U.S. Treasury Obligations - 5.2%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
U.S. Treasury Bonds:
|
|||
3.625% 2/15/53
|
4,193
|
4,027
|
|
3.625% 5/15/53
|
3,000
|
2,887
|
|
U.S. Treasury Notes:
|
|||
3.875% 1/15/26
|
6,988
|
6,940
|
|
4% 2/15/26
|
3,646
|
3,634
|
|
4.375% 10/31/24
|
2,633
|
2,616
|
|
4.625% 3/15/26
|
8,346
|
8,464
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $28,733)
|
28,568
|
||
U.S. Government Agency - Mortgage Securities - 167.3%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Fannie Mae - 44.8%
|
|||
12 month U.S. LIBOR + 1.440% 3.945% 4/1/37 (b)(c)
|
8
|
8
|
|
12 month U.S. LIBOR + 1.460% 3.848% 1/1/35 (b)(c)
|
7
|
7
|
|
12 month U.S. LIBOR + 1.530% 3.94% 3/1/36 (b)(c)
|
8
|
8
|
|
12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (b)(c)
|
2
|
2
|
|
12 month U.S. LIBOR + 1.630% 4.127% 11/1/36 (b)(c)
|
2
|
2
|
|
12 month U.S. LIBOR + 1.640% 5.18% 5/1/36 (b)(c)
|
3
|
3
|
|
12 month U.S. LIBOR + 1.710% 3.857% 8/1/35 (b)(c)
|
18
|
18
|
|
12 month U.S. LIBOR + 1.730% 4.021% 3/1/40 (b)(c)
|
7
|
7
|
|
12 month U.S. LIBOR + 1.730% 4.294% 5/1/36 (b)(c)
|
3
|
3
|
|
12 month U.S. LIBOR + 1.750% 4% 8/1/41 (b)(c)
|
8
|
8
|
|
12 month U.S. LIBOR + 1.750% 4.051% 7/1/35 (b)(c)
|
2
|
2
|
|
12 month U.S. LIBOR + 1.800% 4.048% 12/1/40 (b)(c)
|
199
|
203
|
|
12 month U.S. LIBOR + 1.800% 4.055% 1/1/42 (b)(c)
|
15
|
15
|
|
12 month U.S. LIBOR + 1.810% 4.304% 2/1/42 (b)(c)
|
8
|
9
|
|
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (b)(c)
|
2
|
2
|
|
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (b)(c)
|
12
|
13
|
|
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.405% 10/1/33 (b)(c)
|
3
|
3
|
|
1.5% 11/1/35 to 7/1/51
|
26,067
|
20,970
|
|
2% 2/1/28 to 3/1/52
|
67,144
|
57,195
|
|
2.5% 1/1/28 to 2/1/52
|
72,910
|
63,997
|
|
3% 7/1/32 to 2/1/52 (d)(e)
|
42,461
|
38,448
|
|
3.5% 7/1/34 to 3/1/52
|
13,423
|
12,527
|
|
4% 3/1/39 to 9/1/52
|
12,228
|
11,669
|
|
4.5% 5/1/25 to 11/1/52
|
15,180
|
14,811
|
|
5% 3/1/33 to 12/1/52
|
16,401
|
16,284
|
|
5.274% 8/1/41 (b)
|
106
|
107
|
|
5.5% 10/1/52 to 2/1/53
|
5,606
|
5,610
|
|
5.5% 5/1/53
|
1,135
|
1,140
|
|
6% 11/1/52 to 12/1/52
|
3,822
|
3,867
|
|
6.5% 12/1/23 to 5/1/38
|
64
|
67
|
|
6.682% 2/1/39 (b)
|
44
|
45
|
|
7% to 7% 7/1/26 to 5/1/30
|
63
|
65
|
|
7.5% to 7.5% 8/1/25 to 9/1/32
|
73
|
78
|
|
8% 12/1/29 to 3/1/37
|
5
|
6
|
|
9% 10/1/30
|
17
|
19
|
|
TOTAL FANNIE MAE
|
247,218
|
||
Freddie Mac - 33.0%
|
|||
12 month U.S. LIBOR + 1.500% 3.824% 3/1/36 (b)(c)
|
22
|
22
|
|
12 month U.S. LIBOR + 1.750% 4% 12/1/40 (b)(c)
|
73
|
73
|
|
12 month U.S. LIBOR + 1.750% 4% 9/1/41 (b)(c)
|
25
|
25
|
|
12 month U.S. LIBOR + 1.900% 4.179% 10/1/42 (b)(c)
|
11
|
11
|
|
12 month U.S. LIBOR + 1.960% 3.711% 6/1/33 (b)(c)
|
25
|
26
|
|
12 month U.S. LIBOR + 2.040% 4.256% 7/1/36 (b)(c)
|
11
|
11
|
|
12 month U.S. LIBOR + 2.200% 4.45% 12/1/36 (b)(c)
|
24
|
24
|
|
6 month U.S. LIBOR + 2.020% 5.51% 6/1/37 (b)(c)
|
58
|
59
|
|
6 month U.S. LIBOR + 2.680% 6.988% 10/1/35 (b)(c)
|
1
|
1
|
|
U.S. TREASURY 1 YEAR INDEX + 2.230% 3.356% 5/1/34 (b)(c)
|
0
|
0
|
|
1.5% 7/1/35 to 6/1/51
|
12,100
|
9,737
|
|
2% 3/1/36 to 4/1/52
|
40,126
|
33,464
|
|
2.5% 1/1/28 to 4/1/52
|
43,849
|
38,322
|
|
3% 4/1/32 to 3/1/52
|
17,096
|
15,533
|
|
3.5% 3/1/32 to 4/1/52 (d)(e)(f)
|
27,869
|
26,010
|
|
4% 1/1/36 to 10/1/52
|
15,465
|
14,850
|
|
4% 4/1/48
|
5
|
4
|
|
4.5% 7/1/25 to 9/1/52
|
22,195
|
21,553
|
|
5% 7/1/33 to 1/1/53
|
10,800
|
10,710
|
|
5.5% 10/1/52 to 3/1/53 (f)
|
8,399
|
8,471
|
|
5.5% 5/1/53
|
1,028
|
1,033
|
|
6% 3/1/24 to 9/1/36
|
170
|
174
|
|
6.5% 1/1/24 to 1/1/53
|
1,731
|
1,778
|
|
7% 3/1/26 to 9/1/36
|
100
|
105
|
|
7.5% 1/1/27 to 7/1/34
|
166
|
175
|
|
TOTAL FREDDIE MAC
|
182,171
|
||
Ginnie Mae - 45.8%
|
|||
3% 6/15/42 to 4/15/45
|
893
|
820
|
|
3.5% 9/20/40 to 7/20/46
|
2,769
|
2,612
|
|
