Quarterly Holdings Report
for
Fidelity Advisor® Mortgage Securities Fund
May 31, 2020
AMOR-QTLY-0720
1.804866.116
Schedule of Investments May 31, 2020 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 114.0% | |||
Principal Amount (000s) | Value (000s) | ||
Fannie Mae - 26.9% | |||
12 month U.S. LIBOR + 1.440% 3.384% 4/1/37 (a)(b) | 36 | 37 | |
12 month U.S. LIBOR + 1.490% 3.548% 1/1/35 (a)(b) | 43 | 44 | |
12 month U.S. LIBOR + 1.520% 3.535% 3/1/36 (a)(b) | 20 | 21 | |
12 month U.S. LIBOR + 1.550% 4.303% 6/1/36 (a)(b) | 5 | 5 | |
12 month U.S. LIBOR + 1.600% 4.147% 5/1/36 (a)(b) | 104 | 109 | |
12 month U.S. LIBOR + 1.670% 3.933% 11/1/36 (a)(b) | 9 | 10 | |
12 month U.S. LIBOR + 1.680% 3.435% 4/1/36 (a)(b) | 44 | 46 | |
12 month U.S. LIBOR + 1.710% 4.164% 8/1/35 (a)(b) | 75 | 78 | |
12 month U.S. LIBOR + 1.730% 3.951% 5/1/36 (a)(b) | 6 | 6 | |
12 month U.S. LIBOR + 1.740% 3.761% 3/1/40 (a)(b) | 33 | 34 | |
12 month U.S. LIBOR + 1.750% 3.873% 7/1/35 (a)(b) | 10 | 11 | |
12 month U.S. LIBOR + 1.750% 4.115% 8/1/41 (a)(b) | 18 | 19 | |
12 month U.S. LIBOR + 1.800% 3.813% 1/1/42 (a)(b) | 47 | 49 | |
12 month U.S. LIBOR + 1.800% 4.043% 12/1/40 (a)(b) | 783 | 813 | |
12 month U.S. LIBOR + 1.810% 3.825% 2/1/42 (a)(b) | 51 | 53 | |
U.S. TREASURY 1 YEAR INDEX + 1.720% 4.1% 7/1/35 (a)(b) | 0 | 0 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 3.708% 3/1/35 (a)(b) | 4 | 5 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.182% 6/1/36 (a)(b) | 86 | 90 | |
U.S. TREASURY 1 YEAR INDEX + 2.290% 4.261% 10/1/33 (a)(b) | 13 | 14 | |
2.5% 5/1/31 to 5/1/50 | 24,162 | 25,222 | |
3% 8/1/27 to 2/1/50 (c)(d) | 84,467 | 89,714 | |
3.5% 7/1/32 to 4/1/50 | 62,584 | 67,360 | |
4% 5/1/29 to 11/1/49 | 22,229 | 24,206 | |
4.5% 5/1/25 to 9/1/49 | 16,533 | 18,305 | |
5% 10/1/21 to 2/1/49 | 5,240 | 5,956 | |
5.242% 8/1/41 (a) | 377 | 424 | |
6.5% 12/1/23 to 5/1/38 | 347 | 396 | |
6.552% 2/1/39 (a) | 285 | 314 | |
7% to 7% 9/1/21 to 5/1/30 | 304 | 345 | |
7.5% to 7.5% 8/1/22 to 9/1/32 | 253 | 297 | |
8% 12/1/29 to 3/1/37 | 11 | 14 | |
8.5% 2/1/22 to 3/1/23 | 9 | 10 | |
9% 10/1/30 | 82 | 97 | |
9.5% 6/1/22 to 8/1/22 | 0 | 0 | |
234,104 | |||
Freddie Mac - 20.7% | |||
12 month U.S. LIBOR + 1.500% 3.464% 3/1/36 (a)(b) | 75 | 78 | |
12 month U.S. LIBOR + 1.510% 3.39% 11/1/35 (a)(b) | 26 | 27 | |
12 month U.S. LIBOR + 1.750% 3.75% 12/1/40 (a)(b) | 318 | 329 | |
12 month U.S. LIBOR + 1.750% 4.007% 9/1/41 (a)(b) | 108 | 111 | |
12 month U.S. LIBOR + 1.790% 3.89% 4/1/37 (a)(b) | 6 | 6 | |
12 month U.S. LIBOR + 1.870% 4.282% 10/1/42 (a)(b) | 60 | 62 | |
12 month U.S. LIBOR + 1.960% 4.821% 6/1/33 (a)(b) | 147 | 153 | |
12 month U.S. LIBOR + 2.040% 4.784% 7/1/36 (a)(b) | 37 | 39 | |
12 month U.S. LIBOR + 2.200% 4.325% 12/1/36 (a)(b) | 79 | 83 | |
12 month U.S. LIBOR + 2.280% 4.53% 10/1/36 (a)(b) | 0 | 0 | |
6 month U.S. LIBOR + 1.720% 3.595% 8/1/37 (a)(b) | 37 | 39 | |
6 month U.S. LIBOR + 1.740% 3.83% 5/1/37 (a)(b) | 10 | 10 | |
6 month U.S. LIBOR + 2.020% 3.995% 6/1/37 (a)(b) | 174 | 181 | |
6 month U.S. LIBOR + 2.040% 3.978% 6/1/37 (a)(b) | 30 | 31 | |
6 month U.S. LIBOR + 2.680% 4.571% 10/1/35 (a)(b) | 5 | 5 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 4.731% 5/1/34 (a)(b) | 2 | 2 | |
2.5% 6/1/31 to 6/1/50 | 24,186 | 25,303 | |
3% 4/1/32 to 10/1/49 | 15,874 | 16,922 | |
3.5% 3/1/32 to 4/1/50 | 61,393 | 66,309 | |
3.5% 8/1/47 | 78 | 84 | |
4% 1/1/36 to 6/1/48 | 44,785 | 48,834 | |
4% 4/1/48 | 139 | 149 | |
4.5% 7/1/25 to 12/1/48 | 15,392 | 17,026 | |
