | 359,000 | 324,662 | |
3.75% 2/18/26 | 370,000 | 337,039 | |
Discover Bank: | |||
3.45% 7/27/26 | 350,000 | 322,144 | |
4.682% 8/9/28 (c) | 347,000 | 317,265 | |
Regions Bank 6.45% 6/26/37 | 969,000 | 953,403 | |
Truist Bank 3.3% 5/15/26 | 208,000 | 190,708 | |
U.S. Bank NA, Cincinnati 3.4% 7/24/23 | 274,000 | 273,629 | |
TOTAL BANK NOTES (Cost $3,023,872) | 2,718,850 | ||
Fixed-Income Funds - 0.5% | |||
Shares | Value ($) | ||
Fidelity Specialized High Income Central Fund (k) (Cost $15,388,864) | 175,496 | 14,673,262 | |
Money Market Funds - 0.3% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.14% (l) (Cost $8,742,485) | 8,740,737 | 8,742,485 | |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.07% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2033 | 4/21/28 | 6,300,000 | 251,642 | |
Call Options - 0.0% | ||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.07% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2033 | 4/21/28 | 6,300,000 | 250,085 | |
TOTAL PURCHASED SWAPTIONS (Cost $522,270) | 501,727 |
TOTAL INVESTMENT IN SECURITIES - 107.3% (Cost $3,376,359,720) | 3,236,082,849 |
NET OTHER ASSETS (LIABILITIES) - (7.3)% | (220,339,132) |
NET ASSETS - 100.0% | 3,015,743,717 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 7/1/53 | (4,350,000) | (3,652,434) |
2% 7/1/53 | (850,000) | (713,694) |
2% 7/1/53 | (2,150,000) | (1,805,226) |
2.5% 7/1/53 | (1,650,000) | (1,427,943) |
2.5% 7/1/53 | (3,250,000) | (2,812,615) |
2.5% 7/1/53 | (1,150,000) | (995,233) |
2.5% 7/1/53 | (500,000) | (432,710) |
2.5% 7/1/53 | (800,000) | (692,336) |
3.5% 7/1/53 | (850,000) | (784,319) |
TOTAL GINNIE MAE | (13,316,510) | |
Uniform Mortgage Backed Securities | ||
1.5% 7/1/38 | (2,125,000) | (1,832,858) |
1.5% 7/1/38 | (1,000,000) | (862,522) |
2% 7/1/53 | (2,000,000) | (1,629,773) |
2% 7/1/53 | (1,200,000) | (977,864) |
2% 7/1/53 | (2,000,000) | (1,629,773) |
2% 7/1/53 | (8,150,000) | (6,641,324) |
2.5% 7/1/53 | (125,000) | (105,933) |
2.5% 7/1/53 | (1,300,000) | (1,101,699) |
2.5% 7/1/53 | (700,000) | (593,223) |
2.5% 7/1/53 | (1,300,000) | (1,101,699) |
2.5% 7/1/53 | (600,000) | (508,476) |
2.5% 7/1/53 | (1,900,000) | (1,610,176) |
3% 7/1/38 | (1,000,000) | (932,852) |
3% 7/1/38 | (1,700,000) | (1,585,848) |
3.5% 7/1/53 | (1,325,000) | (1,206,888) |
4% 7/1/53 | (500,000) | (469,101) |
4% 7/1/53 | (8,450,000) | (7,927,815) |
4% 7/1/53 | (1,000,000) | (938,203) |
4% 7/1/53 | (2,800,000) | (2,626,968) |
5% 7/1/38 | (1,350,000) | (1,340,403) |
5% 7/1/53 | (1,000,000) | (979,727) |
5% 7/1/53 | (4,100,000) | (4,016,879) |
5.5% 7/1/53 | (1,300,000) | (1,293,753) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (41,913,757) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $55,507,264) | (55,230,267) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 41 | Sep 2023 | 8,337,094 | (122,311) | (122,311) |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 443 | Sep 2023 | 49,733,672 | 891,349 | 891,349 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 87 | Sep 2023 | 11,040,844 | 11,566 | 11,566 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 4 | Sep 2023 | 544,875 | (6,165) | (6,165) |
TOTAL SOLD | 896,750 | ||||
TOTAL FUTURES CONTRACTS | 774,439 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 0.3% | |||||
The notional amount of futures sold as a percentage of Net Assets is 2.0% |
Credit Default Swaps | ||||||||||
Underlying Reference | Rating (1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount (2)(3) | Value ($) (1) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Buy Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 760,000 | 12,059 | (8,316) | 3,743 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 990,000 | 15,709 | (16,134) | (425) | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 620,000 | 9,838 | (4,212) | 5,626 | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 200,000 | 58,587 | (53,820) | 4,767 | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 720,000 | 210,915 | (221,966) | (11,051) | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 1,060,000 | 310,513 | (309,867) | 646 | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 260,000 | 76,164 | (69,930) | 6,234 | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 300,000 | 87,881 | (87,732) | 149 | ||
CMBX N.A. BBB- Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 320,000 | 93,740 | (82,792) | 10,948 | ||
TOTAL BUY PROTECTION | 875,406 | (854,769) | 20,637 | |||||||
Sell Protection | ||||||||||
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 1,490,000 | (23,642) | 34,406 | 10,764 | |
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 880,000 | (13,963) | 20,898 | 6,935 | |
TOTAL SELL PROTECTION | (37,605) | 55,304 | 17,699 | |||||||
TOTAL CREDIT DEFAULT SWAPS | 837,801 | (799,465) | 38,336 |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty (1) | Maturity Date | Notional Amount (2) | Value ($) | Upfront Premium Received/ (Paid) ($) (3) | Unrealized Appreciation/ (Depreciation) ($) | |
3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx (4) | Annual | LCH | Sep 2028 | 1,054,000 | (10,416) | 0 | (10,416) | |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $296,990,926 or 9.8% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(e) | Security 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 $1,495,484. |
(f) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $43,915. |
(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 $1,932,300. |
(h) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(j) | Level 3 security |
(k) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(l) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 155,746,676 | 557,880,663 | 704,884,854 | 2,680,602 | - | - | 8,742,485 | 0.0% |
Fidelity Specialized High Income Central Fund | 14,140,721 | 396,031 | - | 396,031 | - | 136,510 | 14,673,262 | 4.1% |
Total | 169,887,397 | 558,276,694 | 704,884,854 | 3,076,633 | - | 136,510 | 23,415,747 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Corporate Bonds | 869,962,893 | - | 869,962,893 | - |
U.S. Government and Government Agency Obligations | 1,222,608,659 | - | 1,222,608,659 | - |
U.S. Government Agency - Mortgage Securities | 681,467,968 | - | 681,467,968 | - |
Asset-Backed Securities | 178,396,621 | - | 178,396,621 | - |
Collateralized Mortgage Obligations | 32,179,750 | - | 32,179,750 | - |
Commercial Mortgage Securities | 175,720,965 | - | 174,913,681 | 807,284 |
Municipal Securities | 12,771,381 | - | 12,771,381 | - |
Foreign Government and Government Agency Obligations | 20,050,299 | - | 20,050,299 | - |
Supranational Obligations | 16,287,989 | - | 16,287,989 | - |
Bank Notes | 2,718,850 | - | 2,718,850 | - |
Fixed-Income Funds | 14,673,262 | 14,673,262 | - | - |
Money Market Funds | 8,742,485 | 8,742,485 | - | - |
