Fidelity Group of Funds > Fidelity Merrimack Street Trust
Fidelity Sustainable Core Plus Bond ETF
$11.67M
Avg Monthly Net Assets
$15.87M
Total Assets
$4.41M
Total Liabilities
$11.46M
Net Assets
Fidelity Sustainable Core Plus Bond ETF is an Exchange-Traded Fund in Fidelity Merrimack Street Trust
from Fidelity Group of Funds,
based in Massachusetts,
United States of America.
The fund has one share class
and monthly net assets of $11.67M.
On July 26th, 2024 it reported 468 holdings, the largest
being Fidelity Revere Street Trust (11.7%), UNITED STATES TREASURY BOND (6.4%) and UST NOTES (5.8%).
Data provided by Fincoded.
Share Classes
| Name | Class/Contract ID | Exchange | Ticker | Monthly Returns (2 years) |
|---|---|---|---|---|
| Fidelity Sustainable Core Plus Bond ETF | C000235241 | ARCX | FSBD |
Holdings
From latest NPORT-P, filed July 26th, 2024 for period ending May 31st, 2024.
Historic holdings data available from Fincoded.
| Name | Profile | Category | Country | Value $USD | # Shares | % of Fund |
|---|---|---|---|---|---|---|
| ADAPTHEALTH LLC 5.125% 03/01/2030 144A | Long | Debt | US | $7K | – | 0.06 |
| ADVANCED DRAIN SYS INC DEL 6.375% 06/15/2030 144A | Long | Debt | US | $998 | – | 0.01 |
| ADVANTAGE SALES and MARKETING INC DEL 6.5% 11/15/2028 144A | Long | Debt | US | $4K | – | 0.04 |
| AERCAP HOLDINGS NV 5.875/VAR 10/10/2079 | Long | Equity-preferred | NL | $3K | – | 0.03 |
| AES CORP 1.375% 01/15/2026 | Long | Debt | US | $65K | – | 0.57 |
| AES CORP 2.45% 01/15/2031 | Long | Debt | US | $56K | – | 0.49 |
| AHEAD DB HOLDINGS LLC 6.625% 05/01/2028 144A | Long | Debt | US | $2K | – | 0.02 |
| AIB GROUP PLC 2.875%/VAR 05/30/2031 REGS | Long | Debt | IE | $105K | – | 0.91 |
| AIRCASTLE LTD 5.25/VAR PERP 144A | Long | Equity-preferred | BM | $950.01 | – | 0.01 |
| AKUMIN INC 8% 08/01/2028 144A | Long | Debt | US | $3K | – | 0.03 |
| ALARM.COM HOLDINGS INC CONV 2.25% 06/01/2029 144A | Long | Debt | US | $986.11 | – | 0.01 |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A | Long | Debt | US | $3K | – | 0.02 |
| ALEXANDRIA REAL EST EQUITS INC 2% 05/18/2032 (ALEXANDRIA REAL ESTATE EQUITIES INC) | Long | Debt | US | $55K | – | 0.48 |
| ALIMENTATION COUCHE-TARD INC 3.625% 05/13/2051 144A | Long | Debt | CA | $39K | – | 0.34 |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC TSFR3M+150 07/20/2035 144A | Long | ABS-collateralized bond/debt obligation | XX | $251K | – | 2.19 |
| ALLY FINANCIAL 4.7/VAR INC PERP (ALLY FINANCIAL INC) | Long | Equity-preferred | US | $4K | – | 0.04 |
| ALLY FINL INC 2.2% 11/02/2028 (ALLY FINANCIAL INC) | Long | Debt | US | $47K | – | 0.41 |
| ALLY FINL INC 5.75% 11/20/2025 (ALLY FINANCIAL INC) | Long | Debt | US | $995.47 | – | 0.01 |
| ALTICE FING SA 5.75% 08/15/2029 144A | Long | Debt | LU | $5K | – | 0.05 |
| ALTICE FRANCE HOLDING SA 10.5% 05/15/2027 144A | Long | Debt | LU | $369.99 | – | 0.00 |
| ALTICE FRANCE HOLDING SA 6% 02/15/2028 144A | Long | Debt | LU | $2K | – | 0.02 |
| ALTICE FRANCE SA 5.125% 07/15/2029 144A | Long | Debt | FR | $7K | – | 0.06 |
| AMER SPORTS CO 6.75% 02/16/2031 144A | Long | Debt | US | $5K | – | 0.04 |
| AMERICAN ROCK SALT TERM 1LN 06/11/2028 (AMERICAN ROCK SALT CO LLC) | Long | Loan | US | $901.43 | – | 0.01 |
| AMGEN INC 3% 02/22/2029 | Long | Debt | US | $92K | – | 0.80 |
| AMN HEALTHCARE 4% 04/15/2029 144A | Long | Debt | US | $4K | – | 0.04 |
| ANYWHERE REAL ESTATE GROUP LLC / ANYWHERE CO-ISSUER CORP 7% 04/15/2030 144A | Long | Debt | US | $694.52 | – | 0.01 |
| APTIV PLC | Long | Equity-common | JE | $999.12 | 12 | 0.01 |
| APX GROUP INC 5.75% 07/15/2029 144A | Long | Debt | US | $6K | – | 0.05 |
| APX GROUP INC 6.75% 02/15/2027 144A | Long | Debt | US | $996.35 | – | 0.01 |
| ARAMARK SERVICES INC 5% 02/01/2028 144A | Long | Debt | US | $2K | – | 0.02 |
| ARCHROCK PARTNERS LP / FIN CORP 6.25% 04/01/2028 144A (ARCHROCK PARTNERS L P / ARCHROCK PARTNERS FIN CORP) | Long | Debt | US | $6K | – | 0.05 |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 4% 09/01/2029 144A | Long | Debt | US | $4K | – | 0.04 |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 6% 06/15/2027 144A | Long | Debt | US | $977.76 | – | 0.01 |
| ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC 5.25% 04/30/2025 144A | Long | Debt | IE | $4K | – | 0.03 |
| ARTERA SERVICES LLC 8.5% 02/15/2031 144A | Long | Debt | US | $13K | – | 0.12 |
| ASCEND LEARNING TERM 2LN 12/10/2029 (ASCEND LEARNING LLC) | Long | Loan | US | $2K | – | 0.02 |
| ASTRAZENECA FINANCE LLC 1.75% 05/28/2028 | Long | Debt | US | $62K | – | 0.54 |
| AT HOME GROUP INC 4.875% 07/15/2028 144A | Long | Debt | US | $2K | – | 0.01 |
| ATI INC 4.875% 10/01/2029 | Long | Debt | US | $6K | – | 0.05 |
| ATI INC 7.25% 08/15/2030 | Long | Debt | US | $5K | – | 0.04 |
| ATKORE INC 4.25% 06/01/2031 144A | Long | Debt | US | $4K | – | 0.03 |
| ATP TOWER HOLDINGS LLC/ANDEAN TOWER PARTNERS COLOMBIA SAS/ANDEAN TELECOM PAR 4.05% 04/27/2026 144A (ATP TOWER HOLDINGS LLC / ANDEAN TOWER PARTNERS COLOMBIA SAS / ANDEAN TELECOM PAR) | Long | Debt | US | $3K | – | 0.02 |
| AVIS BUDG CAR RENT LLC/FIN INC 5.375% 03/01/2029 144A (AVIS BUDGET CAR RENT LLC / AVIS BUDGET FINANCE INC) | Long | Debt | US | $3K | – | 0.02 |
| AVIS BUDG CAR RENT LLC/FIN INC 5.75% 07/15/2027 144A (AVIS BUDGET CAR RENT LLC / AVIS BUDGET FINANCE INC) | Long | Debt | US | $8K | – | 0.07 |
| AXALTA COATING SYSTEMS LLC 3.375% 02/15/2029 144A | Long | Debt | US | $3K | – | 0.02 |
| AXIAN TELECOM 7.375% 02/16/2027 144A | Long | Debt | MU | $973.34 | – | 0.01 |
| BANK OF AMERICA CORP 2.687%/VAR 04/22/2032 (BANK OF AMERICA CORPORATION) | Long | Debt | US | $34K | – | 0.29 |
