U.S. Government and Government Agency Obligations - 3.3%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
U.S. Treasury Obligations - 3.3%
|
|||
U.S. Treasury Bonds 4.125% 8/15/53
|
2,810
|
2,577
|
|
U.S. Treasury Notes:
|
|||
4.125% 2/15/27
|
1,080
|
1,064
|
|
4.125% 3/31/31
|
890
|
871
|
|
4.25% 3/15/27
|
2,550
|
2,521
|
|
4.5% 4/15/27
|
6,200
|
6,170
|
|
4.5% 5/15/27
|
5,230
|
5,205
|
|
4.625% 11/15/26
|
790
|
787
|
|
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $19,209)
|
19,195
|
||
U.S. Government Agency - Mortgage Securities - 160.3%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Fannie Mae - 33.9%
|
|||
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.440% 5.945% 4/1/37 (b)(c)
|
7
|
7
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.460% 6.085% 1/1/35 (b)(c)
|
2
|
2
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 5.94% 3/1/36 (b)(c)
|
6
|
6
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.803% 6/1/36 (b)(c)
|
1
|
1
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 6.162% 11/1/36 (b)(c)
|
2
|
2
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.680% 6.193% 5/1/36 (b)(c)
|
1
|
1
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.710% 5.857% 8/1/35 (b)(c)
|
16
|
17
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 6.028% 3/1/40 (b)(c)
|
6
|
6
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 8/1/41 (b)(c)
|
8
|
8
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6.038% 7/1/35 (b)(c)
|
2
|
2
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.051% 12/1/40 (b)(c)
|
174
|
178
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.055% 1/1/42 (b)(c)
|
13
|
13
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.304% 2/1/42 (b)(c)
|
8
|
8
|
|
U.S. TREASURY 1 YEAR INDEX + 2.200% 6.583% 3/1/35 (b)(c)
|
2
|
2
|
|
U.S. TREASURY 1 YEAR INDEX + 2.270% 6.395% 6/1/36 (b)(c)
|
12
|
12
|
|
U.S. TREASURY 1 YEAR INDEX + 2.280% 6.403% 10/1/33 (b)(c)
|
3
|
3
|
|
1.5% 11/1/35 to 7/1/51
|
22,748
|
17,744
|
|
2% 2/1/28 to 3/1/52
|
39,609
|
33,188
|
|
2.5% 1/1/30 to 1/1/52
|
61,308
|
51,772
|
|
3% 2/1/31 to 2/1/52
|
34,571
|
30,137
|
|
3.5% 9/1/33 to 8/1/52
|
12,762
|
11,464
|
|
4% 3/1/39 to 8/1/52
|
8,149
|
7,524
|
|
4.5% 5/1/25 to 11/1/52
|
5,993
|
5,725
|
|
5% 3/1/33 to 11/1/52
|
7,051
|
6,870
|
|
5.288% 8/1/41 (b)
|
88
|
86
|
|
5.5% 10/1/52 to 8/1/53
|
6,754
|
6,677
|
|
6% 11/1/52 to 5/1/54
|
18,899
|
19,041
|
|
6.5% 2/1/27 to 3/1/54
|
3,635
|
3,737
|
|
6.712% 2/1/39 (b)
|
31
|
31
|
|
7% to 7% 7/1/26 to 5/1/30
|
42
|
42
|
|
7.5% to 7.5% 8/1/25 to 9/1/32
|
62
|
65
|
|
8% 12/1/29 to 3/1/37
|
5
|
5
|
|
9% 10/1/30
|
16
|
17
|
|
TOTAL FANNIE MAE
|
194,393
|
||
Freddie Mac - 21.5%
|
|||
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 5.824% 3/1/36 (b)(c)
|
20
|
20
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 12/1/40 (b)(c)
|
59
|
60
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 9/1/41 (b)(c)
|
21
|
22
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 6.189% 10/1/42 (b)(c)
|
9
|
10
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.960% 5.711% 6/1/33 (b)(c)
|
16
|
16
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 7.885% 6/1/37 (b)(c)
|
55
|
56
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.040% 6.256% 7/1/36 (b)(c)
|
10
|
11
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.200% 6.45% 12/1/36 (b)(c)
|
16
|
16
|
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.500% 8.185% 10/1/35 (b)(c)
|
1
|
1
|
|
U.S. TREASURY 1 YEAR INDEX + 2.230% 5.356% 5/1/34 (b)(c)
|
0
|
0
|
|
1.5% 7/1/35 to 6/1/51
|
13,963
|
10,892
|
|
2% 3/1/36 to 12/1/51
|
16,837
|
13,566
|
|
2.5% 1/1/30 to 12/1/51
|
31,004
|
26,458
|
|
3% 12/1/30 to 5/1/52
|
11,604
|
10,161
|
|
3.5% 3/1/32 to 6/1/52 (d)(e)
|
24,858
|
22,303
|
|
4% 1/1/36 to 10/1/52
|
14,122
|
13,107
|
|
4% 4/1/48
|
5
|
4
|
|
4.5% 7/1/25 to 7/1/53
|
2,741
|
2,642
|
|
5% 7/1/33 to 1/1/53
|
6,028
|
5,862
|
|
5.5% 10/1/52 to 3/1/54 (f)
|
11,697
|
11,592
|
|
6% 11/1/28 to 4/1/54
|
3,979
|
4,017
|
|
6.5% 9/1/24 to 1/1/54
|
2,189
|
2,255
|
|
7% 3/1/26 to 9/1/36
|
71
|
74
|
|
7.5% 1/1/27 to 7/1/34
|
138
|
145
|
|
TOTAL FREDDIE MAC
|
123,290
|
||
Ginnie Mae - 32.2%
|
|||
3% 6/15/42 to 4/15/45
|
807
|
715
|
|
3.5% 9/20/40 to 7/20/46
|
2,473
|
2,251
|
|
4% 7/20/33 to 5/20/49
|
7,221
|
6,768
|
|
4.5% 8/15/33 to 4/20/53
|
4,599
|
4,402
|
|
5% 5/15/39 to 4/20/48
|
690
|
684
|
|
5.5% 12/15/38 to 9/15/39
|
61
|
62
|
|
6.5% 10/15/34 to 7/15/36
|
23
|
24
|
|
7% to 7% 1/15/26 to 4/20/32
|
60
|
62
|
|
7.5% to 7.5% 12/15/26 to 12/15/29
|
13
|
13
|
|
8% 12/15/24 to 10/15/25
|
2
|
2
|
|
8.5% 11/15/27 to 10/15/28
|
3
|
3
|
|
2% 10/20/50 to 4/20/51
|
11,752
|
9,420
|
|
2% 6/1/54 (g)
|
5,450
|
4,364
|
|
2% 6/1/54 (g)
|
11,000
|
8,807
|
|
2% 6/1/54 (g)
|
2,325
|
1,862
|
|
2% 6/1/54 (g)
|
5,450
|
4,364
|
|
2% 6/1/54 (g)
|
3,800
|
3,043
|
|
2% 6/1/54 (g)
|
2,800
|
2,242
|
|
2% 6/1/54 (g)
|
10,850
|
8,687
|
|
2% 6/1/54 (g)
|
250
|
200
|
|
2% 7/1/54 (g)
|
11,050
|
8,856
|
|
2.5% 8/20/51 to 1/20/52
|
12,253
|
10,076
|
|
2.5% 6/1/54 (g)
|
50
|
42
|
|
2.5% 6/1/54 (g)
|
10,450
|
8,704
|
|
2.5% 6/1/54 (g)
|
10,475
|
8,725
|
|
2.5% 7/1/54 (g)
|
10,500
|
8,752
|
|
3% 6/1/54 (g)
|
9,250
|
7,990
|
|
3% 6/1/54 (g)
|
6,950
|
6,003
|
|
3% 6/1/54 (g)
|
3,250
|
2,807
|
|
3% 6/1/54 (g)
|
3,050
|
2,634
|
|
3.5% 6/1/54 (g)
