U.S. Government and Government Agency Obligations - 65.3%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
U.S. Government Agency Obligations - 0.2%
|
|||
Tennessee Valley Authority:
|
|||
5.25% 9/15/39
|
2,235
|
2,563
|
|
5.375% 4/1/56
|
2,737
|
3,465
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
|
6,028
|
||
U.S. Treasury Obligations - 64.8%
|
|||
U.S. Treasury Bonds:
|
|||
1.875% 11/15/51
|
25,104
|
19,126
|
|
2% 11/15/41
|
49,958
|
40,567
|
|
2% 8/15/51
|
108,762
|
85,340
|
|
2.25% 2/15/52
|
18,700
|
15,641
|
|
2.375% 2/15/42
|
353
|
306
|
|
2.5% 2/15/45 (b)(c)
|
141,861
|
122,527
|
|
2.875% 5/15/49
|
4,458
|
4,224
|
|
2.875% 5/15/52
|
1,785
|
1,718
|
|
3% 2/15/49
|
95,774
|
92,702
|
|
3.25% 5/15/42
|
1,766
|
1,760
|
|
4.75% 2/15/37 (b)(c)
|
55,003
|
67,171
|
|
U.S. Treasury Notes:
|
|||
0.125% 6/30/22
|
65,019
|
64,979
|
|
0.125% 7/31/22
|
81,300
|
81,182
|
|
0.125% 8/15/23
|
4,413
|
4,304
|
|
0.25% 5/15/24
|
4,258
|
4,075
|
|
0.25% 7/31/25
|
34,133
|
31,544
|
|
0.25% 9/30/25
|
870
|
800
|
|
0.25% 10/31/25
|
17,700
|
16,249
|
|
0.375% 10/31/23
|
58,000
|
56,450
|
|
0.375% 4/30/25
|
236,870
|
221,316
|
|
0.5% 11/30/23
|
75,000
|
72,967
|
|
0.625% 10/15/24
|
25,100
|
23,948
|
|
0.75% 8/31/26
|
30,000
|
27,516
|
|
0.875% 9/30/26
|
93,224
|
85,817
|
|
1.125% 10/31/26
|
47,300
|
43,965
|
|
1.125% 8/31/28 (b)
|
437,936
|
393,781
|
|
1.5% 9/30/24
|
13,631
|
13,288
|
|
1.5% 10/31/24
|
24,300
|
23,654
|
|
1.5% 1/31/27
|
22,230
|
20,938
|
|
1.625% 11/15/22
|
12,773
|
12,778
|
|
1.625% 9/30/26
|
1,028
|
978
|
|
1.75% 7/31/24
|
1,720
|
1,690
|
|
1.875% 7/31/22
|
37,445
|
37,498
|
|
1.875% 2/28/29
|
4,400
|
4,134
|
|
1.875% 2/15/32
|
58,861
|
53,982
|
|
2% 8/15/25
|
9,743
|
9,515
|
|
2.125% 7/31/24
|
59,641
|
59,079
|
|
2.125% 5/15/25
|
11,929
|
11,728
|
|
2.25% 4/30/24 (d)
|
87,731
|
87,309
|
|
2.25% 12/31/24
|
6,135
|
6,070
|
|
2.25% 3/31/26
|
928
|
910
|
|
2.375% 3/31/29
|
23,000
|
22,270
|
|
2.5% 2/28/26
|
68,418
|
67,715
|
|
2.5% 3/31/27
|
46,600
|
45,912
|
|
2.625% 6/30/23
|
5,027
|
5,049
|
|
2.625% 5/31/27
|
30,080
|
29,810
|
|
2.75% 2/15/24
|
74,509
|
74,899
|
|
2.75% 4/30/27
|
47,200
|
47,027
|
|
2.875% 4/30/29
|
7,778
|
7,775
|
|
2.875% 5/15/32
|
10,792
|
10,806
|
|
3.125% 11/15/28
|
12,149
|
12,305
|
|
TOTAL U.S. TREASURY OBLIGATIONS
|
2,247,094
|
||
Other Government Related - 0.3%
|
|||
Private Export Funding Corp. Secured 1.75% 11/15/24
|
8,660
|
8,385
|
|
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $2,403,723)
|
2,261,507
|
||
U.S. Government Agency - Mortgage Securities - 36.8%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Fannie Mae - 12.0%
|
|||
12 month U.S. LIBOR + 1.360% 1.615% 10/1/35 (e)(f)
|
6
|
6
|
|
12 month U.S. LIBOR + 1.440% 1.945% 4/1/37 (e)(f)
|
1
|
1
|
|
12 month U.S. LIBOR + 1.460% 1.856% 1/1/35 (e)(f)
|
11
|
11
|
|
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (e)(f)
|
18
|
19
|
|
12 month U.S. LIBOR + 1.530% 1.94% 3/1/36 (e)(f)
|
69
|
71
|
|
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (e)(f)
|
17
|
18
|
|
12 month U.S. LIBOR + 1.550% 1.984% 2/1/44 (e)(f)
|
27
|
27
|
|
12 month U.S. LIBOR + 1.550% 2.172% 5/1/44 (e)(f)
|
40
|
41
|
|
12 month U.S. LIBOR + 1.560% 1.935% 2/1/44 (e)(f)
|
58
|
60
|
|
12 month U.S. LIBOR + 1.560% 2.065% 3/1/37 (e)(f)
|
85
|
88
|
|
12 month U.S. LIBOR + 1.570% 1.82% 5/1/44 (e)(f)
|
2
|
2
|
|
12 month U.S. LIBOR + 1.570% 2.149% 4/1/44 (e)(f)
|
138
|
141
|
|
12 month U.S. LIBOR + 1.580% 1.83% 1/1/44 (e)(f)
|
60
|
61
|
|
12 month U.S. LIBOR + 1.580% 2.08% 4/1/44 (e)(f)
|
43
|
44
|
|
12 month U.S. LIBOR + 1.620% 1.93% 5/1/35 (e)(f)
|
3
|
3
|
|
12 month U.S. LIBOR + 1.620% 2.002% 3/1/33 (e)(f)
|
14
|
15
|
|
12 month U.S. LIBOR + 1.630% 1.815% 9/1/36 (e)(f)
|
1
|
1
|
|
12 month U.S. LIBOR + 1.630% 2.164% 11/1/36 (e)(f)
|
17
|
18
|
|
12 month U.S. LIBOR + 1.640% 2.05% 5/1/36 (e)(f)
|
3
|
3
|
|
12 month U.S. LIBOR + 1.640% 2.089% 6/1/47 (e)(f)
|
25
|
26
|
|
12 month U.S. LIBOR + 1.680% 2.011% 7/1/43 (e)(f)
|
33
|
34
|
|
12 month U.S. LIBOR + 1.700% 2.379% 6/1/42 (e)(f)
|
56
|
58
|
|
12 month U.S. LIBOR + 1.730% 2.012% 3/1/40 (e)(f)
|
168
|
173
|
|
12 month U.S. LIBOR + 1.730% 2.377% 5/1/36 (e)(f)
|
30
|
31
|
|
12 month U.S. LIBOR + 1.750% 2% 8/1/41 (e)(f)
|
4
|
4
|
|
12 month U.S. LIBOR + 1.750% 2.134% 7/1/35 (e)(f)
|
33
|
34
|
|
12 month U.S. LIBOR + 1.770% 2.071% 2/1/37 (e)(f)
|
38
|
39
|
|
12 month U.S. LIBOR + 1.800% 2.05% 7/1/41 (e)(f)
|
37
|
39
|
|
12 month U.S. LIBOR + 1.800% 2.054% 12/1/40 (e)(f)
|
90
|
93
|
|
12 month U.S. LIBOR + 1.800% 2.054% 1/1/42 (e)(f)
|
170
|
175
|
|