| BANK OF AMERICA CORPORATION 2.456%/VAR 10/22/2025 | Long | Debt | US | $128K | – | 1.12 |
| BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033 | Long | Debt | US | $23K | – | 0.20 |
| BATH and BODY WORKS INC 6.75% 07/01/2036 | Long | Debt | US | $2K | – | 0.02 |
| BEACON ROOFING SUPPLY INC 6.5% 08/01/2030 144A | Long | Debt | US | $1K | – | 0.01 |
| BEAZER HOMES USA INC 7.5% 03/15/2031 144A | Long | Debt | US | $5K | – | 0.04 |
| BERRY GLOBAL INC 5.625% 07/15/2027 144A | Long | Debt | US | $10K | – | 0.09 |
| BLOCK INC 3.5% 06/01/2031 | Long | Debt | US | $10K | – | 0.09 |
| BLOCK INC 6.5% 05/15/2032 144A | Long | Debt | US | $5K | – | 0.04 |
| BNP PARIBAS 0.875%/VAR 07/11/2030 REGS | Long | Debt | FR | $93K | – | 0.81 |
| BOMBARDIER INC 6% 02/15/2028 144A | Long | Debt | CA | $11K | – | 0.09 |
| BOMBARDIER INC 7.25% 07/01/2031 144A | Long | Debt | CA | $5K | – | 0.04 |
| BOMBARDIER INC 7% 06/01/2032 144A | Long | Debt | CA | $5K | – | 0.04 |
| BOSTON PPTYS LTD PARTNERSHIP 2.45% 10/01/2033 (BOSTON PPTY LTD PARTNERSHIP) | Long | Debt | US | $55K | – | 0.48 |
| BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027 (BOSTON PPTY LTD PARTNERSHIP) | Long | Debt | US | $8K | – | 0.07 |
| BRAND INDUSTRIAL SERVICES INC 10.375% 08/01/2030 144A | Long | Debt | US | $5K | – | 0.05 |
| BRISTOL-MYERS SQUIBB CO 2.95% 03/15/2032 | Long | Debt | US | $21K | – | 0.19 |
| BRIXMOR OPERATING PARTNERSHIP LP 5.75% 02/15/2035 | Long | Debt | US | $30K | – | 0.26 |
| BUILDERS FIRSTSOURCE INC 6.375% 03/01/2034 144A | Long | Debt | US | $5K | – | 0.04 |
| BXHPP TRUST 2021-FILM TSFR1M+76.448 08/15/2036 144A | Long | ABS-mortgage backed security | US | $120K | – | 1.05 |
| C AND S GROUP ENTERPRISES LLC 5% 12/15/2028 144A | Long | Debt | US | $1K | – | 0.01 |
| C and W SENIOR FINANCE LTD 6.875% 09/15/2027 144A | Long | Debt | KY | $6K | – | 0.05 |
| CALIFORNIA RES CORP 7.125% 02/01/2026 144A (CALIFORNIA RESOURCES CORPORATION) | Long | Debt | US | $13K | – | 0.11 |
| CALIFORNIA RES CORP 8.25% 06/15/2029 144A (CALIFORNIA RESOURCES CORPORATION) | Long | Debt | US | $5K | – | 0.04 |
| CANACOL ENERGY LTD 5.75% 11/24/2028 144A | Long | Debt | CA | $2K | – | 0.01 |
| CANO HEALTH LLC 6.25% 10/01/2028 144A | Long | Debt | US | $5 | – | 0.00 |
| CANO HEALTH TERM B 1LN 11/23/2027 (CANO HEALTH LLC) | Long | Loan | US | $741.93 | – | 0.01 |
| CANO HEALTH TERM DIP 1LN SUPER PRIORITY 10/07/2024 (CANO HEALTH LLC) | Long | Loan | US | $308.11 | – | 0.00 |
| CANO HEALTH TERM DIP DD 1LN SUPER PRIORITY 10/07/2024 (CANO HEALTH LLC) | Long | Loan | US | $472.3 | – | 0.00 |
| CARRIER GLOBAL CORP 2.493% 02/15/2027 | Long | Debt | US | $65K | – | 0.57 |
| CARVANA CO 4.875% 09/01/2029 144A | Long | Debt | US | $700 | – | 0.01 |
| CARVANA CO 5.625% 10/01/2025 144A | Long | Debt | US | $2K | – | 0.02 |
| CARVANA CO PIK VAR 06/01/2030 144A | Long | Debt | US | $1K | – | 0.01 |
| CARVANA CO PIK VAR 06/01/2031 144A | Long | Debt | US | $4K | – | 0.04 |
| CARVANA CO PIK VAR 12/01/2028 144A | Long | Debt | US | $2K | – | 0.02 |
| CBRE SERVICES INC 2.5% 04/01/2031 | Long | Debt | US | $45K | – | 0.40 |
| CCO HLDGS LLC/CAP CORP 4.25% 01/15/2034 144A (CCO HLDGS LLC/CCO HLDGS CAP CORP) | Long | Debt | US | $4K | – | 0.03 |
| CCO HLDGS LLC/CAP CORP 4.75% 02/01/2032 144A (CCO HLDGS LLC/CCO HLDGS CAP CORP) | Long | Debt | US | $8K | – | 0.07 |
| CCO HLDGS LLC/CAP CORP 4.75% 03/01/2030 144A (CCO HLDGS LLC/CCO HLDGS CAP CORP) | Long | Debt | US | $3K | – | 0.02 |
| CCO HLDGS LLC/CAP CORP 5.5% 05/01/2026 144A (CCO HLDGS LLC/CCO HLDGS CAP CORP) | Long | Debt | US | $5K | – | 0.04 |
| CEDAR FUNDING LT TSFR3M+136.161 07/15/2033 144A | Long | ABS-collateralized bond/debt obligation | KY | $250K | – | 2.18 |
| CEDF 2016-6A ARR TSFR3M+131.161 04/20/2034 144A | Long | ABS-collateralized bond/debt obligation | KY | $100K | – | 0.87 |
| CENTENE CORP (CENTENE CORP DEL) | Long | Equity-common | US | $1K | 19 | 0.01 |
| CHARLES RIVER LABS INTL INC 3.75% 03/15/2029 144A (CHARLES RIVER LABORATORIES INTERNATIONAL INC) | Long | Debt | US | $2K | – | 0.02 |
| CHART INDUSTRIES INC 9.5% 01/01/2031 144A | Long | Debt | US | $2K | – | 0.02 |
| CHEMOURS CO 4.625% 11/15/2029 144A | Long | Debt | US | $11K | – | 0.10 |
| CHS/CMNTY HEALTH SYSTEMS INC 10.875% 01/15/2032 144A | Long | Debt | US | $1K | – | 0.01 |
| CHS/CMNTY HEALTH SYSTEMS INC 4.75% 02/15/2031 144A | Long | Debt | US | $14K | – | 0.12 |
| CHS/CMNTY HEALTH SYSTEMS INC 5.25% 05/15/2030 144A | Long | Debt | US | $4K | – | 0.04 |
| CHS/CMNTY HEALTH SYSTEMS INC 6.875% 04/15/2029 144A | Long | Debt | US | $7K | – | 0.06 |
| CIGNA GROUP (THE) 3.4% 03/15/2051 | Long | Debt | US | $37K | – | 0.33 |
| CITIGROUP INC SOFR 2.014%/VAR 01/25/2026 | Long | Debt | US | $127K | – | 1.11 |
| CITIGROUP INC VAR 12/29/2049 | Long | Debt | US | $5K | – | 0.04 |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC 5.125% 08/15/2027 144A | Long | Debt | US | $3K | – | 0.02 |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC 7.5% 06/01/2029 144A | Long | Debt | US | $821.01 | – | 0.01 |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC 7.875% 04/01/2030 144A | Long | Debt | US | $5K | – | 0.04 |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC 9% 09/15/2028 144A | Long | Debt | US | $8K | – | 0.07 |
| CLOUD SOFTWARE GROUP INC 6.5% 03/31/2029 144A | Long | Debt | US | $3K | – | 0.02 |
| CLOUD SOFTWARE GROUP INC 8.25% 06/30/2032 144A | Long | Debt | US | $5K | – | 0.04 |
| CLOUD SOFTWARE GROUP INC 9% 09/30/2029 144A | Long | Debt | US | $7K | – | 0.06 |
| CLUBCORP HLDGS INC 8.5% 09/15/2025 144A | Long | Debt | US | $4K | – | 0.03 |
| CLYDESDALE ACQUISITION HOLDINGS INC 6.625% 04/15/2029 144A | Long | Debt | US | $2K | – | 0.02 |