5% 7/1/33 to 7/1/41 | 1,579 | 1,801 | |
5.5% 6/1/22 | 62 | 64 | |
6% 6/1/20 to 6/1/39 | 596 | 689 | |
6.5% 4/1/21 to 9/1/39 | 903 | 1,028 | |
7% 6/1/21 to 9/1/36 | 413 | 476 | |
7.5% 1/1/27 to 7/1/34 | 620 | 724 | |
180,565 | |||
Ginnie Mae - 18.5% | |||
3% 6/15/42 to 4/15/45 | 3,672 | 3,952 | |
3.5% 9/20/40 to 2/20/47 | 60,244 | 65,204 | |
4% 7/20/33 to 5/20/49 | 60,730 | 66,021 | |
4.5% 8/15/33 to 4/20/47 | 19,273 | 21,406 | |
5.5% 12/15/38 to 9/15/39 | 292 | 338 | |
6.5% 10/15/34 to 7/15/36 | 97 | 112 | |
7% to 7% 2/15/24 to 4/20/32 | 362 | 415 | |
7.5% to 7.5% 2/15/22 to 12/15/29 | 87 | 98 | |
8% 11/15/21 to 10/15/25 | 32 | 35 | |
8.5% 11/15/27 to 10/15/28 | 38 | 43 | |
5% 9/20/33 to 4/20/48 | 3,196 | 3,600 | |
161,224 | |||
Uniform Mortgage Backed Securities - 47.9% | |||
2.5% 6/1/35 (e) | 5,900 | 6,173 | |
2.5% 6/1/35 (e) | 11,150 | 11,667 | |
2.5% 6/1/35 (e) | 7,750 | 8,109 | |
2.5% 6/1/35 (e) | 13,550 | 14,178 | |
2.5% 6/1/35 (e) | 1,500 | 1,569 | |
2.5% 6/1/35 (e) | 4,400 | 4,604 | |
2.5% 7/1/35 (e) | 18,900 | 19,745 | |
2.5% 6/1/50 (e) | 3,650 | 3,786 | |
2.5% 6/1/50 (e) | 3,650 | 3,786 | |
2.5% 6/1/50 (e) | 13,050 | 13,537 | |
2.5% 6/1/50 (e) | 8,850 | 9,180 | |
2.5% 6/1/50 (e) | 4,300 | 4,460 | |
2.5% 6/1/50 (e) | 4,300 | 4,460 | |
2.5% 6/1/50 (e) | 450 | 467 | |
2.5% 6/1/50 (e) | 4,600 | 4,772 | |
2.5% 6/1/50 (e) | 4,150 | 4,305 | |
2.5% 6/1/50 (e) | 5,800 | 6,016 | |
2.5% 6/1/50 (e) | 2,950 | 3,060 | |
2.5% 6/1/50 (e) | 2,950 | 3,060 | |
2.5% 6/1/50 (e) | 3,300 | 3,423 | |
2.5% 7/1/50 (e) | 20,000 | 20,687 | |
3% 6/1/50 (e) | 14,700 | 15,463 | |
3% 6/1/50 (e) | 3,650 | 3,839 | |
3% 6/1/50 (e) | 7,300 | 7,679 | |
3% 6/1/50 (e) | 3,250 | 3,419 | |
3% 6/1/50 (e) | 1,200 | 1,262 | |
3% 6/1/50 (e) | 8,150 | 8,573 | |
3% 6/1/50 (e) | 8,400 | 8,836 | |
3% 6/1/50 (e) | 4,500 | 4,733 | |
3% 6/1/50 (e) | 1,200 | 1,262 | |
3% 6/1/50 (e) | 9,900 | 10,414 | |
3% 6/1/50 (e) | 12,600 | 13,254 | |
3% 7/1/50 (e) | 8,600 | 9,026 | |
3% 7/1/50 (e) | 14,100 | 14,798 | |
3.5% 6/1/50 (e) | 10,250 | 10,814 | |
3.5% 6/1/50 (e) | 8,000 | 8,440 | |
3.5% 6/1/50 (e) | 5,550 | 5,855 | |
3.5% 6/1/50 (e) | 3,350 | 3,534 | |
3.5% 6/1/50 (e) | 2,750 | 2,901 | |
3.5% 6/1/50 (e) | 3,250 | 3,429 | |
3.5% 6/1/50 (e) | 5,900 | 6,225 | |
3.5% 6/1/50 (e) | 14,000 | 14,771 | |
3.5% 6/1/50 (e) | 3,850 | 4,062 | |
3.5% 6/1/50 (e) | 5,050 | 5,328 | |
3.5% 6/1/50 (e) | 3,950 | 4,167 | |
3.5% 6/1/50 (e) | 7,750 | 8,177 | |
3.5% 6/1/50 (e) | 6,200 | 6,541 | |
3.5% 6/1/50 (e) | 10,700 | 11,289 | |
3.5% 6/1/50 (e) | 8,350 | 8,810 | |
3.5% 6/1/50 (e) | 6,100 | 6,436 | |
3.5% 6/1/50 (e) | 4,500 | 4,748 | |
3.5% 6/1/50 (e) | 2,500 | 2,638 | |
3.5% 6/1/50 (e) | 2,800 | 2,954 | |
3.5% 6/1/50 (e) | 2,850 | 3,007 | |
3.5% 6/1/50 (e) | 2,250 | 2,374 | |
4% 6/1/50 (e) | 35,050 | 37,304 | |
417,406 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $969,928) | 993,299 | ||
Asset-Backed Securities - 3.4% | |||
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 0.5283% 10/25/35 (a)(b) | $1,088 | $1,043 | |
Capital One Prime Auto Receivables Trust Series 2019-2 Class A3, 1.92% 5/15/24 | 1,800 | 1,838 | |
Carvana Auto Receivables Trust Series 2019-4A: | |||
Class A2, 2.2% 7/15/22 (f) | 171 | 171 | |
Class A3, 2.3% 9/15/23 (f) | 704 | 708 | |
Cascade Funding Mortgage Trust Series 2020-HB2 Class A, 3.4047% 4/25/30 (f) | 2,336 | 2,327 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5183% 10/25/37 (a)(b)(f) | 2,142 | 2,119 | |
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (f) | 531 | 528 | |