|
4,550
|
4,059
|
|
3.5% 6/1/54 (g)
|
2,275
|
2,029
|
|
3.5% 6/1/54 (g)
|
900
|
803
|
|
3.5% 6/1/54 (g)
|
1,100
|
981
|
|
3.5% 6/1/54 (g)
|
925
|
825
|
|
3.5% 7/1/54 (g)
|
4,550
|
4,061
|
|
3.5% 7/1/54 (g)
|
5,200
|
4,641
|
|
4% 6/1/54 (g)
|
3,800
|
3,490
|
|
4.5% 6/1/54 (g)
|
2,900
|
2,740
|
|
4.5% 7/1/54 (g)
|
2,900
|
2,738
|
|
5% 6/1/54 (g)
|
3,825
|
3,710
|
|
5% 6/1/54 (g)
|
7,775
|
7,541
|
|
5.5% 6/1/54 (g)
|
2,800
|
2,777
|
|
5.5% 6/1/54 (g)
|
4,700
|
4,661
|
|
5.5% 7/1/54 (g)
|
4,000
|
3,963
|
|
5.5% 7/1/54 (g)
|
3,500
|
3,467
|
|
6% 6/1/54 (g)
|
375
|
377
|
|
6% 6/1/54 (g)
|
300
|
302
|
|
6% 6/1/54 (g)
|
3,000
|
3,020
|
|
6% 6/1/54 (g)
|
100
|
101
|
|
6% 6/1/54 (g)
|
500
|
503
|
|
6% 6/1/54 (g)
|
475
|
478
|
|
6% 6/1/54 (g)
|
525
|
528
|
|
6% 7/1/54 (g)
|
3,100
|
3,115
|
|
6% 7/1/54 (g)
|
225
|
226
|
|
6% 7/1/54 (g)
|
500
|
502
|
|
6% 7/1/54 (g)
|
375
|
377
|
|
6% 7/1/54 (g)
|
300
|
301
|
|
TOTAL GINNIE MAE
|
184,880
|
||
Uniform Mortgage Backed Securities - 72.7%
|
|||
2% 6/1/54 (g)
|
975
|
752
|
|
2% 6/1/54 (g)
|
2,300
|
1,773
|
|
2% 6/1/54 (g)
|
1,200
|
925
|
|
2% 6/1/54 (g)
|
13,950
|
10,753
|
|
2% 6/1/54 (g)
|
15,600
|
12,025
|
|
2% 6/1/54 (g)
|
11,675
|
9,000
|
|
2% 6/1/54 (g)
|
30,700
|
23,665
|
|
2% 6/1/54 (g)
|
4,900
|
3,777
|
|
2% 6/1/54 (g)
|
4,475
|
3,450
|
|
2% 6/1/54 (g)
|
9,000
|
6,938
|
|
2% 6/1/54 (g)
|
13,150
|
10,137
|
|
2% 6/1/54 (g)
|
6,600
|
5,088
|
|
2% 6/1/54 (g)
|
17,900
|
13,798
|
|
2% 6/1/54 (g)
|
4,950
|
3,816
|
|
2% 6/1/54 (g)
|
7,550
|
5,820
|
|
2% 6/1/54 (g)
|
4,250
|
3,276
|
|
2% 6/1/54 (g)
|
6,050
|
4,664
|
|
2% 6/1/54 (g)
|
6,325
|
4,876
|
|
2% 7/1/54 (g)
|
16,350
|
12,617
|
|
2% 7/1/54 (g)
|
12,500
|
9,646
|
|
2% 7/1/54 (g)
|
9,200
|
7,099
|
|
2% 7/1/54 (g)
|
53,500
|
41,285
|
|
2.5% 6/1/54 (g)
|
1,000
|
807
|
|
2.5% 6/1/54 (g)
|
3,500
|
2,824
|
|
2.5% 6/1/54 (g)
|
4,550
|
3,671
|
|
2.5% 6/1/54 (g)
|
9,100
|
7,343
|
|
2.5% 6/1/54 (g)
|
900
|
726
|
|
2.5% 6/1/54 (g)
|
3,700
|
2,986
|
|
2.5% 6/1/54 (g)
|
3,900
|
3,147
|
|
2.5% 6/1/54 (g)
|
2,700
|
2,179
|
|
2.5% 6/1/54 (g)
|
5,300
|
4,277
|
|
2.5% 6/1/54 (g)
|
2,650
|
2,138
|
|
2.5% 6/1/54 (g)
|
16,850
|
13,597
|
|
2.5% 7/1/54 (g)
|
3,550
|
2,867
|
|
2.5% 7/1/54 (g)
|
3,550
|
2,867
|
|
2.5% 7/1/54 (g)
|
16,600
|
13,406
|
|
3% 6/1/54 (g)
|
225
|
189
|
|
3% 6/1/54 (g)
|
1,600
|
1,345
|
|
3% 6/1/54 (g)
|
7,100
|
5,968
|
|
3% 6/1/54 (g)
|
1,275
|
1,072
|
|
3% 6/1/54 (g)
|
150
|
126
|
|
3% 6/1/54 (g)
|
950
|
799
|
|
3% 6/1/54 (g)
|
5,800
|
4,875
|
|
3% 7/1/54 (g)
|
5,050
|
4,247
|
|
3% 7/1/54 (g)
|
3,850
|
3,238
|
|
3% 7/1/54 (g)
|
4,500
|
3,785
|
|
3.5% 6/1/54 (g)
|
3,900
|
3,418
|
|
3.5% 6/1/54 (g)
|
13,500
|
11,830
|
|
3.5% 6/1/54 (g)
|
13,500
|
11,830
|
|
3.5% 6/1/54 (g)
|
3,900
|
3,418
|
|
3.5% 7/1/54 (g)
|
2,125
|
1,861
|
|
3.5% 7/1/54 (g)
|
1,050
|
919
|
|
3.5% 7/1/54 (g)
|
1,450
|
1,270
|
|
3.5% 7/1/54 (g)
|
300
|
263
|
|
4% 6/1/54 (g)
|
4,050
|
3,673
|
|
4% 6/1/54 (g)
|
1,600
|
1,451
|
|
4% 6/1/54 (g)
|
2,450
|
2,222
|
|
4% 6/1/54 (g)
|
6,500
|
5,895
|
|
4% 6/1/54 (g)
|
11,800
|
10,703
|
|
4% 6/1/54 (g)
|
4,450
|
4,036
|
|
4% 7/1/54 (g)
|
100
|
91
|
|
4.5% 6/1/54 (g)
|
1,675
|
1,568
|
|
4.5% 6/1/54 (g)
|
775
|
726
|
|
4.5% 6/1/54 (g)
|
700
|
655
|
|
4.5% 6/1/54 (g)
|
200
|
187
|
|
4.5% 6/1/54 (g)
|
100
|
94
|
|
5% 6/1/54 (g)
|
1,850
|
1,780
|
|
5% 6/1/54 (g)
|
1,950
|
1,876
|
|
5% 6/1/54 (g)
|
3,800
|
3,656
|
|
5.5% 6/1/54 (g)
|
3,575
|
3,516
|
|
6% 6/1/54 (g)
|
3,100
|
3,104
|
|
6% 6/1/54 (g)
|
2,900
|
2,904
|
|
6% 6/1/54 (g)
|
700
|
701
|
|
6% 6/1/54 (g)
|
3,000
|
3,004
|
|
6% 6/1/54 (g)
|
6,900
|
6,909
|
|
6% 6/1/54 (g)
|
6,900
|
6,909
|
|
6% 6/1/54 (g)
|
9,325
|
9,337
|
|
6% 6/1/54 (g)
|
6,225
|
6,233
|
|
6% 7/1/54 (g)
|
12,300
|
12,311
|
|
6% 7/1/54 (g)
|
4,300
|
4,304
|
|
6.5% 6/1/54 (g)
|
1,100
|
1,118
|
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
417,431
|
||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $953,642)
|
919,994
|
||
Asset-Backed Securities - 3.5%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Affirm Asset Securitization Trust Series 2024-X1 Class A, 6.27% 5/15/29 (h)
|
214
|
214
|
|
Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/28
|
223
|
222
|
|
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28
|
1,141
|
1,134
|
|
Bank of America Credit Card Master Trust Series 2023-A1 Class A1, 4.79% 5/15/28
|
537
|
533
|
|
Bofa Auto Trust 2024-1 Series 2024-1A Class A3, 5.35% 11/15/28 (h)
|
102
|
102
|
|
CarMax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26
|
1,533
|
1,532
|
|
Carmax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/29
|
158
|
158
|
|
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28
|
211
|
213
|
|
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (h)
|
137
|
134
|
|
Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/29 (h)
|
209
|
208
|
|
Chesapeake Funding II LLC:
|
|||
Series 2023-2A Class A1, 6.16% 10/15/35 (h)
|
138
|
139
|
|
Series 2024-1A Class A1, 5.52% 5/15/36 (h)
|
251
|
251
|
|
Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/28 (h)
|
261
|
260
|
|
Discover Card Execution Note Trust Series 2023 A1 Class A, 4.31% 3/15/28 (i)
|
1,100
|
1,081
|
|
Dllaa 2023-1A Series 2023-1A:
|
|||
Class A2, 5.93% 7/20/26 (h)
|
111
|
111
|
|
Class A3, 5.64% 2/22/28 (h)
|
106
|
106
|
|
DLLAD:
|
|||