4% 7/20/33 to 5/20/49
|
8,011
|
7,766
|
|
4.5% 8/15/33 to 9/20/46
|
2,755
|
2,734
|
|
5% 5/15/39 to 4/20/48
|
776
|
783
|
|
5.5% 12/15/38 to 9/15/39
|
71
|
74
|
|
6.5% 10/15/34 to 7/15/36
|
26
|
27
|
|
7% to 7% 2/15/24 to 4/20/32
|
81
|
83
|
|
7.5% to 7.5% 8/15/23 to 12/15/29
|
17
|
18
|
|
8% 4/15/24 to 10/15/25
|
4
|
4
|
|
8.5% 11/15/27 to 10/15/28
|
6
|
6
|
|
2% 11/20/50 to 4/20/51
|
15,115
|
12,855
|
|
2% 6/1/53 (g)
|
30,300
|
25,693
|
|
2% 6/1/53 (g)
|
19,750
|
16,747
|
|
2% 6/1/53 (g)
|
7,000
|
5,936
|
|
2% 6/1/53 (g)
|
3,600
|
3,053
|
|
2% 7/1/53 (g)
|
15,250
|
12,945
|
|
2% 7/1/53 (g)
|
5,750
|
4,881
|
|
2% 7/1/53 (g)
|
1,450
|
1,231
|
|
2.5% 7/20/51 to 12/20/51
|
4,349
|
3,803
|
|
2.5% 6/1/53 (g)
|
21,350
|
18,645
|
|
2.5% 6/1/53 (g)
|
16,350
|
14,278
|
|
2.5% 6/1/53 (g)
|
5,250
|
4,585
|
|
2.5% 6/1/53 (g)
|
4,875
|
4,257
|
|
2.5% 7/1/53 (g)
|
14,550
|
12,718
|
|
3% 6/1/53 (g)
|
12,900
|
11,601
|
|
3% 6/1/53 (g)
|
19,400
|
17,446
|
|
3% 6/1/53 (g)
|
6,750
|
6,070
|
|
3% 6/1/53 (g)
|
1,250
|
1,124
|
|
3% 6/1/53 (g)
|
475
|
427
|
|
3% 6/1/53 (g)
|
6,250
|
5,621
|
|
3% 6/1/53 (g)
|
3,775
|
3,395
|
|
3% 7/1/53 (g)
|
7,250
|
6,525
|
|
3.5% 6/1/53 (g)
|
13,150
|
12,187
|
|
3.5% 6/1/53 (g)
|
9,300
|
8,619
|
|
4% 6/1/53 (g)
|
1,200
|
1,140
|
|
4.5% 6/1/53 (g)
|
7,000
|
6,798
|
|
5% 6/1/53 (g)
|
6,700
|
6,610
|
|
5.5% 6/1/53 (g)
|
3,400
|
3,396
|
|
5.5% 6/1/53 (g)
|
1,700
|
1,698
|
|
5.5% 6/1/53 (g)
|
3,800
|
3,796
|
|
TOTAL GINNIE MAE
|
253,007
|
||
Uniform Mortgage Backed Securities - 43.7%
|
|||
1.5% 6/1/38 (g)
|
5,500
|
4,806
|
|
1.5% 6/1/38 (g)
|
4,150
|
3,627
|
|
1.5% 6/1/38 (g)
|
5,025
|
4,391
|
|
1.5% 6/1/53 (g)
|
16,750
|
13,061
|
|
2% 6/1/38 (g)
|
3,750
|
3,358
|
|
2% 6/1/38 (g)
|
5,800
|
5,193
|
|
2% 6/1/53 (g)
|
17,100
|
14,060
|
|
2% 6/1/53 (g)
|
7,600
|
6,249
|
|
2% 6/1/53 (g)
|
3,800
|
3,124
|
|
2% 6/1/53 (g)
|
15,300
|
12,580
|
|
2% 6/1/53 (g)
|
5,500
|
4,522
|
|
2% 6/1/53 (g)
|
7,650
|
6,290
|
|
2% 6/1/53 (g)
|
11,550
|
9,497
|
|
2% 7/1/53 (g)
|
11,900
|
9,799
|
|
2% 7/1/53 (g)
|
11,850
|
9,758
|
|
2% 7/1/53 (g)
|
700
|
576
|
|
2.5% 6/1/38 (g)
|
1,700
|
1,563
|
|
2.5% 6/1/53 (g)
|
11,100
|
9,481
|
|
2.5% 6/1/53 (g)
|
4,200
|
3,587
|
|
2.5% 6/1/53 (g)
|
4,200
|
3,587
|
|
2.5% 6/1/53 (g)
|
50
|
43
|
|
3% 6/1/53 (g)
|
5,300
|
4,696
|
|
3% 6/1/53 (g)
|
3,750
|
3,323
|
|
3% 6/1/53 (g)
|
1,350
|
1,196
|
|
3.5% 6/1/53 (g)
|
25
|
23
|
|
4% 6/1/53 (g)
|
15,050
|
14,218
|
|
4% 6/1/53 (g)
|
9,450
|
8,927
|
|
4% 6/1/53 (g)
|
6,750
|
6,377
|
|
4.5% 6/1/53 (g)
|
1,200
|
1,161
|
|
5% 6/1/38 (g)
|
425
|
424
|
|
5% 6/1/38 (g)
|
800
|
798
|
|
5% 6/1/38 (g)
|
1,025
|
1,022
|
|
5% 6/1/38 (g)
|
600
|
598
|
|
5% 6/1/38 (g)
|
350
|
349
|
|
5% 6/1/38 (g)
|
300
|
299
|
|
5% 6/1/38 (g)
|
7,000
|
6,982
|
|
5% 6/1/53 (g)
|
125
|
123
|
|
5% 6/1/53 (g)
|
6,500
|
6,402
|
|
5% 6/1/53 (g)
|
4,000
|
3,940
|
|
5.5% 6/1/53 (g)
|
12,300
|
12,292
|
|
5.5% 6/1/53 (g)
|
1,050
|
1,049
|
|
5.5% 6/1/53 (g)
|
12,450
|
12,442
|
|
5.5% 6/1/53 (g)
|
7,625
|
7,620
|
|
5.5% 7/1/53 (g)
|
17,650
|
17,636
|
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
241,049
|
||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $968,237)
|
923,445
|
||
Asset-Backed Securities - 1.8%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Capital One Multi-Asset Execution Trust Series 2023-A1 Class A, 4.42% 5/15/28
|
1,570
|
1,557
|
|
Carmax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26
|
2,836
|
2,824
|
|
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (h)
|
258
|
247
|
|
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 6.488% 10/25/37 (b)(c)(h)
|
125
|
124
|
|
Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (h)
|
760
|
756
|
|
Gm Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25
|
154
|
154
|
|
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (h)
|
11
|
8
|
|
Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27
|
249
|
249
|
|
Hyundai Auto Lease Securitizat Series 2023-B Class A2A, 5.47% 9/15/25 (h)
|
362
|
362
|
|
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (h)
|
1,003
|
851
|
|
Toyota Lease Owner Trust Series 2023 A:
|
|||
Class A2, 5.3% 8/20/25 (h)
|
335
|
333
|
|
Class A3, 4.93% 4/20/26 (h)
|
279
|
278
|
|
Upstart Securitization Trust Series 2021-2 Class A, 0.91% 6/20/31 (h)
|
44
|
44
|
|
Verizon Master Trust:
|
|||
Series 2021-1 Class A, 0.5% 5/20/27
|
962
|
915
|
|
Series 2023 2 Class A, 4.89% 4/13/28
|
810
|
807
|
|
World Omni Auto Receivables Trust Series 2023 B:
|
|||
Class A2A, 5.25% 11/16/26
|
161
|
160
|
|
Class A3, 4.66% 5/15/28
|
295
|
294
|
|
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25
|
296
|
296
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $10,456)
|
10,259
|
||
Collateralized Mortgage Obligations - 3.9%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Private Sponsor - 1.1%
|
|||
Ajax Mortgage Loan Trust sequential payer:
|
|||
Series 2021-C Class A, 2.115% 1/25/61 (h)
|
263
|
247
|
|
Series 2021-E Class A1, 1.74% 12/25/60 (h)
|
1,947
|
1,614
|
|
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(h)
|
179
|
171
|
|
Cascade Funding Mortgage Trust Series 2021-HB5 Class A, 0.8006% 2/25/31 (h)
|
197
|
190
|
|
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(h)
|
65
|
64
|
|
CSMC:
|
|||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 4.4303% 5/27/37 (b)(c)(h)
|
158
|
151
|
|
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (b)(c)(h)(i)
|
72
|
0
|
|
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (h)
|
1,088
|
991
|
|
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (h)
|
369
|
336
|
|
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (h)
|
1,088
|
966
|
|
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(h)
|
256
|
247
|
|
Preston Ridge Partners Mortgage Trust Series 2021-RPL1 Class A1, 1.319% 7/25/51 (h)
|
155
|
133
|
|
RMF Buyout Issuance Trust:
|
|||
sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (h)
|
327
|
312
|
|
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (h)
|
489
|
452
|
|
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 5.778% 9/25/43 (b)(c)
|
310
|
287
|
|
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 4.4038% 9/25/33 (b)
|
34
|
33
|
|
TOTAL PRIVATE SPONSOR
|
6,194
|
||
U.S. Government Agency - 2.8%
|
|||
Fannie Mae:
|
|||
floater Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 2.962% 12/25/33 (b)(j)(k)
|
32
|
5
|
|
planned amortization class:
|
|||
Series 1999-17 Class PG, 6% 4/25/29
|
35
|
35
|
|
Series 1999-32 Class PL, 6% 7/25/29
|
42
|
42
|
|
Series 1999-33 Class PK, 6% 7/25/29
|
31
|
31
|
|
Series 2001-52 Class YZ, 6.5% 10/25/31
|
5
|
5
|
|
Series 2005-39 Class TE, 5% 5/25/35
|
71
|
72
|
|
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 4.1912% 8/25/35 (b)(k)
|
2
|
3
|
|
Series 2012-149:
|
|||
Class DA, 1.75% 1/25/43
|
35
|
31
|
|
Class GA, 1.75% 6/25/42
|
38
|
34
|
|
sequential payer:
|
|||
Series 2001-20 Class Z, 6% 5/25/31
|
37
|
38
|
|
Series 2001-31 Class ZC, 6.5% 7/25/31
|
15
|
15
|
|
Series 2002-16 Class ZD, 6.5% 4/25/32
|
8
|
8
|
|
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 2.412% 11/25/32 (b)(j)(k)
|
9
|
0
|
|
Series 2012-67 Class AI, 4.5% 7/25/27 (j)
|
14
|
0
|
|
Series 2020-80 Class BA, 1.5% 3/25/45
|
650
|
556
|
|
Series 2022-1 Class KA, 3% 5/25/48
|
332
|
303
|
|
Series 2022-3 Class N, 2% 10/25/47
|
2,684
|
2,324
|
|
Series 2022-30 Class E, 4.5% 7/25/48
|
948
|
915
|
|
Series 2022-49 Class TC, 4% 12/25/48
|
307
|
298
|
|
Series 2022-7 Class A, 3% 5/25/48
|
473
|
431
|
|
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 1.502% 12/25/36 (b)(j)(k)
|
21
|
2
|
|
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 1.302% 5/25/37 (b)(j)(k)
|
11
|
1
|
|