| CNX MIDSTREAM PARTNERS LP 4.75% 04/15/2030 144A | Long | Debt | US | $899.39 | – | 0.01 |
| CNX RESOURCES CORP 6% 01/15/2029 144A | Long | Debt | US | $2K | – | 0.02 |
| CNX RESOURCES CORP 7.25% 03/01/2032 144A | Long | Debt | US | $5K | – | 0.04 |
| CNX RESOURCES CORP 7.375% 01/15/2031 144A | Long | Debt | US | $5K | – | 0.04 |
| COHERENT CORP | Long | Equity-common | US | $2K | 31 | 0.02 |
| COINBASE GLOBAL INC 3.625% 10/01/2031 144A | Long | Debt | US | $2K | – | 0.02 |
| CONNECT FINCO SARL / CONNECT US FINCO LLC 6.75% 10/01/2026 144A | Long | Debt | LU | $944.55 | – | 0.01 |
| CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030 (CONSOLIDATED EDISON CO OF NEW YORK INC) | Long | Debt | US | $68K | – | 0.60 |
| CONSOLIDATED ENERGY FINANCE SA 12% 02/15/2031 144A | Long | Debt | LU | $5K | – | 0.05 |
| CORNERSTONE BUILDING BRANDS INC 6.125% 01/15/2029 144A | Long | Debt | US | $3K | – | 0.03 |
| CORPORATE OFFICE PPTYS LP 2% 01/15/2029 (CORPOARATE OFFICE PPTYS LP) | Long | Debt | US | $34K | – | 0.30 |
| COVANTA HLDG CORP 4.875% 12/01/2029 144A | Long | Debt | US | $13K | – | 0.11 |
| CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC 7.5% 12/15/2033 144A | Long | Debt | US | $3K | – | 0.03 |
| CROCS INC 4.125% 08/15/2031 144A | Long | Debt | US | $2K | – | 0.02 |
| CROWN AMERS LLC / CROWN AMERS CAP CORP VI 4.75% 02/01/2026 | Long | Debt | US | $5K | – | 0.04 |
| CSC HOLDINGS LLC 3.375% 02/15/2031 144A | Long | Debt | US | $6K | – | 0.05 |
| CSC HOLDINGS LLC 4.625% 12/01/2030 144A | Long | Debt | US | $3K | – | 0.02 |
| CSC SERVICEWORKS TERM B 1LN 03/04/2028 (SPIN HOLDCO INC) | Long | Loan | US | $4K | – | 0.04 |
| CVR ENERGY INC 5.75% 02/15/2028 144A | Long | Debt | US | $3K | – | 0.02 |
| DARLING INGREDIENTS INC 6% 06/15/2030 144A | Long | Debt | US | $5K | – | 0.04 |
| DAVITA INC 3.75% 02/15/2031 144A | Long | Debt | US | $5K | – | 0.04 |
| DELL INTL/EMC CORP 6.2% 07/15/2030 (DELL INTERNATIONAL LLC / EMC CORP) | Long | Debt | US | $47K | – | 0.41 |
| DIRECTV FINANCING LLC / CO-OBLIGOR INC 5.875% 08/15/2027 144A (DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC) | Long | Debt | US | $5K | – | 0.04 |
| DISH DBS CORP 5.75% 12/01/2028 144A | Long | Debt | US | $2K | – | 0.02 |
| DISH NETWORK CORP 11.75% 11/15/2027 144A | Long | Debt | US | $3K | – | 0.03 |
| DISH NETWORK CORP CONV 0% 12/15/2025 | Long | Debt | US | $2K | – | 0.01 |
| DISH NETWORK CORP CONV 3.375% 08/15/2026 | Long | Debt | US | $9K | – | 0.08 |
| DOMINION ENERGY INC 2.25% 08/15/2031 | Long | Debt | US | $65K | – | 0.56 |
| DPL INC 4.125% 07/01/2025 | Long | Debt | US | $977.93 | – | 0.01 |
| DPL INC 4.35% 04/15/2029 | Long | Debt | US | $2K | – | 0.02 |
| DUKE ENERGY CAROLINAS LLC 3.95% 11/15/2028 | Long | Debt | US | $62K | – | 0.54 |
| ECO MATERIAL TECHNOLOGIES INC 7.875% 01/31/2027 144A | Long | Debt | US | $6K | – | 0.05 |
| EG GLOBAL FINANCE PLC 12% 11/30/2028 144A | Long | Debt | GB | $8K | – | 0.07 |
| ELASTIC NV 4.125% 07/15/2029 144A | Long | Debt | NL | $8K | – | 0.07 |
| ELDORADO GOLD CORP NEW 6.25% 09/01/2029 144A | Long | Debt | CA | $6K | – | 0.05 |
| EMBECTA CORP 5% 02/15/2030 144A | Long | Debt | US | $5K | – | 0.04 |
| EMERGENT BIOSOLUTIONS INC 3.875% 08/15/2028 144A | Long | Debt | US | $4K | – | 0.04 |
| ENCOMPASS HEALTH CORP 4.625% 04/01/2031 | Long | Debt | US | $5K | – | 0.04 |
| ENCORE CAP GROUP INC 8.5% 05/15/2030 144A (ENCORE CAPITAL GROUP INC) | Long | Debt | US | $5K | – | 0.04 |
| ENERGEAN PLC 6.5% 04/30/2027 144A | Long | Debt | GB | $5K | – | 0.04 |
| ENERGY TRANSFER OPERATING MLP 6.25%/VAR PERP (ENERGY TRANSFER LP) | Long | Equity-preferred | US | $5K | – | 0.04 |
| ENTEGRIS INC 3.625% 05/01/2029 144A | Long | Debt | US | $8K | – | 0.07 |
| ENTEGRIS INC 5.95% 06/15/2030 144A | Long | Debt | US | $10K | – | 0.09 |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.3% 07/12/2026 144A | Long | Debt | US | $91K | – | 0.80 |
| ERO COPPER CORP 6.5% 02/15/2030 144A | Long | Debt | CA | $11K | – | 0.09 |
| ESDEC SOLAR TERM B 1LN 08/27/2028 (ESDEC SOLAR GROUP BV) | Long | Loan | NL | $3K | – | 0.02 |
| EURO-SCHATZ FUT SEP24 DUU4 (EUREX DEUTSCHLAND) | Derivative-interest rate | DE | $-28.04 | – | -0.00 | |
| FHLG 15YR 3% 05/01/2035#SB0836 (FED HOME LOAN MTG CORP - GOLD) | Long | ABS-mortgage backed security | US | $38K | – | 0.33 |
| FHLG 30YR 1.5% 04/01/2051#SD8139 (FED HOME LOAN MTG CORP - GOLD) | Long | ABS-mortgage backed security | US | $34K | – | 0.30 |
| FHLG 30YR 2.5% 09/01/2051#QC7086 (FED HOME LOAN MTG CORP - GOLD) | Long | ABS-mortgage backed security | US | $26K | – | 0.23 |
| FHLG 30YR 2.5% 12/01/2051#RA6359 (FED HOME LOAN MTG CORP - GOLD) | Long | ABS-mortgage backed security | US | $37K | – | 0.32 |
| FHLG 30YR 3% 05/01/2051#RA5267 (FED HOME LOAN MTG CORP - GOLD) | Long | ABS-mortgage backed security | US | $20K | – | 0.17 |
| FHLG 30YR 4.5% 12/01/2052#QF3956 (FED HOME LOAN MTG CORP - GOLD) | Long | ABS-mortgage backed security | US | $42K | – | 0.36 |
| FHLM 30YR 5.5% 03/01/2054#RJ1003 (FEDERAL HOME LOAN MORTGAGE COR PORATION) | Long | ABS-mortgage backed security | US | $24K | – | 0.21 |
| Fidelity Cash Central Fund (Fidelity Revere Street Trust) | Long | Short-term investment vehicle | US | $1M | 1M | 11.68 |
| FIRST QUANTUM MINERALS LTD 6.875% 10/15/2027 144A | Long | Debt | CA | $9K | – | 0.08 |
| FLY LEASING LTD 7% 10/15/2024 144A | Long | Debt | BM | $994.92 | – | 0.01 |
| FMG RES AUGUST 2006 PTY LTD 6.125% 04/15/2032 144A (FMG RESOURCES AUG'06 PTY LTD) | Long | Debt | AU | $10K | – | 0.09 |
| FNMA 15YR 2% 01/37#MA4516 (FNMA GTD MTG PASS THRU CTF) | Long | ABS-mortgage backed security | US | $45K | – | 0.39 |