Series 2023-1A Class A3, 4.79% 1/20/28 (h)
|
500
|
494
|
|
Series 2024-1A Class A3, 5.3% 7/20/29 (h)
|
85
|
85
|
|
Enterprise Fleet Financing Series 2024-2:
|
|||
Class A2, 5.74% 12/20/26 (h)
|
263
|
263
|
|
Class A3, 5.61% 4/20/28 (h)
|
179
|
179
|
|
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (h)
|
332
|
335
|
|
Ford Credit Floorplan Master Owner Trust:
|
|||
Series 2023-1 Class A1, 4.92% 5/15/28 (h)
|
760
|
752
|
|
Series 2024-1 Class A1, 5.29% 4/15/29 (h)
|
1,100
|
1,101
|
|
GM Financial Automobile Leasing Trust Series 2023-2 Class A2A, 5.44% 10/20/25
|
74
|
74
|
|
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28
|
224
|
224
|
|
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26
|
103
|
103
|
|
Gm Financial Revolving Receiva Series 2024-1 Class A, 4.98% 12/11/36 (h)
|
691
|
684
|
|
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
|
247
|
|
Honda Auto Receivables 2023-3 Series 2023-3 Class A3, 5.41% 2/18/28
|
600
|
600
|
|
Hyundai Auto Lease Securitizat Series 2024-B Class A3, 5.41% 5/17/27 (h)
|
471
|
472
|
|
Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/29
|
234
|
233
|
|
Marlette Funding Trust 2024-1 Series 2024-1A Class A, 5.95% 7/17/34 (h)
|
102
|
102
|
|
Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/28
|
302
|
302
|
|
Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (h)
|
412
|
409
|
|
Sbna Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/27 (h)
|
268
|
268
|
|
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (h)
|
120
|
120
|
|
Sfs Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/29 (h)
|
153
|
153
|
|
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (h)
|
998
|
862
|
|
Tesla Series 2024-A Class A2A, 5.37% 6/22/26 (h)
|
94
|
94
|
|
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (h)
|
257
|
257
|
|
Toyota Lease Owner Trust:
|
|||
Series 2023 A Class A3, 4.93% 4/20/26 (h)
|
279
|
277
|
|
Series 2024-A Class A3, 5.25% 4/20/27 (h)
|
230
|
229
|
|
Vcat 2021-Npl5 LLC Series 2021-NPL5 Class A1, 1.8677% 8/25/51 (b)(h)
|
357
|
348
|
|
Volkswagen Auto Lease Trust 2024- Series 2024-A Class A3, 5.21% 6/21/27
|
200
|
199
|
|
Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/29
|
1,191
|
1,185
|
|
Wheels Fleet Lease Funding 1 L:
|
|||
Series 2023-2A Class A, 6.46% 8/18/38 (h)
|
1,003
|
1,012
|
|
Series 2024-1A Class A1, 5.49% 2/18/39 (h)
|
800
|
798
|
|
World Omni Auto Receivables Trust:
|
|||
Series 2023 B Class A3, 4.66% 5/15/28
|
295
|
292
|
|
Series 2023-C Class A3, 5.15% 11/15/28
|
127
|
126
|
|
Series 2024-B Class A3, 5.27% 9/17/29
|
500
|
499
|
|
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25
|
161
|
161
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $20,100)
|
19,945
|
||
Collateralized Mortgage Obligations - 6.6%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Private Sponsor - 1.3%
|
|||
Ajax Mortgage Loan Trust sequential payer:
|
|||
Series 2021-C Class A, 2.115% 1/25/61 (h)
|
208
|
200
|
|
Series 2021-E Class A1, 1.74% 12/25/60 (h)
|
1,775
|
1,505
|
|
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(h)
|
81
|
79
|
|
Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(h)
|
230
|
219
|
|
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(h)
|
12
|
12
|
|
CSMC:
|
|||
floater Series 2015-1R Class 6A1, CME Term SOFR 1 Month Index + 0.390% 4.3318% 5/27/37 (b)(c)(h)
|
105
|
103
|
|
Series 2014-3R Class 2A1, CME Term SOFR 1 Month Index + 0.810% 0% 5/27/37 (b)(c)(h)(j)
|
72
|
0
|
|
Gs Mtg-Backed Securities Trust 2024-Rpl Series 2024-RPL2 Class A1, 3.75% 7/25/61 (h)
|
293
|
277
|
|
MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (h)
|
950
|
871
|
|
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (h)
|
326
|
306
|
|
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (h)
|
920
|
830
|
|
Nymt Loan Trust 2024-Cp1 sequential payer Series 2024-CP1 Class A1, 3.75% 2/25/68 (h)
|
389
|
355
|
|
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (h)
|
48
|
46
|
|
Preston Ridge Partners Mortgage Trust Series 2021-RPL1 Class A1, 1.319% 7/25/51 (h)
|
132
|
117
|
|
Pret 2024-Rpl1 Trust sequential payer Series 2024-RPL1 Class A1, 3.9% 10/25/63 (h)
|
579
|
542
|
|
Prpm 2024-Rcf3 LLC Series 2024-RCF3 Class A1, 4% 5/25/54 (h)
|
884
|
845
|
|
Prpm 2024-Rpl2 LLC Series 2024-RPL2 Class A1, 3.5% 5/25/54 (b)(h)
|
654
|
615
|
|
RMF Buyout Issuance Trust:
|
|||
sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (h)
|
121
|
118
|
|
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (h)
|
308
|
289
|
|
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, CME Term SOFR 1 Month Index + 0.750% 6.0794% 9/25/43 (b)(c)
|
258
|
246
|
|
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.3888% 9/25/33 (b)
|
31
|
31
|
|
TOTAL PRIVATE SPONSOR
|
7,606
|
||
U.S. Government Agency - 5.3%
|
|||
Fannie Mae:
|
|||
floater Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6618% 12/25/33 (b)(i)(k)
|
27
|
3
|
|
planned amortization class:
|
|||
Series 1999-17 Class PG, 6% 4/25/29
|
24
|
24
|
|
Series 1999-32 Class PL, 6% 7/25/29
|
32
|
32
|
|
Series 1999-33 Class PK, 6% 7/25/29
|
23
|
23
|
|
Series 2001-52 Class YZ, 6.5% 10/25/31
|
4
|
4
|
|
Series 2005-39 Class TE, 5% 5/25/35
|
61
|
60
|
|
Series 2005-73 Class SA, 17.500% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.4106% 8/25/35 (b)(c)(k)
|
2
|
2
|
|