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 5.2667% 9/25/23 (b)(k)
|
0
|
0
|
|
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 2.962% 3/25/33 (b)(j)(k)
|
8
|
1
|
|
Series 2005-79 Class ZC, 5.9% 9/25/35
|
66
|
67
|
|
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 9.792% 6/25/37 (b)(k)
|
38
|
49
|
|
Series 2007-66 Class SB, 39.600% - 1 month U.S. LIBOR 8.772% 7/25/37 (b)(k)
|
9
|
10
|
|
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 1.212% 3/25/38 (b)(j)(k)
|
57
|
6
|
|
Series 2010-135:
|
|||
Class LS, 6.050% - 1 month U.S. LIBOR 0.912% 12/25/40 (b)(j)(k)
|
58
|
4
|
|
Class ZA, 4.5% 12/25/40
|
22
|
22
|
|
Series 2010-139 Class NI, 4.5% 2/25/40 (j)
|
14
|
0
|
|
Series 2010-150 Class ZC, 4.75% 1/25/41
|
241
|
242
|
|
Series 2010-95 Class ZC, 5% 9/25/40
|
537
|
541
|
|
Series 2011-4 Class PZ, 5% 2/25/41
|
79
|
77
|
|
Series 2011-67 Class AI, 4% 7/25/26 (j)
|
5
|
0
|
|
Series 2011-83 Class DI, 6% 9/25/26 (j)
|
0
|
0
|
|
Series 2012-100 Class WI, 3% 9/25/27 (j)
|
99
|
4
|
|
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 1.512% 12/25/30 (b)(j)(k)
|
7
|
0
|
|
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 1.412% 6/25/41 (b)(j)(k)
|
9
|
0
|
|
Series 2013-133 Class IB, 3% 4/25/32 (j)
|
34
|
1
|
|
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 0.912% 1/25/44 (b)(j)(k)
|
34
|
4
|
|
Series 2013-51 Class GI, 3% 10/25/32 (j)
|
42
|
2
|
|
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 1.582% 6/25/35 (b)(j)(k)
|
62
|
5
|
|
Series 2015-42 Class IL, 6% 6/25/45 (j)
|
227
|
39
|
|
Series 2015-70 Class JC, 3% 10/25/45
|
294
|
277
|
|
Series 2017-30 Class AI, 5.5% 5/25/47 (j)
|
136
|
23
|
|
Fannie Mae Stripped Mortgage-Backed Securities:
|
|||
Series 348 Class 14, 6.5% 8/25/34 (b)(j)
|
17
|
3
|
|
Series 351:
|
|||
Class 12, 5.5% 4/25/34 (b)(j)
|
11
|
2
|
|
Class 13, 6% 3/25/34 (j)
|
16
|
3
|
|
Series 359 Class 19, 6% 7/25/35 (b)(j)
|
9
|
2
|
|
Series 384 Class 6, 5% 7/25/37 (j)
|
30
|
5
|
|
Freddie Mac:
|
|||
planned amortization class:
|
|||
Series 2095 Class PE, 6% 11/15/28
|
45
|
45
|
|
Series 2104 Class PG, 6% 12/15/28
|
14
|
14
|
|
Series 2121 Class MG, 6% 2/15/29
|
18
|
18
|
|
Series 2154 Class PT, 6% 5/15/29
|
33
|
34
|
|
Series 2162 Class PH, 6% 6/15/29
|
4
|
4
|
|
Series 2520 Class BE, 6% 11/15/32
|
34
|
35
|
|
Series 2693 Class MD, 5.5% 10/15/33
|
477
|
482
|
|
Series 2802 Class OB, 6% 5/15/34
|
62
|
62
|
|
Series 3002 Class NE, 5% 7/15/35
|
44
|
44
|
|
Series 3189 Class PD, 6% 7/15/36
|
42
|
43
|
|
Series 3415 Class PC, 5% 12/15/37
|
15
|
15
|
|
Series 3806 Class UP, 4.5% 2/15/41
|
88
|
87
|
|
Series 3832 Class PE, 5% 3/15/41
|
183
|
183
|
|
Series 4135 Class AB, 1.75% 6/15/42
|
28
|
25
|
|
sequential payer:
|
|||
Series 2022-5189 Class DA, 2.5% 5/25/49
|
252
|
219
|
|
Series 2022-5190 Class BA, 2.5% 11/25/47
|
240
|
213
|
|
Series 2022-5197 Class DA, 2.5% 11/25/47
|
183
|
162
|
|
Series 2022-5198 Class BA, 2.5% 11/25/47
|
899
|
807
|
|
Series 2022-5202 Class LB, 2.5% 10/25/47
|
195
|
172
|
|
Series 2114 Class ZM, 6% 1/15/29
|
6
|
6
|
|
Series 2135 Class JE, 6% 3/15/29
|
23
|
24
|
|
Series 2274 Class ZM, 6.5% 1/15/31
|
13
|
14
|
|
Series 2281 Class ZB, 6% 3/15/30
|
8
|
9
|
|
Series 2357 Class ZB, 6.5% 9/15/31
|
28
|
29
|
|
Series 2502 Class ZC, 6% 9/15/32
|
26
|
27
|
|
Series 3871 Class KB, 5.5% 6/15/41
|
178
|
185
|
|
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 1.4926% 2/15/36 (b)(j)(k)
|
15
|
1
|
|
Series 1658 Class GZ, 7% 1/15/24
|
3
|
3
|
|
Series 2013-4281 Class AI, 4% 12/15/28 (j)
|
21
|
0
|
|
Series 2017-4683 Class LM, 3% 5/15/47
|
268
|
252
|
|
Series 2021-5083 Class VA, 1% 8/15/38
|
1,266
|
1,177
|
|
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 3.0926% 11/15/31 (b)(j)(k)
|
51
|
2
|
|
Series 2587 Class IM, 6.5% 3/15/33 (j)
|
14
|
2
|
|
Series 2933 Class ZM, 5.75% 2/15/35
|
158
|
164
|
|
Series 2935 Class ZK, 5.5% 2/15/35