Purchased Swaptions | 501,727 | - | 501,727 | - |
Total Investments in Securities: | 3,236,082,849 | 23,415,747 | 3,211,859,818 | 807,284 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 902,915 | 902,915 | - | - |
Swaps | 875,406 | - | 875,406 | - |
Total Assets | 1,778,321 | 902,915 | 875,406 | - |
Liabilities | ||||
Futures Contracts | (128,476) | (128,476) | - | - |
Swaps | (48,021) | - | (48,021) | - |
Total Liabilities | (176,497) | (128,476) | (48,021) | - |
Total Derivative Instruments: | 1,601,824 | 774,439 | 827,385 | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (55,230,267) | - | (55,230,267) | - |
Total Other Financial Instruments: | (55,230,267) | - | (55,230,267) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Credit Risk | ||
Swaps (a) | 875,406 | (37,605) |
Total Credit Risk | 875,406 | (37,605) |
Interest Rate Risk | ||
Futures Contracts (b) | 902,915 | (128,476) |
Purchased Swaptions (c) | 501,727 | 0 |
Swaps (d) | 0 | (10,416) |
Total Interest Rate Risk | 1,404,642 | (138,892) |
Total Value of Derivatives | 2,280,048 | (176,497) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $3,352,228,371) | $ | 3,212,667,102 | ||
Fidelity Central Funds (cost $24,131,349) | 23,415,747 | |||
Total Investment in Securities (cost $3,376,359,720) | $ | 3,236,082,849 | ||
Receivable for investments sold | 17,456,237 | |||
Receivable for TBA sale commitments | 55,507,264 | |||
Receivable for fund shares sold | 25,488,125 | |||
Interest receivable | 23,822,462 | |||
Distributions receivable from Fidelity Central Funds | 74,140 | |||
Receivable for daily variation margin on centrally cleared OTC swaps | 389 | |||
Bi-lateral OTC swaps, at value | 875,406 | |||
Other receivables | 6,002 | |||
Total assets | 3,359,312,874 | |||
Liabilities | ||||
Payable to custodian bank | $ | 182,447 | ||
Payable for investments purchased | ||||
Regular delivery | 36,084,665 | |||
Delayed delivery | 249,928,361 | |||
TBA sale commitments, at value | 55,230,267 | |||
Payable for fund shares redeemed | 816,043 | |||
Bi-lateral OTC swaps, at value | 37,605 | |||
Accrued management fee | 740,521 | |||
Payable for daily variation margin on futures contracts | 137,682 | |||
Other affiliated payables | 317,888 | |||
Other payables and accrued expenses | 93,678 | |||
Total Liabilities | 343,569,157 | |||
Net Assets | $ | 3,015,743,717 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 3,139,600,841 | ||
Total accumulated earnings (loss) | (123,857,124) | |||
Net Assets | $ | 3,015,743,717 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($594,677,019 ÷ 62,432,128 shares) | $ | 9.53 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($2,421,066,698 ÷ 254,242,996 shares) | $ | 9.52 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 57,648,184 | ||
Income from Fidelity Central Funds | 3,076,633 | |||
Total Income | 60,724,817 | |||
Expenses | ||||
Management fee | $ | 4,385,409 | ||
Transfer agent fees | 1,409,352 | |||
Accounting fees and expenses | 472,734 | |||
Custodian fees and expenses | 104,652 | |||
Independent trustees' fees and expenses | 5,007 | |||
Audit | 26,939 | |||
Legal | 4,657 | |||
Miscellaneous | 4,898 | |||
Total expenses before reductions | 6,413,648 | |||
Expense reductions | (43,909) | |||
Total expenses after reductions | 6,369,739 | |||
Net Investment income (loss) | 54,355,078 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (10,158,723) | |||
Futures contracts | 166,971 | |||
Swaps | 7,913 | |||
Total net realized gain (loss) | (9,983,839) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 30,957,599 | |||
Fidelity Central Funds | 136,510 | |||
Futures contracts | 485,810 | |||
Swaps | 70,843 | |||
TBA Sale commitments | (2,130,792) | |||
Total change in net unrealized appreciation (depreciation) | 29,519,970 | |||
Net gain (loss) | 19,536,131 | |||
Net increase (decrease) in net assets resulting from operations | $ | 73,891,209 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | For the period May 27, 2022 (commencement of operations) through December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 54,355,078 | $ | 52,021,402 |
Net realized gain (loss) | (9,983,839) | (28,519,474) | ||
Change in net unrealized appreciation (depreciation) | 29,519,970 | (168,717,485) | ||
Net increase (decrease) in net assets resulting from operations | 73,891,209 | (145,215,557) | ||
Distributions to shareholders | (1,140,941) | (50,353,815) | ||
Share transactions - net increase (decrease) | 134,682,756 | 3,003,880,065 | ||
Total increase (decrease) in net assets | 207,433,024 | 2,808,310,693 | ||
Net Assets | ||||
Beginning of period | 2,808,310,693 | - | ||
End of period | $ | 3,015,743,717 | $ | 2,808,310,693 |
VIP Investment Grade Bond II Portfolio Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.29 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .177 | .191 | ||
Net realized and unrealized gain (loss) | .066 | (.721) D | ||
Total from investment operations | .243 | (.530) | ||
Distributions from net investment income | (.003) | (.180) | ||
Total distributions | (.003) | (.180) | ||
Net asset value, end of period | $ | 9.53 | $ | 9.29 |
Total Return E,F,G | 2.62% | (5.31)% | ||
Ratios to Average Net Assets C,H,I | ||||
Expenses before reductions | .41% J | .40% J | ||
Expenses net of fee waivers, if any | .41% J | .40% J | ||
Expenses net of all reductions | .41% J | .40% J | ||
Net investment income (loss) | 3.74% J | 3.32% J | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 594,677 | $ | 528,508 |
Portfolio turnover rate K | 176% J | 225% J,L |
VIP Investment Grade Bond II Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.29 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .175 | .189 | ||
Net realized and unrealized gain (loss) | .059 | (.721) D | ||
Total from investment operations | .234 | (.532) | ||
Distributions from net investment income | (.004) | (.178) | ||
Total distributions | (.004) | (.178) | ||
Net asset value, end of period | $ | 9.52 | $ | 9.29 |
Total Return E,F,G | 2.52% | (5.33)% | ||
Ratios to Average Net Assets C,H,I | ||||
Expenses before reductions | .44% J | .44% J | ||
Expenses net of fee waivers, if any | .44% J | .43% J | ||
Expenses net of all reductions | .44% J | .43% J | ||
Net investment income (loss) | 3.70% J | 3.29% J | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 2,421,067 | $ | 2,279,803 |
Portfolio turnover rate K | 176% J | 225% J,L |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
Fidelity Specialized High Income Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
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% |
Gross unrealized appreciation | $5,927,563 |
Gross unrealized depreciation | (145,236,222) |
Net unrealized appreciation (depreciation) | $(139,308,659) |
Tax cost | $3,376,470,865 |
