0001752724-23-090263.txt : 20230427
0001752724-23-090263.hdr.sgml : 20230427
20230427143433
ACCESSION NUMBER: 0001752724-23-090263
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230228
FILED AS OF DATE: 20230427
DATE AS OF CHANGE: 20230427
PERIOD START: 20230831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY INCOME FUND /MA/
CENTRAL INDEX KEY: 0000751199
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04085
FILM NUMBER: 23855471
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY MORTGAGE SECURITIES FUND
DATE OF NAME CHANGE: 19851103
0000751199
S000007070
Fidelity Intermediate Government Income Fund
C000019284
Fidelity Intermediate Government Income Fund
FSTGX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000751199
XXXXXXXX
S000007070
C000019284
Fidelity Income Fund
811-04085
0000751199
D66RCKM57LC8ELZCAY58
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Intermediate Government Income Fund
S000007070
G2GUNF34BXXVYK2PAF03
2023-08-31
2023-02-28
N
359468537.79
30212587.02
329255950.77
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1260843.75000000
0.00000000
0.00000000
1743.11000000
USD
N
Bloomberg US Intermediate Government Bond Index
19808149
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 01/31/2027
912828Z78
5049000.00000000
PA
USD
4537394.32000000
1.378075114326
Long
DBT
UST
US
N
2
2027-01-31
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#
3133KNWK5
622429.71000000
PA
USD
570804.95000000
0.173362075511
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 11/30/2025
9128285N6
8513000.00000000
PA
USD
8150532.46000000
2.475439681785
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.02875000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)JUN23 TYM3
N/A
74.00000000
NC
USD
6203.42000000
0.001884072250
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-06-21
8256359.08000000
USD
6203.42000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 03/31/2026
9128286L9
3325000.00000000
PA
USD
3116278.31000000
0.946460740561
Long
DBT
UST
US
N
2
2026-03-31
Fixed
0.02250000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.625% 02/15/2053
912810TN8
469000.00000000
PA
USD
446502.66000000
0.135609594589
Long
DBT
UST
US
N
2
2053-02-15
Fixed
0.03625000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.75% MAC 03/15/30
N/A
26000.00000000
NC
USD
-845.39000000
-0.00025675769
N/A
DO
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2030-03-15
0.00000000
USD
0.00000000
USD
26833.56000000
USD
-845.39000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT JUN23 TUM3
N/A
132.00000000
NC
USD
-61102.47000000
-0.01855774204
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-06-30
26953008.72000000
USD
-61102.47000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 03/01/2041#MA4286
31418DXQ0
244124.34100000
PA
USD
199219.47000000
0.060505958824
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 03/01/2053 #TBA
21H020634
200000.00000000
PA
USD
167634.50000000
0.050913126887
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 01/15/2026
91282CGE5
6900000.00000000
PA
USD
6781406.25000000
2.059615394692
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.03875000
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2051#
3133KLZU4
398690.02700000
PA
USD
365653.53000000
0.111054493971
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 02/15/2024
912828B66
18257000.00000000
PA
USD
17847643.74000000
5.420598685691
Long
DBT
UST
US
N
2
2024-02-15
Fixed
0.02750000
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2051#CB1549
3140QLWK8
499734.26000000
PA
USD
426774.61000000
0.129617888151
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 10/01/2052#SD1733
3132DN4S9
345823.07000000
PA
USD
343997.09000000
0.104477106395
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 12/31/2027
91282CGC9
1800000.00000000
PA
USD
1773026.10000000
0.538494777650
Long
DBT
UST
US
N
2
2027-12-31
Fixed
0.03875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 09/30/2025
91282CAM3
1660000.00000000
PA
USD
1488164.07000000
0.451977881195
Long
DBT
UST
US
N
2
2025-09-30
Fixed
0.00250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 02/15/2026
91282CGL9
1900000.00000000
PA
USD
1873726.57000000
0.569079029739
Long
DBT
UST
US
N
2
2026-02-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1862
3132DPB72
296570.56200000
PA
USD
295838.74000000
0.089850688896
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.625% 04/22/2025
3135G03U5
375000.00000000
PA
USD
343393.50000000
0.104293787005
Long
DBT
USGSE
US
N
2
2025-04-22
Fixed