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2018-P3 Class A, 3.82% 1/15/26 (f) | 841 | 839 | |
Series 2019-HP1 Class A, 2.59% 12/15/26 (f) | 1,696 | 1,662 | |
Series 2019-P1 Class A, 2.94% 7/15/26 (f) | 394 | 394 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 4,023 | 4,037 | |
GMF Floorplan Owner Revolving Trust Series 2018-4 Class A2, 1 month U.S. LIBOR + 0.410% 0.5936% 9/15/23 (a)(b)(f) | 325 | 323 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (f) | 21 | 6 | |
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.8716% 4/10/31 (a)(b)(f) | 586 | 576 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (f) | 480 | 504 | |
Nationstar HECM Loan Trust: | |||
Series 2018-2A Class A, 3.1877% 7/25/28 (f) | 412 | 412 | |
Series 2018-3A Class A 3.5545% 11/25/28 (f) | 1,851 | 1,853 | |
Series 2019-1A Class A, 2.6513% 6/25/29 (f) | 1,832 | 1,830 | |
North Carolina State Ed Assistance Auth. Student Loan Rev. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.800% 1.7914% 7/25/25 (a)(b) | 83 | 83 | |
Prosper Marketplace Issuance Trust Series 2019-3A Class A, 3.19% 7/15/25 (f) | 1,321 | 1,310 | |
Towd Point Mortgage Trust: | |||
Series 2018-3 Class A1, 3.75% 5/25/58 (f) | 780 | 820 | |
Series 2018-6 Class A1A, 3.75% 3/25/58 (f) | 3,816 | 3,983 | |
Series 2019-1 Class A1, 3.75% 3/25/58 (f) | 1,703 | 1,806 | |
Upgrade Receivables Trust: | |||
Series 2018-1A Class A, 3.76% 11/15/24 (f) | 78 | 78 | |
Series 2019-1A Class A, 3.48% 3/15/25 (f) | 66 | 66 | |
World Omni Automobile Lease Securitization Trust Series 2020-A Class A2, 1.71% 11/15/22 | 146 | 147 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $29,112) | 29,463 | ||
Collateralized Mortgage Obligations - 5.8% | |||
Private Sponsor - 1.6% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 0.6273% 6/27/36 (a)(b)(f) | 815 | 807 | |
BCAP LLC Trust sequential payer: | |||
Series 2010-RR2 Class 5A2, 5% 12/26/36 (f) | $63 | $62 | |
Series 2012-RR5 Class 8A5, 1.1183% 7/26/36 (a)(f) | 148 | 144 | |
Citigroup Mortgage Loan Trust sequential payer: | |||
Series 2009-5 Class 5A1, 4.2042% 1/25/37 (a)(f) | 44 | 43 | |
Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(f) | 1,466 | 1,467 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.7937% 5/27/37 (a)(b)(f) | 1,213 | 1,142 | |
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(b)(f)(g) | 139 | 0 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(f) | 575 | 574 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.8095% 8/25/60 (a)(b)(f) | 636 | 633 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 1.6389% 10/15/54 (a)(b)(f) | 764 | 763 | |
JPMorgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 0.8828% 6/21/36 (a)(b)(f) | 102 | 102 | |
Lanark Master Issuer PLC: | |||
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.4528% 12/22/69 (a)(b)(f) | 533 | 532 | |
Series 2019-2A Class 1A, 2.71% 12/22/69 (f) | 2,972 | 3,012 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 0.6573% 2/25/37 (a)(b) | 7 | 7 | |
Permanent Master Issuer PLC floater: | |||
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 1.5989% 7/15/58 (a)(b)(f) | 1,350 | 1,348 | |
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 1.7689% 7/15/58 (a)(b)(f) | 330 | 328 | |
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (f) | 372 | 373 | |
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 1.679% 1/21/70 (a)(b)(f) | 1,261 | 1,257 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.8083% 9/25/43 (a)(b) | 1,125 | 1,046 | |
