U.S. Government Agency - Mortgage Securities - 102.0% |
| | Principal Amount (a) | Value ($) |
Fannie Mae - 30.5% | | | |
12 month U.S. LIBOR + 1.360% 1.615% 10/1/35 (f)(g) | | 32,288 | 33,618 |
12 month U.S. LIBOR + 1.440% 1.779% 4/1/37 (f)(g) | | 11,145 | 11,670 |
12 month U.S. LIBOR + 1.460% 1.859% 1/1/35 (f)(g) | | 60,631 | 63,368 |
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (f)(g) | | 5,577 | 5,825 |
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (f)(g) | | 19,567 | 20,531 |
12 month U.S. LIBOR + 1.550% 1.803% 5/1/44 (f)(g) | | 10,076 | 10,500 |
12 month U.S. LIBOR + 1.550% 1.928% 2/1/44 (f)(g) | | 6,284 | 6,550 |
12 month U.S. LIBOR + 1.560% 1.911% 2/1/44 (f)(g) | | 12,921 | 13,472 |
12 month U.S. LIBOR + 1.560% 1.94% 3/1/37 (f)(g) | | 59,599 | 62,661 |
12 month U.S. LIBOR + 1.570% 1.82% 5/1/44 (f)(g) | | 664 | 692 |
12 month U.S. LIBOR + 1.570% 1.954% 4/1/44 (f)(g) | | 31,400 | 32,760 |
12 month U.S. LIBOR + 1.580% 1.955% 1/1/44 (f)(g) | | 12,027 | 12,536 |
12 month U.S. LIBOR + 1.580% 1.955% 4/1/44 (f)(g) | | 8,553 | 8,926 |
12 month U.S. LIBOR + 1.620% 1.875% 5/1/35 (f)(g) | | 20,427 | 21,379 |
12 month U.S. LIBOR + 1.620% 1.927% 3/1/33 (f)(g) | | 80,152 | 83,589 |
12 month U.S. LIBOR + 1.630% 1.815% 9/1/36 (f)(g) | | 7,316 | 7,681 |
12 month U.S. LIBOR + 1.630% 1.947% 11/1/36 (f)(g) | | 34,191 | 35,884 |
12 month U.S. LIBOR + 1.640% 1.896% 5/1/36 (f)(g) | | 23,882 | 25,106 |
12 month U.S. LIBOR + 1.640% 2.096% 6/1/47 (f)(g) | | 128,218 | 135,950 |
12 month U.S. LIBOR + 1.680% 1.994% 7/1/43 (f)(g) | | 187,164 | 196,440 |
12 month U.S. LIBOR + 1.700% 1.968% 6/1/42 (f)(g) | | 101,405 | 106,387 |
12 month U.S. LIBOR + 1.730% 1.988% 5/1/36 (f)(g) | | 30,451 | 32,123 |
12 month U.S. LIBOR + 1.730% 2.085% 3/1/40 (f)(g) | | 63,719 | 67,057 |
12 month U.S. LIBOR + 1.750% 2% 8/1/41 (f)(g) | | 22,426 | 23,663 |
12 month U.S. LIBOR + 1.750% 2.08% 7/1/35 (f)(g) | | 50,138 | 52,699 |
12 month U.S. LIBOR + 1.770% 2.137% 2/1/37 (f)(g) | | 230,760 | 243,285 |
12 month U.S. LIBOR + 1.800% 2.05% 7/1/41 (f)(g) | | 85,694 | 90,290 |
12 month U.S. LIBOR + 1.800% 2.074% 12/1/40 (f)(g) | | 513,264 | 541,691 |
12 month U.S. LIBOR + 1.800% 2.175% 1/1/42 (f)(g) | | 312,573 | 329,288 |
12 month U.S. LIBOR + 1.810% 2.068% 7/1/41 (f)(g) | | 89,286 | 94,474 |
12 month U.S. LIBOR + 1.810% 2.068% 9/1/41 (f)(g) | | 35,347 | 37,399 |
12 month U.S. LIBOR + 1.810% 2.185% 12/1/39 (f)(g) | | 12,675 | 13,356 |
12 month U.S. LIBOR + 1.810% 2.193% 2/1/42 (f)(g) | | 169,626 | 179,127 |
12 month U.S. LIBOR + 1.820% 2.2% 2/1/35 (f)(g) | | 21,736 | 22,967 |
12 month U.S. LIBOR + 1.830% 2.08% 10/1/41 (f)(g) | | 32,370 | 33,282 |
12 month U.S. LIBOR + 1.850% 2.229% 4/1/36 (f)(g) | | 149,862 | 158,895 |
12 month U.S. LIBOR + 1.890% 2.166% 8/1/35 (f)(g) | | 113,260 | 119,670 |
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (f)(g) | | 23,806 | 25,276 |
6 month U.S. LIBOR + 1.470% 1.6% 10/1/33 (f)(g) | | 955 | 991 |
6 month U.S. LIBOR + 1.500% 1.723% 1/1/35 (f)(g) | | 25,750 | 26,807 |
6 month U.S. LIBOR + 1.510% 1.691% 2/1/33 (f)(g) | | 2,118 | 2,198 |
6 month U.S. LIBOR + 1.530% 1.7% 12/1/34 (f)(g) | | 8,897 | 9,266 |
6 month U.S. LIBOR + 1.530% 1.737% 3/1/35 (f)(g) | | 10,791 | 11,249 |
6 month U.S. LIBOR + 1.550% 1.675% 9/1/33 (f)(g) | | 162,048 | 168,536 |
6 month U.S. LIBOR + 1.550% 1.675% 10/1/33 (f)(g) | | 3,503 | 3,643 |
6 month U.S. LIBOR + 1.560% 1.71% 7/1/35 (f)(g) | | 6,599 | 6,892 |
6 month U.S. LIBOR + 1.740% 1.99% 12/1/34 (f)(g) | | 725 | 759 |
6 month U.S. LIBOR + 1.960% 2.085% 9/1/35 (f)(g) | | 5,564 | 5,873 |
U.S. TREASURY 1 YEAR INDEX + 2.180% 2.287% 7/1/36 (f)(g) | | 17,300 | 18,068 |
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.333% 3/1/35 (f)(g) | | 6,730 | 7,114 |
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (f)(g) | | 18,654 | 19,628 |
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.41% 10/1/33 (f)(g) | | 15,319 | 16,102 |
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.53% 7/1/34 (f)(g) | | 28,233 | 29,681 |
2% 7/1/50 to 11/1/51 | | 102,683,177 | 103,033,321 |
2.5% 5/1/31 to 12/1/51 | | 164,437,636 | 169,805,020 |
3% 12/1/28 to 11/1/51 | | 169,224,857 | 177,926,018 |
3.25% 12/1/41 | | 13,682 | 14,580 |
3.4% 7/1/42 to 9/1/42 | | 154,757 | 165,364 |
3.5% 5/1/36 to 5/1/50 | | 73,553,507 | 78,636,909 |