| FNMA 15YR 2% 02/01/2037#FS0427 (FNMA GTD MTG PASS THRU CTF) | Long | ABS-mortgage backed security | US | $79K | – | 0.69 |
| FNMA 20YR 2% 11/01/2040# (FNMA GTD MTG PASS THRU CTF) | Long | ABS-mortgage backed security | US | $20K | – | 0.17 |
| FNMA 30YR 2.5% 01/01/2052#FS1648 (FNMA GTD MTG PASS THRU CTF) | Long | ABS-mortgage backed security | US | $37K | – | 0.33 |
| FNMA 30YR 2.5% 10/01/2051#BU3295 (FNMA GTD MTG PASS THRU CTF) | Long | ABS-mortgage backed security | US | $21K | – | 0.18 |
| FNMA 30YR 2.5% 11/01/2051#MA4466 (FNMA GTD MTG PASS THRU CTF) | Long | ABS-mortgage backed security | US | $37K | – | 0.32 |
| FNMA 30YR 3% 05/01/2052#CB3584 (FNMA GTD MTG PASS THRU CTF) | Long | ABS-mortgage backed security | US | $19K | – | 0.17 |
| FNMA 30YR 4% 01/01/2051#FM7031 (FNMA GTD MTG PASS THRU CTF) | Long | ABS-mortgage backed security | US | $22K | – | 0.19 |
| FNMA 30YR 5% 12/01/2052#MA4841 (FNMA GTD MTG PASS THRU CTF) | Long | ABS-mortgage backed security | US | $44K | – | 0.39 |
| FRONTIER COMMUNICATIONS HOLDINGS LLC 8.75% 05/15/2030 144A | Long | Debt | US | $5K | – | 0.05 |
| FX Forward: USD/EUR settle 2024-08-22 (GOLDMAN SACHS BANK USA) | Derivative-foreign exchange | US | $-3K | – | -0.02 | |
| FX Forward: USD/GBP settle 2024-08-22 (BANK OF AMERICA, N.A.) | Derivative-foreign exchange | US | $-2K | – | -0.02 | |
| GEMS MENASA KY LTD/GEMS 7.125% 07/31/2026 144A | Long | Debt | AE | $6K | – | 0.05 |
| GEN DIGITAL INC 5% 04/15/2025 144A | Long | Debt | US | $7K | – | 0.06 |
| GEN DIGITAL INC 7.125% 09/30/2030 144A | Long | Debt | US | $3K | – | 0.03 |
| GENERAL MILLS INC 2.25% 10/14/2031 | Long | Debt | US | $94K | – | 0.82 |
| GENERAL MOTORS CO 5.4% 10/15/2029 | Long | Debt | US | $20K | – | 0.17 |
| GERMANY FEDERAL REPUBLIC OF 2.2% 02/15/2034 REGS | Long | Debt | DE | $5K | – | 0.05 |
| GERMANY FEDERAL REPUBLIC OF 4.75% 07/04/2034 REGS | Long | Debt | DE | $3K | – | 0.02 |
| GGAM FINANCE LTD 6.875% 04/15/2029 144A | Long | Debt | KY | $5K | – | 0.04 |
| GGAM FINANCE LTD 7.75% 05/15/2026 144A | Long | Debt | KY | $5K | – | 0.04 |
| GGAM FINANCE LTD 8% 02/15/2027 144A | Long | Debt | KY | $2K | – | 0.02 |
| GGAM FINANCE LTD 8% 06/15/2028 144A | Long | Debt | KY | $5K | – | 0.05 |
| GLOBAL PARTNERS LP / GLP FIN CORP 6.875% 01/15/2029 | Long | Debt | US | $4K | – | 0.03 |
| GN BONDCO LLC 9.5% 10/15/2031 144A | Long | Debt | US | $3K | – | 0.02 |
| GNII II 2.5% 06/01/2054 #TBA (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Long | ABS-mortgage backed security | US | $146K | – | 1.27 |
| GNII II 2.5% 06/01/2054 #TBA (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Short | ABS-mortgage backed security | US | $-125K | – | -1.09 |
| GNII II 2.5% 07/01/2054 #TBA (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Long | ABS-mortgage backed security | US | $83K | – | 0.73 |
| GNII II 2% 02/20/2051#MA7192 (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Long | ABS-mortgage backed security | US | $17K | – | 0.15 |
| GNII II 2% 06/01/2054 #TBA (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Long | ABS-mortgage backed security | US | $180K | – | 1.57 |
| GNII II 2% 06/01/2054 #TBA (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Short | ABS-mortgage backed security | US | $-40K | – | -0.35 |
| GNII II 2% 07/01/2054 #TBA (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Long | ABS-mortgage backed security | US | $40K | – | 0.35 |
| GNII II 3.5% 06/01/2054 #TBA (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Long | ABS-mortgage backed security | US | $45K | – | 0.39 |
| GNII II 3% 06/01/2054 #TBA (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Long | ABS-mortgage backed security | US | $65K | – | 0.57 |
| GNII II 5% 06/01/2054 #TBA (GNMA II GTD PASS THRU CTF MULTIPLE ISSUER) | Long | ABS-mortgage backed security | US | $24K | – | 0.21 |
| GNMA II 4.5% 04/20/2053#MA8799 (GNMA GUARANTEED PASS THRU CERT) | Long | ABS-mortgage backed security | US | $46K | – | 0.41 |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC 3.5% 03/01/2029 144A | Long | Debt | US | $11K | – | 0.09 |
| GOLAR LNG LTD 7% 10/20/2025 144A | Long | Debt | BM | $2K | – | 0.02 |
| GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033 | Long | Debt | US | $16K | – | 0.14 |
| GOLDMAN SACHS GROUP INC (THE) 3.615/VAR 03/15/2028 | Long | Debt | US | $67K | – | 0.58 |
| GOLDMAN SACHS GROUP INC (THE) 7.5%/VAR PERP | Long | Equity-preferred | US | $5K | – | 0.04 |
| GRAPHIC PACKAGING INTL INC 6.375% 07/15/2032 144A | Long | Debt | US | $5K | – | 0.04 |
| HARBOUR ENERGY PLC 5.5% 10/15/2026 144A | Long | Debt | GB | $978.77 | – | 0.01 |
| HAT HOLDINGS I LLC / II LLC 3.375% 06/15/2026 144A (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) | Long | Debt | US | $9K | – | 0.08 |
| HAT HOLDINGS I LLC / II LLC 6% 04/15/2025 144A (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) | Long | Debt | US | $3K | – | 0.03 |
| HAWAIIAN BRD INTEL PPY LTD / HAWAIIANMIL LOYAL LTD 5.75% 01/20/2026 144A (HAWAIIAN BRAND INTELLECTUAL PROPERTY LTD / HAWAIIANMILES LOYALTY LTD) | Long | Debt | KY | $2K | – | 0.02 |
| HERTZ CORP 4.625% 12/01/2026 144A | Long | Debt | US | $3K | – | 0.03 |
| HILTON DOMESTIC OPERATING CO INC 3.625% 02/15/2032 144A | Long | Debt | US | $11K | – | 0.10 |
| HILTON DOMESTIC OPERATING CO INC 5.875% 04/01/2029 144A | Long | Debt | US | $5K | – | 0.04 |
| HILTON DOMESTIC OPERATING CO INC 6.125% 04/01/2032 144A | Long | Debt | US | $5K | – | 0.04 |
| HOME DEPOT INC 3.25% 04/15/2032 | Long | Debt | US | $44K | – | 0.38 |
| HONEYWELL INTL INC 1.75% 09/01/2031 (HONEYWELL INTERNATIONAL INC) | Long | Debt | US | $44K | – | 0.39 |