|
171
|
176
|
|
Series 2947 Class XZ, 6% 3/15/35
|
83
|
86
|
|
Series 2996 Class ZD, 5.5% 6/15/35
|
105
|
108
|
|
Series 3237 Class C, 5.5% 11/15/36
|
139
|
140
|
|
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 1.5526% 11/15/36 (b)(j)(k)
|
50
|
5
|
|
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 1.6426% 3/15/37 (b)(j)(k)
|
71
|
8
|
|
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 1.6526% 4/15/37 (b)(j)(k)
|
99
|
12
|
|
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 1.4726% 6/15/37 (b)(j)(k)
|
39
|
5
|
|
Series 3949 Class MK, 4.5% 10/15/34
|
32
|
32
|
|
Series 4055 Class BI, 3.5% 5/15/31 (j)
|
32
|
1
|
|
Series 4149 Class IO, 3% 1/15/33 (j)
|
23
|
2
|
|
Series 4314 Class AI, 5% 3/15/34 (j)
|
10
|
0
|
|
Series 4427 Class LI, 3.5% 2/15/34 (j)
|
110
|
6
|
|
Series 4471 Class PA 4% 12/15/40
|
168
|
164
|
|
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28
|
16
|
17
|
|
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40
|
379
|
372
|
|
Ginnie Mae guaranteed REMIC pass-thru certificates:
|
|||
floater:
|
|||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 1.5846% 6/16/37 (b)(j)(k)
|
24
|
3
|
|
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 5.3477% 7/20/60 (b)(c)(l)
|
60
|
59
|
|
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 5.1577% 9/20/60 (b)(c)(l)
|
69
|
68
|
|
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 5.1577% 8/20/60 (b)(c)(l)
|
54
|
53
|
|
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 5.3577% 4/20/61 (b)(c)(l)
|
19
|
19
|
|
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 4.8719% 5/20/61 (b)(c)(l)
|
2
|
2
|
|
Series 2019-11 Class F, 1 month U.S. LIBOR + 0.400% 5.5484% 1/20/49 (b)(c)
|
91
|
89
|
|
Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 5.6484% 10/20/49 (b)(c)
|
142
|
139
|
|
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 5.5984% 2/20/49 (b)(c)
|
284
|
279
|
|
planned amortization class:
|
|||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 0.0946% 12/20/40 (b)(k)
|
203
|
169
|
|
Series 2011-136 Class WI, 4.5% 5/20/40 (j)
|
9
|
1
|
|
Series 2016-69 Class WA, 3% 2/20/46
|
116
|
107
|
|
Series 2017-134 Class BA, 2.5% 11/20/46
|
43
|
39
|
|
sequential payer:
|
|||
Series 2004-24 Class ZM, 5% 4/20/34
|
70
|
69
|
|
Series 2010-160 Class DY, 4% 12/20/40
|
379
|
371
|
|
Series 2010-170 Class B, 4% 12/20/40
|
84
|
82
|
|
Series 2017-139 Class BA, 3% 9/20/47
|
462
|
419
|
|
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 1.3946% 5/16/34 (b)(j)(k)
|
44
|
3
|
|
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 2.0946% 8/17/34 (b)(j)(k)
|
15
|
2
|
|
Series 2011-52 Class HI, 7% 4/16/41 (j)
|
169
|
26
|
|
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 1.5946% 6/16/42 (b)(j)(k)
|
82
|
8
|
|
Series 2013-149 Class MA, 2.5% 5/20/40
|
280
|
267
|
|
Series 2015-H13 Class HA, 2.5% 8/20/64 (l)
|
5
|
5
|
|
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.93% 8/20/66 (b)(c)(l)
|
626
|
623
|
|
TOTAL U.S. GOVERNMENT AGENCY
|
15,133
|
||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $22,694)
|
21,327
|
||
Commercial Mortgage Securities - 5.0%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
BAMLL Commercial Mortgage Securities Trust:
|
|||
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (h)
|
266
|
243
|
|
Series 2019-BPR Class BNM, 3.465% 11/5/32 (h)
|
118
|
99
|
|
BANK:
|
|||
sequential payer Series 2017-BNK9 Class A4, 3.538% 11/15/54
|
1,013
|
941
|
|
Series 2020-BN25 Class XB, 0.4393% 1/15/63 (b)(j)
|
7,140
|
175
|
|
Series 2021-BN33 Class XA, 1.056% 5/15/64 (b)(j)
|
4,961
|
281
|
|
BANK Trust sequential payer Series 2017-BNK5 Class A5, 3.39% 6/15/60
|
1,519
|
1,410
|
|
Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7749% 12/15/62 (b)(j)
|
13,178
|
400
|
|
BFLD Trust floater sequential payer Series 2020-OBRK Class A, CME Term SOFR 1 Month Index + 2.160% 7.2235% 11/15/28 (b)(c)(h)