3.65% 5/1/42 to 8/1/42 | | 81,924 | 88,867 |
3.9% 4/1/42 | | 15,203 | 16,701 |
4% 3/1/36 to 4/1/49 | | 50,539,645 | 54,674,510 |
4.025% 5/1/42 | | 18,609 | 20,464 |
4.25% 11/1/41 | | 43,252 | 47,264 |
4.5% to 4.5% 12/1/23 to 2/1/49 | | 22,861,358 | 24,960,701 |
5% 1/1/22 to 2/1/49 | | 7,343,512 | 8,183,590 |
5.237% 8/1/41 (f) | | 373,859 | 416,361 |
5.5% 3/1/22 to 8/1/25 | | 36,102 | 37,206 |
6% to 6% 1/1/22 to 1/1/42 | | 4,202,508 | 4,850,558 |
6.5% 2/1/22 to 4/1/37 | | 3,188,244 | 3,681,879 |
6.623% 2/1/39 (f) | | 279,055 | 307,215 |
7% to 7% 4/1/23 to 7/1/37 | | 187,511 | 214,566 |
7.5% to 7.5% 6/1/25 to 2/1/32 | | 107,156 | 120,836 |
8% 8/1/29 to 3/1/37 | | 4,654 | 5,595 |
8.5% 8/1/23 | | 2 | 2 |
TOTAL FANNIE MAE | | | 630,494,401 |
Freddie Mac - 18.8% | | | |
12 month U.S. LIBOR + 1.320% 1.7% 1/1/36 (f)(g) | | 52,552 | 54,692 |
12 month U.S. LIBOR + 1.370% 1.7% 3/1/36 (f)(g) | | 33,648 | 35,115 |
12 month U.S. LIBOR + 1.500% 1.839% 3/1/36 (f)(g) | | 25,296 | 26,520 |
12 month U.S. LIBOR + 1.600% 1.85% 7/1/35 (f)(g) | | 57,114 | 59,947 |
12 month U.S. LIBOR + 1.660% 2.04% 7/1/36 (f)(g) | | 110,822 | 116,546 |
12 month U.S. LIBOR + 1.750% 2% 7/1/41 (f)(g) | | 54,339 | 57,306 |
12 month U.S. LIBOR + 1.750% 2% 9/1/41 (f)(g) | | 726,919 | 766,570 |
12 month U.S. LIBOR + 1.750% 2.068% 12/1/40 (f)(g) | | 230,893 | 243,144 |
12 month U.S. LIBOR + 1.790% 2.168% 4/1/37 (f)(g) | | 18,127 | 19,132 |
12 month U.S. LIBOR + 1.860% 2.114% 4/1/36 (f)(g) | | 11,689 | 12,390 |
12 month U.S. LIBOR + 1.880% 2.13% 4/1/41 (f)(g) | | 13,927 | 14,748 |
12 month U.S. LIBOR + 1.880% 2.13% 9/1/41 (f)(g) | | 51,239 | 54,036 |
12 month U.S. LIBOR + 1.880% 2.13% 10/1/41 (f)(g) | | 373,484 | 393,908 |
12 month U.S. LIBOR + 1.900% 2.174% 10/1/42 (f)(g) | | 287,871 | 304,263 |
12 month U.S. LIBOR + 1.910% 2.16% 5/1/41 (f)(g) | | 101,800 | 107,885 |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (f)(g) | | 135,596 | 143,693 |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (f)(g) | | 35,494 | 37,614 |
12 month U.S. LIBOR + 1.910% 2.197% 5/1/41 (f)(g) | | 98,747 | 104,708 |
12 month U.S. LIBOR + 2.020% 2.32% 4/1/38 (f)(g) | | 18,345 | 19,354 |
12 month U.S. LIBOR + 2.030% 2.296% 3/1/33 (f)(g) | | 669 | 700 |
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (f)(g) | | 110,262 | 116,559 |
12 month U.S. LIBOR + 2.200% 2.575% 12/1/36 (f)(g) | | 22,861 | 24,201 |
6 month U.S. LIBOR + 1.120% 1.325% 8/1/37 (f)(g) | | 12,711 | 13,073 |
6 month U.S. LIBOR + 1.580% 1.83% 12/1/35 (f)(g) | | 1,089 | 1,139 |
6 month U.S. LIBOR + 1.660% 1.79% 1/1/37 (f)(g) | | 26,754 | 27,999 |
6 month U.S. LIBOR + 1.660% 1.915% 7/1/35 (f)(g) | | 19,594 | 20,467 |
6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (f)(g) | | 26,292 | 27,617 |
6 month U.S. LIBOR + 1.840% 1.97% 2/1/37 (f)(g) | | 15,689 | 16,516 |
6 month U.S. LIBOR + 1.880% 2.021% 10/1/36 (f)(g) | | 262,840 | 275,889 |
6 month U.S. LIBOR + 1.990% 2.152% 10/1/35 (f)(g) | | 100,871 | 106,095 |
6 month U.S. LIBOR + 2.010% 2.135% 5/1/37 (f)(g) | | 31,161 | 32,799 |
6 month U.S. LIBOR + 2.010% 2.135% 5/1/37 (f)(g) | | 44,240 | 46,566 |
6 month U.S. LIBOR + 2.020% 2.245% 6/1/37 (f)(g) | | 51,528 | 54,268 |
6 month U.S. LIBOR + 2.680% 2.812% 10/1/35 (f)(g) | | 26,409 | 27,926 |
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.158% 6/1/33 (f)(g) | | 187,395 | 196,925 |
U.S. TREASURY 1 YEAR INDEX + 2.230% 2.355% 4/1/34 (f)(g) | | 47,295 | 49,959 |
U.S. TREASURY 1 YEAR INDEX + 2.260% 2.387% 6/1/33 (f)(g) | | 49,630 | 52,065 |
U.S. TREASURY 1 YEAR INDEX + 2.430% 2.515% 3/1/35 (f)(g) | | 95,303 | 100,464 |
U.S. TREASURY 1 YEAR INDEX + 2.540% 2.598% 7/1/35 (f)(g) | | 128,564 | 135,804 |
1.5% 12/1/50 | | 45,857 | 44,493 |
2% 6/1/50 to 11/1/51 | | 96,789,568 | 97,217,096 |
2.5% 5/1/30 to 12/1/51 | | 83,246,681 | 85,841,033 |
3% 6/1/31 to 6/1/50 | | 63,057,919 | 66,399,181 |
3.5% 3/1/32 to 1/1/50 | | 57,639,980 | 61,665,499 |
3.5% 8/1/47 | | 3,902,141 | 4,165,285 |
4% 1/1/36 to 2/1/50 | | 45,894,682 | 49,751,560 |
4% 4/1/48 | | 11,740 | 12,603 |
4.5% 6/1/25 to 10/1/48 | | 13,919,992 | 15,252,699 |
5% 8/1/33 to 7/1/41 | | 3,963,184 | 4,454,694 |
5.5% 6/1/22 | | 1,431 | 1,442 |
6% 12/1/21 to 12/1/37 | | 534,244 | 594,956 |
6.5% 12/1/21 to 9/1/39 | | 629,966 | 736,439 |
7% 3/1/26 to 9/1/36 | | 176,438 | 204,247 |