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 4.6197% 9/25/33 (a) | 162 | 159 | |
13,799 | |||
U.S. Government Agency - 4.2% | |||
Fannie Mae: | |||
floater Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9318% 12/25/33 (a)(h)(i) | 115 | 33 | |
planned amortization class: | |||
Series 1999-17 Class PG, 6% 4/25/29 | 191 | 211 | |
Series 1999-32 Class PL, 6% 7/25/29 | 181 | 203 | |
Series 1999-33 Class PK, 6% 7/25/29 | 135 | 150 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 17 | 20 | |
Series 2005-39 Class TE, 5% 5/25/35 | 298 | 332 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.1126% 8/25/35 (a)(i) | 14 | 19 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 141 | 144 | |
Class GA, 1.75% 6/25/42 | 151 | 154 | |
sequential payer: | |||
Series 2001-20 Class Z, 6% 5/25/31 | 183 | 204 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 86 | 100 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 34 | 40 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.3818% 11/25/32 (a)(h)(i) | 66 | 11 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (h) | 169 | 12 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.1528% 12/25/36 (a)(h)(i) | 77 | 21 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.2718% 5/25/37 (a)(h)(i) | 43 | 10 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.3239% 9/25/23 (a)(i) | 6 | 8 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9318% 3/25/33 (a)(h)(i) | 31 | 8 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 224 | 260 | |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.6105% 6/25/37 (a)(i) | 151 | 332 | |
Series 2007-66 Class SB, 39.600% - 1 month U.S. LIBOR 38.5905% 7/25/37 (a)(i) | 43 | 84 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.1818% 3/25/38 (a)(h)(i) | 229 | 51 | |
Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 5.8818% 12/25/40 (a)(h)(i) | 217 | 46 | |
Class ZA, 4.5% 12/25/40 | 121 | 135 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 179 | 12 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 834 | 946 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 1,797 | 2,056 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (h) | 3 | 0 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 379 | 435 | |
Series 2011-67 Class AI, 4% 7/25/26 (h) | 55 | 3 | |
Series 2011-83 Class DI, 6% 9/25/26 (h) | 33 | 1 | |
Series 2012-100 Class WI, 3% 9/25/27 (h) | 588 | 38 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.4818% 12/25/30 (a)(h)(i) | 209 | 14 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3818% 6/25/41 (a)(h)(i) | 243 | 24 | |
Series 2013-133 Class IB, 3% 4/25/32 (h) | 416 | 15 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8818% 1/25/44 (a)(h)(i) | 206 | 34 | |
Series 2013-51 Class GI, 3% 10/25/32 (h) | 177 | 13 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.5518% 6/25/35 (a)(h)(i) | 225 | 53 | |
Series 2015-42 Class IL, 6% 6/25/45 (h) | 933 | 194 | |
Series 2015-70 Class JC, 3% 10/25/45 | 1,156 | 1,231 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (h) | 513 | 102 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 348 Class 14, 6.5% 8/25/34 (a)(h) | 63 | 14 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (a)(h) | 41 | 8 | |
Class 13, 6% 3/25/34 (h) | 56 | 11 | |
Series 359 Class 19, 6% 7/25/35 (a)(h) | 35 | 7 | |
Series 384 Class 6, 5% 7/25/37 (h) | 125 | 22 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 212 | 236 | |
Series 2104 Class PG, 6% 12/15/28 | 60 | 67 | |
Series 2121 Class MG, 6% 2/15/29 | 86 | 95 | |