Series 2012-149:
|
|||
Class DA, 1.75% 1/25/43
|
27
|
24
|
|
Class GA, 1.75% 6/25/42
|
32
|
29
|
|
Series 2017-32 Class PA, 2.7% 5/25/47
|
3,754
|
3,294
|
|
Series 2017-37 Class AB, 2.55% 9/25/46
|
782
|
691
|
|
Series 2021-69 Class JK, 1.5% 10/25/51
|
252
|
204
|
|
sequential payer:
|
|||
Series 2001-20 Class Z, 6% 5/25/31
|
28
|
29
|
|
Series 2001-31 Class ZC, 6.5% 7/25/31
|
11
|
11
|
|
Series 2002-16 Class ZD, 6.5% 4/25/32
|
7
|
7
|
|
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1118% 11/25/32 (b)(i)(k)
|
4
|
0
|
|
Series 2012-67 Class AI, 4.5% 7/25/27 (i)
|
4
|
0
|
|
Series 2020-101 Class BA, 1.5% 9/25/45
|
445
|
374
|
|
Series 2020-43 Class MA, 2% 1/25/45
|
289
|
257
|
|
Series 2020-49 Class JA, 2% 8/25/44
|
158
|
141
|
|
Series 2020-51 Class BA, 2% 6/25/46
|
460
|
387
|
|
Series 2020-75 Class HA, 1.5% 12/25/44
|
1,425
|
1,220
|
|
Series 2020-80 Class BA, 1.5% 3/25/45
|
594
|
502
|
|
Series 2021-68 Class A, 2% 7/25/49
|
329
|
253
|
|
Series 2021-85 Class L, 2.5% 8/25/48
|
183
|
155
|
|
Series 2021-96:
|
|||
Class AH, 2.5% 3/25/49
|
1,502
|
1,295
|
|
Class HA, 2.5% 2/25/50
|
288
|
245
|
|
Series 2022-1 Class KA, 3% 5/25/48
|
296
|
263
|
|
Series 2022-13 Class JA, 3% 5/25/48
|
276
|
248
|
|
Series 2022-3 Class N, 2% 10/25/47
|
2,405
|
2,040
|
|
Series 2022-30 Class E, 4.5% 7/25/48
|
851
|
814
|
|
Series 2022-4 Class B, 2.5% 5/25/49
|
211
|
180
|
|
Series 2022-49 Class TC, 4% 12/25/48
|
272
|
255
|
|
Series 2022-5:
|
|||
Class 0, 2.5% 6/25/48
|
285
|
246
|
|
Class BA, 2.5% 12/25/49
|
243
|
203
|
|
Series 2022-7 Class A, 3% 5/25/48
|
423
|
375
|
|
Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2018% 12/25/36 (b)(i)(k)
|
18
|
1
|
|
Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0018% 5/25/37 (b)(i)(k)
|
9
|
1
|
|
Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6618% 3/25/33 (b)(i)(k)
|
5
|
0
|
|
Series 2005-79 Class ZC, 5.9% 9/25/35
|
59
|
59
|
|
Series 2007-57 Class SA, 40.600% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 7.9907% 6/25/37 (b)(c)(k)
|
31
|
35
|
|
Series 2007-66 Class SB, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9707% 7/25/37 (b)(c)(k)
|
6
|
6
|
|
Series 2010-135 Class ZA, 4.5% 12/25/40
|
23
|
22
|
|
Series 2010-150 Class ZC, 4.75% 1/25/41
|
236
|
227
|
|
Series 2010-95 Class ZC, 5% 9/25/40
|
497
|
486
|
|
Series 2011-4 Class PZ, 5% 2/25/41
|
83
|
78
|
|
Series 2011-67 Class AI, 4% 7/25/26 (i)
|
2
|
0
|
|
Series 2012-100 Class WI, 3% 9/25/27 (i)
|
64
|
2
|
|
Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1118% 6/25/41 (b)(i)(k)
|
4
|
0
|
|
Series 2013-133 Class IB, 3% 4/25/32 (i)
|
18
|
0
|
|
Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6118% 1/25/44 (b)(i)(k)
|
31
|
3
|
|
Series 2013-51 Class GI, 3% 10/25/32 (i)
|
32
|
2
|
|
Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2818% 6/25/35 (b)(i)(k)
|
50
|
3
|
|
Series 2015-42 Class IL, 6% 6/25/45 (i)
|
186
|
30
|
|
Series 2015-70 Class JC, 3% 10/25/45
|
241
|
224
|
|
Series 2017-30 Class AI, 5.5% 5/25/47 (i)
|
112
|
18
|
|
Series 2020-45 Class JL, 3% 7/25/40
|
19
|
17
|
|
Series 2021-59 Class H, 2% 6/25/48
|
186
|
147
|
|
Series 2021-66:
|
|||
Class DA, 2% 1/25/48
|
201
|
159
|
|
Class DM, 2% 1/25/48
|
214
|
169
|
|
Fannie Mae Stripped Mortgage-Backed Securities:
|
|||
Series 348 Class 14, 6.5% 8/25/34 (b)(i)
|
14
|
3
|
|
Series 351:
|
|||
Class 12, 5.5% 4/25/34 (b)(i)
|
9
|
1
|
|
Class 13, 6% 3/25/34 (i)
|
13
|
2
|
|
Series 359 Class 19, 6% 7/25/35 (b)(i)
|
8
|
1
|
|
Series 384 Class 6, 5% 7/25/37 (i)
|
25
|
4
|
|
Freddie Mac:
|
|||
planned amortization class:
|
|||
Series 2017-4676 Class VD, 4% 8/15/37
|
25
|
24
|
|
Series 2017-4746 Class PA, 4% 2/15/47
|
101
|
96
|
|
Series 2021-5141 Class JM, 1.5% 4/25/51
|
186
|
150
|
|
Series 2021-5148:
|
|||
Class AD, 1.5% 10/25/51
|
251
|
202
|
|
Class PC, 1.5% 10/25/51
|
249
|
198
|
|
Series 2095 Class PE, 6% 11/15/28
|
30
|
30
|
|
Series 2104 Class PG, 6% 12/15/28
|
10
|
10
|
|
Series 2121 Class MG, 6% 2/15/29
|
13
|
13
|
|
Series 2154 Class PT, 6% 5/15/29
|
24
|
25
|
|
Series 2162 Class PH, 6% 6/15/29
|
3
|
3
|
|
Series 2520 Class BE, 6% 11/15/32
|
28
|
28
|
|
Series 2693 Class MD, 5.5% 10/15/33
|
405
|
401
|
|
Series 2802 Class OB, 6% 5/15/34
|
43
|
43
|
|
Series 3002 Class NE, 5% 7/15/35
|
38
|
37
|
|
Series 3189 Class PD, 6% 7/15/36
|
37
|
38
|
|
Series 3415 Class PC, 5% 12/15/37
|
13
|
13
|
|
Series 3832 Class PE, 5% 3/15/41
|
160
|
157
|
|
Series 4135 Class AB, 1.75% 6/15/42
|
25
|
22
|
|
sequential payer:
|
|||
Series 2015-4492 Class LB, 4% 3/15/44
|
16
|
16
|
|
Series 2015-4506 Class LB, 4% 4/15/44
|
34
|
33
|
|
Series 2015-4522 Class LB, 4% 6/15/44
|
24
|
24
|
|
Series 2015-4535 Class LB, 4% 8/15/44
|
24
|
23
|
|
Series 2016-4636 Class AE, 4% 7/15/42
|
43
|
42
|
|
Series 2017-4646 Class LA, 4% 9/15/45
|
71
|
70
|
|
Series 2017-4661 Class AC, 4% 4/15/43
|
32
|
32
|
|
Series 2020-4993 Class LA, 2% 8/25/44
|
275
|
247
|
|
Series 2020-5018:
|
|||
Class LC, 3% 10/25/40
|
130
|
115
|
|
Class LY, 3% 10/25/40
|
99
|
88
|
|
Series 2020-5058 Class BE, 3% 11/25/50
|
550
|
466
|
|
Series 2021-5175 Class CB, 2.5% 4/25/50
|
1,043
|
884
|
|
Series 2021-5180 Class KA, 2.5% 10/25/47
|
209
|
180
|
|
Series 2022-5189:
|
|||
Class DA, 2.5% 5/25/49
|
233
|
195
|
|
Class TP, 2.5% 5/25/49
|
227
|
190
|
|
Series 2022-5190:
|
|||