7.5% 6/1/26 to 11/1/31 | | 6,101 | 7,042 |
8% 7/1/24 to 4/1/32 | | 5,381 | 6,129 |
8.5% 12/1/22 to 9/1/29 | | 4,825 | 5,390 |
TOTAL FREDDIE MAC | | | 390,258,390 |
Ginnie Mae - 22.4% | | | |
3.5% 9/20/40 to 5/20/50 | | 45,228,769 | 48,357,543 |
4% 7/15/39 to 6/20/49 | | 52,594,189 | 56,491,610 |
4.5% 6/20/33 to 8/15/41 | | 9,974,043 | 11,021,193 |
5% 12/15/32 to 4/20/48 | | 6,360,783 | 7,074,882 |
5.5% 6/15/33 to 9/15/39 | | 366,827 | 416,879 |
6% to 6% 10/15/30 to 5/15/40 | | 3,028,428 | 3,473,568 |
7% to 7% 11/15/22 to 3/15/33 | | 287,366 | 326,176 |
7.5% to 7.5% 2/15/22 to 9/15/31 | | 95,337 | 105,179 |
8% 3/15/22 to 11/15/29 | | 23,698 | 25,415 |
8.5% 11/15/27 to 1/15/31 | | 3,864 | 4,454 |
9% 1/15/23 | | 27 | 28 |
2% 12/1/51 (h) | | 18,100,000 | 18,331,316 |
2% 12/1/51 (h) | | 19,050,000 | 19,293,457 |
2% 12/1/51 (h) | | 21,750,000 | 22,027,963 |
2% 12/1/51 (h) | | 15,250,000 | 15,444,893 |
2% 12/1/51 (h) | | 10,850,000 | 10,988,662 |
2% 12/1/51 (h) | | 7,300,000 | 7,393,293 |
2% 12/1/51 (h) | | 6,550,000 | 6,633,708 |
2.5% 4/20/51 to 7/20/51 | | 13,726,282 | 14,112,684 |
2.5% 12/1/51 (h) | | 29,700,000 | 30,512,622 |
2.5% 12/1/51 (h) | | 15,350,000 | 15,769,991 |
2.5% 12/1/51 (h) | | 13,300,000 | 13,663,901 |
2.5% 12/1/51 (h) | | 10,050,000 | 10,324,978 |
2.5% 12/1/51 (h) | | 8,075,000 | 8,295,940 |
3% 5/15/42 to 6/20/51 | | 59,737,307 | 62,076,479 |
3% 12/1/51 (h) | | 11,600,000 | 12,021,297 |
3% 12/1/51 (h) | | 6,500,000 | 6,736,072 |
3% 12/1/51 (h) | | 5,950,000 | 6,166,096 |
3.5% 12/1/51 (h) | | 6,100,000 | 6,370,427 |
3.5% 12/1/51 (h) | | 3,700,000 | 3,864,030 |
3.5% 12/1/51 (h) | | 6,150,000 | 6,422,644 |
3.5% 12/1/51 (h) | | 1,200,000 | 1,253,199 |
3.5% 12/1/51 (h) | | 1,250,000 | 1,305,415 |
3.5% 12/1/51 (h) | | 3,700,000 | 3,864,030 |
3.5% 12/1/51 (h) | | 2,450,000 | 2,558,614 |
3.5% 12/1/51 (h) | | 2,400,000 | 2,506,398 |
3.5% 12/1/51 (h) | | 1,250,000 | 1,305,415 |
3.5% 12/1/51 (h) | | 2,450,000 | 2,558,614 |
3.5% 12/1/51 (h) | | 1,825,000 | 1,905,906 |
3.5% 12/1/51 (h) | | 2,175,000 | 2,271,423 |
3.5% 12/1/51 (h) | | 3,400,000 | 3,550,730 |
3.5% 1/1/52 (h) | | 3,750,000 | 3,912,144 |
3.5% 1/1/52 (h) | | 3,650,000 | 3,807,821 |
3.5% 1/1/52 (h) | | 3,700,000 | 3,859,982 |
3.5% 1/1/52 (h) | | 4,650,000 | 4,851,059 |
4.7% 2/20/62 (f)(i) | | 63,240 | 63,210 |
5.47% 8/20/59 (f)(i) | | 1,737 | 1,746 |
6.5% 3/20/31 to 6/15/37 | | 99,997 | 115,308 |
TOTAL GINNIE MAE | | | 463,438,394 |
Uniform Mortgage Backed Securities - 30.3% | | | |
1.5% 12/1/51 (h) | | 24,750,000 | 23,933,089 |
1.5% 12/1/51 (h) | | 17,100,000 | 16,535,589 |
1.5% 12/1/51 (h) | | 12,200,000 | 11,797,321 |
1.5% 12/1/51 (h) | | 9,500,000 | 9,186,438 |
1.5% 12/1/51 (h) | | 3,300,000 | 3,191,079 |
1.5% 12/1/51 (h) | | 3,200,000 | 3,094,379 |
2% 12/1/36 (h) | | 8,700,000 | 8,921,001 |
2% 12/1/51 (h) | | 30,500,000 | 30,527,581 |
2% 12/1/51 (h) | | 30,750,000 | 30,777,807 |
2% 12/1/51 (h) | | 30,400,000 | 30,427,491 |
2% 12/1/51 (h) | | 45,650,000 | 45,691,281 |
2% 12/1/51 (h) | | 39,900,000 | 39,936,082 |
2% 12/1/51 (h) | | 25,300,000 | 25,322,879 |
2% 12/1/51 (h) | | 14,300,000 | 14,312,931 |
2% 12/1/51 (h) | | 30,650,000 | 30,677,717 |
2% 12/1/51 (h) | | 30,500,000 | 30,527,581 |
2% 12/1/51 (h) | | 50,000 | 50,045 |
2% 12/1/51 (h) | | 3,300,000 | 3,302,984 |
2% 12/1/51 (h) | | 2,200,000 | 2,201,989 |
2% 12/1/51 (h) | | 2,600,000 | 2,602,351 |
2% 1/1/52 (h) | | 30,550,000 | 30,517,959 |
2% 1/1/52 (h) | | 30,650,000 | 30,617,854 |
2.5% 12/1/51 (h) | | 23,450,000 | 24,036,250 |
2.5% 12/1/51 (h) | | 21,700,000 | 22,242,500 |
2.5% 12/1/51 (h) | | 14,600,000 | 14,965,000 |
2.5% 12/1/51 (h) | | 38,700,000 | 39,667,500 |
2.5% 12/1/51 (h) | | 14,250,000 | 14,606,250 |
2.5% 12/1/51 (h) | | 9,550,000 | 9,788,750 |
2.5% 12/1/51 (h) | | 6,500,000 | 6,662,500 |
2.5% 12/1/51 (h) | | 8,850,000 | 9,071,250 |
2.5% 12/1/51 (h) | | 350,000 | 358,750 |
2.5% 12/1/51 (h) | | 7,300,000 | 7,482,500 |
2.5% 12/1/51 (h) | | 5,600,000 | 5,740,000 |
2.5% 12/1/51 (h) | | 9,700,000 | 9,942,500 |
2.5% 1/1/52 (h) | | 15,700,000 | 16,053,250 |
3% 12/1/51 (h) | | 2,150,000 | 2,232,137 |
3% 12/1/51 (h) | | 3,700,000 | 3,841,351 |
3% 12/1/51 (h) | | 1,550,000 | 1,609,215 |
3% 12/1/51 (h) | | 2,150,000 | 2,232,137 |