|
279
|
277
|
|
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 5.857% 9/15/26 (b)(c)(h)
|
772
|
733
|
|
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 6.9573% 4/15/37 (b)(c)(h)
|
1,066
|
1,033
|
|
BX Trust:
|
|||
floater Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 5.7429% 10/15/26 (b)(c)(h)
|
1,000
|
964
|
|
floater sequential payer Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.0938% 10/15/36 (b)(c)(h)
|
424
|
422
|
|
CGDB Commercial Mortgage Trust floater Series 2019-MOB:
|
|||
Class A, 1 month U.S. LIBOR + 0.950% 6.0574% 11/15/36 (b)(c)(h)
|
197
|
195
|
|
Class B, 1 month U.S. LIBOR + 1.250% 6.3574% 11/15/36 (b)(c)(h)
|
253
|
248
|
|
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 6.227% 6/15/34 (b)(c)(h)
|
657
|
649
|
|
Citigroup Commercial Mortgage Trust:
|
|||
sequential payer Series 2016-P4 Class A4, 2.902% 7/10/49
|
1,644
|
1,519
|
|
Series 2015-GC33 Class XA, 0.871% 9/10/58 (b)(j)
|
7,962
|
124
|
|
Series 2016-P6 Class XA, 0.5591% 12/10/49 (b)(j)
|
6,370
|
100
|
|
Series 2019-GC41 Class XA, 1.0405% 8/10/56 (b)(j)
|
5,148
|
218
|
|
COMM Mortgage Trust:
|
|||
Series 2014-CR20 Class XA, 0.928% 11/10/47 (b)(j)
|
1,800
|
16
|
|
Series 2014-LC17 Class XA, 0.6585% 10/10/47 (b)(j)
|
5,350
|
33
|
|
Series 2014-UBS6 Class XA, 0.8327% 12/10/47 (b)(j)
|
4,360
|
38
|
|
Credit Suisse Mortgage Trust Series 2018-SITE Class A, 4.284% 4/15/36 (h)
|
340
|
327
|
|
Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 6.188% 7/15/38 (b)(c)(h)
|
457
|
447
|
|
Freddie Mac:
|
|||
sequential payer:
|
|||
Series 2015-K049 Class A2, 3.01% 7/25/25
|
54
|
52
|
|
Series 2015-K051 Class A2, 3.308% 9/25/25
|
86
|
84
|
|
Series 2017 K726 Class A2, 2.905% 4/25/24
|
897
|
877
|
|
Series 2021-K126 Class A2, 2.074% 1/25/31
|
608
|
518
|
|
Series 2021-K127 Class A2, 2.108% 1/25/31
|
962
|
822
|
|
Series 2022-150 Class A2, 3.71% 9/25/32
|
101
|
96
|
|
Series 2022 K748 Class A2, 2.26% 1/25/29
|
504
|
453
|
|
GS Mortgage Securities Trust:
|
|||
floater:
|
|||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 7.057% 9/15/31 (b)(c)(h)
|
1,808
|
1,769
|
|
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 6.2% 10/15/31 (b)(c)(h)
|
267
|
255
|
|
Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 6.057% 10/15/36 (b)(c)(h)
|
526
|
493
|
|
sequential payer:
|
|||
Series 2015-GC30 Class A4, 3.382% 5/10/50
|
5,000
|
4,758
|
|
Series 2018-GS9 Class A4, 3.992% 3/10/51
|
1,063
|
999
|
|
Series 2014-GC20 Class XA, 1.0036% 4/10/47 (b)(j)
|
1,505
|
6
|
|
Series 2015-GC34 Class XA, 1.2021% 10/10/48 (b)(j)
|
3,882
|
87
|
|
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.5476% 8/15/39 (b)(c)(h)
|
838
|
837
|
|
JPMBB Commercial Mortgage Securities Trust:
|
|||
Series 2013-C14 Class A/S, 4.4093% 8/15/46
|
354
|
353
|
|
Series 2014-C19 Class XA, 0.5707% 4/15/47 (b)(j)
|
1,032
|
3
|
|
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT:
|
|||
Class AFX, 4.2475% 7/5/33 (h)
|
455
|
409
|
|
Class XAFX, 1.116% 7/5/33 (b)(h)(j)
|
3,909
|
0
|
|
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 5.807% 7/15/38 (b)(c)(h)
|
341
|
330
|
|
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.0374% 10/15/48 (b)(j)
|
4,541
|
73
|
|
Morgan Stanley Capital I Trust:
|
|||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 5.957% 8/15/33 (b)(c)(h)
|
723
|
613
|
|
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (h)
|
577
|
536
|
|
Series 2019-MEAD Class B, 3.1771% 11/10/36 (b)(h)
|
84
|
77
|
|
Series 2021-L6 Class XA, 1.2243% 6/15/54 (b)(j)
|
1,105
|
67
|
|
SREIT Trust floater Series 2021-MFP:
|
|||
Class A, 1 month U.S. LIBOR + 0.730% 5.8382% 11/15/38 (b)(c)(h)
|
576
|
557
|
|
Class B, 1 month U.S. LIBOR + 1.070% 6.1872% 11/15/38 (b)(c)(h)
|
330
|
319
|
|
UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.003% 12/15/50 (b)(j)