Class BA, 2.5% 11/25/47
|
219
|
189
|
|
Class CA, 2.5% 5/25/49
|
190
|
159
|
|
Series 2022-5191 Class CA, 2.5% 4/25/50
|
246
|
207
|
|
Series 2022-5197:
|
|||
Class A, 2.5% 6/25/49
|
190
|
159
|
|
Class DA, 2.5% 11/25/47
|
166
|
144
|
|
Series 2022-5198 Class BA, 2.5% 11/25/47
|
803
|
704
|
|
Series 2022-5202:
|
|||
Class AG, 3% 1/25/49
|
141
|
125
|
|
Class LB, 2.5% 10/25/47
|
178
|
154
|
|
Series 2022-5248 Class A, 4% 4/15/48
|
747
|
717
|
|
Series 2114 Class ZM, 6% 1/15/29
|
4
|
4
|
|
Series 2135 Class JE, 6% 3/15/29
|
14
|
14
|
|
Series 2274 Class ZM, 6.5% 1/15/31
|
10
|
10
|
|
Series 2281 Class ZB, 6% 3/15/30
|
6
|
6
|
|
Series 2357 Class ZB, 6.5% 9/15/31
|
23
|
23
|
|
Series 2502 Class ZC, 6% 9/15/32
|
21
|
21
|
|
Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1618% 2/15/36 (b)(i)(k)
|
13
|
1
|
|
Series 2013-4281 Class AI, 4% 12/15/28 (i)
|
2
|
0
|
|
Series 2017-4683 Class LM, 3% 5/15/47
|
218
|
204
|
|
Series 2020-5041:
|
|||
Class LA, 1.5% 11/25/40
|
863
|
698
|
|
Class LB, 3% 11/25/40
|
222
|
196
|
|
Series 2020-5046 Class PT, 1.5% 11/25/40
|
655
|
530
|
|
Series 2021-5083 Class VA, 1% 8/15/38
|
883
|
822
|
|
Series 2021-5176 Class AG, 2% 1/25/47
|
785
|
662
|
|
Series 2021-5182 Class A, 2.5% 10/25/48
|
1,363
|
1,163
|
|
Series 2380 Class SY, 8.080% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.7618% 11/15/31 (b)(i)(k)
|
21
|
1
|
|
Series 2587 Class IM, 6.5% 3/15/33 (i)
|
10
|
2
|
|
Series 2933 Class ZM, 5.75% 2/15/35
|
135
|
136
|
|
Series 2947 Class XZ, 6% 3/15/35
|
72
|
73
|
|
Series 2996 Class ZD, 5.5% 6/15/35
|
89
|
89
|
|
Series 3237 Class C, 5.5% 11/15/36
|
116
|
116
|
|
Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2218% 11/15/36 (b)(i)(k)
|
44
|
3
|
|
Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1418% 6/15/37 (b)(i)(k)
|
35
|
3
|
|
Series 3949 Class MK, 4.5% 10/15/34
|
26
|
25
|
|
Series 4055 Class BI, 3.5% 5/15/31 (i)
|
8
|
0
|
|
Series 4149 Class IO, 3% 1/15/33 (i)
|
17
|
1
|
|
Series 4314 Class AI, 5% 3/15/34 (i)
|
2
|
0
|
|
Series 4427 Class LI, 3.5% 2/15/34 (i)
|
82
|
4
|
|
Series 4471 Class PA 4% 12/15/40
|
106
|
103
|
|
target amortization class Series 2017-4692 Class KB, 4% 10/15/46
|
209
|
197
|
|
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28
|
11
|
11
|
|
Freddie Mac Multi-family Structured pass-thru certificates:
|
|||
planned amortization class Series 2021-5165 Class PC, 1.5% 11/25/51
|
319
|
258
|
|
sequential payer Series 2021-5159 Class GC, 2% 11/25/47
|
167
|
143
|
|
Series 4386 Class AZ, 4.5% 11/15/40
|
347
|
329
|
|
Ginnie Mae guaranteed REMIC pass-thru certificates:
|
|||
floater:
|
|||
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.2559% 6/16/37 (b)(i)(k)
|
20
|
2
|
|
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7627% 7/20/60 (b)(c)(l)
|
42
|
42
|
|
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.7386% 9/20/60 (b)(c)(l)
|
42
|
42
|
|
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.7386% 8/20/60 (b)(c)(l)
|
37
|
37
|
|
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 4/20/61 (b)(c)(l)
|
11
|
11
|
|
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 6.0886% 5/20/61 (b)(c)(l)
|
2
|
2
|
|
Series 2019-11 Class F, CME Term SOFR 1 Month Index + 0.510% 5.8346% 1/20/49 (b)(c)
|
78
|
77
|
|
Series 2019-128 Class FH, CME Term SOFR 1 Month Index + 0.610% 5.9346% 10/20/49 (b)(c)
|
129
|
125
|
|
Series 2019-23 Class NF, CME Term SOFR 1 Month Index + 0.560% 5.8846% 2/20/49 (b)(c)
|
254
|
247
|
|
planned amortization class:
|
|||
Series 2011-136 Class WI, 4.5% 5/20/40 (i)
|
7
|
0
|
|
Series 2016-69 Class WA, 3% 2/20/46
|
104
|
93
|
|
Series 2017-134 Class BA, 2.5% 11/20/46
|
38
|
34
|
|
sequential payer:
|
|||
Series 2004-24 Class ZM, 5% 4/20/34
|
59
|
57
|
|
Series 2010-160 Class DY, 4% 12/20/40
|
340
|
321
|
|
Series 2010-170 Class B, 4% 12/20/40
|
75
|
71
|
|
Series 2017-139 Class BA, 3% 9/20/47
|
414
|
362
|
|
Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.0659% 5/16/34 (b)(i)(k)
|
36
|
2
|
|
Series 2004-73 Class AL, 7.080% - CME Term SOFR 1 Month Index 1.7659% 8/17/34 (b)(i)(k)
|
12
|
1
|
|
Series 2011-52 Class HI, 7% 4/16/41 (i)
|
129
|
18
|
|
Series 2013-149 Class MA, 2.5% 5/20/40
|
199
|
192
|
|
Series 2015-H13 Class HA, 2.5% 8/20/64 (l)
|
3
|
3
|
|
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.36% 8/20/66 (b)(c)(l)
|
240
|
239
|
|
TOTAL U.S. GOVERNMENT AGENCY
|
30,069
|
||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $39,019)
|
37,675
|
||
Commercial Mortgage Securities - 7.2%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
BAMLL Commercial Mortgage Securities Trust:
|
|||
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (h)
|
266
|
239
|
|
Series 2019-BPR Class BNM, 3.465% 11/5/32 (h)
|
118
|
100
|
|
BANK:
|
|||
sequential payer:
|
|||
Series 2017-BNK9 Class A4, 3.538% 11/15/54
|
1,013
|
948
|
|
Series 2020-BN26 Class ASB, 2.313% 3/15/63
|
700
|
638
|
|
Series 2020-BN25 Class XB, 0.4392% 1/15/63 (b)(i)
|
7,140
|
152
|
|
Series 2021-BN33 Class XA, 1.0514% 5/15/64 (b)(i)
|
4,948
|
243
|
|
BANK Trust sequential payer Series 2017-BNK5:
|
|||
Class A4, 3.131% 6/15/60
|
2,000
|
1,869
|
|
Class A5, 3.39% 6/15/60
|
1,519
|
1,426
|
|
BBCMS Mortgage Trust sequential payer:
|
|||
Series 2021-C9 Class ASB, 1.96% 2/15/54
|
300
|
267
|
|
Series 2023-C21 Class A3, 6.2964% 9/15/56 (b)