12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (e)(f)
|
2
|
3
|
|
12 month U.S. LIBOR + 1.810% 2.068% 7/1/41 (e)(f)
|
47
|
49
|
|
12 month U.S. LIBOR + 1.810% 2.068% 9/1/41 (e)(f)
|
19
|
20
|
|
12 month U.S. LIBOR + 1.810% 2.304% 2/1/42 (e)(f)
|
91
|
94
|
|
12 month U.S. LIBOR + 1.820% 2.292% 2/1/35 (e)(f)
|
4
|
4
|
|
12 month U.S. LIBOR + 1.830% 2.08% 10/1/41 (e)(f)
|
18
|
18
|
|
12 month U.S. LIBOR + 1.850% 2.429% 4/1/36 (e)(f)
|
20
|
20
|
|
12 month U.S. LIBOR + 1.890% 2.535% 8/1/35 (e)(f)
|
21
|
22
|
|
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (e)(f)
|
4
|
5
|
|
6 month U.S. LIBOR + 1.470% 2.111% 10/1/33 (e)(f)
|
24
|
24
|
|
6 month U.S. LIBOR + 1.500% 1.736% 1/1/35 (e)(f)
|
5
|
5
|
|
6 month U.S. LIBOR + 1.510% 1.76% 2/1/33 (e)(f)
|
13
|
14
|
|
6 month U.S. LIBOR + 1.530% 1.785% 12/1/34 (e)(f)
|
23
|
24
|
|
6 month U.S. LIBOR + 1.530% 1.834% 3/1/35 (e)(f)
|
35
|
36
|
|
6 month U.S. LIBOR + 1.550% 1.948% 9/1/33 (e)(f)
|
30
|
31
|
|
6 month U.S. LIBOR + 1.550% 2.002% 10/1/33 (e)(f)
|
11
|
12
|
|
6 month U.S. LIBOR + 1.560% 1.815% 7/1/35 (e)(f)
|
17
|
18
|
|
6 month U.S. LIBOR + 1.960% 2.444% 9/1/35 (e)(f)
|
1
|
1
|
|
U.S. TREASURY 1 YEAR INDEX + 2.180% 2.294% 7/1/36 (e)(f)
|
3
|
3
|
|
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.583% 3/1/35 (e)(f)
|
14
|
14
|
|
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (e)(f)
|
4
|
4
|
|
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.408% 10/1/33 (e)(f)
|
27
|
28
|
|
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.667% 7/1/34 (e)(f)
|
4
|
5
|
|
1.5% 11/1/40 to 10/1/51
|
34,099
|
29,738
|
|
2% 12/1/36 to 3/1/52
|
101,238
|
90,881
|
|
2.5% 5/1/31 to 3/1/52
|
95,763
|
88,932
|
|
3% 1/1/28 to 5/1/52
|
95,738
|
92,274
|
|
3.4% 8/1/42 to 9/1/42
|
26
|
26
|
|
3.5% 5/1/36 to 3/1/52
|
97,263
|
95,884
|
|
4% 3/1/36 to 4/1/49
|
8,061
|
8,207
|
|
4.25% 11/1/41
|
6
|
6
|
|
4.5% to 4.5% 6/1/24 to 2/1/49
|
4,030
|
4,181
|
|
5% 3/1/23 to 2/1/49
|
1,191
|
1,258
|
|
5.237% 8/1/41 (e)
|
70
|
73
|
|
5.5% 12/1/23 to 8/1/25
|
4
|
4
|
|
6% to 6% 9/1/29 to 7/1/41
|
2,158
|
2,364
|
|
6.5% 7/1/23 to 8/1/36
|
589
|
644
|
|
6.637% 2/1/39 (e)
|
44
|
47
|
|
7% to 7% 4/1/23 to 6/1/33
|
25
|
27
|
|
7.5% to 7.5% 9/1/25 to 11/1/31
|
14
|
15
|
|
TOTAL FANNIE MAE
|
416,351
|
||
Freddie Mac - 5.7%
|
|||
12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (e)(f)
|
10
|
10
|
|
12 month U.S. LIBOR + 1.370% 1.684% 3/1/36 (e)(f)
|
6
|
6
|
|
12 month U.S. LIBOR + 1.500% 1.824% 3/1/36 (e)(f)
|
3
|
3
|
|
12 month U.S. LIBOR + 1.600% 1.85% 7/1/35 (e)(f)
|
11
|
11
|
|
12 month U.S. LIBOR + 1.660% 2.04% 7/1/36 (e)(f)
|
21
|
22
|
|
12 month U.S. LIBOR + 1.750% 2% 12/1/40 (e)(f)
|
40
|
41
|
|
12 month U.S. LIBOR + 1.750% 2% 7/1/41 (e)(f)
|
10
|
11
|
|
12 month U.S. LIBOR + 1.750% 2% 9/1/41 (e)(f)
|
342
|
354
|
|
12 month U.S. LIBOR + 1.860% 3.239% 4/1/36 (e)(f)
|
2
|
2
|
|
12 month U.S. LIBOR + 1.880% 2.13% 9/1/41 (e)(f)
|
28
|
29
|
|
12 month U.S. LIBOR + 1.880% 2.13% 10/1/41 (e)(f)
|
403
|
417
|
|
12 month U.S. LIBOR + 1.880% 3.255% 4/1/41 (e)(f)
|
7
|
7
|
|
12 month U.S. LIBOR + 1.900% 2.188% 10/1/42 (e)(f)
|
147
|
152
|
|
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (e)(f)
|
19
|
19
|
|
12 month U.S. LIBOR + 1.910% 2.295% 6/1/41 (e)(f)
|
73
|
76
|
|
12 month U.S. LIBOR + 1.910% 2.434% 5/1/41 (e)(f)
|
58
|
60
|
|
12 month U.S. LIBOR + 1.910% 2.729% 5/1/41 (e)(f)
|
55
|
57
|
|
12 month U.S. LIBOR + 2.020% 2.931% 4/1/38 (e)(f)
|
2
|
2
|
|
12 month U.S. LIBOR + 2.030% 2.275% 3/1/33 (e)(f)
|
2
|
2
|
|
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (e)(f)
|
152
|
158
|
|
12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (e)(f)
|
4
|
5
|
|
6 month U.S. LIBOR + 1.120% 1.424% 8/1/37 (e)(f)
|
2
|
2
|
|
6 month U.S. LIBOR + 1.580% 1.705% 12/1/35 (e)(f)
|
0
|
0
|
|
6 month U.S. LIBOR + 1.660% 1.915% 7/1/35 (e)(f)
|
4
|
4
|
|
6 month U.S. LIBOR + 1.660% 2.165% 1/1/37 (e)(f)
|
5
|
5
|
|
6 month U.S. LIBOR + 1.880% 2.335% 10/1/36 (e)(f)
|
50
|
51
|
|
6 month U.S. LIBOR + 1.990% 2.435% 10/1/35 (e)(f)
|
19
|
20
|
|
6 month U.S. LIBOR + 2.010% 2.76% 5/1/37 (e)(f)
|
6
|
6
|
|
6 month U.S. LIBOR + 2.010% 2.76% 5/1/37 (e)(f)
|
7
|
7
|
|
6 month U.S. LIBOR + 2.020% 2.169% 6/1/37 (e)(f)
|
9
|
9
|
|
6 month U.S. LIBOR + 2.680% 3.238% 10/1/35 (e)(f)
|
23
|
24
|
|
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.417% 6/1/33 (e)(f)
|
33
|
34
|
|
U.S. TREASURY 1 YEAR INDEX + 2.230% 3.069% 4/1/34 (e)(f)
|
9
|
9
|
|
U.S. TREASURY 1 YEAR INDEX + 2.260% 2.51% 6/1/33 (e)(f)
|
9
|
9
|
|
U.S. TREASURY 1 YEAR INDEX + 2.430% 2.517% 3/1/35 (e)(f)
|
17
|
17
|
|