Short-term | $(28,099,698) |
Long-term | (166) |
Total capital loss carryforward | $(28,099,864) |
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. |
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. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
VIP Investment Grade Bond II Portfolio | ||
Credit Risk | ||
Swaps | $29,505 | $64,954 |
Total Credit Risk | 29,505 | 64,954 |
Interest Rate Risk | ||
Futures Contracts | 166,971 | 485,810 |
Purchased Options | - | (20,543) |
Swaps | (21,592) | 5,889 |
Total Interest Rate Risk | 145,379 | 471,156 |
Totals | $174,884 | $536,110 |
Purchases ($) | Sales ($) | |
VIP Investment Grade Bond II Portfolio | 2,059,358,899 | 1,989,810,035 |
Amount | % of Class-Level Average Net Assets A | |
Initial Class | $ 192,052 | .07 |
Investor Class | 1,217,300 | .10 |
$ 1,409,352 |
% of Average Net Assets | |
VIP Investment Grade Bond II Portfolio | .03 |
Shares | Total Proceeds ($) | Participating classes | |
VIP Investment Grade Bond II Portfolio | 274,659,704 | 2,746,597,038 | Initial Class, Investor Class |
Amount | |
VIP Investment Grade Bond II Portfolio | $320 |
Six months ended June 30, 2023 | Year ended December 31, 2022 A | |
VIP Investment Grade Bond II Portfolio | ||
Distributions to shareholders | ||
Initial Class | $171,734 | $9,714,359 |
Investor Class | 969,207 | 40,639,456 |
Total | $1,140,941 | $50,353,815 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 A | Six months ended June 30, 2023 | Year ended December 31, 2022 A | |
VIP Investment Grade Bond II Portfolio | ||||
Initial Class | ||||
Shares sold | 11,370,065 | 68,552,855 | $108,479,831 | $679,932,267 |
Reinvestment of distributions | 17,889 | 1,039,084 | 171,734 | 9,714,359 |
Shares redeemed | (5,850,726) | (12,697,039) | (55,740,591) | (122,526,424) |
Net increase (decrease) | 5,537,228 | 56,894,900 | $52,910,974 | $567,120,202 |
Investor Class | ||||
Shares sold | 25,722,943 | 264,256,897 | $242,822,060 | $2,618,210,123 |
Reinvestment of distributions | 100,959 | 4,341,748 | 969,207 | 40,595,346 |
Shares redeemed | (17,004,051) | (23,175,500) | (162,019,485) | (222,045,606) |
Net increase (decrease) | 8,819,851 | 245,423,145 | $81,771,782 | $2,436,759,863 |
VIP FundsManager 50% Portfolio | VIP FundsManager 60% Portfolio | |
VIP Investment Grade Bond Portfolio II | 26% | 30% |
Fund | % of shares held |
VIP Investment Grade Bond Portfolio II | 100% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Investment Grade Bond II Portfolio | ||||||||||
Initial Class | .41% | |||||||||
Actual | $ 1,000 | $ 1,026.20 | $ 2.06 | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.76 | $ 2.06 | |||||||
Investor Class | .44% | |||||||||
Actual | $ 1,000 | $ 1,025.20 | $ 2.21 | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.61 | $ 2.21 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Top Holdings (% of Fund's net assets) | ||
Microsoft Corp. | 3.1 | |
Apple, Inc. | 2.6 | |
Alphabet, Inc. Class A | 1.6 | |
iShares 20+ Year Treasury Bond ETF | 1.5 | |
Amazon.com, Inc. | 1.5 | |
iShares MSCI USA Minimum Volatility ETF | 1.3 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 0.9 | |
Exxon Mobil Corp. | 0.9 | |
Meta Platforms, Inc. Class A | 0.8 | |
JPMorgan Chase & Co. | 0.8 | |
15.0 | ||
Market Sectors (% of Fund's net assets) | ||
Information Technology | 15.2 | |
Financials | 14.8 | |
Health Care | 9.0 | |
Industrials | 8.9 | |
Consumer Discretionary | 8.6 | |
Communication Services | 5.9 | |
Consumer Staples | 5.4 | |
Energy | 3.8 | |
Materials | 3.4 | |
Real Estate | 2.4 | |
Utilities | 1.9 | |
Investment Companies | 1.3 | |
Quality Diversification (% of Fund's net assets) |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
Short-Term Class - (1.4)% |
Geographic Diversification (% of Fund's net assets) |
* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
U.S. Treasury Obligations - 0.4% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.19% to 5.19% 7/27/23 to 9/7/23 (b) (Cost $924,934) | 930,000 | 925,251 | |
Fixed-Income Funds - 25.2% | |||
Shares | Value ($) | ||
Fidelity Emerging Markets Debt Central Fund (c) | 73,848 | 560,504 | |
Fidelity Emerging Markets Debt Local Currency Central Fund (c) | 19,846 | 1,820,638 | |
Fidelity Floating Rate Central Fund (c) | 27,122 | 2,637,904 | |
Fidelity High Income Central Fund (c) | 14,948 | 1,531,018 | |
Fidelity Inflation-Protected Bond Index Central Fund (c) | 39,355 | 3,503,784 | |
Fidelity International Credit Central Fund (c) | 18,333 | 1,411,802 | |
Fidelity VIP Investment Grade Central Fund (c) | 475,852 | 43,997,249 | |
iShares 20+ Year Treasury Bond ETF | 32,956 | 3,392,490 | |
TOTAL FIXED-INCOME FUNDS (Cost $63,319,898) | 58,855,389 | ||
Money Market Funds - 0.4% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.32% (d) (Cost $776,981) | 776,826 | 776,981 | |
Equity Funds - 74.0% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 46.2% | |||
Fidelity Commodity Strategy Central Fund (c) | 11,333 | 1,061,340 | |
Fidelity Hedged Equity Central Fund (c) | 27,756 | 2,962,929 | |
Fidelity Real Estate Equity Central Fund (c) | 7,970 | 981,072 | |
Fidelity U.S. Equity Central Fund (c) | 830,979 | 99,925,192 | |
iShares MSCI USA Minimum Volatility ETF | 39,825 | 2,960,192 | |
TOTAL DOMESTIC EQUITY FUNDS | 107,890,725 | ||
International Equity Funds - 27.8% | |||
Fidelity Emerging Markets Equity Central Fund (c) | 105,441 | 20,673,861 | |
Fidelity International Equity Central Fund (c) | 468,345 | 44,150,885 | |
TOTAL INTERNATIONAL EQUITY FUNDS | 64,824,746 | ||
TOTAL EQUITY FUNDS (Cost $121,708,623) | 172,715,471 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $186,730,436) | 233,273,092 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 66,111 |
NET ASSETS - 100.0% | 233,339,203 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI EAFE Index Contracts (United States) | 56 | Sep 2023 | 6,035,400 | 44,370 | 44,370 |
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 5 | Sep 2023 | 535,469 | (10,596) | (10,596) |
TOTAL PURCHASED | 33,774 | ||||
Sold | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 56 | Sep 2023 | 12,567,100 | (389,314) | (389,314) |
TOTAL FUTURES CONTRACTS | (355,540) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 2.8% | |||||
The notional amount of futures sold as a percentage of Net Assets is 5.4% |
ETF | - | EXCHANGE-TRADED FUND |
(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 $925,251. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, other than the Commodity Strategy Central Fund, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(d) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 869,838 | 10,575,005 | 10,667,862 | 44,277 | - | - | 776,981 | 0.0% |
Fidelity Commodity Strategy Central Fund | 4,488,794 | 103,591 | 3,249,352 | - | (407,426) | 125,733 | 1,061,340 | 0.5% |