3.5% 12/1/51 (h) | | 10,900,000 | 11,459,051 |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | | 626,144,319 |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,095,500,820) | | | 2,110,335,504 |
| | | |
Collateralized Mortgage Obligations - 14.6% |
| | Principal Amount (a) | Value ($) |
U.S. Government Agency - 14.6% | | | |
Fannie Mae: | | | |
floater: | | | |
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 1.15% 4/25/24 (f)(g) | | 70,341 | 70,089 |
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 1.072% 8/25/31 (f)(g) | | 33,564 | 34,243 |
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.892% 2/25/32 (f)(g) | | 3,682 | 3,748 |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.0889% 3/18/32 (f)(g) | | 6,753 | 6,896 |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.092% 4/25/32 (f)(g) | | 14,854 | 15,218 |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.092% 10/25/32 (f)(g) | | 10,082 | 10,305 |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.842% 1/25/32 (f)(g) | | 3,568 | 3,625 |
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 0.542% 11/25/32 (f)(g) | | 266,346 | 267,469 |
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 1.092% 11/25/32 (f)(g) | | 14,548 | 14,904 |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 8.008% 12/25/33 (f)(k)(l) | | 129,722 | 31,533 |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.588% 11/25/36 (f)(k)(l) | | 93,267 | 17,692 |
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 1.022% 6/25/36 (f)(g) | | 2,747,570 | 2,807,323 |
planned amortization class: | | | |
Series 1992-168 Class KB, 7% 10/25/22 | | 570 | 583 |
Series 1993-207 Class H, 6.5% 11/25/23 | | 18,116 | 18,697 |
Series 1996-28 Class PK, 6.5% 7/25/25 | | 7,278 | 7,533 |
Series 1999-17 Class PG, 6% 4/25/29 | | 44,046 | 48,359 |
Series 1999-32 Class PL, 6% 7/25/29 | | 50,205 | 55,306 |
Series 1999-33 Class PK, 6% 7/25/29 | | 35,233 | 38,845 |
Series 2001-52 Class YZ, 6.5% 10/25/31 | | 6,147 | 6,808 |
Series 2003-28 Class KG, 5.5% 4/25/23 | | 22,989 | 23,565 |
Series 2003-70 Class BJ, 5% 7/25/33 | | 224,454 | 239,202 |
Series 2005-102 Class CO 11/25/35 (m) | | 28,055 | 25,839 |
Series 2005-64 Class PX, 5.5% 6/25/35 | | 374,263 | 396,410 |
Series 2005-68 Class CZ, 5.5% 8/25/35 | | 3,054,858 | 3,428,321 |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.3108% 8/25/35 (f)(l) | | 6,159 | 8,017 |
Series 2005-81 Class PC, 5.5% 9/25/35 | | 78,156 | 87,267 |
Series 2006-12 Class BO 10/25/35 (m) | | 112,411 | 103,726 |
Series 2006-15 Class OP 3/25/36 (m) | | 128,622 | 117,373 |
Series 2006-37 Class OW 5/25/36 (m) | | 14,519 | 12,996 |
Series 2006-45 Class OP 6/25/36 (m) | | 40,198 | 35,978 |
Series 2006-62 Class KP 4/25/36 (m) | | 65,712 | 60,184 |
Series 2010-118 Class PB, 4.5% 10/25/40 | | 2,222,218 | 2,445,999 |
Series 2012-149: | | | |
Class DA, 1.75% 1/25/43 | | 771,305 | 778,540 |
Class GA, 1.75% 6/25/42 | | 836,640 | 845,953 |
sequential payer: | | | |
Series 1997-41 Class J, 7.5% 6/18/27 | | 9,432 | 10,336 |
Series 1999-25 Class Z, 6% 6/25/29 | | 40,323 | 43,628 |
Series 2001-20 Class Z, 6% 5/25/31 | | 48,485 | 53,747 |
Series 2001-31 Class ZC, 6.5% 7/25/31 | | 25,231 | 27,595 |
Series 2002-16 Class ZD, 6.5% 4/25/32 | | 16,315 | 18,112 |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.458% 11/25/32 (f)(k)(l) | | 55,502 | 6,391 |
Series 2003-117 Class MD, 5% 12/25/23 | | 174,302 | 179,962 |
Series 2004-52 Class KZ, 5.5% 7/25/34 | | 1,062,074 | 1,153,683 |
Series 2004-91 Class Z, 5% 12/25/34 | | 2,370,503 | 2,528,250 |
Series 2005-117 Class JN, 4.5% 1/25/36 | | 306,381 | 329,430 |
Series 2005-14 Class ZB, 5% 3/25/35 | | 745,812 | 795,296 |
Series 2006-72 Class CY, 6% 8/25/26 | | 430,112 | 461,908 |
Series 2009-59 Class HB, 5% 8/25/39 | | 1,263,944 | 1,404,493 |
Series 2012-67 Class AI, 4.5% 7/25/27 (k) | | 87,037 | 4,550 |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.548% 12/25/36 (f)(k)(l) | | 62,742 | 14,737 |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.348% 5/25/37 (f)(k)(l) | | 34,147 | 7,376 |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.5396% 9/25/23 (f)(l) | | 933 | 1,034 |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 8.008% 3/25/33 (f)(k)(l) | | 8,085 | 1,785 |
Series 2005-72 Class ZC, 5.5% 8/25/35 | | 533,810 | 593,524 |
Series 2005-79 Class ZC, 5.9% 9/25/35 | | 284,756 | 322,273 |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 40.068% 6/25/37 (f)(l) | | 29,472 | 58,759 |