0.00625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 08/15/2032
91282CFF3
14153000.00000000
PA
USD
12861538.75000000
3.906243370825
Long
DBT
UST
US
N
2
2032-08-15
Fixed
0.02750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2% 08/15/2025
912828K74
39301000.00000000
PA
USD
36930658.44000000
11.21639817097
Long
DBT
UST
US
N
2
2025-08-15
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 07/31/2024
9128282N9
5667000.00000000
PA
USD
5439434.53000000
1.652038335914
Long
DBT
UST
US
N
2
2024-07-31
Fixed
0.02125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 12/31/2024
9128283P3
807000.00000000
PA
USD
769991.48000000
0.233858029960
Long
DBT
UST
US
N
2
2024-12-31
Fixed
0.02250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 11/30/2029
91282CFY2
1537000.00000000
PA
USD
1517307.19000000
0.460829086445
Long
DBT
UST
US
N
2
2029-11-30
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/01/2051#RA6496
3133KNGD9
560957.86000000
PA
USD
477788.85000000
0.145111682532
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#CB5128
3140QQVW2
492794.23000000
PA
USD
490962.22000000
0.149112633758
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
ISRAEL STATE OF 5.5% 04/26/2024
46513EJX1
1100000.00000000
PA
USD
1101584.00000000
0.334567681289
Long
DBT
NUSS
IL
N
2
2024-04-26
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 12/01/2052#SD2107
3132DPKU1
199999.85600000
PA
USD
182224.23000000
0.055344248015
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#RA6987
3133KNXQ1
659710.40000000
PA
USD
604993.56000000
0.183745672199
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#CB4893
3140QQNK7
344477.07000000
PA
USD
342658.20000000
0.104070465301
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 05/01/2041#SC0167
3132D9FG4
1184594.08800000
PA
USD
1043482.99000000
0.316921527935
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 05/31/2029
91282CES6
2897000.00000000
PA
USD
2679611.84000000
0.813838545281
Long
DBT
UST
US
N
2
2029-05-31
Fixed
0.02750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 02/28/2026
9128286F2
9441000.00000000
PA
USD
8923220.16000000
2.710116594440
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.25% 12/31/2026
91282CDQ1
4939000.00000000
PA
USD
4404005.99000000
1.337563065967
Long
DBT
UST
US
N
2
2026-12-31
Fixed
0.01250000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US ULTRA BOND CBT FUT JUN23 WNM3
N/A
-2.00000000
NC
USD
-1551.30000000
-0.00047115321
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UNITED STATES TREASURY BOND
UNITED STATES TREASURY BOND 0% 06/30/2040
2023-06-21
-268573.70000000
USD
-1551.30000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 04/30/2029
91282CEM9
600000.00000000
PA
USD
559359.37000000
0.169885880176
Long
DBT
UST
US
N
2
2029-04-30
Fixed
0.02875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 10/31/2024
91282CFQ9
1600000.00000000
PA
USD
1585000.00000000
0.481388414178
Long
DBT
UST
US
N
2
2024-10-31
Fixed
0.04375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 11/15/2032
91282CFV8
3130000.00000000
PA
USD
3179884.38000000
0.965778863696
Long
DBT
UST
US
N
2
2032-11-15
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2052#FS3083
3140XJM91
245817.46300000
PA
USD
231880.72000000
0.070425673236
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 03/01/2041#RB5104
3133KYU56
243338.09300000
PA
USD
198577.85000000
0.060311089149
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3295
3140XJUV3
146986.74700000
PA
USD
145613.51000000
0.044225019975
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3174
3140QNQ47
414771.69600000
PA
USD
378166.77000000
0.114854953757
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2028#FS3867
3140XKJM3
350000.00000000
PA
USD
332595.24000000
0.101014192521
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 01/01/2030#SB0800
3132CW3H5
1732957.00000000
PA
USD
1621748.99000000
0.492549636903
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2034#CA4460
3140QB5W4
850670.25500000
PA
USD
797577.71000000
0.242236384227
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 01/31/2028
91282CGH8
1920000.00000000
PA
USD
1861650.01000000
0.565411196258
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.03500000
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2028#FS3865
3140XKJK7
150000.00000000
PA
USD
140210.43000000
0.042584023059
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2320
3140QMSJ4
693935.53700000
PA
USD
591918.34000000
0.179774530609
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN23 FVM3
N/A
125.00000000
NC
USD