Fidelity Emerging Markets Debt Central Fund | 1,017,487 | 80,936 | 546,542 | 22,591 | (114,266) | 122,889 | 560,504 | 0.0% |
Fidelity Emerging Markets Debt Local Currency Central Fund | 630,323 | 1,088,557 | 4 | 1,546 | 1,804 | 99,958 | 1,820,638 | 0.6% |
Fidelity Emerging Markets Equity Central Fund | 17,365,118 | 3,220,710 | 1,181,424 | 194,135 | (144,839) | 1,414,296 | 20,673,861 | 0.9% |
Fidelity Floating Rate Central Fund | 5,905,133 | 274,867 | 3,649,041 | 189,998 | (133,773) | 240,718 | 2,637,904 | 0.2% |
Fidelity Hedged Equity Central Fund | - | 2,886,991 | - | 364 | - | 75,938 | 2,962,929 | 0.7% |
Fidelity High Income Central Fund | 1,860,990 | 105,480 | 466,883 | 60,876 | 9,927 | 21,504 | 1,531,018 | 0.1% |
Fidelity Inflation-Protected Bond Index Central Fund | 4,551,976 | 125,422 | 1,240,934 | 9,939 | (123,522) | 190,842 | 3,503,784 | 0.8% |
Fidelity International Credit Central Fund | 2,170,428 | 63,799 | 814,121 | 16,725 | (243,428) | 235,124 | 1,411,802 | 0.6% |
Fidelity International Equity Central Fund | 35,786,830 | 6,484,820 | 2,829,400 | 525,032 | (62,793) | 4,771,428 | 44,150,885 | 0.9% |
Fidelity Real Estate Equity Central Fund | 1,479,261 | 37,417 | 628,995 | 7,443 | 7,530 | 85,859 | 981,072 | 0.1% |
Fidelity Securities Lending Cash Central Fund 5.14% | 1,633,725 | 9,763,136 | 11,396,861 | 68 | - | - | - | 0.0% |
Fidelity U.S. Equity Central Fund | 92,468,949 | 2,460,447 | 9,457,630 | 488,427 | 737,850 | 13,715,576 | 99,925,192 | 0.6% |
Fidelity VIP Investment Grade Central Fund | 42,200,984 | 4,395,577 | 2,912,122 | 790,581 | (54,524) | 367,334 | 43,997,249 | 1.7% |
Total | 212,429,836 | 41,666,755 | 49,041,171 | 2,352,002 | (527,460) | 21,467,199 | 225,995,159 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 925,251 | - | 925,251 | - |
Fixed-Income Funds | 58,855,389 | 58,855,389 | - | - |
Money Market Funds | 776,981 | 776,981 | - | - |
Equity Funds | 172,715,471 | 172,715,471 | - | - |
Total Investments in Securities: | 233,273,092 | 232,347,841 | 925,251 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 44,370 | 44,370 | - | - |
Total Assets | 44,370 | 44,370 | - | - |
Liabilities | ||||
Futures Contracts | (399,910) | (399,910) | - | - |
Total Liabilities | (399,910) | (399,910) | - | - |
Total Derivative Instruments: | (355,540) | (355,540) | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Futures Contracts (a) | 44,370 | (389,314) |
Total Equity Risk | 44,370 | (389,314) |
Interest Rate Risk | ||
Futures Contracts (a) | 0 | (10,596) |
Total Interest Rate Risk | 0 | (10,596) |
Total Value of Derivatives | 44,370 | (399,910) |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $7,648,357) | $ | 7,277,933 | ||
Fidelity Central Funds (cost $179,082,079) | 225,995,159 | |||
Total Investment in Securities (cost $186,730,436) | $ | 233,273,092 | ||
Cash | 1,826 | |||
Receivable for investments sold | 996,760 | |||
Receivable for fund shares sold | 21,131 | |||
Distributions receivable from Fidelity Central Funds | 5,324 | |||
Other receivables | 29 | |||
Total assets | 234,298,162 | |||
Liabilities | ||||
Payable for investments purchased | $ | 2,787 | ||
Payable for fund shares redeemed | 663,619 | |||
Accrued management fee | 101,055 | |||
Distribution and service plan fees payable | 1,868 | |||
Payable for daily variation margin on futures contracts | 132,593 | |||
Other affiliated payables | 29,647 | |||
Other payables and accrued expenses | 27,390 | |||
Total Liabilities | 958,959 | |||
Net Assets | $ | 233,339,203 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 186,755,338 | ||
Total accumulated earnings (loss) | 46,583,865 | |||
Net Assets | $ | 233,339,203 | ||
Net Asset Value and Maximum Offering Price | ||||
Initial Class : | ||||
Net Asset Value , offering price and redemption price per share ($88,010,315 ÷ 4,280,440 shares) | $ | 20.56 | ||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($3,433,722 ÷ 168,756 shares) | $ | 20.35 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($8,086,299 ÷ 400,955 shares) | $ | 20.17 | ||
Investor Class : | ||||
Net Asset Value , offering price and redemption price per share ($133,808,867 ÷ 6,560,704 shares) | $ | 20.40 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends | $ | 41,548 | ||
Interest | 20,167 | |||
Income from Fidelity Central Funds (including $68 from security lending) | 2,352,002 | |||
Total Income | 2,413,717 | |||
Expenses | ||||
Management fee | $ | 595,676 | ||
Transfer agent fees | 121,086 | |||
Distribution and service plan fees | 8,529 | |||
Accounting fees | 53,536 | |||
Custodian fees and expenses | 12,795 | |||
Independent trustees' fees and expenses | 391 | |||
Audit | 22,308 | |||
Legal | 3,231 | |||
Miscellaneous | 445 | |||
Total expenses before reductions | 817,997 | |||
Expense reductions | (5,551) | |||
Total expenses after reductions | 812,446 | |||
Net Investment income (loss) | 1,601,271 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (520,394) | |||
Fidelity Central Funds | (527,460) | |||
Foreign currency transactions | 249 | |||
Futures contracts | (372,480) | |||
Total net realized gain (loss) | (1,420,085) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 160,109 | |||
Fidelity Central Funds | 21,467,199 | |||
Assets and liabilities in foreign currencies | 72 | |||
Futures contracts | (437,754) | |||
Total change in net unrealized appreciation (depreciation) | 21,189,626 | |||
Net gain (loss) | 19,769,541 | |||
Net increase (decrease) in net assets resulting from operations | $ | 21,370,812 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 1,601,271 | $ | 4,285,565 |
Net realized gain (loss) | (1,420,085) | 104,224 | ||
Change in net unrealized appreciation (depreciation) | 21,189,626 | (50,330,615) | ||
Net increase (decrease) in net assets resulting from operations | 21,370,812 | (45,940,826) | ||
Distributions to shareholders | (185,207) | (19,197,473) | ||
Share transactions - net increase (decrease) | (7,022,680) | 10,942,702 | ||
Total increase (decrease) in net assets | 14,162,925 | (54,195,597) | ||
Net Assets | ||||
Beginning of period | 219,176,278 | 273,371,875 | ||
End of period | $ | 233,339,203 | $ | 219,176,278 |
VIP Asset Manager: Growth Portfolio Initial Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 18.72 | $ | 24.38 | $ | 22.00 | $ | 19.20 | $ | 16.76 | $ | 19.21 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .14 | .38 | .35 | .21 | .28 | .26 | ||||||
Net realized and unrealized gain (loss) | 1.72 | (4.33) | 2.71 | 3.09 | 3.42 | (1.69) | ||||||
Total from investment operations | 1.86 | (3.95) | 3.06 | 3.30 | 3.70 | (1.43) | ||||||
Distributions from net investment income | (.02) | (.37) | (.34) | (.22) | (.29) | (.28) | ||||||
Distributions from net realized gain | - | (1.34) | (.34) | (.27) | (.97) | (.74) | ||||||