|
232
|
242
|
|
Bbcms Mtg Trust 2024-5C25 sequential payer Series 2024-5C25 Class A3, 5.946% 3/15/57
|
700
|
712
|
|
Benchmark Mortgage Trust:
|
|||
sequential payer:
|
|||
Series 2021-B29 Class ASB, 2.205% 9/15/54
|
3,400
|
2,968
|
|
Series 2024-V6 Class A3, 5.9255% 3/15/29
|
200
|
203
|
|
Series 2019-B14 Class XA, 0.7684% 12/15/62 (b)(i)
|
13,103
|
312
|
|
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1815% 9/15/26 (b)(c)(h)
|
772
|
748
|
|
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6589% 3/15/41 (b)(c)(h)
|
200
|
200
|
|
BMO Mortgage Trust sequential payer Series 2023-5C1 Class A3, 6.534% 8/15/56
|
100
|
103
|
|
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2148% 4/15/37 (b)(c)(h)
|
1,066
|
1,072
|
|
BX Commercial Mortgage Trust:
|
|||
floater:
|
|||
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0674% 10/15/26 (b)(c)(h)
|
938
|
929
|
|
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2315% 2/15/36 (b)(c)(h)
|
400
|
398
|
|
floater sequential payer Series 2024-XL5 Class A, CME Term SOFR 1 Month Index + 1.390% 6.7084% 3/15/41 (b)(c)(h)
|
1,066
|
1,067
|
|
BX Commercial Mortgage Trust 2024-Xl4:
|
|||
floater Series 2024-XL5 Class B, CME Term SOFR 1 Month Index + 1.690% 7.008% 3/15/41 (b)(c)(h)
|
182
|
182
|
|
floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7588% 2/15/39 (b)(c)(h)
|
459
|
460
|
|
BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.8415% 5/15/41 (b)(h)
|
753
|
754
|
|
BX Trust floater Series 2024-CNYN Class A, CME Term SOFR 1 Month Index + 1.440% 6.7586% 4/15/29 (b)(c)(h)
|
709
|
709
|
|
Citigroup Commercial Mortgage Trust:
|
|||
sequential payer Series 2016-P4 Class A4, 2.902% 7/10/49
|
3,644
|
3,430
|
|
Series 2015-GC33 Class XA, 0.8666% 9/10/58 (b)(i)
|
7,718
|
62
|
|
Series 2016-P6 Class XA, 0.5536% 12/10/49 (b)(i)
|
6,259
|
69
|
|
Series 2019-GC41 Class XA, 1.0389% 8/10/56 (b)(i)
|
5,130
|
180
|
|
COMM Mortgage Trust:
|
|||
Series 2014-CR20 Class XA, 0.9184% 11/10/47 (b)(i)
|
1,744
|
0
|
|
Series 2014-LC17 Class XA, 0.6416% 10/10/47 (b)(i)
|
4,672
|
0
|
|
Series 2014-UBS6 Class XA, 0.8128% 12/10/47 (b)(i)
|
4,013
|
2
|
|
Freddie Mac sequential payer:
|
|||
Series 2015-K049 Class A2, 3.01% 7/25/25
|
54
|
53
|
|
Series 2023-K751 Class A2, 4.412% 3/25/30
|
400
|
389
|
|
Series K069 Class A2, 3.187% 9/25/27
|
200
|
189
|
|
GS Mortgage Securities Trust:
|
|||
floater:
|
|||
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3815% 9/15/31 (b)(c)(h)
|
1,595
|
1,588
|
|
Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3815% 10/15/36 (b)(c)(h)
|
526
|
521
|
|
sequential payer:
|
|||
Series 2015-GC30 Class A4, 3.382% 5/10/50
|
5,000
|
4,879
|
|
Series 2018-GS10:
|
|||
Class A4, 3.89% 7/10/51
|
2,200
|
2,069
|
|
Class A5, 4.155% 7/10/51
|
200
|
187
|
|
Series 2018-GS9 Class A4, 3.992% 3/10/51
|
1,063
|
981
|
|
Series 2020-GC45 Class AAB, 2.8428% 2/13/53
|
300
|
279
|
|
Series 2015-GC34 Class XA, 1.1922% 10/10/48 (b)(i)
|
3,723
|
43
|
|
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8056% 8/15/39 (b)(c)(h)
|
838
|
842
|
|
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT:
|
|||
Class AFX, 4.2475% 7/5/33 (h)
|
455
|
421
|
|
Class XAFX, 1.116% 7/5/33 (b)(h)(i)
|
3,909
|
87
|
|
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 7/15/38 (b)(c)(h)
|
341
|
340
|
|
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.0253% 10/15/48 (b)(i)
|
4,398
|
34
|
|
Morgan Stanley Capital I Trust:
|
|||
floater Series 2018-BOP Class A, CME Term SOFR 1 Month Index + 0.890% 6.214% 8/15/33 (b)(c)(h)
|
723
|
594
|
|
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (h)
|
577
|
545
|
|
Series 2019-MEAD Class B, 3.1771% 11/10/36 (b)(h)
|
84
|
78
|
|
Series 2021-L6 Class XA, 1.2029% 6/15/54 (b)(i)
|
1,090
|
57
|
|
SREIT Trust floater Series 2021-MFP:
|
|||
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1621% 11/15/38 (b)(c)(h)
|
647
|
645
|
|
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5111% 11/15/38 (b)(c)(h)
|
316
|
314
|
|
UBS Commercial Mortgage Trust:
|
|||
sequential payer Series 2017-C1 Class ASB, 3.462% 11/15/50
|
825
|
799
|
|
Series 2017-C7 Class XA, 0.9864% 12/15/50 (b)(i)
|
5,343
|
150
|
|
Wells Fargo Commercial Mortgage Trust:
|
|||
floater Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6315% 5/15/31 (b)(c)(h)
|
468
|
460
|
|
sequential payer Series 2015-C29 Class A4, 3.637% 6/15/48
|
4,000
|
3,908
|
|
Series 2015-C31 Class XA, 0.947% 11/15/48 (b)(i)
|
3,877
|
36
|
|
Series 2017-C42 Class XA, 0.8591% 12/15/50 (b)(i)
|
7,495
|
185
|
|
Series 2018-C46 Class XA, 0.9139% 8/15/51 (b)(i)
|
3,813
|
81
|
|
WF-RBS Commercial Mortgage Trust Series 2014-C24 Class XA, 0.8311% 11/15/47 (b)(i)
|
2,404
|
1
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $41,704)
|
41,439
|
||
Money Market Funds - 15.7%
|
|||
Shares
|
Value ($)
(000s)
|
||
Fidelity Cash Central Fund 5.39% (m)
(Cost $89,863)
|
89,845,316
|
89,863
|
|
Purchased Swaptions - 0.3%
|
||||
Expiration
Date
|
Notional
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Put Options - 0.2%
|
||||
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.7375% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
|
2/26/25
|
3,100
|
125
|
|
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.94% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2034.