Series 2007-66: | | | |
Class SA, 39.600% - 1 month U.S. LIBOR 39.048% 7/25/37 (f)(l) | | 44,692 | 89,184 |
Class SB, 39.600% - 1 month U.S. LIBOR 39.048% 7/25/37 (f)(l) | | 16,537 | 28,754 |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.258% 3/25/38 (f)(k)(l) | | 221,208 | 43,169 |
Series 2010-135: | | | |
Class LS, 6.050% - 1 month U.S. LIBOR 5.958% 12/25/40 (f)(k)(l) | | 222,692 | 39,023 |
Class ZA, 4.5% 12/25/40 | | 93,989 | 105,305 |
Series 2010-139 Class NI, 4.5% 2/25/40 (k) | | 851,995 | 36,956 |
Series 2010-150 Class ZC, 4.75% 1/25/41 | | 953,145 | 1,073,736 |
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 1.012% 3/25/36 (f)(g) | | 1,820,032 | 1,867,632 |
Series 2010-95 Class ZC, 5% 9/25/40 | | 2,067,620 | 2,320,706 |
Series 2011-39 Class ZA, 6% 11/25/32 | | 155,724 | 175,728 |
Series 2011-4 Class PZ, 5% 2/25/41 | | 317,549 | 345,149 |
Series 2011-67 Class AI, 4% 7/25/26 (k) | | 240,597 | 10,199 |
Series 2011-83 Class DI, 6% 9/25/26 (k) | | 5,711 | 96 |
Series 2012-100 Class WI, 3% 9/25/27 (k) | | 560,902 | 38,221 |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.558% 12/25/30 (f)(k)(l) | | 108,018 | 5,252 |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.458% 6/25/41 (f)(k)(l) | | 93,728 | 3,511 |
Series 2013-133 Class IB, 3% 4/25/32 (k) | | 242,042 | 8,366 |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.958% 1/25/44 (f)(k)(l) | | 156,568 | 29,402 |
Series 2013-51 Class GI, 3% 10/25/32 (k) | | 180,389 | 12,690 |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.628% 6/25/35 (f)(k)(l) | | 180,247 | 31,276 |
Series 2015-42 Class IL, 6% 6/25/45 (k) | | 956,365 | 181,227 |
Series 2015-70 Class JC, 3% 10/25/45 | | 1,067,439 | 1,119,141 |
Series 2017-30 Class AI, 5.5% 5/25/47 (k) | | 511,461 | 98,521 |
Series 2017-74 Class SH, 6.200% - 1 month U.S. LIBOR 6.108% 10/25/47 (f)(k)(l) | | 4,314,795 | 688,934 |
Series 2018-45 Class GI, 4% 6/25/48 (k) | | 6,267,660 | 756,923 |
Fannie Mae Stripped Mortgage-Backed Securities: | | | |
Series 339 Class 5, 5.5% 7/25/33 (k) | | 34,234 | 6,085 |
Series 343 Class 16, 5.5% 5/25/34 (k) | | 29,602 | 4,784 |
Series 348 Class 14, 6.5% 8/25/34 (f)(k) | | 21,726 | 4,700 |
Series 351: | | | |
Class 12, 5.5% 4/25/34 (f)(k) | | 15,034 | 2,704 |
Class 13, 6% 3/25/34 (k) | | 19,177 | 3,457 |
Series 359 Class 19, 6% 7/25/35 (f)(k) | | 12,912 | 2,561 |
Series 384 Class 6, 5% 7/25/37 (k) | | 134,379 | 23,330 |
Freddie Mac: | | | |
floater: | | | |
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.8893% 1/15/32 (f)(g) | | 3,064 | 3,119 |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 0.9893% 3/15/32 (f)(g) | | 4,152 | 4,240 |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.0893% 3/15/32 (f)(g) | | 4,131 | 4,221 |
Series 2432: | | | |
Class FE, 1 month U.S. LIBOR + 0.900% 0.9893% 6/15/31 (f)(g) | | 7,338 | 7,472 |
Class FG, 1 month U.S. LIBOR + 0.900% 0.9893% 3/15/32 (f)(g) | | 2,269 | 2,312 |
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 0.4893% 11/15/32 (f)(g) | | 66,718 | 67,110 |
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 0.9893% 2/15/33 (f)(g) | | 803,344 | 821,183 |
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 0.4893% 3/15/34 (f)(g) | | 1,084,429 | 1,090,611 |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.3393% 5/15/37 (f)(g) | | 171,853 | 172,388 |
planned amortization class: | | | |
Series 2095 Class PE, 6% 11/15/28 | | 52,307 | 57,770 |
Series 2101 Class PD, 6% 11/15/28 | | 24,815 | 27,403 |
Series 2121 Class MG, 6% 2/15/29 | | 20,691 | 22,819 |
Series 2131 Class BG, 6% 3/15/29 | | 155,591 | 171,993 |
Series 2137 Class PG, 6% 3/15/29 | | 25,060 | 27,734 |
Series 2154 Class PT, 6% 5/15/29 | | 41,081 | 45,457 |
Series 2162 Class PH, 6% 6/15/29 | | 8,447 | 9,288 |
Series 2520 Class BE, 6% 11/15/32 | | 61,977 | 70,337 |
Series 2693 Class MD, 5.5% 10/15/33 | | 149,835 | 162,842 |
Series 2802 Class OB, 6% 5/15/34 | | 164,561 | 182,343 |
Series 2996 Class MK, 5.5% 6/15/35 | | 47,675 | 52,886 |
Series 3002 Class NE, 5% 7/15/35 | | 161,428 | 178,255 |
Series 3110 Class OP 9/15/35 (m) | | 59,634 | 57,311 |
Series 3119 Class PO 2/15/36 (m) | | 154,261 | 140,249 |
Series 3121 Class KO 3/15/36 (m) | | 28,027 | 25,716 |
Series 3123 Class LO 3/15/36 (m) | | 87,714 | 79,925 |
Series 3145 Class GO 4/15/36 (m) | | 90,527 | 82,833 |
Series 3189 Class PD, 6% 7/15/36 | | 138,848 | 159,468 |
Series 3225 Class EO 10/15/36 (m) | | 46,606 | 42,026 |
Series 3258 Class PM, 5.5% 12/15/36 | | 59,799 | 67,626 |
Series 3415 Class PC, 5% 12/15/37 | | 459,647 | 505,516 |
Series 3786 Class HI, 4% 3/15/38 (k) | | 8,492 | 9 |
Series 3806 Class UP, 4.5% 2/15/41 | | 278,089 | 291,902 |
Series 3832 Class PE, 5% 3/15/41 | | 654,579 | 723,701 |
Series 3857 Class ZP, 5% 5/15/41 | | 2,867,270 | 3,273,925 |
Series 4135 Class AB, 1.75% 6/15/42 | | 628,678 | 636,247 |
Series 4765 Class PE, 3% 12/15/41 | | 157,247 | 158,113 |
sequential payer: | | | |
Series 1929 Class EZ, 7.5% 2/17/27 | | 96,552 | 104,849 |
Series 2004-2862 Class NE, 5% 9/15/24 | | 361,548 | 372,640 |
Series 2135 Class JE, 6% 3/15/29 | | 10,248 | 11,241 |
Series 2145 Class MZ, 6.5% 4/15/29 | | 148,132 | 162,241 |
Series 2274 Class ZM, 6.5% 1/15/31 | | 15,216 | 16,590 |
Series 2281 Class ZB, 6% 3/15/30 | | 29,858 | 32,821 |
Series 2303 Class ZV, 6% 4/15/31 | | 87,996 | 97,787 |
Series 2357 Class ZB, 6.5% 9/15/31 | | 233,407 | 265,209 |
Series 2502 Class ZC, 6% 9/15/32 | | 28,478 | 32,271 |
Series 2519 Class ZD, 5.5% 11/15/32 | | 40,696 | 45,557 |
Series 2546 Class MJ, 5.5% 3/15/23 | | 5,315 | 5,454 |
Series 2601 Class TB, 5.5% 4/15/23 | | 2,763 | 2,839 |
Series 2877 Class ZD, 5% 10/15/34 | | 2,936,016 | 3,131,392 |
Series 2998 Class LY, 5.5% 7/15/25 | | 59,175 | 63,366 |
Series 3007 Class EW, 5.5% 7/15/25 | | 158,209 | 168,260 |
Series 3745 Class KV, 4.5% 12/15/26 | | 1,254,115 | 1,259,537 |
Series 3871 Class KB, 5.5% 6/15/41 | | 776,031 | 888,650 |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.5108% 2/15/36 (f)(k)(l) | | 42,990 | 7,579 |
Series 2013-4281 Class AI, 4% 12/15/28 (k) | | 251,627 | 9,355 |
Series 2017-4683 Class LM, 3% 5/15/47 | | 1,348,415 | 1,408,918 |
Series 2018-4763 Class SC, 6.200% - 1 month U.S. LIBOR 6.1108% 8/15/47 (f)(k)(l) | | 2,333,127 | 331,060 |
Series 2844: | | | |
Class SC, 46.800% - 1 month U.S. LIBOR 46.2199% 8/15/24 (f)(l) | | 15 | 16 |
Class SD, 86.400% - 1 month U.S. LIBOR 85.2897% 8/15/24 (f)(l) | | 19 | 21 |
Series 2933 Class ZM, 5.75% 2/15/35 | | 638,189 | 719,304 |
Series 2935 Class ZK, 5.5% 2/15/35 | | 543,736 | 614,940 |
Series 2947 Class XZ, 6% 3/15/35 | | 257,219 | 294,452 |
Series 2996 Class ZD, 5.5% 6/15/35 | | 426,731 | 484,176 |
Series 3237 Class C, 5.5% 11/15/36 | | 631,291 | 705,839 |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.5708% 11/15/36 (f)(k)(l) | | 192,356 | 41,472 |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.6608% 3/15/37 (f)(k)(l) | | 291,191 | 68,410 |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.6708% 4/15/37 (f)(k)(l) | | 407,759 | 89,034 |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.4908% 6/15/37 (f)(k)(l) | | 149,960 | 27,597 |
Series 3843 Class PZ, 5% 4/15/41 | | 2,877,226 | 3,281,893 |
Series 3949 Class MK, 4.5% 10/15/34 | | 116,646 | 126,905 |
Series 4055 Class BI, 3.5% 5/15/31 (k) | | 278,349 | 11,711 |
Series 4149 Class IO, 3% 1/15/33 (k) | | 92,447 | 8,289 |
Series 4314 Class AI, 5% 3/15/34 (k) | | 93,483 | 4,994 |
Series 4427 Class LI, 3.5% 2/15/34 (k) | | 594,414 | 45,362 |
Series 4471 Class PA 4% 12/15/40 | | 618,461 | 655,582 |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | | 24,437 | 26,054 |
Freddie Mac Manufactured Housing participation certificates guaranteed: | | | |
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 0.9903% 2/15/24 (f)(g) | | 5,352 | 5,374 |
sequential payer: | | | |
Series 2043 Class ZH, 6% 4/15/28 | | 16,987 | 18,667 |
Series 2056 Class Z, 6% 5/15/28 | | 45,460 | 50,114 |
Freddie Mac Multi-family Structured pass-thru certificates: | | | |
sequential payer Series 4341 Class ML, 3.5% 11/15/31 | | 2,894,092 | 3,036,552 |
Series 4386 Class AZ, 4.5% 11/15/40 | | 1,313,677 | 1,445,932 |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | | 558,777 | 597,868 |
Ginnie Mae guaranteed REMIC pass-thru certificates: | | | |
floater: | | | |
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.6009% 6/16/37 (f)(k)(l) | | 81,448 | 16,752 |
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 0.5911% 7/20/37 (f)(g) | | 563,285 | 572,060 |
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 0.5711% 1/20/38 (f)(g) | | 145,842 | 147,970 |
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 0.9511% 8/20/38 (f)(g) | | 818,988 | 836,486 |
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 0.9911% 9/20/38 (f)(g) | | 653,712 | 668,533 |
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 0.6891% 11/16/39 (f)(g) | | 680,191 | 691,854 |
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 0.6191% 12/16/39 (f)(g) | | 449,850 | 457,579 |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.6378% 3/20/60 (f)(g)(i) | | 1,066,817 | 1,070,457 |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4178% 7/20/60 (f)(g)(i) | | 6,611,005 | 6,605,742 |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.3753% 9/20/60 (f)(g)(i) | | 7,404,731 | 7,393,671 |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.3753% 8/20/60 (f)(g)(i) | | 6,953,962 | 6,944,125 |
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4553% 12/20/60 (f)(g)(i) | | 3,144,277 | 3,145,387 |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.5753% 12/20/60 (f)(g)(i) | | 3,628,409 | 3,638,167 |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.5753% 2/20/61 (f)(g)(i) | | 4,132,938 | 4,142,650 |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.5653% 2/20/61 (f)(g)(i) | | 5,933,460 | 5,945,986 |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.5753% 4/20/61 (f)(g)(i) | | 2,976,097 | 2,984,617 |
Series 2011-H14: | | | |
Class FB, 1 month U.S. LIBOR + 0.500% 0.5753% 5/20/61 (f)(g)(i) | | 4,807,709 | 4,820,603 |
Class FC, 1 month U.S. LIBOR + 0.500% 0.5753% 5/20/61 (f)(g)(i) | | 3,599,892 | 3,610,116 |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6053% 6/20/61 (f)(g)(i) | | 4,295,655 | 4,309,342 |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6253% 9/20/61 (f)(g)(i) | | 1,384,317 | 1,389,543 |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.6753% 10/20/61 (f)(g)(i) | | 4,667,093 | 4,688,720 |
Series 2012-98 Class FA, 1 month U.S. LIBOR + 0.400% 0.4911% 8/20/42 (f)(g) | | 632,687 | 637,787 |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.7753% 11/20/61 (f)(g)(i) | | 4,527,929 | 4,558,004 |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.7753% 1/20/62 (f)(g)(i) | | 2,868,053 | 2,885,792 |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7053% 1/20/62 (f)(g)(i) | | 4,059,835 | 4,081,067 |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7053% 3/20/62 (f)(g)(i) | | 2,592,000 | 2,604,861 |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7253% 5/20/61 (f)(g)(i) | | 33,899 | 34,132 |
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 0.5953% 10/20/62 (f)(g)(i) | | 42,921 | 43,047 |
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 0.4353% 3/20/63 (f)(g)(i) | | 52,234 | 52,228 |
Series 2013-H19: | | | |
Class FC, 1 month U.S. LIBOR + 0.600% 0.6753% 8/20/63 (f)(g)(i) | | 419,760 | 420,945 |
Class FD, 1 month U.S. LIBOR + 0.600% 0.6753% 8/20/63 (f)(g)(i) | | 908,225 | 910,422 |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.6753% 1/20/64 (f)(g)(i) | | 437,142 | 438,863 |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.6753% 12/20/63 (f)(g)(i) | | 1,830,450 | 1,837,347 |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.5753% 6/20/64 (f)(g)(i) | | 1,213,706 | 1,216,881 |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.3753% 3/20/65 (f)(g)(i) | | 5,272 | 5,265 |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.3553% 5/20/63 (f)(g)(i) | | 91,244 | 91,052 |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.2753% 4/20/63 (f)(g)(i) | | 60,222 | 60,025 |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.4753% 12/20/62 (f)(g)(i) | | 29,151 | 29,181 |
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.3411% 10/20/47 (f)(g) | | 4,666,858 | 4,672,520 |
Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 0.4411% 11/20/48 (f)(g) | | 2,223,581 | 2,238,874 |
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.3911% 5/20/48 (f)(g) | | 4,478,677 | 4,491,770 |
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.3911% 6/20/48 (f)(g) | | 5,806,070 | 5,811,591 |
Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 0.3911% 6/20/48 (f)(g) | | 1,285,837 | 1,291,742 |
Series 2019-115 Class FA, 1 month U.S. LIBOR + 0.450% 0.5411% 9/20/49 (f)(g) | | 12,933,798 | 13,064,170 |
Series 2019-128 Class FG, 1 month U.S. LIBOR + 0.450% 0.5411% 10/20/49 (f)(g) | | 7,514,304 | 7,604,508 |
Series 2019-98 Class FC, 1 month U.S. LIBOR + 0.450% 0.5411% 8/20/49 (f)(g) | | 16,377,697 | 16,522,430 |
planned amortization class: | | | |
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.8177% 12/20/40 (f)(l) | | 809,618 | 923,003 |
Series 2010-31 Class BP, 5% 3/20/40 | | 3,487,889 | 3,833,648 |
Series 2011-136 Class WI, 4.5% 5/20/40 (k) | | 323,394 | 20,572 |
Series 2011-68 Class EC, 3.5% 4/20/41 | | 378,965 | 396,015 |
Series 2016-69 Class WA, 3% 2/20/46 | | 676,333 | 706,752 |
Series 2017-134 Class BA, 2.5% 11/20/46 | | 936,852 | 969,212 |
Series 2017-153 Class GA, 3% 9/20/47 | | 1,834,633 | 1,916,424 |
Series 2017-182 Class KA, 3% 10/20/47 | | 1,508,185 | 1,575,511 |
Series 2018-13 Class Q, 3% 4/20/47 | | 2,000,324 | 2,070,270 |
sequential payer: | | | |
Series 2004-24 Class ZM, 5% 4/20/34 | | 232,481 | 247,653 |
Series 2010-160 Class DY, 4% 12/20/40 | | 1,662,699 | 1,774,531 |
Series 2010-170 Class B, 4% 12/20/40 | | 373,184 | 398,366 |
Series 2011-69 Class GX, 4.5% 5/16/40 | | 5,836,389 | 6,010,396 |
Series 2013-H06 Class HA, 1.65% 1/20/63 (i) | | 35,471 | 35,598 |
Series 2013-H26 Class HA, 3.5% 9/20/63 (i) | | 7,342 | 7,396 |
Series 2014-H04 Class HA, 2.75% 2/20/64 (i) | | 6,025,428 | 6,140,460 |
Series 2014-H12 Class KA, 2.75% 5/20/64 (i) | | 2,534,207 | 2,563,050 |
Series 2017-139 Class BA, 3% 9/20/47 | | 3,271,003 | 3,435,469 |
Series 2018-H12 Class HA, 3.25% 8/20/68 (i) | | 7,829,860 | 8,125,987 |
Series 2004-22 Class M1, 5.5% 4/20/34 | | 761,093 | 986,297 |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.4109% 5/16/34 (f)(k)(l) | | 47,455 | 8,347 |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.1109% 8/17/34 (f)(k)(l) | | 46,624 | 9,927 |
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 39.6652% 6/16/37 (f)(l) | | 6,701 | 11,431 |
Series 2010-116 Class QB, 4% 9/16/40 | | 131,621 | 140,843 |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8609% 2/16/40 (f)(k)(l) | | 320,103 | 49,135 |
Series 2010-169 Class Z, 4.5% 12/20/40 | | 4,047,497 | 4,304,218 |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.4178% 5/20/60 (f)(g)(i) | | 457,599 | 457,230 |
Series 2010-H16 Class BA, 3.55% 7/20/60 (i) | | 623,616 | 648,710 |
Series 2010-H18 Class PL, 5.01% 9/20/60 (f)(i) | | 73,947 | 78,616 |
Series 2010-H28 Class KA, 3.75% 12/20/60 (i) | | 1,140 | 1,115 |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 6.0089% 7/20/41 (f)(k)(l) | | 155,197 | 28,417 |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.6109% 6/16/42 (f)(k)(l) | | 175,506 | 34,238 |
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 8.5452% 4/20/39 (f)(l) | | 163,531 | 166,189 |
Series 2013-149 Class MA, 2.5% 5/20/40 | | 1,637,526 | 1,669,694 |
Series 2013-H01 Class FA, 1.65% 1/20/63 (i) | | 4,272 | 4,308 |
Series 2013-H04 Class BA, 1.65% 2/20/63 (i) | | 10,749 | 10,861 |
Series 2013-H07 Class JA, 1.75% 3/20/63 (i) | | 126,425 | 126,553 |
Series 2013-H08 Class MA, 3% 3/20/63 (i) | | 37,783 | 38,071 |
Series 2014-2 Class BA, 3% 1/20/44 | | 3,308,430 | 3,463,933 |
Series 2014-21 Class HA, 3% 2/20/44 | | 1,231,350 | 1,288,772 |
Series 2014-25 Class HC, 3% 2/20/44 | | 2,109,658 | 2,191,925 |
Series 2014-5 Class A, 3% 1/20/44 | | 1,865,751 | 1,935,572 |
Series 2015-H13 Class HA, 2.5% 8/20/64 (i) | | 17,489 | 17,941 |
Series 2015-H30 Class HA, 1.75% 9/20/62 (f)(i) | | 484,817 | 489,035 |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.59% 5/20/66 (f)(g)(i) | | 12,542,228 | 12,465,751 |
Series 2017-186 Class HK, 3% 11/16/45 | | 1,769,058 | 1,846,457 |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.44% 8/20/66 (f)(g)(i) | | 14,432,810 | 14,304,080 |
Series 2090-118 Class XZ, 5% 12/20/39 | | 12,778,002 | 14,275,726 |
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.108% 5/20/65 (f)(i) | | 125,592 | 131,673 |
| | | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $304,363,975) | | | 301,466,903 |
| | | |
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Directors (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. Government and Government Agency Obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Brokers who make markets in asset backed securities, collateralized mortgage obligations, and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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