U.S. TREASURY 1 YEAR INDEX + 2.540% 2.598% 7/1/35 (e)(f)
|
232
|
243
|
|
1.5% 12/1/40 to 4/1/41
|
7,575
|
6,630
|
|
2% 4/1/41 to 2/1/52
|
60,701
|
54,117
|
|
2.5% 5/1/30 to 2/1/52
|
43,950
|
40,948
|
|
3% 6/1/31 to 3/1/52
|
32,758
|
31,566
|
|
3.5% 3/1/32 to 3/1/52 (g)
|
51,368
|
50,906
|
|
3.5% 8/1/47
|
689
|
686
|
|
4% 1/1/36 to 2/1/50
|
7,484
|
7,646
|
|
4% 4/1/48
|
2
|
2
|
|
4.5% 6/1/25 to 10/1/48
|
2,275
|
2,371
|
|
5% 8/1/33 to 7/1/41
|
640
|
680
|
|
6% 1/1/24 to 12/1/37
|
130
|
137
|
|
6.5% 5/1/26 to 9/1/39
|
99
|
110
|
|
7% 8/1/26 to 9/1/36
|
30
|
33
|
|
7.5% 1/1/27 to 11/1/30
|
0
|
0
|
|
8% 7/1/24 to 8/1/30
|
0
|
0
|
|
8.5% 8/1/26 to 8/1/27
|
0
|
0
|
|
TOTAL FREDDIE MAC
|
197,716
|
||
Ginnie Mae - 10.0%
|
|||
3.5% 11/15/40 to 11/20/50
|
6,152
|
6,150
|
|
4% 8/15/39 to 6/20/49
|
12,658
|
12,902
|
|
4.5% 6/20/33 to 6/20/41
|
1,624
|
1,694
|
|
5.5% 10/15/35 to 9/15/39
|
50
|
53
|
|
7% to 7% 11/15/27 to 8/15/32
|
18
|
19
|
|
7.5% to 7.5% 11/15/22 to 1/15/31
|
5
|
6
|
|
8% 12/15/23 to 12/15/27
|
1
|
1
|
|
8.5% 8/15/29 to 1/15/31
|
0
|
1
|
|
2% 6/1/52 (g)
|
15,650
|
14,235
|
|
2% 6/1/52 (g)
|
15,600
|
14,190
|
|
2% 6/1/52 (g)
|
31,000
|
28,198
|
|
2% 6/1/52 (g)
|
6,200
|
5,640
|
|
2% 6/1/52 (g)
|
10,750
|
9,778
|
|
2% 6/1/52 (g)
|
10,900
|
9,915
|
|
2% 7/1/52 (g)
|
36,600
|
33,243
|
|
2% 7/1/52 (g)
|
8,075
|
7,334
|
|
2% 7/1/52 (g)
|
8,075
|
7,334
|
|
2% 7/1/52 (g)
|
8,100
|
7,357
|
|
2% 7/1/52 (g)
|
16,700
|
15,168
|
|
2% 7/1/52 (g)
|
8,550
|
7,766
|
|
2% 7/1/52 (g)
|
8,550
|
7,766
|
|
2.5% 7/20/51 to 12/20/51
|
861
|
810
|
|
2.5% 6/1/52 (g)
|
6,100
|
5,718
|
|
2.5% 6/1/52 (g)
|
10,350
|
9,702
|
|
2.5% 6/1/52 (g)
|
10,300
|
9,655
|
|
2.5% 6/1/52 (g)
|
10,300
|
9,655
|
|
2.5% 6/1/52 (g)
|
4,150
|
3,890
|
|
2.5% 6/1/52 (g)
|
9,575
|
8,975
|
|
2.5% 7/1/52 (g)
|
16,450
|
15,396
|
|
2.5% 7/1/52 (g)
|
10,325
|
9,663
|
|
2.5% 7/1/52 (g)
|
5,175
|
4,843
|
|
2.5% 7/1/52 (g)
|
5,750
|
5,382
|
|
2.5% 7/1/52 (g)
|
5,800
|
5,428
|
|
3% 5/15/42 to 10/20/51
|
6,683
|
6,475
|
|
3% 6/1/52 (g)
|
16,550
|
15,966
|
|
3% 6/1/52 (g)
|
12,700
|
12,252
|
|
3% 6/1/52 (g)
|
10,675
|
10,298
|
|
3% 6/1/52 (g)
|
10,725
|
10,346
|
|
4% 6/1/52 (g)
|
3,200
|
3,232
|
|
4% 6/1/52 (g)
|
3,200
|
3,232
|
|
4% 6/1/52 (g)
|
2,500
|
2,525
|
|
5% 9/20/33 to 4/20/48
|
950
|
1,006
|
|
5.47% 8/20/59 (e)(h)
|
1
|
1
|
|
6% 11/20/31 to 5/15/40
|
1,722
|
1,872
|
|
6.5% 3/20/31 to 8/15/36
|
8
|
9
|
|
TOTAL GINNIE MAE
|
345,081
|
||
Uniform Mortgage Backed Securities - 9.1%
|
|||
1.5% 6/1/37 (g)
|
1,900
|
1,754
|
|
1.5% 6/1/52 (g)
|
6,350
|
5,387
|
|
1.5% 6/1/52 (g)
|
9,650
|
8,187
|
|
1.5% 6/1/52 (g)
|
4,850
|
4,115
|
|
1.5% 6/1/52 (g)
|
4,950
|
4,199
|
|
1.5% 7/1/52 (g)
|
4,050
|
3,452
|
|
2% 6/1/37 (g)
|
2,550
|
2,411
|
|
2% 6/1/37 (g)
|
2,600
|
2,458
|
|
2% 6/1/37 (g)
|
2,550
|
2,411
|
|
2% 6/1/37 (g)
|
1,100
|
1,040
|
|
2% 6/1/37 (g)
|
1,300
|
1,229
|
|
2% 6/1/37 (g)
|
1,250
|
1,182
|
|
2% 6/1/52 (g)
|
7,300
|
6,477
|
|
2% 6/1/52 (g)
|
4,400
|
3,904
|
|
2% 6/1/52 (g)
|
16,000
|
14,196
|
|
2% 7/1/52 (g)
|
6,300
|
5,581
|
|
2% 7/1/52 (g)
|
6,900
|
6,113
|
|
2% 7/1/52 (g)
|
3,600
|
3,189
|
|
2% 7/1/52 (g)
|
2,150
|
1,905
|
|
2% 7/1/52 (g)
|
7,000
|
6,202
|
|
2% 7/1/52 (g)
|
6,050
|
5,360
|
|
2.5% 6/1/52 (g)
|
9,400
|
8,650
|
|
2.5% 6/1/52 (g)
|
17,150
|
15,782
|
|
2.5% 6/1/52 (g)
|
17,450
|
16,058
|
|
2.5% 6/1/52 (g)
|
10,050
|
9,248
|
|
2.5% 6/1/52 (g)
|
5,200
|
4,785
|
|
2.5% 7/1/52 (g)
|
22,050
|
20,257
|
|
2.5% 7/1/52 (g)
|
4,600
|
4,226
|
|
2.5% 7/1/52 (g)
|
5,850
|
5,374
|
|
3% 6/1/52 (g)
|
6,050
|
5,769
|
|
3% 7/1/52 (g)
|
5,750
|
5,472
|
|
3.5% 6/1/52 (g)
|
12,275
|
12,034
|
|
3.5% 6/1/52 (g)
|
7,550
|
7,402
|
|
3.5% 6/1/52 (g)
|
4,450
|
4,363
|
|
3.5% 6/1/52 (g)
|
650
|
637
|
|
3.5% 6/1/52 (g)
|
1,600
|
1,569
|
|
3.5% 7/1/52 (g)
|
1,600
|
1,565
|
|
4% 6/1/52 (g)
|
48,700
|
48,719
|
|
4% 6/1/52 (g)
|
9,200
|
9,204
|
|
4% 6/1/52 (g)
|
7,100
|
7,103
|
|
4% 6/1/52 (g)
|
10,600
|
10,604
|
|
4% 7/1/52 (g)
|
26,000
|
25,942
|
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
315,515
|
||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $1,296,186)
|
1,274,663
|
||
Collateralized Mortgage Obligations - 4.9%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
U.S. Government Agency - 4.9%
|
|||
Fannie Mae:
|
|||
floater:
|
|||
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 2.39% 4/25/24 (e)(f)
|
9
|
9
|
|
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 1.9857% 8/25/31 (e)(f)
|
32
|
33
|
|
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 1.8057% 2/25/32 (e)(f)
|
1
|
1
|
|
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.9356% 3/18/32 (e)(f)