|
5/10/29
|
1,800
|
72
|
|
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 4.05% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2034.
|
4/23/29
|
10,300
|
394
|
|
Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.778% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
|
2/24/25
|
1,600
|
61
|
|
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.865% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2035.
|
5/15/25
|
4,600
|
171
|
|
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.9625% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2034.
|
5/14/29
|
1,800
|
72
|
|
TOTAL PUT OPTIONS
|
895
|
|||
Call Options - 0.1%
|
||||
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.7375% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
|
2/26/25
|
3,100
|
59
|
|
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.94% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2034.
|
5/10/29
|
1,800
|
72
|
|
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 4.05% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring April 2034.
|
4/23/29
|
10,300
|
435
|
|
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.778% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035.
|
2/24/25
|
1,600
|
32
|
|
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.865% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2035.
|
5/15/25
|
4,600
|
128
|
|
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.9625% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2034.
|
5/14/29
|
1,800
|
71
|
|
TOTAL CALL OPTIONS
|
797
|
|||
TOTAL PURCHASED SWAPTIONS
(Cost $1,778)
|
1,692
|
TOTAL INVESTMENT IN SECURITIES - 196.9%
(Cost $1,165,315)
|
1,129,803
|
NET OTHER ASSETS (LIABILITIES) - (96.9)%
|
(555,964)
|
NET ASSETS - 100.0%
|
573,839
|
TBA Sale Commitments
|
||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
|
Ginnie Mae
|
||
2% 6/1/54
|
(2,800)
|
(2,242)
|
2% 6/1/54
|
(1,400)
|
(1,121)
|
2% 6/1/54
|
(11,050)
|
(8,847)
|
2.5% 6/1/54
|
(10,500)
|
(8,746)
|
2.5% 6/1/54
|
(50)
|
(42)
|
3.5% 6/1/54
|
(4,550)
|
(4,059)
|
3.5% 6/1/54
|
(5,200)
|
(4,638)
|
4.5% 6/1/54
|
(2,900)
|
(2,740)
|
5.5% 6/1/54
|
(4,000)
|
(3,967)
|
5.5% 6/1/54
|
(3,500)
|
(3,471)
|
6% 6/1/54
|
(375)
|
(377)
|
6% 6/1/54
|
(300)
|
(302)
|
6% 6/1/54
|
(3,100)
|
(3,120)
|
6% 6/1/54
|
(225)
|
(226)
|
6% 6/1/54
|
(100)
|
(101)
|
6% 6/1/54
|
(500)
|
(503)
|
6% 6/1/54
|
(375)
|
(377)
|
6% 6/1/54
|
(300)
|
(302)
|
TOTAL GINNIE MAE
|
(45,181)
|
|
Uniform Mortgage Backed Securities
|
||
2% 6/1/54
|
(500)
|
(385)
|
2% 6/1/54
|
(3,100)
|
(2,390)
|
2% 6/1/54
|
(16,350)
|
(12,604)
|
2% 6/1/54
|
(12,500)
|
(9,636)
|
2% 6/1/54
|
(13,950)
|
(10,753)
|
2% 6/1/54
|
(15,600)
|
(12,025)
|
2% 6/1/54
|
(11,675)
|
(9,000)
|
2% 6/1/54
|
(9,200)
|
(7,092)
|
2% 6/1/54
|
(53,500)
|
(41,241)
|
2.5% 6/1/54
|
(3,500)
|
(2,824)
|
2.5% 6/1/54
|
(3,550)
|
(2,865)
|
2.5% 6/1/54
|
(3,500)
|
(2,824)
|
2.5% 6/1/54
|
(4,550)
|
(3,671)
|
2.5% 6/1/54
|
(9,100)
|
(7,343)
|
2.5% 6/1/54
|
(900)
|
(726)
|
2.5% 6/1/54
|
(3,550)
|
(2,865)
|
2.5% 6/1/54
|
(1,000)
|
(807)
|
2.5% 6/1/54
|
(16,600)
|
(13,395)
|
3% 6/1/54
|
(225)
|
(189)
|
3% 6/1/54
|
(5,050)
|
(4,245)
|
3% 6/1/54
|
(3,850)
|
(3,236)
|
3% 6/1/54
|
(225)
|
(189)
|
3% 6/1/54
|
(4,500)
|
(3,782)
|
3.5% 6/1/54
|
(15,000)
|
(13,144)
|
3.5% 6/1/54
|
(2,125)
|
(1,862)
|
3.5% 6/1/54
|
(3,900)
|
(3,418)
|
3.5% 6/1/54
|
(1,050)
|
(920)
|
3.5% 6/1/54
|
(1,450)
|
(1,271)
|
3.5% 6/1/54
|
(13,500)
|
(11,830)
|
4% 6/1/54
|
(4,050)
|
(3,673)
|
4% 6/1/54
|
(5,100)
|
(4,626)
|
4% 6/1/54
|
(1,600)
|
(1,451)
|
4% 6/1/54
|
(1,600)
|
(1,451)
|
4% 6/1/54
|
(2,450)
|
(2,222)
|
4% 6/1/54
|
(6,500)
|
(5,895)
|
4% 6/1/54
|
(100)
|
(91)
|
4% 6/1/54
|
(3,600)
|
(3,265)
|
4% 6/1/54
|
(5,750)
|
(5,215)
|
4.5% 6/1/54
|
(700)
|
(655)
|
4.5% 6/1/54
|
(300)
|
(281)
|
4.5% 6/1/54
|
(775)
|
(726)
|
4.5% 6/1/54
|
(775)
|
(726)
|
4.5% 6/1/54
|
(700)
|
(655)
|
4.5% 6/1/54
|
(200)
|
(187)
|
5% 6/1/54
|
(1,850)
|
(1,780)
|
5% 6/1/54
|
(1,950)
|
(1,876)
|
5% 6/1/54
|
(1,850)
|
(1,780)
|
5% 6/1/54
|
(1,950)
|
(1,876)
|
5% 7/1/54
|
(3,800)
|
(3,656)
|
5.5% 6/1/54
|
(3,575)
|
(3,516)
|
5.5% 7/1/54
|
(3,575)
|
(3,516)
|
6% 6/1/54
|
(700)
|
(701)
|
6% 6/1/54
|
(2,900)
|
(2,904)
|
6% 6/1/54
|
(2,900)
|
(2,904)
|
6% 6/1/54
|
(700)
|
(701)
|
6% 6/1/54
|
(3,000)
|
(3,004)
|
6% 6/1/54
|
(12,300)
|
(12,316)
|
6% 6/1/54
|
(4,300)
|
(4,306)
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
(262,487)
|
|
TOTAL TBA SALE COMMITMENTS
(Proceeds $308,599)
|
(307,668)
|
Written Swaptions
|
||||
Expiration
Date
|
Notional
Amount (a)
|
Value ($)
|
||
Put Swaptions
|
||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.502% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034.