Total distributions | (.02) | (1.71) | (.68) | (.50) C | (1.26) | (1.02) | ||||||
Net asset value, end of period | $ | 20.56 | $ | 18.72 | $ | 24.38 | $ | 22.00 | $ | 19.20 | $ | 16.76 |
Total Return D,E,F | 9.92% | (16.88)% | 13.96% | 17.27% | 22.83% | (7.65)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .67% I | .67% | .67% | .67% | .68% | .68% | ||||||
Expenses net of fee waivers, if any | .67% I | .67% | .66% | .67% | .68% | .68% | ||||||
Expenses net of all reductions | .67% I | .67% | .66% | .67% | .68% | .68% | ||||||
Net investment income (loss) | 1.46% I | 1.88% | 1.46% | 1.12% | 1.58% | 1.40% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 88,010 | $ | 85,620 | $ | 111,781 | $ | 106,148 | $ | 99,971 | $ | 89,477 |
Portfolio turnover rate J | 24% I | 26% | 25% | 23% | 35% | 32% |
VIP Asset Manager: Growth Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 18.54 | $ | 24.16 | $ | 21.80 | $ | 19.04 | $ | 16.63 | $ | 19.07 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .13 | .35 | .32 | .19 | .26 | .24 | ||||||
Net realized and unrealized gain (loss) | 1.70 | (4.28) | 2.70 | 3.05 | 3.39 | (1.68) | ||||||
Total from investment operations | 1.83 | (3.93) | 3.02 | 3.24 | 3.65 | (1.44) | ||||||
Distributions from net investment income | (.02) | (.35) | (.32) | (.20) | (.27) | (.26) | ||||||
Distributions from net realized gain | - | (1.34) | (.34) | (.27) | (.97) | (.74) | ||||||
Total distributions | (.02) | (1.69) | (.66) | (.48) C | (1.24) | (1.00) | ||||||
Net asset value, end of period | $ | 20.35 | $ | 18.54 | $ | 24.16 | $ | 21.80 | $ | 19.04 | $ | 16.63 |
Total Return D,E,F | 9.85% | (16.95)% | 13.89% | 17.09% | 22.72% | (7.75)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .77% I | .77% | .77% | .77% | .78% | .78% | ||||||
Expenses net of fee waivers, if any | .77% I | .77% | .76% | .77% | .78% | .78% | ||||||
Expenses net of all reductions | .77% I | .77% | .76% | .77% | .78% | .78% | ||||||
Net investment income (loss) | 1.36% I | 1.78% | 1.36% | 1.02% | 1.48% | 1.30% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 3,434 | $ | 2,883 | $ | 3,609 | $ | 3,363 | $ | 3,009 | $ | 2,621 |
Portfolio turnover rate J | 24% I | 26% | 25% | 23% | 35% | 32% |
VIP Asset Manager: Growth Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 18.39 | $ | 23.98 | $ | 21.65 | $ | 18.91 | $ | 16.53 | $ | 18.95 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .12 | .32 | .28 | .16 | .24 | .21 | ||||||
Net realized and unrealized gain (loss) | 1.68 | (4.24) | 2.67 | 3.03 | 3.36 | (1.67) | ||||||
Total from investment operations | 1.80 | (3.92) | 2.95 | 3.19 | 3.60 | (1.46) | ||||||
Distributions from net investment income | (.02) | (.33) | (.29) | (.17) | (.24) | (.22) | ||||||
Distributions from net realized gain | - | (1.34) | (.34) | (.27) | (.97) | (.74) | ||||||
Total distributions | (.02) | (1.67) | (.62) C | (.45) C | (1.22) C | (.96) | ||||||
Net asset value, end of period | $ | 20.17 | $ | 18.39 | $ | 23.98 | $ | 21.65 | $ | 18.91 | $ | 16.53 |
Total Return D,E,F | 9.77% | (17.05)% | 13.69% | 16.95% | 22.49% | (7.88)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .92% I | .92% | .92% | .92% | .93% | .93% | ||||||
Expenses net of fee waivers, if any | .91% I | .92% | .91% | .92% | .93% | .93% | ||||||
Expenses net of all reductions | .91% I | .92% | .91% | .92% | .93% | .93% | ||||||
Net investment income (loss) | 1.21% I | 1.63% | 1.21% | .87% | 1.33% | 1.15% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 8,086 | $ | 4,015 | $ | 3,948 | $ | 3,359 | $ | 3,199 | $ | 2,904 |
Portfolio turnover rate J | 24% I | 26% | 25% | 23% | 35% | 32% |
VIP Asset Manager: Growth Portfolio Investor Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 18.58 | $ | 24.21 | $ | 21.85 | $ | 19.07 | $ | 16.66 | $ | 19.10 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .14 | .36 | .33 | .20 | .27 | .25 | ||||||
Net realized and unrealized gain (loss) | 1.70 | (4.29) | 2.69 | 3.06 | 3.39 | (1.69) | ||||||
Total from investment operations | 1.84 | (3.93) | 3.02 | 3.26 | 3.66 | (1.44) | ||||||
Distributions from net investment income | (.02) | (.36) | (.33) | (.21) | (.28) | (.26) | ||||||
Distributions from net realized gain | - | (1.34) | (.34) | (.27) | (.97) | (.74) | ||||||
Total distributions | (.02) | (1.70) | (.66) C | (.48) | (1.25) | (1.00) | ||||||
Net asset value, end of period | $ | 20.40 | $ | 18.58 | $ | 24.21 | $ | 21.85 | $ | 19.07 | $ | 16.66 |
Total Return D,E,F | 9.88% | (16.93)% | 13.89% | 17.19% | 22.70% | (7.72)% | ||||||
Ratios to Average Net Assets B,G,H | ||||||||||||
Expenses before reductions | .75% I | .75% | .74% | .75% | .76% | .76% | ||||||
Expenses net of fee waivers, if any | .74% I | .74% | .74% | .75% | .76% | .76% | ||||||
Expenses net of all reductions | .74% I | .74% | .74% | .75% | .76% | .76% | ||||||
Net investment income (loss) | 1.39% I | 1.80% | 1.38% | 1.04% | 1.50% | 1.32% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 133,809 | $ | 126,658 | $ | 154,034 | $ | 132,407 | $ | 121,229 | $ | 104,010 |
Portfolio turnover rate J | 24% I | 26% | 25% | 23% | 35% | 32% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
Fidelity Commodity Strategy Central Fund | Geode Capital Management, LLC (Geode) | Seeks to provide investment returns that correspond to the performance of the commodities market. | Investment in commodity-related investments through a wholly-owned subsidiary organized under the laws of the Cayman Islands Futures | Less than .005% |
Fidelity Emerging Markets Debt Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks high total return by normally investing in debt securities of issuers in emerging markets and other debt investments that are tied economically to emerging markets. | Foreign Securities Restricted Securities | Less than .005% |
Fidelity Emerging Markets Equity Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks capital appreciation by investing primarily in equity securities of issuers in emerging markets. | Foreign Securities Loans & Direct Debt Instruments | .02% |
Fidelity International Equity Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks capital appreciation by investing primarily in non-U.S. based common stocks, including securities of issuers located in emerging markets. | Foreign Securities Loans & Direct Debt Instruments | .01% |
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. | Foreign Securities Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
Fidelity High Income Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Restricted Securities | .04% |
Fidelity Inflation-Protected Bond Index Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks to provide investment results that correspond to the performance of the inflation-protected United States Treasury market, and may invest in derivatives. | Less than .005% | |