|
1
|
1
|
|
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 1.5356% 11/18/31 (e)(f)
|
24
|
24
|
|
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.0057% 4/25/32 (e)(f)
|
13
|
13
|
|
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 2.0057% 10/25/32 (e)(f)
|
2
|
2
|
|
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 1.7557% 1/25/32 (e)(f)
|
1
|
1
|
|
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 1.4557% 11/25/32 (e)(f)
|
42
|
42
|
|
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.0057% 11/25/32 (e)(f)
|
23
|
23
|
|
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.0943% 12/25/33 (e)(i)(j)
|
23
|
4
|
|
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 5.6743% 11/25/36 (e)(i)(j)
|
16
|
2
|
|
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 1.9357% 6/25/36 (e)(f)
|
1,997
|
2,034
|
|
planned amortization class:
|
|||
Series 1992-168 Class KB, 7% 10/25/22
|
0
|
0
|
|
Series 1993-207 Class H, 6.5% 11/25/23
|
2
|
2
|
|
Series 1996-28 Class PK, 6.5% 7/25/25
|
1
|
1
|
|
Series 1999-17 Class PG, 6% 4/25/29
|
7
|
8
|
|
Series 1999-32 Class PL, 6% 7/25/29
|
8
|
8
|
|
Series 1999-33 Class PK, 6% 7/25/29
|
6
|
6
|
|
Series 2001-52 Class YZ, 6.5% 10/25/31
|
1
|
1
|
|
Series 2003-28 Class KG, 5.5% 4/25/23
|
2
|
2
|
|
Series 2003-70 Class BJ, 5% 7/25/33
|
38
|
38
|
|
Series 2005-102 Class CO 11/25/35 (k)
|
5
|
4
|
|
Series 2005-64 Class PX, 5.5% 6/25/35
|
229
|
234
|
|
Series 2005-68 Class CZ, 5.5% 8/25/35
|
1,938
|
2,051
|
|
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 14.9352% 8/25/35 (e)(j)
|
1
|
1
|
|
Series 2005-81 Class PC, 5.5% 9/25/35
|
13
|
14
|
|
Series 2006-12 Class BO 10/25/35 (k)
|
19
|
17
|
|
Series 2006-15 Class OP 3/25/36 (k)
|
23
|
19
|
|
Series 2006-37 Class OW 5/25/36 (k)
|
3
|
2
|
|
Series 2006-45 Class OP 6/25/36 (k)
|
215
|
178
|
|
Series 2006-62 Class KP 4/25/36 (k)
|
12
|
10
|
|
Series 2010-118 Class PB, 4.5% 10/25/40
|
2,051
|
2,111
|
|
Series 2012-149:
|
|||
Class DA, 1.75% 1/25/43
|
395
|
375
|
|
Class GA, 1.75% 6/25/42
|
429
|
406
|
|
sequential payer:
|
|||
Series 1997-41 Class J, 7.5% 6/18/27
|
2
|
2
|
|
Series 1999-25 Class Z, 6% 6/25/29
|
7
|
7
|
|
Series 2001-20 Class Z, 6% 5/25/31
|
8
|
9
|
|
Series 2001-31 Class ZC, 6.5% 7/25/31
|
4
|
4
|
|
Series 2002-16 Class ZD, 6.5% 4/25/32
|
3
|
3
|
|
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 6.5443% 11/25/32 (e)(i)(j)
|
9
|
1
|
|
Series 2003-117 Class MD, 5% 12/25/23
|
75
|
76
|
|
Series 2004-52 Class KZ, 5.5% 7/25/34
|
185
|
189
|
|
Series 2004-91 Class Z, 5% 12/25/34
|
1,776
|
1,787
|
|
Series 2005-117 Class JN, 4.5% 1/25/36
|
125
|
129
|
|
Series 2005-14 Class ZB, 5% 3/25/35
|
554
|
557
|
|
Series 2006-72 Class CY, 6% 8/25/26
|
665
|
692
|
|
Series 2009-59 Class HB, 5% 8/25/39
|
851
|
891
|
|
Series 2012-67 Class AI, 4.5% 7/25/27 (i)
|
12
|
1
|
|
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 5.6343% 12/25/36 (e)(i)(j)
|
11
|
2
|
|
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 5.4343% 5/25/37 (e)(i)(j)
|
6
|
1
|
|
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 16.9551% 9/25/23 (e)(j)
|
0
|
0
|
|
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.0943% 3/25/33 (e)(i)(j)
|
1
|
0
|
|
Series 2005-72 Class ZC, 5.5% 8/25/35
|
90
|
94
|
|
Series 2005-79 Class ZC, 5.9% 9/25/35
|
50
|
54
|
|
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 34.5857% 6/25/37 (e)(j)
|
5
|
8
|
|
Series 2007-66:
|
|||
Class SA, 39.600% - 1 month U.S. LIBOR 33.5657% 7/25/37 (e)(j)
|
8
|
12
|
|
Class SB, 39.600% - 1 month U.S. LIBOR 33.5657% 7/25/37 (e)(j)
|
3
|
4
|
|
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 5.3443% 3/25/38 (e)(i)(j)
|
38
|
5
|
|
Series 2010-135:
|
|||
Class LS, 6.050% - 1 month U.S. LIBOR 5.0443% 12/25/40 (e)(i)(j)
|
39
|
5
|
|
Class ZA, 4.5% 12/25/40
|
16
|
17
|
|
Series 2010-139 Class NI, 4.5% 2/25/40 (i)
|
518
|
19
|
|
Series 2010-150 Class ZC, 4.75% 1/25/41
|
159
|
168
|
|
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 1.9257% 3/25/36 (e)(f)
|
1,368
|
1,400
|
|
Series 2010-95 Class ZC, 5% 9/25/40
|
369
|
390
|
|
Series 2011-39 Class ZA, 6% 11/25/32
|
28
|
30
|
|
Series 2011-4 Class PZ, 5% 2/25/41
|
50
|
51
|
|
Series 2011-67 Class AI, 4% 7/25/26 (i)
|
35
|
1
|
|
Series 2011-83 Class DI, 6% 9/25/26 (i)
|
0
|
0
|
|
Series 2012-100 Class WI, 3% 9/25/27 (i)
|
90
|
5
|
|
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 5.6443% 12/25/30 (e)(i)(j)
|
15
|
0
|
|
Series 2012-27 Class EZ, 4.25% 3/25/42
|
2,457
|
2,516
|
|
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 5.5443% 6/25/41 (e)(i)(j)
|
12
|
0
|