-16852.81000000
-0.00511845266
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-06-30
13398688.75000000
USD
-16852.81000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 10/31/2029
91282CFT3
8000000.00000000
PA
USD
7952812.48000000
2.415389140697
Long
DBT
UST
US
N
2
2029-10-31
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K-150 A2 3.71% 09/25/2032
3137H9C98
200000.00000000
PA
USD
187945.76000000
0.057081963001
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Fixed
0.03710000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 01/01/2028#SB0799
3132CW3G7
150000.00000000
PA
USD
142654.77000000
0.043326405997
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2376
3140QMUA0
543082.15100000
PA
USD
463072.57000000
0.140642126259
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#
3133KNWJ8
594348.14100000
PA
USD
543938.09000000
0.165202204767
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.75% 08/31/2026
91282CCW9
6800000.00000000
PA
USD
6001531.22000000
1.822755581475
Long
DBT
UST
US
N
2
2026-08-31
Fixed
0.00750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 02/01/2041#MA4266
31418DW40
239262.49800000
PA
USD
195251.93000000
0.059300957064
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.25% 09/30/2028
91282CCY5
580000.00000000
PA
USD
496828.90000000
0.150894432989
Long
DBT
UST
US
N
2
2028-09-30
Fixed
0.01250000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT JUN23 USM3
N/A
-30.00000000
NC
USD
230.70000000
0.000070067070
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2023-06-21
-3756793.20000000
USD
230.70000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 02/28/2027
91282CEC1
5600000.00000000
PA
USD
5099937.47000000
1.548927956525
Long
DBT
UST
US
N
2
2027-02-28
Fixed
0.01875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 04/30/2025
912828ZL7
2186000.00000000
PA
USD
1991480.15000000
0.604842568628
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.00375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 12/31/2024
91282CGD7
5300000.00000000
PA
USD
5240582.02000000
1.591643828378
Long
DBT
UST
US
N
2
2024-12-31
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2321
3140QMSK1
116089.16400000
PA
USD
98877.49000000
0.030030585557
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 08/31/2028
91282CCV1
68556000.00000000
PA
USD
58441312.20000000
17.74950826654
Long
DBT
UST
US
N
2
2028-08-31
Fixed
0.01125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3248
3140XJTE3
296556.80300000
PA
USD
294990.95000000
0.089593202282
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#FS0631
3140XFVZ1
370469.39600000
PA
USD
327606.20000000
0.099498945800
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 05/15/2025
912828XB1
593000.00000000
PA
USD
560940.94000000
0.170366226848
Long
DBT
UST
US
N
2
2025-05-15
Fixed
0.02125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 10/31/2025
91282CAT8
3300000.00000000
PA
USD
2947054.70000000
0.895064976990
Long
DBT
UST
US
N
2
2025-10-31
Fixed
0.00250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2036#FS1970
3140XHFL6
448927.67500000
PA
USD
411280.65000000
0.124912138729
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2041#MA4473
31418D6K3
2002630.62000000
PA
USD
1626751.67000000
0.494069026298
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.01500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 07/31/2025
91282CAB7
23839000.00000000
PA
USD
21477449.06000000
6.523025327187
Long
DBT
UST
US
N
2
2025-07-31
Fixed
0.00250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3128
3140QNPN6
100132.41400000
PA
USD
91733.49000000
0.027860844970
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 11/30/2027
91282CFZ9
590000.00000000
PA
USD
581587.89000000
0.176637017080
Long
DBT
UST
US
N
2
2027-11-30
Fixed
0.03875000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
16815479.52600000
NS
USD
16818842.62000000
5.108136263192
Long
STIV
RF
US
N
1
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 12/01/2040#RB5089
3133KYUN7
141337.99100000
PA
USD
115869.93000000
0.035191445964
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 01/01/2041#MA4231
31418DVZ2
235381.20200000
PA
USD
192967.25000000
0.058607065278
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2052#SD8214
3132DWDT7
1999999.54400000
PA
USD
1822243.18000000
0.553442747424
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 12/01/2040#MA4202
31418DU42
231160.03100000
PA
USD
189506.70000000
0.057556044031
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.5% 11/15/2025
91282CFW6
2400000.00000000