| HOWARD HUGHES CORP 4.375% 02/01/2031 144A | Long | Debt | US | $9K | – | 0.07 |
| HTA GROUP LTD/MAURITIUS 7.5% 06/04/2029 144A | Long | Debt | MU | $12K | – | 0.10 |
| HTA GROUP LTD/MAURITIUS 7% 12/18/2025 144A | Long | Debt | MU | $6K | – | 0.05 |
| HUDBAY MINERALS INC 6.125% 04/01/2029 144A | Long | Debt | CA | $2K | – | 0.02 |
| HUDSON PAC PPTYS LP 5.95% 02/15/2028 (HUDSON PACIFIC PROPERTIES LP) | Long | Debt | US | $46K | – | 0.40 |
| HUMANA INC 3.7% 03/23/2029 | Long | Debt | US | $65K | – | 0.57 |
| IAMGOLD CORP 5.75% 10/15/2028 144A | Long | Debt | CA | $3K | – | 0.02 |
| IHS HOLDING LTD 5.625% 11/29/2026 144A | Long | Debt | KY | $945.63 | – | 0.01 |
| IHS HOLDING LTD 6.25% 11/29/2028 144A | Long | Debt | KY | $893.74 | – | 0.01 |
| IHS NETHERLANDS HOLDCO BV 8% 09/18/2027 144A | Long | Debt | NL | $3K | – | 0.03 |
| ILIAD HOLDING SAS 8.5% 04/15/2031 144A | Long | Debt | FR | $3K | – | 0.03 |
| INSIGHT ENTERPRISES INC 6.625% 05/15/2032 144A | Long | Debt | US | $5K | – | 0.04 |
| INTERNATIONAL FLAVS and FRAG INC 2.3% 11/01/2030 144A (INTERNATIONAL FLAVORS and FRAGRANCES INC) | Long | Debt | US | $66K | – | 0.58 |
| IQVIA INC 5% 05/15/2027 144A | Long | Debt | US | $3K | – | 0.03 |
| IQVIA INC 5% 10/15/2026 144A | Long | Debt | US | $2K | – | 0.02 |
| JPMORGAN CHASE and CO 0.768%/VAR 08/09/2025 | Long | Debt | US | $129K | – | 1.12 |
| JPMORGAN CHASE and CO 2.963%/VAR 01/25/2033 | Long | Debt | US | $34K | – | 0.30 |
| JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033 | Long | Debt | US | $13K | – | 0.11 |
| KEHE DIST/FIN / NEXTWAVE 9% 02/15/2029 144A | Long | Debt | US | $5K | – | 0.04 |
| KOBE US MIDCO 2 INC PIK VAR 11/01/2026 144A | Long | Debt | US | $3K | – | 0.02 |
| KOHLS CORP 4.25% 07/17/2025 | Long | Debt | US | $2K | – | 0.02 |
| KOSMOS ENERGY LTD 7.5% 03/01/2028 144A | Long | Debt | US | $949.01 | – | 0.01 |
| KOSMOS ENERGY LTD 7.75% 05/01/2027 144A | Long | Debt | US | $973.61 | – | 0.01 |
| LABL INC 10.5% 07/15/2027 144A | Long | Debt | US | $973.49 | – | 0.01 |
| LABL INC 6.75% 07/15/2026 144A | Long | Debt | US | $988.19 | – | 0.01 |
| LANDSEA HOMES CORP 8.875% 04/01/2029 144A | Long | Debt | US | $969.38 | – | 0.01 |
| LBM ACQUISITION LLC 6.25% 01/15/2029 144A | Long | Debt | US | $5K | – | 0.04 |
| LCPR SENIOR SECURED FINANCING DAC 6.75% 10/15/2027 144A | Long | Debt | IE | $2K | – | 0.02 |
| LEVEL 3 FINANCING INC 11% 11/15/2029 144A | Long | Debt | US | $1K | – | 0.01 |
| LEVEL 3 FINANCING INC 4% 04/15/2031 144A | Long | Debt | US | $6K | – | 0.05 |
| LIFE TIME INC 5.75% 01/15/2026 144A | Long | Debt | US | $4K | – | 0.03 |
| LIFE TIME INC 8% 04/15/2026 144A | Long | Debt | US | $11K | – | 0.10 |
| LIFEPOINT HEALTH INC 10% 06/01/2032 144A | Long | Debt | US | $5K | – | 0.04 |
| LIFEPOINT HEALTH INC 5.375% 01/15/2029 144A | Long | Debt | US | $5K | – | 0.04 |
| LIQUID TELECOMMUNICATIONS FINANCING PLC 5.5% 09/04/2026 144A | Long | Debt | GB | $1K | – | 0.01 |
| LOWES COS INC 3.75% 04/01/2032 | Long | Debt | US | $45K | – | 0.39 |
| LOWES COS INC 4.25% 04/01/2052 | Long | Debt | US | $39K | – | 0.34 |
| M and T BANK CORP 3.5%/VAR PERP | Long | Equity-preferred | US | $822.83 | – | 0.01 |
| M and T BANK CORP 5.125/VAR PERP | Long | Equity-preferred | US | $938.73 | – | 0.01 |
| MACQUARIE AIRFINANCE HOLDINGS LTD 6.5% 03/26/2031 144A | Long | Debt | GB | $5K | – | 0.04 |
| MACQUARIE AIRFINANCE HOLDINGS LTD 8.375% 05/01/2028 144A | Long | Debt | GB | $5K | – | 0.05 |
| MACYS RETAIL HOLDINGS LLC 5.875% 04/01/2029 144A | Long | Debt | US | $2K | – | 0.02 |
| MAJORDRIVE HOLDINGS IV LLC 6.375% 06/01/2029 144A | Long | Debt | US | $6K | – | 0.05 |
| MARSH and MCLENNAN COS INC 2.375% 12/15/2031 | Long | Debt | US | $91K | – | 0.79 |
| MCLAREN FINANCE PLC 7.5% 08/01/2026 144A | Long | Debt | GB | $2K | – | 0.02 |
| MEG ENERGY CORP 5.875% 02/01/2029 144A | Long | Debt | CA | $15K | – | 0.13 |
| MERCER INTERNATIONAL INC 5.125% 02/01/2029 | Long | Debt | US | $3K | – | 0.02 |
| METHANEX CORP 5.125% 10/15/2027 | Long | Debt | CA | $5K | – | 0.04 |
| METHANEX CORP 5.65% 12/01/2044 | Long | Debt | CA | $13K | – | 0.11 |
| MICHAELS COS INC 5.25% 05/01/2028 144A | Long | Debt | US | $10K | – | 0.08 |
| MICROCHIP TECHNOLOGY INC CONV 0.75% 06/01/2030 144A | Long | Debt | US | $1K | – | 0.01 |
| MICRON TECHNOLOGY INC 2.703% 04/15/2032 | Long | Debt | US | $45K | – | 0.40 |
| MILLICOM INTL CELLULAR SA 4.5% 04/27/2031 144A | Long | Debt | LU | $855.13 | – | 0.01 |
| MINERAL RESOURCES LTD 8.5% 05/01/2030 144A | Long | Debt | AU | $12K | – | 0.11 |
| MKS INSTRUMENTS INC CONV 1.25% 06/01/2030 144A | Long | Debt | US | $1K | – | 0.01 |
| MODIVCARE INC 5.875% 11/15/2025 144A | Long | Debt | US | $6K | – | 0.05 |
| MORGAN STANLEY 0.864%/VAR 10/21/2025 | Long | Debt | US | $137K | – | 1.20 |
| MORGAN STANLEY 4.889%/VAR 07/20/2033 | Long | Debt | US | $30K | – | 0.26 |
| MPT OPER PARTNERSHIP LP/CORP 4.625% 08/01/2029 (MPT OPER PARTNERSHIP LP / MPT FIN CORP) | Long | Debt | US | $4K | – | 0.03 |
| MPT OPER PARTNERSHIP LP/CORP 5.25% 08/01/2026 (MPT OPER PARTNERSHIP LP / MPT FIN CORP) | Long | Debt | US | $907.81 | – | 0.01 |
| MPT OPER PARTNERSHIP LP/CORP 5% 10/15/2027 (MPT OPER PARTNERSHIP LP / MPT FIN CORP) | Long | Debt | US | $8K | – | 0.07 |
| MURPHY OIL USA INC 3.75% 02/15/2031 144A | Long | Debt | US | $3K | – | 0.02 |
| NATWEST GRP PLC(UNGTD) 2.057%/VAR 11/09/2028 REGS (NATWEST GROUP PLC) | Long | Debt | GB | $114K | – | 0.99 |
| NCR VOYIX CORP 5.125% 04/15/2029 144A | Long | Debt | US | $3K | – | 0.02 |
| NEPTUNE BIDCO US INC 9.29% 04/15/2029 144A | Long | Debt | US | $3K | – | 0.02 |
| NEW FORTRESS ENERGY INC | Long | Equity-common | US | $1K | 47 | 0.01 |