Fidelity VIP Investment Grade Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in investment-grade debt securities and repurchase agreements. | Delayed Delivery & When Issued Securities Restricted Securities | Less than .005% |
Fidelity Real Estate Equity Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks above-average income and long-term capital growth by investing primarily in equity securities of issuers in the real estate industry. | Loans & Direct Debt Instruments | Less than .005% |
Fidelity International Credit Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of current income by normally investing in debt securities of foreign issuers, including debt securities of issuers located in emerging markets. Foreign currency exposure is hedged utilizing foreign currency contracts. | Foreign Securities Forward Foreign Currency Contracts Futures Options Restricted Securities Swaps | Less than .005% |
Fidelity U.S. Equity Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks capital appreciation by investing primarily in common stocks, allocated across different market sectors. | Foreign Securities Futures Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
Fidelity Emerging Markets Debt Local Currency Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks high total return by normally investing in debt securities of issuers in emerging markets and other debt investments that are tied economically to emerging markets and denominated in the local currency of the issuer. | Foreign Securities Restricted Securities | .02% |
Fidelity Hedged Equity Central Fund | Fidelity Diversifying Solutions LLC (FDS) | Seeks capital appreciation by investing primarily in common stocks of companies with market capitalizations generally similar to companies in the S&P 500® Index. | Options | .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% |
Gross unrealized appreciation | $53,406,531 |
Gross unrealized depreciation | (6,523,903) |
Net unrealized appreciation (depreciation) | $46,882,628 |
Tax cost | $186,034,924 |
Short-term | $(14) |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
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. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
VIP Asset Manager: Growth Portfolio | ||
Equity Risk | ||
Futures Contracts | $(319,836) | $(426,627) |
Total Equity Risk | (319,836) | (426,627) |
Interest Rate Risk | ||
Futures Contracts | (52,644) | (11,127) |
Total Interest Rate Risk | (52,644) | (11,127) |
Totals | $(372,480) | $(437,754) |
Purchases ($) | Sales ($) | |
VIP Asset Manager: Growth Portfolio | 27,147,415 | 33,177,766 |
Service Class | $1,611 |
Service Class 2 | 6,918 |
$8,529 |
Amount | % of Class-Level Average Net Assets A | |
Initial Class | $27,558 | .06 |
Service Class | 1,015 | .06 |
Service Class 2 | 1,743 | .06 |
Investor Class | 90,770 | .14 |
$121,086 |
% of Average Net Assets | |
VIP Asset Manager: Growth Portfolio | .05 |
Amount | |
VIP Asset Manager: Growth Portfolio | $1 |
Amount | |
VIP Asset Manager: Growth Portfolio | $219 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
VIP Asset Manager: Growth Portfolio | $6 | $- | $- |
Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Asset Manager: Growth Portfolio | ||
Distributions to shareholders | ||
Initial Class | $72,005 | $7,763,184 |
Service Class | 2,491 | 254,131 |
Service Class 2 | 3,904 | 291,077 |
Investor Class | 106,807 | 10,889,081 |
Total | $185,207 | $19,197,473 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 | Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Asset Manager: Growth Portfolio | ||||
Initial Class | ||||
Shares sold | 36,411 | 129,702 | $725,505 | $2,658,128 |
Reinvestment of distributions | 3,638 | 368,721 | 72,005 | 7,763,184 |
Shares redeemed | (332,917) | (510,121) | (6,584,806) | (10,323,870) |
Net increase (decrease) | (292,868) | (11,698) | $(5,787,296) | $97,442 |
Service Class | ||||
Shares sold | 20,828 | 22,578 | $401,116 | $461,974 |
Reinvestment of distributions | 127 | 12,181 | 2,491 | 254,131 |
Shares redeemed | (7,750) | (28,614) | (151,336) | (570,089) |
Net increase (decrease) | 13,205 | 6,145 | $252,271 | $146,016 |
Service Class 2 | ||||
Shares sold | 193,908 | 104,969 | $3,790,973 | $2,037,279 |
Reinvestment of distributions | 201 | 14,130 | 3,904 | 291,077 |
Shares redeemed | (11,537) | (65,328) | (223,864) | (1,299,244) |
Net increase (decrease) | 182,572 | 53,771 | $3,571,013 | $1,029,112 |
Investor Class | ||||
Shares sold | 137,682 | 391,066 | $2,726,207 | $7,772,724 |
Reinvestment of distributions | 5,438 | 521,578 | 106,807 | 10,889,081 |
Shares redeemed | (399,979) | (458,110) | (7,891,682) | (8,991,673) |
Net increase (decrease) | (256,859) | 454,534 | $(5,058,668) | $9,670,132 |
Fund | Affiliated % |
VIP Asset Manager: Growth Portfolio | 86% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Asset Manager: Growth Portfolio | ||||||||||
Initial Class | .67% | |||||||||
Actual | $ 1,000 | $ 1,099.20 | $ 3.49 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.47 | $ 3.36 | |||||||
Service Class | .77% | |||||||||
Actual | $ 1,000 | $ 1,098.50 | $ 4.01 | |||||||
Hypothetical- B | $ 1,000 | $ 1,020.98 | $ 3.86 | |||||||
Service Class 2 | .91% | |||||||||
Actual | $ 1,000 | $ 1,097.70 | $ 4.73 | |||||||
Hypothetical- B | $ 1,000 | $ 1,020.28 | $ 4.56 | |||||||
Investor Class | .74% | |||||||||
Actual | $ 1,000 | $ 1,098.80 | $ 3.85 | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.12 | $ 3.71 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Asset Allocation (% of Fund's net assets) |
Portfolio Composition (% of Fund's net assets) |
Short-Term Investments and Net Other Assets (Liabilities) - (1.1)% |
Equity Funds - 72.9% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 44.8% | |||
Fidelity Contrafund (a) | 257,471 | 3,841,472 | |
Fidelity Equity-Income Fund (a) | 35,146 | 2,313,982 | |
Fidelity Hedged Equity Fund (a) | 55,719 | 584,495 | |
Fidelity Large Cap Value Enhanced Index Fund (a) | 334,232 | 4,993,433 | |
Fidelity Low-Priced Stock Fund (a) | 79,681 | 3,831,059 | |
Fidelity U.S. Low Volatility Equity Fund (a) | 234,777 | 2,434,642 | |
Fidelity Value Discovery Fund (a) | 50,372 | 1,774,098 | |
iShares S&P 500 Index ETF | 38,468 | 17,145,572 | |
VIP Stock Selector All Cap Portfolio Investor Class (a) | 5,667,159 | 53,724,665 | |
TOTAL DOMESTIC EQUITY FUNDS | 90,643,418 | ||
International Equity Funds - 28.1% | |||
Fidelity Canada Fund (a) | 31,826 | 2,006,644 | |
Fidelity Emerging Markets Fund (a) | 345,039 | 12,048,767 | |
Fidelity International Enhanced Index Fund (a) | 569,504 | 5,996,873 | |
Fidelity International Value Fund (a) | 786,271 | 7,257,278 | |
Fidelity Japan Smaller Companies Fund (a) | 109,448 | 1,624,215 | |
Fidelity Overseas Fund (a) | 180,437 | 10,474,374 | |