|
5,732
|
195
|
|
Wells Fargo Commercial Mortgage Trust:
|
|||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 6.307% 5/15/31 (b)(c)(h)
|
468
|
438
|
|
Series 2015-C31 Class XA, 0.9527% 11/15/48 (b)(j)
|
3,975
|
71
|
|
Series 2017-C42 Class XA, 0.8606% 12/15/50 (b)(j)
|
7,600
|
240
|
|
Series 2018-C46 Class XA, 0.9268% 8/15/51 (b)(j)
|
4,145
|
100
|
|
WF-RBS Commercial Mortgage Trust:
|
|||
Series 2014-C24 Class XA, 0.8376% 11/15/47 (b)(j)
|
2,968
|
25
|
|
Series 2014-LC14 Class XA, 1.2305% 3/15/47 (b)(j)
|
2,667
|
9
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $28,493)
|
27,413
|
||
Money Market Funds - 3.6%
|
|||
Shares
|
Value ($)
(000s)
|
||
Fidelity Cash Central Fund 5.14% (m)
(Cost $19,872)
|
19,868,103
|
19,872
|
|
TOTAL INVESTMENT IN SECURITIES - 186.8%
(Cost $1,078,485)
|
1,030,884
|
NET OTHER ASSETS (LIABILITIES) - (86.8)%
|
(478,948)
|
NET ASSETS - 100.0%
|
551,936
|
TBA Sale Commitments
|
||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
|
Ginnie Mae
|
||
2% 6/1/53
|
(15,250)
|
(12,932)
|
2% 6/1/53
|
(29,900)
|
(25,354)
|
2% 6/1/53
|
(5,750)
|
(4,876)
|
2% 6/1/53
|
(1,450)
|
(1,230)
|
2.5% 6/1/53
|
(14,550)
|
(12,706)
|
2.5% 6/1/53
|
(26,000)
|
(22,706)
|
3% 6/1/53
|
(32,000)
|
(28,777)
|
3% 6/1/53
|
(7,250)
|
(6,520)
|
3.5% 6/1/53
|
(11,500)
|
(10,658)
|
TOTAL GINNIE MAE
|
(125,759)
|
|
Uniform Mortgage Backed Securities
|
||
1.5% 6/1/38
|
(8,000)
|
(6,991)
|
1.5% 6/1/53
|
(3,900)
|
(3,041)
|
1.5% 6/1/53
|
(8,000)
|
(6,238)
|
2% 6/1/38
|
(1,350)
|
(1,209)
|
2% 6/1/38
|
(2,500)
|
(2,239)
|
2% 6/1/38
|
(2,500)
|
(2,239)
|
2% 6/1/53
|
(11,900)
|
(9,784)
|
2% 6/1/53
|
(11,850)
|
(9,743)
|
2% 6/1/53
|
(2,700)
|
(2,220)
|
2% 6/1/53
|
(3,900)
|
(3,207)
|
2% 6/1/53
|
(28,000)
|
(23,022)
|
2% 6/1/53
|
(6,200)
|
(5,098)
|
2% 6/1/53
|
(700)
|
(576)
|
2.5% 6/1/38
|
(1,400)
|
(1,287)
|
2.5% 6/1/38
|
(300)
|
(276)
|
2.5% 6/1/53
|
(16,100)
|
(13,751)
|
2.5% 6/1/53
|
(3,450)
|
(2,947)
|
3% 6/1/53
|
(3,500)
|
(3,101)
|
3% 6/1/53
|
(5,500)
|
(4,873)
|
3% 6/1/53
|
(550)
|
(487)
|
3% 6/1/53
|
(850)
|
(753)
|
3.5% 6/1/53
|
(25)
|
(23)
|
4% 6/1/53
|
(3,400)
|
(3,212)
|
4% 6/1/53
|
(2,000)
|
(1,889)
|
4% 6/1/53
|
(14,500)
|
(13,698)
|
4.5% 6/1/53
|
(23,000)
|
(22,254)
|
5% 6/1/53
|
(8,050)
|
(7,928)
|
5.5% 6/1/53
|
(2,400)
|
(2,398)
|
5.5% 6/1/53
|
(1,200)
|
(1,199)
|
5.5% 6/1/53
|
(17,650)
|
(17,638)
|
5.5% 6/1/53
|
(14,000)
|
(13,991)
|
5.5% 6/1/53
|
(2,200)
|
(2,199)
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
(189,511)
|
|
TOTAL TBA SALE COMMITMENTS
(Proceeds $312,496)
|
(315,270)
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
(000s)
|
Value ($)
(000s)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
Purchased
|
|||||
Treasury Contracts
|
|||||
CBOT 2-Year U.S. Treasury Note Contracts (United States)
|
28
|
Sep 2023
|
5,763
|
(14)
|
(14)
|
Sold
|
|||||
Treasury Contracts
|
|||||
CBOT 10-Year U.S. Treasury Note Contracts (United States)
|
438
|
Sep 2023
|
50,137
|
(95)
|
(95)
|
CBOT 5-Year U.S. Treasury Note Contracts (United States)
|
238
|
Sep 2023
|
25,961
|
31
|
31
|
CBOT Long Term U.S. Treasury Bond Contracts (United States)
|
73
|
Sep 2023
|
9,369
|
(99)
|
(99)
|
TOTAL SOLD
|
(163)
|
||||
TOTAL FUTURES CONTRACTS
|
(177)
|
||||
The notional amount of futures purchased as a percentage of Net Assets is 1.0%
|
|||||
The notional amount of futures sold as a percentage of Net Assets is 15.5%
|
Credit Default Swaps
|
||||||||||
Underlying Reference
|
Rating(1)
|
Maturity
Date
|
Clearinghouse /
Counterparty
|
Fixed
Payment
Received/
(Paid)
|
Payment
Frequency
|
Notional
Amount
(000s)(2)(3)
|
Value ($)
(000s)(1)
|
Upfront
Premium
Received/
(Paid) ($)
(000s)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
Buy Protection
|
||||||||||
CMBX N.A. AAA Index Series 13
|
Dec 2072
|
Citigroup Global Markets Ltd.