|
Series 2013-133 Class IB, 3% 4/25/32 (i)
|
35
|
1
|
|
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.0443% 1/25/44 (e)(i)(j)
|
25
|
4
|
|
Series 2013-51 Class GI, 3% 10/25/32 (i)
|
31
|
2
|
|
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 5.7143% 6/25/35 (e)(i)(j)
|
32
|
4
|
|
Series 2015-42 Class IL, 6% 6/25/45 (i)
|
164
|
31
|
|
Series 2015-70 Class JC, 3% 10/25/45
|
179
|
177
|
|
Series 2016-26 Class CG, 3% 5/25/46
|
5,920
|
5,847
|
|
Series 2017-30 Class AI, 5.5% 5/25/47 (i)
|
89
|
17
|
|
Series 2017-74 Class SH, 6.200% - 1 month U.S. LIBOR 5.1943% 10/25/47 (e)(i)(j)
|
715
|
110
|
|
Series 2018-45 Class GI, 4% 6/25/48 (i)
|
973
|
191
|
|
Fannie Mae Stripped Mortgage-Backed Securities:
|
|||
Series 339 Class 5, 5.5% 7/25/33 (i)
|
6
|
1
|
|
Series 343 Class 16, 5.5% 5/25/34 (i)
|
5
|
1
|
|
Series 348 Class 14, 6.5% 8/25/34 (e)(i)
|
4
|
1
|
|
Series 351:
|
|||
Class 12, 5.5% 4/25/34 (e)(i)
|
3
|
0
|
|
Class 13, 6% 3/25/34 (i)
|
3
|
1
|
|
Series 359 Class 19, 6% 7/25/35 (e)(i)
|
2
|
0
|
|
Series 384 Class 6, 5% 7/25/37 (i)
|
23
|
4
|
|
Freddie Mac:
|
|||
floater:
|
|||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 1.6747% 1/15/32 (e)(f)
|
0
|
0
|
|
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.7747% 3/15/32 (e)(f)
|
1
|
1
|
|
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.8747% 3/15/32 (e)(f)
|
1
|
1
|
|
Series 2432:
|
|||
Class FE, 1 month U.S. LIBOR + 0.900% 1.7747% 6/15/31 (e)(f)
|
1
|
1
|
|
Class FG, 1 month U.S. LIBOR + 0.900% 1.7747% 3/15/32 (e)(f)
|
0
|
0
|
|
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 1.2747% 11/15/32 (e)(f)
|
10
|
10
|
|
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 1.4747% 2/15/32 (e)(f)
|
14
|
14
|
|
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 1.7747% 10/15/33 (e)(f)
|
730
|
744
|
|
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 1.7747% 2/15/33 (e)(f)
|
530
|
540
|
|
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 1.2747% 3/15/34 (e)(f)
|
186
|
187
|
|
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 1.1247% 5/15/37 (e)(f)
|
29
|
29
|
|
planned amortization class:
|
|||
Series 2095 Class PE, 6% 11/15/28
|
9
|
10
|
|
Series 2101 Class PD, 6% 11/15/28
|
4
|
4
|
|
Series 2121 Class MG, 6% 2/15/29
|
4
|
4
|
|
Series 2131 Class BG, 6% 3/15/29
|
26
|
28
|
|
Series 2137 Class PG, 6% 3/15/29
|
4
|
4
|
|
Series 2154 Class PT, 6% 5/15/29
|
7
|
7
|
|
Series 2162 Class PH, 6% 6/15/29
|
1
|
2
|
|
Series 2520 Class BE, 6% 11/15/32
|
11
|
12
|
|
Series 2682 Class LD, 4.5% 10/15/33
|
172
|
175
|
|
Series 2693 Class MD, 5.5% 10/15/33
|
25
|
26
|
|
Series 2802 Class OB, 6% 5/15/34
|
27
|
29
|
|
Series 2996 Class MK, 5.5% 6/15/35
|
8
|
8
|
|
Series 3002 Class NE, 5% 7/15/35
|
28
|
29
|
|
Series 3110 Class OP 9/15/35 (k)
|
9
|
8
|
|
Series 3119 Class PO 2/15/36 (k)
|
27
|
22
|
|
Series 3121 Class KO 3/15/36 (k)
|
5
|
4
|
|
Series 3123 Class LO 3/15/36 (k)
|
15
|
13
|
|
Series 3145 Class GO 4/15/36 (k)
|
16
|
14
|
|
Series 3189 Class PD, 6% 7/15/36
|
23
|
25
|
|
Series 3225 Class EO 10/15/36 (k)
|
8
|
7
|
|
Series 3258 Class PM, 5.5% 12/15/36
|
10
|
11
|
|
Series 3415 Class PC, 5% 12/15/37
|
226
|
234
|
|
Series 3806 Class UP, 4.5% 2/15/41
|
50
|
51
|
|
Series 3832 Class PE, 5% 3/15/41
|
102
|
107
|
|
Series 3857 Class ZP, 5% 5/15/41
|
3,594
|
3,742
|
|
Series 4135 Class AB, 1.75% 6/15/42
|
322
|
306
|
|
Series 4765 Class PE, 3% 12/15/41
|
8
|
8
|
|
sequential payer:
|
|||
Series 1929 Class EZ, 7.5% 2/17/27
|
14
|
15
|
|
Series 2004-2802 Class ZG, 5.5% 5/15/34
|
2,350
|
2,519
|
|
Series 2004-2862 Class NE, 5% 9/15/24
|
42
|
42
|
|
Series 2135 Class JE, 6% 3/15/29
|
2
|
2
|
|
Series 2145 Class MZ, 6.5% 4/15/29
|
26
|
27
|
|
Series 2274 Class ZM, 6.5% 1/15/31
|
3
|
3
|
|
Series 2281 Class ZB, 6% 3/15/30
|
5
|
5
|
|
Series 2303 Class ZV, 6% 4/15/31
|
15
|
16
|
|
Series 2357 Class ZB, 6.5% 9/15/31
|
41
|
44
|
|
Series 2502 Class ZC, 6% 9/15/32
|
5
|
5
|
|
Series 2519 Class ZD, 5.5% 11/15/32
|
7
|
8
|
|
Series 2546 Class MJ, 5.5% 3/15/23
|
1
|
1
|
|
Series 2587 Class AD, 4.71% 3/15/33
|
591
|
610
|
|
Series 2601 Class TB, 5.5% 4/15/23
|
0
|
0
|
|
Series 2877 Class ZD, 5% 10/15/34
|
2,215
|
2,230
|
|
Series 2998 Class LY, 5.5% 7/15/25
|
9
|
10
|
|
Series 3007 Class EW, 5.5% 7/15/25
|
766
|
785
|
|
Series 3871 Class KB, 5.5% 6/15/41
|
5,784
|
6,252
|
|
Series 3889 Class DZ, 4% 1/15/41
|
14,434
|
14,343
|
|
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 5.7253% 2/15/36 (e)(i)(j)
|
7
|
1
|
|
Series 2013-4281 Class AI, 4% 12/15/28 (i)
|
34
|
1
|
|
Series 2017-4683 Class LM, 3% 5/15/47
|
235
|
232
|
|