Series 2154 Class PT, 6% 5/15/29 | 156 | 174 | |
Series 2162 Class PH, 6% 6/15/29 | 20 | 22 | |
Series 2520 Class BE, 6% 11/15/32 | 118 | 135 | |
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 7.4164% 3/15/23 (a)(h)(i) | 2 | 0 | |
Series 2693 Class MD, 5.5% 10/15/33 | 1,951 | 2,266 | |
Series 2802 Class OB, 6% 5/15/34 | 336 | 375 | |
Series 3002 Class NE, 5% 7/15/35 | 187 | 208 | |
Series 3189 Class PD, 6% 7/15/36 | 166 | 199 | |
Series 3415 Class PC, 5% 12/15/37 | 52 | 58 | |
Series 3786 Class HI, 4% 3/15/38 (h) | 126 | 4 | |
Series 3806 Class UP, 4.5% 2/15/41 | 508 | 556 | |
Series 3832 Class PE, 5% 3/15/41 | 762 | 858 | |
Series 4135 Class AB, 1.75% 6/15/42 | 113 | 116 | |
sequential payer: | |||
Series 2114 Class ZM, 6% 1/15/29 | 29 | 32 | |
Series 2135 Class JE, 6% 3/15/29 | 107 | 120 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 58 | 67 | |
Series 2281 Class ZB, 6% 3/15/30 | 39 | 43 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 115 | 136 | |
Series 2502 Class ZC, 6% 9/15/32 | 109 | 124 | |
Series 3871 Class KB, 5.5% 6/15/41 | 657 | 786 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4164% 2/15/36 (a)(h)(i) | 57 | 15 | |
Series 1658 Class GZ, 7% 1/15/24 | 81 | 88 | |
Series 2013-4281 Class AI, 4% 12/15/28 (h) | 364 | 20 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,002 | 1,053 | |
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.0164% 11/15/31 (a)(h)(i) | 369 | 60 | |
Series 2587 Class IM, 6.5% 3/15/33 (h) | 57 | 12 | |
Series 2844: | |||
Class SC, 46.800% - 1 month U.S. LIBOR 45.6064% 8/15/24 (a)(i) | 1 | 1 | |
Class SD, 86.400% - 1 month U.S. LIBOR 84.0628% 8/15/24 (a)(i) | 1 | 2 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 481 | 572 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 628 | 712 | |
Series 2947 Class XZ, 6% 3/15/35 | 266 | 306 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 348 | 414 | |
Series 3237 Class C, 5.5% 11/15/36 | 512 | 597 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.4764% 11/15/36 (a)(h)(i) | 182 | 46 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.5664% 3/15/37 (a)(h)(i) | 258 | 70 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.5764% 4/15/37 (a)(h)(i) | 360 | 99 | |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.3964% 6/15/37 (a)(h)(i) | 162 | 38 | |
Series 3949 Class MK, 4.5% 10/15/34 | 133 | 145 | |
Series 3955 Class YI, 3% 11/15/21 (h) | 91 | 1 | |
Series 4055 Class BI, 3.5% 5/15/31 (h) | 366 | 16 | |
Series 4149 Class IO, 3% 1/15/33 (h) | 87 | 9 | |
Series 4314 Class AI, 5% 3/15/34 (h) | 121 | 9 | |
Series 4427 Class LI, 3.5% 2/15/34 (h) | 688 | 39 | |
Series 4471 Class PA 4% 12/15/40 | 965 | 1,027 | |
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 82 | 94 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 1,494 | 1,652 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 359 | 377 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5079% 6/16/37 (a)(h)(i) | 91 | 23 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.7709% 7/20/60 (a)(b)(j) | 183 | 182 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.3163% 9/20/60 (a)(b)(j) | 226 | 225 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.3163% 8/20/60 (a)(b)(j) | 233 | 232 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.5163% 4/20/61 (a)(b)(j) | 87 | 87 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.6663% 5/20/61 (a)(b)(j) | 16 | 16 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.6585% 12/20/40 (a)(i) | 990 | 1,194 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (h) | 124 | 8 | |