iShares Core MSCI EAFE ETF | 234,299 | 15,815,183 | |
iShares Core MSCI Emerging Markets ETF (b) | 30,224 | 1,489,741 | |
TOTAL INTERNATIONAL EQUITY FUNDS | 56,713,075 | ||
TOTAL EQUITY FUNDS (Cost $140,497,046) | 147,356,493 | ||
Fixed-Income Funds - 26.5% | |||
Shares | Value ($) | ||
Fixed-Income Funds - 26.5% | |||
Fidelity Inflation-Protected Bond Index Fund (a) | 58 | 537 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 748,665 | 7,801,085 | |
Fidelity Total Bond Fund (a) | 3,480,913 | 32,825,008 | |
Fidelity U.S. Bond Index Fund (a) | 1,263,930 | 12,967,918 | |
TOTAL FIXED-INCOME FUNDS (Cost $58,907,763) | 53,594,548 | ||
Money Market Funds - 1.7% | |||
Shares | Value ($) | ||
Cash Equivalents - 1.4% | |||
Fidelity Securities Lending Cash Central Fund 5.14% (c)(d) | 2,843,966 | 2,844,250 | |
Money Market Funds - 0.3% | |||
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% (a)(e) | 555,620 | 555,620 | |
TOTAL MONEY MARKET FUNDS (Cost $3,399,870) | 3,399,870 | ||
TOTAL INVESTMENT IN SECURITIES - 101.1% (Cost $202,804,679) | 204,350,911 |
NET OTHER ASSETS (LIABILITIES) - (1.1)% | (2,295,717) |
NET ASSETS - 100.0% | 202,055,194 |
ETF | - | EXCHANGE-TRADED FUND |
(a) | Affiliated Fund |
(b) | Security or a portion of the security is on loan at period end. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(d) | Investment made with cash collateral received from securities on loan. |
(e) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.14% | 15,853,188 | 19,575,990 | 35,429,178 | 64,722 | - | - | - | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.14% | - | 86,953,723 | 84,109,473 | 2,186 | - | - | 2,844,250 | 0.0% |
Total | 15,853,188 | 106,529,713 | 119,538,651 | 66,908 | - | - | 2,844,250 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Canada Fund | 702,492 | 1,417,511 | 188,216 | - | (5,766) | 80,623 | 2,006,644 |
Fidelity Contrafund | 2,775,982 | 656,899 | 311,658 | 49,338 | 7,251 | 712,998 | 3,841,472 |
Fidelity Emerging Markets Fund | 7,376,518 | 5,234,192 | 1,357,993 | - | (54,220) | 850,270 | 12,048,767 |
Fidelity Equity-Income Fund | 2,007,814 | 438,532 | 196,666 | 11,484 | (3,490) | 67,792 | 2,313,982 |
Fidelity Hedged Equity Fund | 529,557 | 334 | - | 334 | - | 54,604 | 584,495 |
Fidelity Inflation-Protected Bond Index Fund | 4,690,184 | 17,998 | 4,782,220 | 852 | (301,452) | 376,027 | 537 |
Fidelity International Enhanced Index Fund | 2,030,136 | 4,155,614 | 569,425 | - | (4,072) | 384,620 | 5,996,873 |
Fidelity International Value Fund | 2,504,800 | 5,064,924 | 666,234 | - | (3,563) | 357,351 | 7,257,278 |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.03% | 34,037,513 | 198,856 | 33,680,749 | 178,055 | - | - | 555,620 |
Fidelity Japan Smaller Companies Fund | 1,474,271 | - | - | - | - | 149,944 | 1,624,215 |
Fidelity Large Cap Value Enhanced Index Fund | 4,319,140 | 916,095 | 426,429 | - | (8,567) | 193,194 | 4,993,433 |
Fidelity Long-Term Treasury Bond Index Fund | 8,099,354 | 152,069 | 679,034 | 122,462 | (342,243) | 570,939 | 7,801,085 |
Fidelity Low-Priced Stock Fund | 3,315,574 | 706,146 | 324,500 | - | (18,698) | 152,537 | 3,831,059 |
Fidelity Overseas Fund | 3,578,785 | 7,295,567 | 1,188,475 | - | (1,318) | 789,815 | 10,474,374 |
Fidelity Total Bond Fund | 36,492,823 | 837,959 | 4,925,092 | 712,522 | (496,028) | 915,346 | 32,825,008 |
Fidelity U.S. Bond Index Fund | 23,436,960 | 4,754,174 | 15,618,068 | 260,424 | (1,624,935) | 2,019,787 | 12,967,918 |
Fidelity U.S. Low Volatility Equity Fund | 2,650,714 | 17,441 | 270,341 | 6,180 | 11,648 | 25,180 | 2,434,642 |
Fidelity Value Discovery Fund | 1,595,535 | 334,720 | 153,651 | - | (3,693) | 1,187 | 1,774,098 |
VIP Stock Selector All Cap Portfolio Investor Class | 38,665,768 | 12,235,237 | 4,210,207 | - | (206,772) | 7,240,639 | 53,724,665 |
180,283,920 | 44,434,268 | 69,548,958 | 1,341,651 | (3,055,918) | 14,942,853 | 167,056,165 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 147,356,493 | 147,356,493 | - | - |
Fixed-Income Funds | 53,594,548 | 53,594,548 | - | - |
Money Market Funds | 3,399,870 | 3,399,870 | - | - |
Total Investments in Securities: | 204,350,911 | 204,350,911 | - | - |
Statement of Assets and Liabilities | ||||
June 30, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $2,803,862) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $32,208,712) | $ | 34,450,496 | ||
Fidelity Central Funds (cost $2,844,250) | 2,844,250 | |||
Other affiliated issuers (cost $167,751,717) | 167,056,165 | |||
Total Investment in Securities (cost $202,804,679) | $ | 204,350,911 | ||
Receivable for investments sold | 4,010,347 | |||
Receivable for fund shares sold | 3,704 | |||
Dividends receivable | 156,783 | |||
Distributions receivable from Fidelity Central Funds | 3,110 | |||
Total assets | 208,524,855 | |||
Liabilities | ||||
Payable to custodian bank | $ | 3,238,371 | ||
Payable for investments purchased | 156,784 | |||
Payable for fund shares redeemed | 176,135 | |||
Accrued management fee | 25,197 | |||
Distribution and service plan fees payable | 25,036 | |||
Other affiliated payables | 3,888 | |||
Collateral on securities loaned | 2,844,250 | |||
Total Liabilities | 6,469,661 | |||
Net Assets | $ | 202,055,194 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 203,474,151 | ||
Total accumulated earnings (loss) | (1,418,957) | |||
Net Assets | $ | 202,055,194 | ||
Net Asset Value and Maximum Offering Price | ||||
Service Class : | ||||
Net Asset Value , offering price and redemption price per share ($1,308,151 ÷ 116,423 shares) | $ | 11.24 | ||
Service Class 2 : | ||||
Net Asset Value , offering price and redemption price per share ($200,747,043 ÷ 17,956,617 shares) | $ | 11.18 |
Statement of Operations | ||||
Six months ended June 30, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends: | ||||
Unaffiliated issuers | $ | 438,251 | ||
Affiliated issuers | 1,291,526 | |||
Interest | 540 | |||
Income from Fidelity Central Funds (including $2,186 from security lending) | 66,908 | |||
Total Income | 1,797,225 | |||
Expenses | ||||
Management fee | $ | 202,843 | ||
Transfer agent fees | 18,715 | |||
Distribution and service plan fees | 252,610 | |||
Independent trustees' fees and expenses | 357 | |||
Total expenses before reductions | 474,525 | |||
Expense reductions | (152,261) | |||
Total expenses after reductions | 322,264 | |||
Net Investment income (loss) | 1,474,961 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (84,927) | |||
Affiliated issuers | (3,055,918) | |||
Futures contracts | (10,663) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 50,125 | |||
Total net realized gain (loss) | (3,101,383) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 2,304,316 | |||
Affiliated issuers | 14,942,853 | |||
Futures contracts | (26,960) | |||