| NEW FORTRESS ENERGY INC 6.5% 09/30/2026 144A | Long | Debt | US | $8K | – | 0.07 |
| NEW FORTRESS ENERGY INC 8.75% 03/15/2029 144A | Long | Debt | US | $3K | – | 0.03 |
| NEXTERA ENERGY OPERATING PARTNERS LP 4.5% 09/15/2027 144A | Long | Debt | US | $940.97 | – | 0.01 |
| NEXTERA ENERGY PARTNERS LP CONV 2.5% 06/15/2026 144A | Long | Debt | US | $3K | – | 0.02 |
| NISOURCE INC 1.7% 02/15/2031 | Long | Debt | US | $95K | – | 0.83 |
| NORDSTROM INC 4.375% 04/01/2030 | Long | Debt | US | $4K | – | 0.03 |
| NORTHERN OIL AND GAS INC 8.125% 03/01/2028 144A | Long | Debt | US | $4K | – | 0.04 |
| NORTHERN STATES POWER CO (MN) 2.25% 04/01/2031 | Long | Debt | US | $67K | – | 0.58 |
| NOVA CHEMICALS CORP 4.25% 05/15/2029 144A | Long | Debt | CA | $877.32 | – | 0.01 |
| NOVA CHEMICALS CORP 8.5% 11/15/2028 144A | Long | Debt | CA | $5K | – | 0.05 |
| NOVA CHEMICALS CORP 9% 02/15/2030 144A | Long | Debt | CA | $5K | – | 0.05 |
| NXP B V/NXP FDG LLC/NXP USA INC 2.5% 05/11/2031 | Long | Debt | NL | $42K | – | 0.36 |
| OCEANEERING INTERNATIONAL INC 6% 02/01/2028 | Long | Debt | US | $6K | – | 0.05 |
| OI EUROPEAN GROUP BV 4.75% 02/15/2030 144A | Long | Debt | NL | $3K | – | 0.02 |
| OLIN CORP 5% 02/01/2030 | Long | Debt | US | $5K | – | 0.04 |
| OLYMPUS WATER US HOLDING CORPORATION 6.25% 10/01/2029 144A | Long | Debt | US | $8K | – | 0.07 |
| OLYMPUS WATER US HOLDING CORPORATION 9.75% 11/15/2028 144A | Long | Debt | US | $2K | – | 0.02 |
| OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033 | Long | Debt | US | $2K | – | 0.01 |
| ON SEMICONDUCTOR CORP 3.875% 09/01/2028 144A | Long | Debt | US | $913.15 | – | 0.01 |
| ONCOR ELEC DELIVERY CO LLC 4.15% 06/01/2032 | Long | Debt | US | $42K | – | 0.36 |
| ONEMAIN FINANCE CORP 3.5% 01/15/2027 | Long | Debt | US | $5K | – | 0.04 |
| ONEMAIN FINANCE CORP 3.875% 09/15/2028 | Long | Debt | US | $12K | – | 0.10 |
| OPEN TEXT CORPORATION 3.875% 02/15/2028 144A | Long | Debt | CA | $3K | – | 0.02 |
| OPEN TEXT CORPORATION 3.875% 12/01/2029 144A | Long | Debt | CA | $6K | – | 0.05 |
| OPEN TEXT HOLDINGS INC 4.125% 02/15/2030 144A | Long | Debt | US | $4K | – | 0.04 |
| OPEN TEXT HOLDINGS INC 4.125% 12/01/2031 144A | Long | Debt | US | $2K | – | 0.02 |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 5.125% 04/30/2031 144A | Long | Debt | US | $6K | – | 0.05 |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 6.75% 05/15/2034 144A | Long | Debt | US | $5K | – | 0.04 |
| OSCAR ACQUISITIONCO LLC / OSCAR FINANCE INC 9.5% 04/15/2030 144A | Long | Debt | US | $2K | – | 0.02 |
| OTIS WORLDWIDE CORP 2.565% 02/15/2030 | Long | Debt | US | $44K | – | 0.38 |
| OUTFRONT MEDIA CAP LLC / OUTFRONT MEDIA CAP CORP 7.375% 02/15/2031 144A | Long | Debt | US | $5K | – | 0.05 |
| OWENS and MINOR INC 6.625% 04/01/2030 144A | Long | Debt | US | $3K | – | 0.02 |
| OWENS BROCKWAY GLASS CONT INC 7.375% 06/01/2032 144A | Long | Debt | US | $5K | – | 0.04 |
| PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER 7% 02/01/2030 144A | Long | Debt | US | $5K | – | 0.04 |
| PEDIATRIX MEDICAL GROUP INC 5.375% 02/15/2030 144A | Long | Debt | US | $3K | – | 0.03 |
| PENNYMAC CORP CONV 8.5% 06/01/2029 144A | Long | Debt | US | $976.83 | – | 0.01 |
| PERFORMANCE FOOD GROUP INC 4.25% 08/01/2029 144A | Long | Debt | US | $3K | – | 0.02 |
| PERMIAN RESOURCES OPERATING LLC 5.875% 07/01/2029 144A | Long | Debt | US | $4K | – | 0.03 |
| PG and E CORP 5.25% 07/01/2030 | Long | Debt | US | $3K | – | 0.02 |
| PG and E CORP 5% 07/01/2028 | Long | Debt | US | $2K | – | 0.02 |
| PG and E CORP CONV 4.25% 12/01/2027 144A | Long | Debt | US | $1K | – | 0.01 |
| PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A | Long | ABS-collateralized bond/debt obligation | US | $43K | – | 0.38 |
| POST HLDGS INC 4.5% 09/15/2031 144A (POST HOLDINGS INC) | Long | Debt | US | $4K | – | 0.04 |
| POST HLDGS INC 4.625% 04/15/2030 144A (POST HOLDINGS INC) | Long | Debt | US | $3K | – | 0.02 |
| POST HLDGS INC 6.25% 02/15/2032 144A (POST HOLDINGS INC) | Long | Debt | US | $5K | – | 0.04 |
| POWER STOP TERM 1LN 01/26/2029 (POWER STOP LLC) | Long | Loan | US | $970 | – | 0.01 |
| PRA GROUP INC 8.875% 01/31/2030 144A | Long | Debt | US | $5K | – | 0.04 |
| PRAIRIE ACQUIROR LP 9% 08/01/2029 144A | Long | Debt | US | $5K | – | 0.04 |
| PROLOGIS LP 2.875% 11/15/2029 | Long | Debt | US | $58K | – | 0.51 |
| PUGET ENERGY INC 4.224% 03/15/2032 | Long | Debt | US | $53K | – | 0.47 |
| RACKSPACE FINANCE LLC 3.5% 05/15/2028 144A | Long | Debt | US | $659.35 | – | 0.01 |
| RACKSPACE FINANCE TERM B SUPER PRIORITY 1LN 05/15/2028 (RACKSPACE FINANCE LLC) | Long | Loan | US | $389.75 | – | 0.00 |
| RADIOLOGY PARTNERS INC PIK 7.775%/VAR 01/31/2029 144A | Long | Debt | US | $2K | – | 0.01 |
| RAILWORKS HOLDINGS LP/R 8.25% 11/15/2028 144A | Long | Debt | US | $5K | – | 0.04 |
| RAND PARENT LLC 8.5% 02/15/2030 144A | Long | Debt | US | $9K | – | 0.08 |
| REALOGY GROUP LLC / REALOGY CO-ISSUER CORP 5.25% 04/15/2030 144A | Long | Debt | US | $1K | – | 0.01 |
| REALOGY GROUP LLC / REALOGY CO-ISSUER CORP 5.75% 01/15/2029 144A | Long | Debt | US | $686.25 | – | 0.01 |
| REALOGY GROUP LLC / REALOGY CO-ISSUER CORP CONV 0.25% 06/15/2026 | Long | Debt | US | $2K | – | 0.01 |
| REDFIN CORP CONV 0.5% 04/01/2027 (REDFIN CORPORATION) | Long | Debt | US | $4K | – | 0.04 |
| REXFORD INDUSTRIAL REALTY LP CONV 4.125% 03/15/2029 144A | Long | Debt | US | $973.67 | – | 0.01 |
| REXFORD INDUSTRIAL REALTY LP CONV 4.375% 03/15/2027 144A | Long | Debt | US | $982.85 | – | 0.01 |
| RITHM CAPITAL CORP 6.25% 10/15/2025 144A | Long | Debt | US | $990.97 | – | 0.01 |
| RITHM CAPITAL CORP 8% 04/01/2029 144A | Long | Debt | US | $5K | – | 0.04 |
| RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC FRN TSFR6M+603 5 10/15/2026 144A | Long | Debt | US | $9K | – | 0.08 |
| ROYAL CARIBBEAN CRUISES LTD 6.25% 03/15/2032 144A | Long | Debt | LR | $5K | – | 0.04 |
| SALLY HOLDINGS LLC / CAP INC 6.75% 03/01/2032 (SALLY HOLDINGS LLC / SALLY CAP INC) | Long | Debt | US | $5K | – | 0.04 |
| SANTANDER HLDGS USA INC 6.499%/VAR 03/09/2029 | Long | Debt | US | $10K | – | 0.09 |
| SANTANDER HLDGS USA INC SOFR 5.807%/VAR 09/09/2026 | Long | Debt | US | $15K | – | 0.13 |
| SCIH SALT HLDGS INC 6.625% 05/01/2029 144A | Long | Debt | US | $941.84 | – | 0.01 |
| SEAGATE HDD CAYMAN 4.125% 01/15/2031 | Long | Debt | KY | $3K | – | 0.02 |
| SEAGATE HDD CAYMAN 5.75% 12/01/2034 | Long | Debt | KY | $2K | – | 0.02 |
| SEAGATE HDD CAYMAN 8.25% 12/15/2029 144A | Long | Debt | KY | $5K | – | 0.05 |
| SEASPAN CORPORATION 5.5% 08/01/2029 144A | Long | Debt | MH | $3K | – | 0.02 |
| SENSATA TECHNOLOGIES BV 4% 04/15/2029 144A | Long | Debt | NL | $4K | – | 0.03 |
| SENSATA TECHNOLOGIES BV 5% 10/01/2025 144A | Long | Debt | NL | $5K | – | 0.04 |
| SIGMA HOLDCO BV 7.875% 05/15/2026 144A | Long | Debt | NL | $3K | – | 0.03 |
| SLM CORP 4.2% 10/29/2025 | Long | Debt | US | $3K | – | 0.03 |
| SOTERA HEALTH HOLDINGS LLC 7.375% 06/01/2031 144A | Long | Debt | US | $7K | – | 0.06 |
| SOTHEBYS 7.375% 10/15/2027 144A | Long | Debt | US | $4K | – | 0.04 |
| SOUTHWESTERN ENERGY CO 5.375% 03/15/2030 | Long | Debt | US | $3K | – | 0.03 |
| SPIRIT AEROSYSTEMS INC 9.75% 11/15/2030 144A | Long | Debt | US | $2K | – | 0.02 |
| SPIRIT LOYALTY CAYMAN LTD / SPIRIT IP CAYMAN LTD 8% 09/20/2025 144A | Long | Debt | KY | $2K | – | 0.01 |
| STAPLES INC 10.75% 04/15/2027 144A | Long | Debt | US | $4K | – | 0.03 |
| STAPLES INC 10.75% 09/01/2029 144A | Long | Debt | US | $5K | – | 0.04 |
| STAPLES INC 7.5% 04/15/2026 144A | Long | Debt | US | $6K | – | 0.05 |
| STAPLES TERM B 1LN 08/23/2029 (STAPLES INC) | Long | Loan | US | $5K | – | 0.04 |
| STARWOOD PPTY TR INC 3.75% 12/31/2024 144A (STARWOOD PROPERTY TRUST INC) | Long | Debt | US | $2K | – | 0.02 |
| STARWOOD PPTY TR INC 7.25% 04/01/2029 144A (STARWOOD PROPERTY TRUST INC) | Long | Debt | US | $5K | – | 0.04 |
| STATE STREET CORP 3.031%/VAR 11/01/2034 | Long | Debt | US | $39K | – | 0.34 |
| STERICYCLE INC 3.875% 01/15/2029 144A | Long | Debt | US | $11K | – | 0.10 |
| STONEMOR INC 8.5% 05/15/2029 144A | Long | Debt | US | $2K | – | 0.02 |
| SUNNOVA ENERGY CORP 5.875% 09/01/2026 144A | Long | Debt | US | $7K | – | 0.06 |
| SUNNOVA ENERGY INTERNATIONAL INC CONV 0.25% 12/01/2026 | Long | Debt | US | $872 | – | 0.01 |
| SUNOCO LP / SUNOCO FIN CORP 4.5% 05/15/2029 | Long | Debt | US | $11K | – | 0.10 |
| SURGERY CENTER HLDGS INC 7.25% 04/15/2032 144A | Long | Debt | US | $5K | – | 0.04 |
| SYMPHONY CLO XXVI LTD 2021-26A AR TSFR3M+134.161 04/20/2033 144A (SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC) | Long | ABS-collateralized bond/debt obligation | KY | $321K | – | 2.80 |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 03/01/2027 144A | Long | Debt | US | $8K | – | 0.07 |
| TAPESTRY INC 3.05% 03/15/2032 | Long | Debt | US | $44K | – | 0.39 |
| TAYLOR MORRISON COMMUNITIES INC 5.125% 08/01/2030 144A | Long | Debt | US | $7K | – | 0.06 |
| TELEFONICA EUROPE BV 2.502%/VAR PERP REGS | Long | Equity-preferred | NL | $102K | – | 0.89 |
| TELUS CORPORATION 3.4% 05/13/2032 | Long | Debt | CA | $39K | – | 0.34 |
| TENET HEALTHCARE CORP 6.125% 10/01/2028 | Long | Debt | US | $20K | – | 0.17 |
| TERRAFORM POWER OPERATING LLC 4.75% 01/15/2030 144A | Long | Debt | US | $4K | – | 0.03 |
| TJX COMPANIES INC NEW 3.875% 04/15/2030 | Long | Debt | US | $38K | – | 0.33 |
| TRANE TECHNOLOGIES FINANCING LTD 3.8% 03/21/2029 | Long | Debt | IE | $57K | – | 0.50 |
| TRANSDIGM INC 6.375% 03/01/2029 144A | Long | Debt | US | $5K | – | 0.04 |
| TRI POINTE HOMES INC 5.25% 06/01/2027 | Long | Debt | US | $2K | – | 0.02 |
| TRITON WATER HOLDINGS 6.25% 04/01/2029 144A | Long | Debt | US | $5K | – | 0.04 |
| TTM TECHNOLOGIES INC 4% 03/01/2029 144A | Long | Debt | US | $4K | – | 0.03 |
| TULLOW OIL PLC 10.25% 05/15/2026 144A | Long | Debt | GB | $966.15 | – | 0.01 |
| TULLOW OIL PLC 7% 03/01/2025 144A | Long | Debt | GB | $966.52 | – | 0.01 |
| UBER TECHNOLOGIES INC 4.5% 08/15/2029 144A | Long | Debt | US | $16K | – | 0.14 |
| UKG INC 6.875% 02/01/2031 144A | Long | Debt | US | $5K | – | 0.04 |
| UMBS 30YR 2.5% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $262K | – | 2.29 |
| UMBS 30YR 2.5% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Short | ABS-mortgage backed security | US | $-202K | – | -1.76 |
| UMBS 30YR 2.5% 07/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $162K | – | 1.41 |
| UMBS 30YR 2% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $578K | – | 5.04 |
| UMBS 30YR 2% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Short | ABS-mortgage backed security | US | $-501K | – | -4.37 |
| UMBS 30YR 2% 07/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $386K | – | 3.37 |
| UMBS 30YR 3.5% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $175K | – | 1.53 |
| UMBS 30YR 3.5% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Short | ABS-mortgage backed security | US | $-175K | – | -1.53 |
| UMBS 30YR 3.5% 07/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $88K | – | 0.76 |
| UMBS 30YR 3% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $168K | – | 1.47 |
| UMBS 30YR 3% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Short | ABS-mortgage backed security | US | $-126K | – | -1.10 |
| UMBS 30YR 3% 07/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $126K | – | 1.10 |