Series 2016-69 Class WA, 3% 2/20/46 | 609 | 643 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 168 | 176 | |
sequential payer: | |||
Series 2002-42 Class ZA, 6% 6/20/32 | 136 | 158 | |
Series 2004-24 Class ZM, 5% 4/20/34 | 285 | 326 | |
Series 2010-160 Class DY, 4% 12/20/40 | 1,843 | 2,033 | |
Series 2010-170 Class B, 4% 12/20/40 | 409 | 451 | |
Series 2017-139 Class BA, 3% 9/20/47 | 2,337 | 2,505 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3179% 5/16/34 (a)(h)(i) | 161 | 35 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0179% 8/17/34 (a)(h)(i) | 60 | 15 | |
Series 2011-52 Class HI, 7% 4/16/41 (h) | 636 | 132 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5179% 6/16/42 (a)(h)(i) | 298 | 71 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 8.439% 4/20/39 (a)(i) | 139 | 144 | |
Class ST, 8.800% - 1 month U.S. LIBOR 8.5723% 8/20/39 (a)(i) | 537 | 558 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 2,124 | 2,221 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (j) | 446 | 449 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (j) | 309 | 310 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.52% 8/20/66 (a)(b)(j) | 3,103 | 3,072 | |
37,238 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $49,653) | 51,037 | ||
Commercial Mortgage Securities - 5.7% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (f) | 525 | 479 | |
Series 2019-BPR Class BNM, 3.465% 11/5/32 (f) | 118 | 95 | |
BANK sequential payer: | |||
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 400 | 445 | |
Series 2019-BN24 Class A3, 2.96% 11/15/62 | 500 | 540 | |
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (f) | 718 | 717 | |
Benchmark Mortgage Trust: | |||
sequential payer Series 2019-B13 Class A4, 2.952% 8/15/57 | 236 | 255 | |
Series 2019-B14 Class XA, 0.7902% 12/15/62 (a)(h) | 7,307 | 357 | |
BX Commercial Mortgage Trust floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9836% 12/15/36 (a)(b)(f) | 800 | 774 | |
BX Trust floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 4/15/34 (a)(b)(f) | 178 | 164 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.1036% 10/15/36 (a)(b)(f) | 764 | 749 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 11/15/36 (a)(b)(f) | 390 | 370 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.4336% 11/15/36 (a)(b)(f) | 500 | 472 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.3036% 6/15/34 (a)(b)(f) | 1,302 | 1,254 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2015-GC33 Class XA, 0.8915% 9/10/58 (a)(h) | 17,227 | 649 | |
Series 2016-P6 Class XA, 0.7875% 12/10/49 (a)(h) | 17,463 | 509 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (f) | 304 | 311 | |
Series 2019-GC44 Class A5, 2.95% 8/15/57 | 1,200 | 1,296 | |
Series 2014-CR20 Class XA, 1.0257% 11/10/47 (a)(h) | 4,154 | 151 | |
Series 2014-LC17 Class XA, 0.7666% 10/10/47 (a)(h) | 14,544 | 364 | |
Series 2014-UBS6 Class XA, 0.8907% 12/10/47 (a)(h) | 10,451 | 318 | |
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 1.0636% 12/15/31 (a)(b)(f) | 2,001 | 1,926 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.1636% 5/15/36 (a)(b)(f) | 10,061 | 9,828 | |
Series 2018-SITE Class A, 4.284% 4/15/36 (f) | 672 | 655 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.6336% 9/15/31(a)(b)(f) | 9,113 | 8,413 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.2736% 10/15/31 (a)(b)(f) | 562 | 529 | |
sequential payer Series 2019-GC39 Class A4, 3.567% 5/10/52 | 300 | 336 | |