Series 2018-4763 Class SC, 6.200% - 1 month U.S. LIBOR 5.3253% 8/15/47 (e)(i)(j)
|
366
|
54
|
|
Series 2933 Class ZM, 5.75% 2/15/35
|
114
|
123
|
|
Series 2935 Class ZK, 5.5% 2/15/35
|
94
|
100
|
|
Series 2947 Class XZ, 6% 3/15/35
|
46
|
50
|
|
Series 2996 Class ZD, 5.5% 6/15/35
|
77
|
82
|
|
Series 3237 Class C, 5.5% 11/15/36
|
111
|
117
|
|
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 5.7853% 11/15/36 (e)(i)(j)
|
34
|
5
|
|
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 5.8753% 3/15/37 (e)(i)(j)
|
51
|
9
|
|
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 5.8853% 4/15/37 (e)(i)(j)
|
73
|
12
|
|
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 5.7053% 6/15/37 (e)(i)(j)
|
24
|
3
|
|
Series 3843 Class PZ, 5% 4/15/41
|
3,161
|
3,350
|
|
Series 3949 Class MK, 4.5% 10/15/34
|
19
|
20
|
|
Series 4055 Class BI, 3.5% 5/15/31 (i)
|
38
|
1
|
|
Series 4314 Class AI, 5% 3/15/34 (i)
|
13
|
1
|
|
Series 4427 Class LI, 3.5% 2/15/34 (i)
|
95
|
8
|
|
Series 4471 Class PA 4% 12/15/40
|
102
|
103
|
|
target amortization class Series 2156 Class TC, 6.25% 5/15/29
|
4
|
4
|
|
Freddie Mac Manufactured Housing participation certificates guaranteed:
|
|||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.4541% 2/15/24 (e)(f)
|
1
|
1
|
|
sequential payer:
|
|||
Series 2043 Class ZH, 6% 4/15/28
|
3
|
3
|
|
Series 2056 Class Z, 6% 5/15/28
|
7
|
8
|
|
Freddie Mac Multi-family Structured pass-thru certificates:
|
|||
sequential payer Series 4341 Class ML, 3.5% 11/15/31
|
2,898
|
2,907
|
|
Series 4386 Class AZ, 4.5% 11/15/40
|
223
|
229
|
|
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57
|
98
|
98
|
|
Ginnie Mae guaranteed REMIC pass-thru certificates:
|
|||
floater:
|
|||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 5.8153% 6/16/37 (e)(i)(j)
|
14
|
2
|
|
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 1.4273% 7/20/37 (e)(f)
|
101
|
102
|
|
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 1.4073% 1/20/38 (e)(f)
|
101
|
102
|
|
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 1.7873% 8/20/38 (e)(f)
|
700
|
713
|
|
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 1.8273% 9/20/38 (e)(f)
|
538
|
549
|
|
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 1.4747% 11/16/39 (e)(f)
|
467
|
473
|
|
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 1.4047% 12/16/39 (e)(f)
|
80
|
81
|
|
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 1.248% 3/20/60 (e)(f)(h)
|
182
|
182
|
|
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.028% 7/20/60 (e)(f)(h)
|
1,131
|
1,122
|
|
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.7376% 9/20/60 (e)(f)(h)
|
1,359
|
1,348
|
|
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.7376% 8/20/60 (e)(f)(h)
|
1,155
|
1,145
|
|
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.8176% 12/20/60 (e)(f)(h)
|
580
|
576
|
|
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.9376% 12/20/60 (e)(f)(h)
|
611
|
608
|
|
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.9376% 2/20/61 (e)(f)(h)
|
635
|
633
|
|
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.9276% 2/20/61 (e)(f)(h)
|
891
|
887
|
|
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.9376% 4/20/61 (e)(f)(h)
|
526
|
524
|
|
Series 2011-H14:
|
|||
Class FB, 1 month U.S. LIBOR + 0.500% 0.9376% 5/20/61 (e)(f)(h)
|
838
|
835
|
|
Class FC, 1 month U.S. LIBOR + 0.500% 0.9376% 5/20/61 (e)(f)(h)
|
616
|
614
|
|
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.9676% 6/20/61 (e)(f)(h)
|
720
|
718
|
|
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.9876% 9/20/61 (e)(f)(h)
|
3,406
|
3,395
|
|
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.0376% 10/20/61 (e)(f)(h)
|
2,504
|
2,498
|
|
Series 2012-98 Class FA, 1 month U.S. LIBOR + 0.400% 1.3273% 8/20/42 (e)(f)
|
106
|
107
|
|
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.1376% 11/20/61 (e)(f)(h)
|
2,429
|
2,427
|
|
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.1376% 1/20/62 (e)(f)(h)
|
1,486
|
1,485
|
|
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.0676% 1/20/62 (e)(f)(h)
|
2,100
|
2,096
|
|
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.0676% 3/20/62 (e)(f)(h)
|
1,376
|
1,375
|
|
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.0876% 5/20/61 (e)(f)(h)
|
24
|
24
|
|
Series 2013-H19:
|
|||
Class FC, 1 month U.S. LIBOR + 0.600% 1.0376% 8/20/63 (e)(f)(h)
|
351
|
351
|
|
Class FD, 1 month U.S. LIBOR + 0.600% 1.0376% 8/20/63 (e)(f)(h)
|
746
|
744
|
|
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 1.0876% 12/20/63 (e)(f)(h)
|
16,743
|
16,714
|
|