|
(0.5%)
|
Monthly
|
1,620
|
36
|
(18)
|
18
|
||
CMBX N.A. AAA Index Series 13
|
Dec 2072
|
Morgan Stanley Capital Services LLC
|
(0.5%)
|
Monthly
|
760
|
17
|
(13)
|
4
|
||
CMBX N.A. AAA Index Series 13
|
Dec 2072
|
Morgan Stanley Capital Services LLC
|
(0.5%)
|
Monthly
|
720
|
16
|
(12)
|
4
|
||
CMBX N.A. BBB Index Series 13
|
Dec 2072
|
Goldman Sachs & Co. LLC
|
(3%)
|
Monthly
|
660
|
214
|
(178)
|
36
|
||
CMBX N.A. BBB Index Series 16
|
Apr 2065
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
350
|
110
|
(88)
|
22
|
||
CMBX N.A. BBB Index Series 16
|
Apr 2065
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
660
|
208
|
(165)
|
43
|
||
CMBX N.A. BBB Index Series 16
|
Apr 2065
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
550
|
173
|
(148)
|
25
|
||
CMBX N.A. BBB Index Series 16
|
Apr 2065
|
Goldman Sachs & Co. LLC
|
(3%)
|
Monthly
|
80
|
25
|
(22)
|
3
|
||
CMBX N.A. BBB Index Series 16
|
Apr 2065
|
Goldman Sachs & Co. LLC
|
(3%)
|
Monthly
|
550
|
173
|
(163)
|
10
|
||
CMBX N.A. BBB Index Series 16
|
Apr 2065
|
Morgan Stanley Capital Services LLC
|
(3%)
|
Monthly
|
470
|
148
|
(122)
|
26
|
||
TOTAL BUY PROTECTION
|
1,120
|
(929)
|
191
|
|||||||
Sell Protection
|
||||||||||
CMBX N.A. AAA Index Series 13
|
NR
|
Dec 2072
|
Morgan Stanley Capital Services LLC
|
0.5%
|
Monthly
|
3,100
|
(69)
|
74
|
5
|
|
CMBX N.A. AAA Index Series 16
|
Apr 2065
|
Goldman Sachs & Co. LLC
|
0.5%
|
Monthly
|
1,600
|
(66)
|
66
|
0
|
||
TOTAL SELL PROTECTION
|
(135)
|
140
|
5
|
|||||||
TOTAL CREDIT DEFAULT SWAPS
|
985
|
(789)
|
196
|
Interest Rate Swaps
|
||||||||||
Payment Received
|
Payment
Frequency
|
Payment Paid
|
Payment
Frequency
|
Clearinghouse /
Counterparty(1)
|
Maturity
Date
|
Notional
Amount (000s)(2)
|
Value ($)
(000s)
|
Upfront
Premium
Received/
(Paid) ($) (000s)(3)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
3.75%
|
Annual
|
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
|
Annual
|
LCH
|
Jun 2025
|
5,370
|
59
|
0
|
59
|
|
3.25%
|
Annual
|
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
|
Annual
|
LCH
|
Jun 2028
|
10,664
|
213
|
0
|
213
|
|
2.75%
|
Annual
|
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
|
Annual
|
LCH
|
Jun 2053
|
700
|
6
|
0
|
6
|
|
TOTAL INTEREST RATE SWAPS
|
278
|
0
|
278
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(c)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(d)
|
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 $1,912,000.
|
(e)
|
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 $532,000.
|
(f)
|
Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $7,136,000.
|
(g)
|
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
|
(h)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $21,147,000 or 3.8% of net assets.
|
(i)
|
Level 3 security
|
(j)
|
Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
|
(k)
|
Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
|
(l)
|
Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
|
(m)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate (Amounts in thousands)
|
Value,
beginning
of period ($)
|
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 5.14%
|
230,252
|
603,299
|
813,679
|
6,661
|
-
|
-
|
19,872
|
0.0%
|
Fidelity Securities Lending Cash Central Fund 5.14%
|
3,840
|
69,634
|
73,474
|
8
|
-
|
-
|
-
|
0.0%
|
Total
|
234,092
|
672,933
|
887,153
|
6,669
|
-
|
-
|
19,872
|
|