| UMBS 30YR 4.5% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $23K | – | 0.20 |
| UMBS 30YR 4% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $91K | – | 0.79 |
| UMBS 30YR 4% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Short | ABS-mortgage backed security | US | $-45K | – | -0.40 |
| UMBS 30YR 4% 07/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $45K | – | 0.40 |
| UMBS 30YR 5.5% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $98K | – | 0.86 |
| UMBS 30YR 5.5% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Short | ABS-mortgage backed security | US | $-49K | – | -0.43 |
| UMBS 30YR 6.5% 06/01/2054 #TBA (FNMA/FHLG TBA ISSUER) | Long | ABS-mortgage backed security | US | $254K | – | 2.22 |
| UNICREDIT SPA 5.861%/VAR 06/19/2032 144A | Long | Debt | IT | $2K | – | 0.02 |
| UNITED PLANET FITNESS TERM 1LN 12/30/2026 (UNITED PF HOLDINGS LLC) | Long | Loan | US | $4K | – | 0.04 |
| UNITED RENTALS NORTH AMER INC 6.125% 03/15/2034 144A | Long | Debt | US | $5K | – | 0.04 |
| UNITED STATES TREASURY BOND 2.25% 02/15/2052 | Long | Debt | US | $733K | – | 6.39 |
| UNITED STATES TREASURY BOND 2.25% 05/15/2041 | Long | Debt | US | $26K | – | 0.22 |
| UNITED STATES TREASURY BOND 3.375% 08/15/2042 | Long | Debt | US | $67K | – | 0.58 |
| UNITED STATES TREASURY BOND 3.625% 02/15/2053 | Long | Debt | US | $95K | – | 0.83 |
| UNITED STATES TREASURY BOND 4.25% 02/15/2054 | Long | Debt | US | $124K | – | 1.08 |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC 10.5% 02/15/2028 144A | Long | Debt | US | $8K | – | 0.07 |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC 10.5% 02/15/2028 144A | Long | Debt | US | $2K | – | 0.02 |
| UNITI GRP/UNITI HLD/CSL 6% 01/15/2030 144A (UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC) | Long | Debt | US | $12K | – | 0.10 |
| UNIVISION COMMUNICATIONS INC 7.375% 06/30/2030 144A | Long | Debt | US | $8K | – | 0.07 |
| UNIVISION COMMUNICATIONS INC 8.5% 07/31/2031 144A | Long | Debt | US | $5K | – | 0.04 |
| UNIVISION COMMUNICATIONS INC 8% 08/15/2028 144A | Long | Debt | US | $5K | – | 0.04 |
| US 2YR NOTE (CBT) FUT SEP24 TUU4 (CHICAGO BOARD OF TRADE) | Derivative-interest rate | US | $-189.22 | – | -0.00 | |
| US 5YR NOTE (CBT) FUT SEP24 FVU4 (CHICAGO BOARD OF TRADE) | Derivative-interest rate | US | $-644.07 | – | -0.01 | |
| US FOODS INC 4.625% 06/01/2030 144A | Long | Debt | US | $4K | – | 0.03 |
| UST NOTES 3.375% 05/15/2033 | Long | Debt | US | $344K | – | 3.00 |
| UST NOTES 3.5% 02/15/2033 | Long | Debt | US | $664K | – | 5.79 |
| UST NOTES 3.625% 03/31/2030 | Long | Debt | US | $191K | – | 1.67 |
| UST NOTES 3.75% 05/31/2030 | Long | Debt | US | $96K | – | 0.84 |
| UST NOTES 4.125% 08/31/2030 | Long | Debt | US | $113K | – | 0.98 |
| UST NOTES 4.375% 11/30/2030 | Long | Debt | US | $163K | – | 1.42 |
| UST NOTES 4% 01/31/2029 | Long | Debt | US | $147K | – | 1.28 |
| UST NOTES 4% 01/31/2031 | Long | Debt | US | $77K | – | 0.67 |
| UST NOTES 4% 02/15/2034 | Long | Debt | US | $56K | – | 0.49 |
| VALLOUREC SA 7.5% 04/15/2032 144A | Long | Debt | FR | $7K | – | 0.06 |
| VERITAS US INC / VERITAS BERMUDA LTD 7.5% 09/01/2025 144A | Long | Debt | US | $913.49 | – | 0.01 |
| VERIZON COMMUNICATIONS INC 5.05% 05/09/2033 | Long | Debt | US | $93K | – | 0.82 |
| VERIZON MASTER TRUST 2021-1 A 0.99% 04/20/2028 | Long | ABS-collateralized bond/debt obligation | US | $53K | – | 0.46 |
| VERTICAL HOLDCO GMBH 7.625% 07/15/2028 144A | Long | Debt | DE | $2K | – | 0.02 |
| VIALTO TERM 1LN 04/29/2029 (GALAXY US OPCO INC) | Long | Loan | US | $2K | – | 0.02 |
| VICI PROPERTIES LP 6.125% 04/01/2054 | Long | Debt | US | $2K | – | 0.02 |
| VIRIDIEN 8.75% 04/01/2027 144A | Long | Debt | FR | $10K | – | 0.08 |
| VIRTUSA CORP 7.125% 12/15/2028 144A | Long | Debt | US | $5K | – | 0.05 |
| VM CONSOLIDATED INC 5.5% 04/15/2029 144A | Long | Debt | US | $2K | – | 0.02 |
| VONOVIA SE 0.625% 03/24/2031 REGS | Long | Debt | DE | $85K | – | 0.75 |
| WALT DISNEY CO 2.65% 01/13/2031 | Long | Debt | US | $48K | – | 0.42 |
| WARNERMEDIA HOLDINGS INC 4.279% 03/15/2032 | Long | Debt | US | $47K | – | 0.41 |
| WARNERMEDIA HOLDINGS INC 5.141% 03/15/2052 | Long | Debt | US | $44K | – | 0.39 |
| WAYFAIR INC CONV 0.625% 10/01/2025 | Long | Debt | US | $2K | – | 0.02 |
| WESTERN ALLIANCE BANCORPORATN 3/VAR 06/15/2031 | Long | Debt | US | $4K | – | 0.03 |
| WESTERN DIGITAL CORP 2.85% 02/01/2029 | Long | Debt | US | $862.17 | – | 0.01 |
| WESTERN DIGITAL CORP 3.1% 02/01/2032 | Long | Debt | US | $811.14 | – | 0.01 |
| WISCONSIN ELEC PWR CO 4.75% 09/30/2032 | Long | Debt | US | $63K | – | 0.55 |
| WOLFSPEED INC CONV 1.875% 12/01/2029 | Long | Debt | US | $4K | – | 0.03 |
| WP CAREY INC 2.45% 02/01/2032 | Long | Debt | US | $56K | – | 0.49 |
| YUM BRANDS INC 4.625% 01/31/2032 | Long | Debt | US | $6K | – | 0.06 |
| ZF NORTH AMER CAP INC 6.75% 04/23/2030 144A | Long | Debt | US | $5K | – | 0.04 |
| ZIGGO BOND CO 6% 01/15/2027 144A | Long | Debt | NL | $2K | – | 0.02 |
| ZOETIS INC 2% 05/15/2030 | Long | Debt | US | $42K | – | 0.36 |
Address
Fidelity Merrimack Street Trust
245 Summer Street
Boston
Massachusetts
02210
United States of America
Directors
ELIZABETH S ACTON
JENNIFER TOOLIN MCAULIFFE
JOHN ENGLER
MARK A MURRAY
ROBERT F GARTLAND
LAURA M. BISHOP
ROBERT W. HELM
ANN E DUNWOODY
ABIGAIL JOHNSON
MICHAEL E KENNEALLY
ARTHUR E JOHNSON
CHRISTINE J. THOMPSON
CAROL J. ZIERHOFFER
Transfer Agents
STATE STREET BANK AND TRUST COMPANY
Pricing Services
PRICINGDIRECT INC
INTERCONTINENTAL EXCHANGE INC
REFINITIV US HOLDINGS INC
Custodians
STATE STREET BANK AND TRUST COMPANY
EUROCLEAR
Shareholder Servicing Agents
STATE STREET BANK AND TRUST COMPANY
Admins
Fidelity Service Company
Brokers
N/A