Series 2013-GC12 Class XA, 1.4146% 6/10/46 (a)(h) | 5,328 | 177 | |
Series 2014-GC20 Class XA, 1.0559% 4/10/47 (a)(h) | 4,225 | 109 | |
Series 2015-GC34 Class XA, 1.2633% 10/10/48 (a)(h) | 8,542 | 431 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 700 | 731 | |
Series 2014-C19 Class XA, 0.7478% 4/15/47 (a)(h) | 3,466 | 63 | |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 200 | 205 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (f) | 899 | 925 | |
Class XAFX, 1.116% 7/5/33 (a)(f)(h) | 7,720 | 242 | |
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.0859% 10/15/48 (a)(h) | 10,572 | 432 | |
Morgan Stanley Capital I Trust: | |||
floater: | |||
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.0336% 8/15/33 (a)(b)(f) | 2,262 | 2,165 | |
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 3/15/34 (a)(b)(f) | 1,484 | 1,421 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (f) | 1,140 | 1,084 | |
Series 2019-MEAD Class B, 3.1771% 11/10/36 (f) | 165 | 155 | |
RETL floater Series 2019-RVP: | |||
Class A, 1 month U.S. LIBOR + 1.150% 1.3336% 3/15/36 (a)(b)(f) | 146 | 138 | |
Class B, 1 month U.S. LIBOR + 1.550% 1.7336% 3/15/36 (a)(b)(f) | 2,917 | 2,613 | |
Class C, 1 month U.S. LIBOR + 2.100% 2.2836% 3/15/36 (a)(b)(f) | 600 | 523 | |
UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.052% 12/15/50 (a)(h) | 13,198 | 738 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.988% 4/10/46 (a)(b)(f) | 1,215 | 1,239 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer Series 2016-LC24 Class A3, 2.684% 10/15/49 | 900 | 936 | |
Series 2015-C31 Class XA, 0.9959% 11/15/48 (a)(h) | 8,888 | 384 | |
Series 2017-C42 Class XA, 0.8881% 12/15/50 (a)(h) | 15,496 | 817 | |
Series 2018-C46 Class XA, 0.9428% 8/15/51 (a)(h) | 10,226 | 477 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.9036% 6/15/46 (a)(b)(f) | 1,112 | 1,117 | |
Series 2014-C24 Class XA, 0.8357% 11/15/47 (a)(h) | 6,343 | 166 | |
Series 2014-LC14 Class XA, 1.2043% 3/15/47 (a)(h) | 7,310 | 236 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $51,544) | 49,480 | ||
Shares | Value (000s) | ||
Money Market Funds - 17.7% | |||
Fidelity Cash Central Fund 0.11% (k) | |||
(Cost $154,101) | 154,066,454 | 154,097 |
Purchased Swaptions - 0.2% | ||||
Expiration Date | Notional Amount (000s) | Value (000s) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.7375% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/20/24 | 4,200 | $42 | |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.82% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/18/24 | 8,400 | 80 | |
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.3275% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/11/24 | 11,000 | 51 | |
TOTAL PUT OPTIONS | 173 | |||
Call Options - 0.2% | ||||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.7375% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/20/24 | 4,200 | 217 | |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.82% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/18/24 | 8,400 | 460 | |
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.3275% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/11/24 | 11,000 | 847 | |
TOTAL CALL OPTIONS | 1,524 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $1,324) | 1,697 | |||
TOTAL INVESTMENT IN SECURITIES - 146.8% | ||||
(Cost $1,255,662) | 1,279,073 | |||
NET OTHER ASSETS (LIABILITIES) - (46.8)% | (407,498) | |||
NET ASSETS - 100% | $871,575 |
TBA Sale Commitments | ||