PA
USD
2395968.74000000
0.727691856258
Long
DBT
UST
US
N
2
2025-11-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 03/01/2053 #TBA
21H020634
-200000.00000000
PA
USD
-167634.50000000
-0.05091312688
Short
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.875% 09/30/2026
91282CCZ2
10000000.00000000
PA
USD
8846093.80000000
2.686692155240
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.00875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2030#FS3868
3140XKJN1
1467042.00000000
PA
USD
1375649.10000000
0.417805387201
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2053 #TBA
01F032633
1200000.00000000
PA
USD
1092563.28000000
0.331827952522
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 12/31/2029
91282CGB1
2671000.00000000
PA
USD
2638447.19000000
0.801336219992
Long
DBT
UST
US
N
2
2029-12-31
Fixed
0.03875000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
22279455.82100000
NS
USD
22281683.77000000
6.767283542755
Long
STIV
RF
US
N
1
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD1924
3132DPD54
691628.97600000
PA
USD
687977.11000000
0.208949028374
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 07/31/2027
91282CFB2
4200000.00000000
PA
USD
3945703.10000000
1.198369563487
Long
DBT
UST
US
N
2
2027-07-31
Fixed
0.02750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 06/30/2025
912828XZ8
2770000.00000000
PA
USD
2653032.43000000
0.805765977439
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.02750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.75% 07/31/2024
912828Y87
220000.00000000
PA
USD
210005.47000000
0.063781829761
Long
DBT
UST
US
N
2
2024-07-31
Fixed
0.01750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#RA6986
3133KNXP3
281096.09000000
PA
USD
257781.78000000
0.078292215948
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2040#MA4175
31418DT93
228755.38300000
PA
USD
187535.36000000
0.056957318329
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 12/01/2052#CB5273
3140QQ2F1
148598.87800000
PA
USD
147767.82000000
0.044879316426
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 09/30/2024
912828YH7
4297000.00000000
PA
USD
4070400.37000000
1.236242005795
Long
DBT
UST
US
N
2
2024-09-30
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 02/01/2041#RB5099
3133KYUY3
239890.66900000
PA
USD
195764.56000000
0.059456650530
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2053 #TBA
01F032633
-1200000.00000000
PA
USD
-1092563.28000000
-0.33182795252
Short
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 05/15/2032
91282CEP2
3160000.00000000
PA
USD
2906212.50000000
0.882660584631
Long
DBT
UST
US
N
2
2032-05-15
Fixed
0.02875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 04/30/2024
9128286R6
11454000.00000000
PA
USD
11082192.39000000
3.365829034853
Long
DBT
UST
US
N
2
2024-04-30
Fixed
0.02250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.625% 07/31/2029
91282CFC0
600000.00000000
PA
USD
550171.87000000
0.167095497807
Long
DBT
UST
US
N
2
2029-07-31
Fixed
0.02625000
N
N
N
N
N
N
FED HOME LN MTG CORP MTN
S6XOOCT0IEG5ABCC6L87
FED HOME LN MTG CORP 4% 11/25/2024
3134GXR71
1700000.00000000
PA
USD
1663496.48000000
0.505228979494
Long
DBT
USGSE
US
N
2
2024-11-25
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 12/31/2025
91282CBC4
4210000.00000000
PA
USD
3755944.93000000
1.140737144223
Long
DBT
UST
US
N
2
2025-12-31
Fixed
0.00375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 04/01/2041#RB5107
3133KYU80
248190.81200000
PA
USD
202537.95000000
0.061513831269
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 04/01/2053 #TBA
01F032641
-1200000.00000000
PA
USD
-1093219.44000000
-0.33202723821
Short
ABS-MBS
USGA
US
N
2
2053-04-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.125% 11/15/2028
9128285M8
9210000.00000000
PA
USD
8730432.44000000
2.651564055131
Long
DBT
UST
US
N
2
2028-11-15
Fixed
0.03125000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.4% 03/25/2032
3137H73P6
700000.00000000
PA
USD
592298.42000000
0.179889966639
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Fixed
0.02400000
N
N
N
N
N
N
PRIVATE EXPORT FUNDING CORP
CYQE6SAYPFKNQJ6FMH60
PRIVATE EXPORT FUNDING CORP 1.75% 11/15/2024
742651DX7
1640000.00000000
PA
USD
1540918.02000000
0.468000051751
Long
DBT
USGSE
US
N
2
2024-11-15
Fixed
0.01750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 09/01/2034#SB0072
3132CWCH5
387376.46500000
PA
USD
363441.40000000
0.110382636714
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03000000
N
N
N
N
N
N
2023-03-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer