TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $344,463,454)
346,803,934
U.S. Government Agency - Mortgage Securities - 5.7%
Principal
Amount (a)
Value ($)
Fannie Mae - 0.9%
12 month U.S. LIBOR + 1.360% 1.863% 10/1/35 (d)(e)
2,735
2,854
12 month U.S. LIBOR + 1.460% 2.016% 1/1/35 (d)(e)
4,605
4,824
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (d)(e)
1,373
1,437
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (d)(e)
852
896
12 month U.S. LIBOR + 1.550% 1.803% 5/1/44 (d)(e)
5,561
5,801
12 month U.S. LIBOR + 1.550% 1.928% 2/1/44 (d)(e)
4,111
4,289
12 month U.S. LIBOR + 1.560% 1.94% 3/1/37 (d)(e)
4,536
4,776
12 month U.S. LIBOR + 1.560% 1.967% 2/1/44 (d)(e)
7,118
7,430
12 month U.S. LIBOR + 1.570% 1.82% 5/1/44 (d)(e)
437
456
12 month U.S. LIBOR + 1.570% 1.952% 4/1/44 (d)(e)
18,120
18,927
12 month U.S. LIBOR + 1.580% 1.955% 1/1/44 (d)(e)
6,628
6,921
12 month U.S. LIBOR + 1.580% 1.955% 4/1/44 (d)(e)
4,707
4,916
12 month U.S. LIBOR + 1.620% 2.036% 3/1/33 (d)(e)
6,063
6,336
12 month U.S. LIBOR + 1.640% 2.096% 6/1/47 (d)(e)
9,928
10,552
12 month U.S. LIBOR + 1.650% 2% 11/1/36 (d)(e)
8,886
9,349
12 month U.S. LIBOR + 1.730% 1.988% 5/1/36 (d)(e)
1,515
1,598
12 month U.S. LIBOR + 1.750% 2.111% 7/1/35 (d)(e)
1,277
1,344
12 month U.S. LIBOR + 1.770% 2.134% 2/1/37 (d)(e)
20,790
21,950
12 month U.S. LIBOR + 1.800% 2.175% 1/1/42 (d)(e)
17,332
18,228
12 month U.S. LIBOR + 1.810% 2.193% 2/1/42 (d)(e)
9,393
9,901
12 month U.S. LIBOR + 1.850% 2.242% 4/1/36 (d)(e)
13,529
14,310
12 month U.S. LIBOR + 1.890% 2.2% 8/1/35 (d)(e)
9,890
10,465
6 month U.S. LIBOR + 1.510% 1.691% 2/1/33 (d)(e)
1,004
1,043
6 month U.S. LIBOR + 1.530% 1.785% 12/1/34 (d)(e)
2,515
2,622
6 month U.S. LIBOR + 1.530% 1.785% 3/1/35 (d)(e)
2,737
2,857
6 month U.S. LIBOR + 1.540% 1.795% 4/1/33 (d)(e)
15,561
16,190
6 month U.S. LIBOR + 1.550% 1.776% 10/1/33 (d)(e)
1,939
2,019
6 month U.S. LIBOR + 1.560% 1.71% 7/1/35 (d)(e)
1,647
1,722
U.S. TREASURY 1 YEAR INDEX + 2.180% 2.314% 7/1/36 (d)(e)
9,075
9,491
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.333% 3/1/35 (d)(e)
1,010
1,069
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.417% 10/1/33 (d)(e)
2,679
2,821
U.S. TREASURY 1 YEAR INDEX + 2.300% 2.553% 12/1/32 (d)(e)
40,743
42,765
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.585% 12/1/32 (d)(e)
86,604
90,633
3% 9/1/32 to 7/1/33
494,351
525,636
3.5% 7/1/32
499,250
534,709
4% 7/1/46 to 10/1/46
1,230,242
1,357,944
4.5% 11/1/25 to 6/1/41
341,568
376,388
5.5% 8/1/25
18,023
18,698
6% to 6% 1/1/34 to 6/1/36
189,479
221,631
6.5% 2/1/22 to 8/1/36
190,980
221,856
TOTAL FANNIE MAE
3,597,654
Freddie Mac - 0.3%
12 month U.S. LIBOR + 1.600% 1.85% 7/1/35 (d)(e)
5,012
5,272
12 month U.S. LIBOR + 1.750% 2.267% 9/1/41 (d)(e)
39,030
41,084
12 month U.S. LIBOR + 1.790% 2.168% 4/1/37 (d)(e)
1,352
1,428
12 month U.S. LIBOR + 1.880% 2.38% 10/1/41 (d)(e)
38,006
40,061
12 month U.S. LIBOR + 1.890% 2.305% 10/1/42 (d)(e)
16,016
16,947
12 month U.S. LIBOR + 2.030% 2.566% 3/1/33 (d)(e)
193
203
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (d)(e)
8,228
8,710
6 month U.S. LIBOR + 1.660% 1.915% 7/1/35 (d)(e)
9,812
10,263
6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (d)(e)
1,966
2,067
6 month U.S. LIBOR + 1.840% 2.095% 2/1/37 (d)(e)
886
933
6 month U.S. LIBOR + 1.880% 2.124% 10/1/36 (d)(e)
19,586
20,580
6 month U.S. LIBOR + 1.990% 2.206% 10/1/35 (d)(e)
7,785
8,197
6 month U.S. LIBOR + 2.010% 2.26% 5/1/37 (d)(e)
2,763
2,910
6 month U.S. LIBOR + 2.010% 2.26% 5/1/37 (d)(e)
3,995
4,208
6 month U.S. LIBOR + 2.680% 2.906% 10/1/35 (d)(e)
1,115
1,181
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.158% 6/1/33 (d)(e)
15,264
16,059
U.S. TREASURY 1 YEAR INDEX + 2.230% 2.355% 4/1/34 (d)(e)
25,102
26,527
U.S. TREASURY 1 YEAR INDEX + 2.310% 2.41% 2/1/36 (d)(e)
197
208
U.S. TREASURY 1 YEAR INDEX + 2.540% 2.598% 7/1/35 (d)(e)
13,011
13,759
3% 4/1/33 to 7/1/33
695,741
741,412
3.5% 7/1/32
163,837
175,514
5% 9/1/35
739
840
6% 1/1/24
10,970
11,439
6.5% 12/1/21
243
245
TOTAL FREDDIE MAC
1,150,047
Ginnie Mae - 2.8%
6% 6/15/36
165,555
193,025
8% 12/15/23
4,171
4,337
3.5% 2/20/50 to 11/20/50
457,338
480,783
3.5% 9/1/51 (f)
100,000
105,227
3.5% 9/1/51 (f)
850,000
894,426
3.5% 9/1/51 (f)
50,000
52,613
3.5% 9/1/51 (f)
500,000
526,133
3.5% 9/1/51 (f)
250,000
263,066
3.5% 9/1/51 (f)
800,000
841,812
3.5% 9/1/51 (f)
800,000
841,812
3.5% 9/1/51 (f)
300,000
315,680
3.5% 9/1/51 (f)
150,000
157,840
3.5% 9/1/51 (f)
850,000
894,426
3.5% 9/1/51 (f)
350,000
368,293
3.5% 9/1/51 (f)
325,000
341,986
3.5% 9/1/51 (f)
325,000
341,986
3.5% 9/1/51 (f)
1,350,000
1,420,559
3.5% 9/1/51 (f)
1,850,000
1,946,691
3.5% 9/1/51 (f)
50,000
52,613
3.5% 9/1/51 (f)
400,000
420,906
3.5% 9/1/51 (f)
700,000
736,586
4% 7/20/47
440,121
471,817
4.7% 2/20/62 (d)(g)
3,699
3,710
5.47% 8/20/59 (d)(g)
101
103
TOTAL GINNIE MAE
11,676,430
Uniform Mortgage Backed Securities - 1.7%
3.5% 9/1/51 (f)
2,300,000
2,432,969
3.5% 9/1/51 (f)
3,000,000
3,173,438
3.5% 9/1/51 (f)
450,000
476,016
3.5% 9/1/51 (f)
250,000
264,453
3.5% 9/1/51 (f)
200,000
211,563
3.5% 10/1/51 (f)
250,000
264,600
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
6,823,039
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $22,936,006)
23,247,170
Asset-Backed Securities - 0.0%
Principal
Amount (a)
Value ($)
Brazos Higher Education Authority, Inc. Series 2010-1 Class A1, 3 month U.S. LIBOR + 0.900% 1.0293% 5/25/29 (d)(e)
(Cost $72,424)
71,934
72,007
Collateralized Mortgage Obligations - 3.9%
Principal
Amount (a)
Value ($)
U.S. Government Agency - 3.9%
Fannie Mae:
floater:
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 0.76% 4/25/24 (d)(e)
35,698
35,521
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 1.0644% 8/25/31 (d)(e)
18,441
18,825
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 0.6885% 11/18/31 (d)(e)
18,398
18,636
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.0844% 4/25/32 (d)(e)
4,042
4,138
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 0.5344% 11/25/32 (d)(e)
111,514
112,067
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 1.0844% 11/25/32 (d)(e)
8,281
8,477
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 1.0144% 6/25/36 (d)(e)
228,281
233,017
planned amortization class Series 2005-64 Class PX, 5.5% 6/25/35
32,296
34,392
sequential payer:
Series 2003-117 Class MD, 5% 12/25/23
13,051
13,526
Series 2004-52 Class KZ, 5.5% 7/25/34
374,794
425,457
Series 2010-139 Class NI, 4.5% 2/25/40 (h)
67,932
3,237
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 1.0044% 3/25/36 (d)(e)
160,516
164,795
Series 2011-67 Class AI, 4% 7/25/26 (h)
17,369
785
Freddie Mac:
floater:
Series 2448 Class FT, 1 month U.S. LIBOR + 1.000% 1.0955% 3/15/32 (d)(e)
19,850
20,288
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 0.4955% 11/15/32 (d)(e)
27,741
27,918
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 0.6955% 2/15/32 (d)(e)
10,460
10,617
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 0.9955% 2/15/33 (d)(e)
59,938
61,224
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 0.4955% 3/15/34 (d)(e)
70,706
71,315
planned amortization class Series 3415 Class PC, 5% 12/15/37
26,550
29,684
sequential payer:
Series 1929 Class EZ, 7.5% 2/17/27
52,465
56,938
Series 2004-2802 Class ZG, 5.5% 5/15/34
324,764
372,192
Series 2004-2862 Class NE, 5% 9/15/24
200,656
207,887
Series 2145 Class MZ, 6.5% 4/15/29
70,144
79,595
Series 2357 Class ZB, 6.5% 9/15/31
59,180
68,341
Series 3745 Class KV, 4.5% 12/15/26
209,249
211,441
Series 3859 Class JZ, 5% 5/15/41
408,903
458,808
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 0.5884% 7/20/37 (d)(e)
38,943
39,527
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 0.5684% 1/20/38 (d)(e)
10,201
10,342
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 0.9484% 8/20/38 (d)(e)
80,190
81,940
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 0.9884% 9/20/38 (d)(e)
65,882
67,407
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 0.6955% 11/16/39 (d)(e)
44,827
45,616
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 0.6255% 12/16/39 (d)(e)
30,004
30,486
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4161% 7/20/60 (d)(e)(g)
549,701
549,830
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.4029% 9/20/60 (d)(e)(g)
652,504
652,197
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.4029% 8/20/60 (d)(e)(g)
601,359
601,091
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4829% 12/20/60 (d)(e)(g)
227,517
227,851
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.6029% 12/20/60 (d)(e)(g)
275,842
276,867
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.6029% 2/20/61 (d)(e)(g)
342,018
343,038
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.5929% 2/20/61 (d)(e)(g)
491,196
492,537
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.6029% 4/20/61 (d)(e)(g)
220,202
221,053
Series 2011-H14:
Class FB, 1 month U.S. LIBOR + 0.500% 0.6029% 5/20/61 (d)(e)(g)
324,483
325,719
Class FC, 1 month U.S. LIBOR + 0.500% 0.6029% 5/20/61 (d)(e)(g)
250,337
251,328
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6329% 6/20/61 (d)(e)(g)
301,501
302,775
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.7029% 10/20/61 (d)(e)(g)
306,879
308,683
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.8029% 11/20/61 (d)(e)(g)
302,222
304,645
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.8029% 1/20/62 (d)(e)(g)
211,732
213,312
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7329% 1/20/62 (d)(e)(g)
297,025
298,904
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7329% 3/20/62 (d)(e)(g)
182,973
184,020
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7529% 5/20/61 (d)(e)(g)
2,398
2,419
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.3829% 5/20/63 (d)(e)(g)
6,178
6,171
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.3029% 4/20/63 (d)(e)(g)
4,010
3,999
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.5029% 12/20/62 (d)(e)(g)
6,472
6,486
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.3384% 10/20/47 (d)(e)
228,705
228,978
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.3884% 5/20/48 (d)(e)
222,711
223,298
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.3884% 6/20/48 (d)(e)
279,904
280,167
Series 2019-115 Class FA, 1 month U.S. LIBOR + 0.450% 0.5384% 9/20/49 (d)(e)
744,164
752,277
Series 2019-98 Class FC, 1 month U.S. LIBOR + 0.450% 0.5384% 8/20/49 (d)(e)
1,346,097
1,356,789
planned amortization class:
Series 2011-68 Class EC, 3.5% 4/20/41
177,517
187,478
Series 2017-134 Class BA, 2.5% 11/20/46
50,234
52,250
sequential payer:
Series 2013-H06 Class HA, 1.65% 1/20/63 (g)
3,811
3,833
Series 2013-H26 Class HA, 3.5% 9/20/63 (g)
93,247
93,780
Series 2014-H04 Class HA, 2.75% 2/20/64 (g)
519,784
533,020
Series 2014-H12 Class KA, 2.75% 5/20/64 (g)
242,677
246,115
Series 2018-H12 Class HA, 3.25% 8/20/68 (g)
987,424
1,038,714
Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(g)
4,764
5,134
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 8.5488% 4/20/39 (d)(i)
11,694
12,071
Series 2013-H08 Class MA, 3% 3/20/63 (g)
19,433
19,671
Series 2015-H30 Class HA, 1.75% 9/20/62 (d)(g)
47,576
48,256
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.58% 5/20/66 (d)(e)(g)
969,909
963,718
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.43% 8/20/66 (d)(e)(g)
1,071,384
1,061,624
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $15,542,048)
15,704,537
Commercial Mortgage Securities - 4.1%
Principal
Amount (a)
Value ($)
Freddie Mac floater:
Series 2021-F108 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 2/25/31 (d)(e)
2,400,000
2,402,135
Series 2021-F109 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.29% 3/25/31 (d)(e)
1,400,000
1,401,262
Series 2021-F110 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.29% 3/25/31 (d)(e)
1,900,000
1,901,694
Series 2021-F111 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.29% 3/25/31 (d)(e)
1,999,913
2,001,717
Series 2021-F112 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.28% 4/25/31 (d)(e)
1,900,000
1,900,000
Series 2021-F113 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.28% 5/25/28 (d)(e)
3,762,937
3,767,704
Series 2021-F119 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.26% 7/25/31 (d)(e)
3,326,000
3,326,000
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $16,688,850)
16,700,512
Foreign Government and Government Agency Obligations - 3.7%
Principal
Amount (a)
Value ($)
Israeli State (guaranteed by U.S. Government through Agency for International Development):
5.5% 9/18/23
11,058,000
12,223,204
5.5% 12/4/23
4,000
4,465
Ukraine Government 1.471% 9/29/21
2,891,000
2,893,161
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $14,619,274)
15,120,830
Money Market Funds - 1.5%
Shares
Value ($)
Fidelity Cash Central Fund 0.06% (j)
(Cost $6,278,634)
6,277,379
6,278,635
Purchased Swaptions - 0.0%
Expiration
Date
Notional
Amount (a)
Value ($)
Put Options - 0.0%
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.57125% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029
9/05/24
3,000,000
74,226
Call Options - 0.0%
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.57125% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029
9/05/24
3,000,000
69,090
TOTAL PURCHASED SWAPTIONS
(Cost $172,312)
143,316
TOTAL INVESTMENT IN SECURITIES - 104.1%
(Cost $420,773,002)
424,070,941
NET OTHER ASSETS (LIABILITIES) - (4.1)%
(16,750,398)
NET ASSETS - 100.0%
407,320,543
TBA Sale Commitments
Principal
Amount (a)
Value ($)
Uniform Mortgage Backed Securities
3.5% 9/1/51
(250,000)
(264,453)
3.5% 9/1/51
(1,350,000)
(1,428,047)
3.5% 9/1/51
(1,850,000)
(1,956,953)
3.5% 9/1/51
(3,000,000)
(3,173,438)
TOTAL TBA SALE COMMITMENTS
(Proceeds $6,819,631)
(6,822,891)
Futures Contracts
Number
of contracts
Expiration
Date
Notional
Amount ($)
Value ($)
Unrealized
Appreciation/
(Depreciation) ($)
Purchased
Treasury Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)
115
Dec 2021
15,347,109
(16,451)
(16,451)
CBOT 2-Year U.S. Treasury Note Contracts (United States)
377
Dec 2021
83,063,703
43,509
43,509
CBOT 5-Year U.S. Treasury Note Contracts (United States)
242
Dec 2021
29,939,938
18,743
18,743
TOTAL FUTURES CONTRACTS
45,801
The notional amount of futures purchased as a percentage of Net Assets is 31.6%
Interest Rate Swaps
Payment Received
Payment
Frequency
Payment Paid
Payment
Frequency
Clearinghouse /
Counterparty(1)
Maturity
Date
Notional
Amount(2)
Value ($)
Upfront
Premium
Received/
(Paid) ($)(3)
Unrealized
Appreciation/
(Depreciation) ($)
0.25%
Semi - annual
3-month LIBOR(4)
Quarterly
LCH
Sep 2023
3,766,000
3,395
0
3,395
0.5%
Semi - annual
3-month LIBOR(4)
Quarterly
LCH
Sep 2026
1,826,000
16,801
0
16,801
0.75%
Semi - annual
3-month LIBOR(4)
Quarterly
LCH
Sep 2028
1,597,000
28,423
0
28,423
3-month LIBOR(4)
Quarterly
1%
Semi - annual
LCH
Sep 2031
646,000
(18,618)
0
(18,618)
1.25%
Semi - annual
3-month LIBOR(4)
Quarterly
LCH
Sep 2051
210,000
19,604
0
19,604
TOTAL INTEREST RATE SWAPS
49,605
0
49,605
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted
(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
Legend
(a)
Amount is stated in United States dollars unless otherwise noted.
(b)
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $481,213.
(c)
Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $117,628.
(d)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(e)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(f)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g)
Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(h)
Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(i)
Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(j)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
%ownership,
end
of period
Fidelity Cash Central Fund 0.06%
14,394,537
143,184,210
151,300,153
4,448
68
(27)
6,278,635
0.0%
Fidelity Securities Lending Cash Central Fund 0.06%
-
85,554,036
85,554,036
1,900
-
-
-
0.0%
Total
14,394,537
228,738,246
236,854,189
6,348
68
(27)
6,278,635
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.
Investment Valuation
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 Trustees (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 1 - quoted prices in active markets for identical investments
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)
Valuation techniques used to value investments by major category are as follows:
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 and Foreign 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. 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.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 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.
Derivative Instruments
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.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
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.
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
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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