|
1/04/29
|
7,600
|
(358)
|
|
Call Swaptions
|
||||
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.502% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034.
|
1/04/29
|
7,600
|
(237)
|
|
TOTAL WRITTEN SWAPTIONS
|
(595)
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
(000s)
|
Value ($)
(000s)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
Purchased
|
|||||
Treasury Contracts
|
|||||
CBOT 2-Year U.S. Treasury Note Contracts (United States)
|
28
|
Sep 2024
|
5,704
|
(5)
|
(5)
|
CBOT 5-Year U.S. Treasury Note Contracts (United States)
|
122
|
Sep 2024
|
12,907
|
(38)
|
(38)
|
TOTAL PURCHASED
|
(43)
|
||||
Sold
|
|||||
Treasury Contracts
|
|||||
CBOT 10-Year U.S. Treasury Note Contracts (United States)
|
413
|
Sep 2024
|
44,933
|
212
|
212
|
CBOT Long Term U.S. Treasury Bond Contracts (United States)
|
64
|
Sep 2024
|
7,428
|
87
|
87
|
TOTAL SOLD
|
299
|
||||
TOTAL FUTURES CONTRACTS
|
256
|
||||
The notional amount of futures purchased as a percentage of Net Assets is 3.2%
|
|||||
The notional amount of futures sold as a percentage of Net Assets is 9.1%
|
Credit Default Swaps
|
||||||||||
Underlying Reference
|
Rating(1)
|
Maturity
Date
|
Clearinghouse /
Counterparty
|
Fixed
Payment
Received/
(Paid)
|
Payment
Frequency
|
Notional
Amount
(000s)(2)(3)
|
Value ($)
(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
|
8
|
(17)
|
(9)
|
||
CMBX N.A. AAA Index Series 13
|
Dec 2072
|
Merrill Lynch Capital Services, Inc.
|
(0.5%)
|
Monthly
|
720
|
4
|
(12)
|
(8)
|
||
CMBX N.A. AAA Index Series 13
|
Dec 2072
|
Morgan Stanley Capital Services LLC
|
(0.5%)
|
Monthly
|
760
|
4
|
(12)
|
(8)
|
||
CMBX N.A. AAA Index Series 15
|
Nov 2064
|
Morgan Stanley Capital Services LLC
|
(0.5%)
|
Monthly
|
2,900
|
33
|
(56)
|
(23)
|
||
CMBX N.A. BBB- Index Series 13
|
Dec 2072
|
Goldman Sachs & Co. LLC
|
(3%)
|
Monthly
|
660
|
137
|
(175)
|
(38)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
350
|
52
|
(85)
|
(33)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
660
|
98
|
(160)
|
(62)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
550
|
82
|
(145)
|
(63)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
130
|
19
|
(37)
|
(18)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
70
|
10
|
(16)
|
(6)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
130
|
19
|
(36)
|
(17)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Goldman Sachs & Co. LLC
|
(3%)
|
Monthly
|
80
|
12
|
(21)
|
(9)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Goldman Sachs & Co. LLC
|
(3%)
|
Monthly
|
550
|
82
|
(159)
|
(77)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Goldman Sachs & Co. LLC
|
(3%)
|
Monthly
|
140
|
21
|
(36)
|
(15)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Morgan Stanley Capital Services LLC
|
(3%)
|
Monthly
|
470
|
70
|
(119)
|
(49)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Morgan Stanley Capital Services LLC
|
(3%)
|
Monthly
|
90
|
13
|
(20)
|
(7)
|
||
CMBX N.A. BBB- Index Series 16
|
Apr 2065
|
Morgan Stanley Capital Services LLC
|
(3%)
|
Monthly
|
100
|
15
|
(17)
|
(2)
|
||
CMBX N.A. BBB- Index Series 17
|
Dec 2056
|
Citigroup Global Markets Ltd.
|
(3%)
|
Monthly
|
100
|
11
|
(16)
|
(5)
|
||
CMBX N.A. BBB- Index Series 17
|
Dec 2056
|
Goldman Sachs & Co. LLC
|
(3%)
|
Monthly
|
300
|
34
|
(43)
|
(9)
|
||
CMBX N.A. BBB- Index Series 17
|
Dec 2056
|
Goldman Sachs & Co. LLC
|
(3%)
|
Monthly
|
100
|
11
|
(12)
|
(1)
|
||
CMBX N.A. BBB- Index Series 17
|
Dec 2056
|
Morgan Stanley Capital Services LLC
|
(3%)
|
Monthly
|
100
|
11
|
(14)
|
(3)
|
||
TOTAL BUY PROTECTION
|
746
|
(1,208)
|
(462)
|
|||||||
Sell Protection
|
||||||||||
CMBX N.A. AAA Index Series 13
|
NR
|
Dec 2072
|
Morgan Stanley Capital Services LLC
|
0.5%
|
Monthly
|
3,100
|
(16)
|
72
|
56
|
|
CMBX N.A. AAA Index Series 16
|
NR
|
Apr 2065
|
Goldman Sachs & Co. LLC
|
0.5%
|
Monthly
|
900
|
(13)
|
12
|
(1)
|
|
TOTAL SELL PROTECTION
|
(29)
|
84
|
55
|
|||||||
TOTAL CREDIT DEFAULT SWAPS
|
717
|
(1,124)
|
(407)
|
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)
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
|
Annual
|
4%
|
Annual
|
LCH
|
Jun 2026
|
10,950
|
102
|
0
|
102
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
|
Annual
|
4%
|
Annual
|
LCH
|
Jun 2027
|
16,621
|
213
|
0
|
213
|
|
3.75%
|
Annual
|
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
|
Annual
|
LCH
|
Jun 2029
|
374
|
(5)
|
0
|
(5)
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
|
Annual
|
3.75%
|
Annual
|
LCH
|
Jun 2031
|
12,563
|
288
|
0
|
288
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
|
Annual
|
3.75%
|
Annual
|
LCH
|
Jun 2044
|
4,492
|
(19)
|
0
|
(19)
|
|
3.5%
|
Annual
|
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
|
Annual
|
LCH
|
Jun 2054
|
1,300
|
(1)
|
0
|
(1)
|
|
TOTAL INTEREST RATE SWAPS
|
578
|
0
|
578
|
(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 $1,156,000.
|
(e)
|
Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $1,280,000.
|
(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 $1,219,000.
|
(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 $31,449,000 or 5.5% of net assets.
|
(i)
|
Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
|
(j)
|
Level 3 security
|
(k)
|
Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
|
(l)
|
Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
|
(m)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate (Amounts in thousands)
|
Value,
beginning
of period ($)
|
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 5.39%
|
9,169
|
276,278
|
195,584
|
1,469
|
-
|
-
|
89,863
|
0.2%
|
Fidelity Securities Lending Cash Central Fund 5.39%
|
-
|
13,389
|
13,389
|
-
|
-
|
-
|
-
|
0.0%
|
Total
|
9,169
|
289,667
|
208,973
|
1,469
|
-
|
-
|
89,863
|
|