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.0376% 1/20/64 (e)(f)(h)
|
3,551
|
3,542
|
|
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 1.0376% 12/20/63 (e)(f)(h)
|
298
|
297
|
|
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.9376% 6/20/64 (e)(f)(h)
|
206
|
205
|
|
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.7376% 3/20/65 (e)(f)(h)
|
17
|
17
|
|
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.7176% 5/20/63 (e)(f)(h)
|
64
|
64
|
|
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.6376% 4/20/63 (e)(f)(h)
|
45
|
45
|
|
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.8376% 12/20/62 (e)(f)(h)
|
63
|
62
|
|
planned amortization class:
|
|||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 8.1454% 12/20/40 (e)(j)
|
138
|
133
|
|
Series 2010-31 Class BP, 5% 3/20/40
|
4,877
|
5,108
|
|
Series 2011-136 Class WI, 4.5% 5/20/40 (i)
|
47
|
3
|
|
Series 2011-68 Class EC, 3.5% 4/20/41
|
65
|
66
|
|
Series 2016-69 Class WA, 3% 2/20/46
|
115
|
112
|
|
Series 2017-134 Class BA, 2.5% 11/20/46
|
440
|
425
|
|
Series 2017-153 Class GA, 3% 9/20/47
|
309
|
298
|
|
Series 2017-182 Class KA, 3% 10/20/47
|
241
|
233
|
|
Series 2018-13 Class Q, 3% 4/20/47
|
311
|
305
|
|
sequential payer:
|
|||
Series 2004-24 Class ZM, 5% 4/20/34
|
40
|
41
|
|
Series 2010-160 Class DY, 4% 12/20/40
|
283
|
283
|
|
Series 2010-170 Class B, 4% 12/20/40
|
63
|
63
|
|
Series 2011-69 Class GX, 4.5% 5/16/40
|
4,307
|
4,355
|
|
Series 2013-H06 Class HA, 1.65% 1/20/63 (h)
|
28
|
28
|
|
Series 2014-H04 Class HA, 2.75% 2/20/64 (h)
|
2,515
|
2,500
|
|
Series 2014-H12 Class KA, 2.75% 5/20/64 (h)
|
1,343
|
1,345
|
|
Series 2017-139 Class BA, 3% 9/20/47
|
4,261
|
4,169
|
|
Series 2018-H12 Class HA, 3.25% 8/20/68 (h)
|
1,387
|
1,379
|
|
Series 2004-22 Class M1, 5.5% 4/20/34
|
758
|
876
|
|
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 5.6253% 5/16/34 (e)(i)(j)
|
8
|
1
|
|
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 6.3253% 8/17/34 (e)(i)(j)
|
8
|
1
|
|
Series 2010-116 Class QB, 4% 9/16/40
|
22
|
22
|
|
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.0753% 2/16/40 (e)(i)(j)
|
56
|
6
|
|
Series 2010-169 Class Z, 4.5% 12/20/40
|
3,920
|
3,813
|
|
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 1.028% 5/20/60 (e)(f)(h)
|
86
|
85
|
|
Series 2010-H16 Class BA, 3.55% 7/20/60 (h)
|
120
|
120
|
|
Series 2010-H18 Class PL, 5.01% 9/20/60 (e)(h)
|
58
|
59
|
|
Series 2010-H28 Class KA, 3.75% 12/20/60 (h)(l)
|
0
|
0
|
|
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.1727% 7/20/41 (e)(i)(j)
|
26
|
4
|
|
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 5.8253% 6/16/42 (e)(i)(j)
|
31
|
4
|
|
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 7.4303% 4/20/39 (e)(j)
|
32
|
32
|
|
Series 2013-149 Class MA, 2.5% 5/20/40
|
257
|
253
|
|
Series 2013-H01 Class FA, 1.65% 1/20/63 (h)
|
0
|
0
|
|
Series 2013-H04 Class BA, 1.65% 2/20/63 (h)
|
1
|
1
|
|
Series 2013-H08 Class MA, 3% 3/20/63 (h)
|
7
|
7
|
|
Series 2014-2 Class BA, 3% 1/20/44
|
574
|
555
|
|
Series 2014-21 Class HA, 3% 2/20/44
|
210
|
204
|
|
Series 2014-25 Class HC, 3% 2/20/44
|
364
|
351
|
|
Series 2014-5 Class A, 3% 1/20/44
|
321
|
310
|
|
Series 2015-H13 Class HA, 2.5% 8/20/64 (h)
|
3
|
3
|
|
Series 2015-H30 Class HA, 1.75% 9/20/62 (e)(h)
|
375
|
366
|
|
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.17% 5/20/66 (e)(f)(h)
|
9,093
|
9,048
|
|
Series 2017-186 Class HK, 3% 11/16/45
|
307
|
298
|
|
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.02% 8/20/66 (e)(f)(h)
|
9,495
|
9,427
|
|
Series 2090-118 Class XZ, 5% 12/20/39
|
11,380
|
12,036
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $173,742)
|
169,445
|
||
Commercial Mortgage Securities - 1.4%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Freddie Mac:
|
|||
floater:
|
|||
Series 2021-F114 Class A/S, 0.507% 5/25/31 (e)
|
5,600
|
5,516
|
|
Series 2021-F120 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.487% 8/25/31 (e)(f)
|
14,401
|
14,185
|
|
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.467% 8/25/28 (e)(f)
|
13,544
|
13,391
|
|
sequential payer:
|
|||
Series 2021-K135 Class A2, 2.154% 10/25/31
|
13,000
|
11,673
|
|
Series 2021-K136 Class A2, 2.127% 11/25/31
|
5,140
|
4,597
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $52,216)
|
49,362
|
||
Foreign Government and Government Agency Obligations - 0.1%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Israeli State:
|
|||
(guaranteed by U.S. Government through Agency for International Development) 5.5% 12/4/23
|
38
|
40
|
|
5.5% 4/26/24
|
4,828
|
5,070
|
|
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $5,117)