Total change in net unrealized appreciation (depreciation) | 17,220,209 | |||
Net gain (loss) | 14,118,826 | |||
Net increase (decrease) in net assets resulting from operations | $ | 15,593,787 |
Statement of Changes in Net Assets | ||||
Six months ended June 30, 2023 (Unaudited) | Year ended December 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 1,474,961 | $ | 3,077,291 |
Net realized gain (loss) | (3,101,383) | (849,043) | ||
Change in net unrealized appreciation (depreciation) | 17,220,209 | (43,088,392) | ||
Net increase (decrease) in net assets resulting from operations | 15,593,787 | (40,860,144) | ||
Distributions to shareholders | - | (7,999,885) | ||
Share transactions - net increase (decrease) | (16,062,023) | (15,299,295) | ||
Total increase (decrease) in net assets | (468,236) | (64,159,324) | ||
Net Assets | ||||
Beginning of period | 202,523,430 | 266,682,754 | ||
End of period | $ | 202,055,194 | $ | 202,523,430 |
VIP Target Volatility Portfolio Service Class |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.39 | $ | 12.76 | $ | 13.05 | $ | 12.40 | $ | 10.86 | $ | 12.14 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .09 | .17 | .13 | .14 | .20 | .19 | ||||||
Net realized and unrealized gain (loss) | .76 | (2.13) | 1.46 | .97 | 1.81 | (.90) | ||||||
Total from investment operations | .85 | (1.96) | 1.59 | 1.11 | 2.01 | (.71) | ||||||
Distributions from net investment income | - | (.27) | - C | (.18) | (.19) | (.20) D | ||||||
Distributions from net realized gain | - | (.14) | (1.88) | (.29) | (.28) | (.37) D | ||||||
Total distributions | - | (.41) | (1.88) | (.46) E | (.47) | (.57) | ||||||
Net asset value, end of period | $ | 11.24 | $ | 10.39 | $ | 12.76 | $ | 13.05 | $ | 12.40 | $ | 10.86 |
Total Return F,G,H | 8.18% | (15.53)% | 12.16% | 9.13% | 18.81% | (5.81)% | ||||||
Ratios to Average Net Assets B,I,J | ||||||||||||
Expenses before reductions | .32% K | .35% | .41% | .40% | .42% | .42% | ||||||
Expenses net of fee waivers, if any | .17% K | .20% | .26% | .25% | .27% | .27% | ||||||
Expenses net of all reductions | .17% K | .20% | .26% | .25% | .27% | .27% | ||||||
Net investment income (loss) | 1.60% K | 1.52% | .93% | 1.12% | 1.72% | 1.60% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 1,308 | $ | 1,210 | $ | 1,486 | $ | 1,519 | $ | 1,434 | $ | 1,256 |
Portfolio turnover rate L | 74% K | 50% | 64% | 57% | 65% | 85% |
VIP Target Volatility Portfolio Service Class 2 |
Six months ended (Unaudited) June 30, 2023 | Years ended December 31, 2022 | 2021 | 2020 | 2019 | 2018 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.35 | $ | 12.71 | $ | 13.02 | $ | 12.37 | $ | 10.83 | $ | 12.11 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .08 | .15 | .11 | .12 | .18 | .17 | ||||||
Net realized and unrealized gain (loss) | .75 | (2.11) | 1.46 | .97 | 1.81 | (.90) | ||||||
Total from investment operations | .83 | (1.96) | 1.57 | 1.09 | 1.99 | (.73) | ||||||
Distributions from net investment income | - | (.26) | - C | (.16) | (.16) | (.18) D | ||||||
Distributions from net realized gain | - | (.14) | (1.88) | (.29) | (.28) | (.37) D | ||||||
Total distributions | - | (.40) | (1.88) | (.44) E | (.45) E | (.55) | ||||||
Net asset value, end of period | $ | 11.18 | $ | 10.35 | $ | 12.71 | $ | 13.02 | $ | 12.37 | $ | 10.83 |
Total Return F,G,H | 8.02% | (15.65)% | 12.03% | 8.99% | 18.65% | (5.99)% | ||||||
Ratios to Average Net Assets B,I,J | ||||||||||||
Expenses before reductions | .47% K | .50% | .56% | .56% | .57% | .57% | ||||||
Expenses net of fee waivers, if any | .32% K | .35% | .41% | .40% | .42% | .42% | ||||||
Expenses net of all reductions | .32% K | .35% | .41% | .40% | .42% | .42% | ||||||
Net investment income (loss) | 1.45% K | 1.37% | .78% | .97% | 1.57% | 1.45% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 200,747 | $ | 201,313 | $ | 265,197 | $ | 269,141 | $ | 290,145 | $ | 277,696 |
Portfolio turnover rate L | 74% K | 50% | 64% | 57% | 65% | 85% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
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% |
Gross unrealized appreciation | $9,197,322 |
Gross unrealized depreciation | (8,116,428) |
Net unrealized appreciation (depreciation) | $1,080,894 |
Tax cost | $203,270,017 |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Purchases ($) | Sales ($) | |
VIP Target Volatility Portfolio | 74,283,897 | 73,387,440 |
Service Class | $630 |
Service Class 2 | 251,980 |
$252,610 |
Amount | % of Class-Level Average Net Assets A | |
Service Class | $117 | .02 |
Service Class 2 | 18,598 | .02 |
$18,715 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
VIP Target Volatility Portfolio | $239 | $- | $- |
Reimbursement | |
Service Class | $630 |
Service Class 2 | 100,792 |
Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Target Volatility Portfolio | ||
Distributions to shareholders | ||
Service Class | - | 48,196 |
Service Class 2 | - | 7,951,689 |
Total | $- | $7,999,885 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2023 | Year ended December 31, 2022 | Six months ended June 30, 2023 | Year ended December 31, 2022 | |
VIP Target Volatility Portfolio | ||||
Service Class | ||||
Reinvestment of distributions | - | 28 | - | 312 |
Shares redeemed | (6) | (11) | (67) | (117) |
Net increase (decrease) | (6) | 17 | $(67) | $195 |
Service Class 2 | ||||
Shares sold | 278,930 | 964,447 | $3,000,559 | $10,906,554 |
Reinvestment of distributions | - | 710,765 | - | 7,951,689 |
Shares redeemed | (1,770,988) | (3,095,355) | (19,062,515) | (34,157,733) |
Net increase (decrease) | (1,492,058) | (1,420,143) | $(16,061,956) | $(15,299,490) |
Fund | Number ofUnaffiliated Shareholders | Unaffiliated Shareholders % |
VIP Target Volatility Portfolio | 1 | 94% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023 to June 30, 2023). |
Annualized Expense Ratio- A | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During Period- C January 1, 2023 to June 30, 2023 | |||||||
VIP Target Volatility Portfolio | ||||||||||
Service Class | .17% | |||||||||
Actual | $ 1,000 | $ 1,081.80 | $ .88 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.95 | $ .85 | |||||||
Service Class 2 | .32% | |||||||||
Actual | $ 1,000 | $ 1,080.20 | $ 1.65 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.21 | $ 1.61 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Variable Insurance Products Fund V’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Variable Insurance Products Fund V’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
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.
Variable Insurance Products Fund V
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | August 22, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | August 22, 2023 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | August 22, 2023 |