|
5,110
|
||
Money Market Funds - 12.2%
|
|||
Shares
|
Value ($)
(000s)
|
||
Fidelity Cash Central Fund 0.82% (m)
|
364,652,784
|
364,726
|
|
Fidelity Securities Lending Cash Central Fund 0.82% (m)(n)
|
59,266,986
|
59,273
|
|
TOTAL MONEY MARKET FUNDS
(Cost $423,997)
|
423,999
|
||
TOTAL INVESTMENT IN SECURITIES - 120.7%
(Cost $4,354,981)
|
4,184,086
|
NET OTHER ASSETS (LIABILITIES) - (20.7)%
|
(718,083)
|
NET ASSETS - 100.0%
|
3,466,003
|
TBA Sale Commitments
|
||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
|
Ginnie Mae
|
||
2% 6/1/52
|
(8,075)
|
(7,345)
|
2% 6/1/52
|
(8,075)
|
(7,345)
|
2% 6/1/52
|
(8,100)
|
(7,368)
|
2% 6/1/52
|
(16,700)
|
(15,190)
|
2% 6/1/52
|
(8,550)
|
(7,777)
|
2% 6/1/52
|
(8,550)
|
(7,777)
|
2.5% 6/1/52
|
(10,325)
|
(9,678)
|
2.5% 6/1/52
|
(5,175)
|
(4,851)
|
2.5% 6/1/52
|
(5,750)
|
(5,390)
|
2.5% 6/1/52
|
(5,800)
|
(5,437)
|
4% 6/1/52
|
(7,100)
|
(7,170)
|
4% 6/1/52
|
(1,800)
|
(1,818)
|
TOTAL GINNIE MAE
|
(87,146)
|
|
Uniform Mortgage Backed Securities
|
||
1.5% 6/1/37
|
(1,900)
|
(1,754)
|
1.5% 6/1/52
|
(4,050)
|
(3,436)
|
2% 6/1/37
|
(11,350)
|
(10,730)
|
2% 6/1/52
|
(2,150)
|
(1,908)
|
2% 6/1/52
|
(7,000)
|
(6,211)
|
2% 6/1/52
|
(6,050)
|
(5,368)
|
2.5% 6/1/52
|
(22,050)
|
(20,291)
|
2.5% 6/1/52
|
(16,000)
|
(14,724)
|
2.5% 6/1/52
|
(4,600)
|
(4,233)
|
2.5% 6/1/52
|
(5,850)
|
(5,383)
|
3.5% 6/1/52
|
(10,900)
|
(10,686)
|
3.5% 6/1/52
|
(9,200)
|
(9,020)
|
3.5% 6/1/52
|
(1,600)
|
(1,569)
|
3.5% 6/1/52
|
(4,825)
|
(4,730)
|
3.5% 7/1/52
|
(1,600)
|
(1,565)
|
4% 6/1/52
|
(26,000)
|
(26,010)
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
(127,618)
|
|
TOTAL TBA SALE COMMITMENTS
(Proceeds $213,595)
|
(214,764)
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
(000s)
|
Value ($)
(000s)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
Purchased
|
|||||
Treasury Contracts
|
|||||
CBOT 10-Year U.S. Treasury Note Contracts (United States)
|
199
|
Sep 2022
|
23,771
|
12
|
12
|
CBOT 2-Year U.S. Treasury Note Contracts (United States)
|
1,325
|
Sep 2022
|
279,710
|
(154)
|
(154)
|
CBOT 5-Year U.S. Treasury Note Contracts (United States)
|
204
|
Sep 2022
|
23,042
|
(47)
|
(47)
|
TOTAL PURCHASED
|
(189)
|
||||
Sold
|
|||||
Treasury Contracts
|
|||||
CBOT Long Term U.S. Treasury Bond Contracts (United States)
|
23
|
Sep 2022
|
3,207
|
35
|
35
|
TOTAL FUTURES CONTRACTS
|
(154)
|
||||
The notional amount of futures purchased as a percentage of Net Assets is 9.5%
|
|||||
The notional amount of futures sold as a percentage of Net Assets is 0.1%
|
Interest Rate Swaps
|
||||||||||
Payment Received
|
Payment
Frequency
|
Payment Paid
|
Payment
Frequency
|
Clearinghouse /
Counterparty(1)
|
Maturity
Date
|
Notional
Amount (000s)(2)
|
Value ($)
(000s)
|
Upfront
Premium
Received/
(Paid) ($) (000s)(3)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
1.75%
|
Annual
|
U.S. Secured Overnight Fin. Rate (SOFR) Indx(4)
|
Annual
|
LCH
|
Jun 2027
|
9,103
|
(333)
|
0
|
(333)
|
|
1.75%
|
Annual
|
U.S. Secured Overnight Fin. Rate (SOFR) Indx(4)
|
Annual
|
LCH
|
Jun 2032
|
6,081
|
(424)
|
0
|
(424)
|
|
1.75%
|
Annual
|
U.S. Secured Overnight Fin. Rate (SOFR) Indx(4)
|
Annual
|
LCH
|
Jun 2052
|
1,372
|
(207)
|
0
|
(207)
|
|
TOTAL INTEREST RATE SWAPS
|
(964)
|
0
|
(964)
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,370,000.
|
(c)
|
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 $671,000.
|
(d)
|
Security or a portion of the security is on loan at period end.
|
(e)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(f)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(g)
|
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
|
(h)
|
Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
|
(i)
|
Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
|
(j)
|
Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
|
(k)
|
Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
|
(l)
|
Level 3 security
|
(m)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
(n)
|
Investment made with cash collateral received from securities on loan.
|
Affiliate (Amounts in thousands)
|
Value,
beginning
of period ($)
|
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 0.82%
|
82,211
|
1,434,224
|
1,151,709
|
252
|
-
|
-
|
364,726
|
0.7%
|
Fidelity Mortgage Backed Securities Central Fund
|
594,108
|
28,882
|
585,420
|
9,304
|
(2,415)
|
(35,155)
|
-
|
0.0%
|
Fidelity Securities Lending Cash Central Fund 0.82%
|
31,859
|
1,056,254
|
1,028,840
|
96
|
-
|
-
|
59,273
|
0.2%
|
Total
|
708,178
|
2,519,360
|
2,765,969
|
9,652
|
(2,415)
|
(35,155)
|
423,999
|