Principal Amount (000s) | Value (000s) | |
Uniform Mortgage Backed Securities | ||
2.5% 6/1/35 | $(5,550) | $(5,807) |
2.5% 6/1/35 | (2,150) | (2,250) |
2.5% 6/1/35 | (3,400) | (3,558) |
2.5% 6/1/35 | (5,950) | (6,226) |
2.5% 6/1/35 | (6,450) | (6,749) |
2.5% 6/1/35 | (5,350) | (5,598) |
2.5% 6/1/35 | (13,550) | (14,178) |
2.5% 6/1/35 | (1,500) | (1,569) |
2.5% 6/1/35 | (4,400) | (4,604) |
2.5% 7/1/35 | (11,150) | (11,649) |
2.5% 7/1/35 | (7,750) | (8,097) |
2.5% 6/1/50 | (20,000) | (20,746) |
3% 6/1/50 | (5,000) | (5,259) |
3% 6/1/50 | (3,950) | (4,155) |
3% 6/1/50 | (3,950) | (4,155) |
3% 6/1/50 | (10,200) | (10,729) |
3% 6/1/50 | (4,500) | (4,733) |
3% 6/1/50 | (1,200) | (1,262) |
3% 6/1/50 | (2,400) | (2,525) |
3% 6/1/50 | (8,600) | (9,046) |
3% 6/1/50 | (14,100) | (14,831) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $147,574) | $(147,726) |
Written Swaptions | |||
Expiration Date | Notional Amount | Value (000s) | |
Put Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.775% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/3/24 | 8,800 | $(92) |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.92% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2030 | 1/8/25 | 3,000 | (28) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2030 | 3/18/25 | 13,200 | (249) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.487% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2030 | 10/2/20 | 4,100 | (3) |
TOTAL PUT SWAPTIONS | (372) | ||
Call Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.775% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/3/24 | 8,800 | (466) |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.92% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2030 | 1/8/25 | 3,000 | (175) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2030 | 3/18/25 | 13,200 | (464) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.487% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2030 | 10/2/20 | 4,100 | (331) |
TOTAL CALL SWAPTIONS | (1,436) | ||
TOTAL WRITTEN SWAPTIONS | $(1,808) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount (000s) | Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 57 | Sept. 2020 | $10,167 | $(17) | $(17) |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 907 | Sept. 2020 | 126,130 | (166) | (166) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 353 | Sept. 2020 | 77,958 | (12) | (12) |
TOTAL SOLD | (178) | ||||
TOTAL FUTURES CONTRACTS | $(195) |
The notional amount of futures purchased as a percentage of Net Assets is 1.2%
The notional amount of futures sold as a percentage of Net Assets is 23.4%
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount (000s) | Value (000s) | Upfront Premium Received/(Paid) (000s) | Unrealized Appreciation/(Depreciation) (000s) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $19,150 | $183 | $0 | $183 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2,820 | 27 | (93) | (66) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,700 | 16 | (22) | (6) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3,050 | 29 | (42) | (13) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,300 | 12 | (16) | (4) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | JPMorgan Securities LLC | (0.5%) | Monthly | 1,500 | 14 | (18) | (4) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,400 | 23 | (114) | (91) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,800 | 27 | (100) | (73) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,000 | 19 | (56) | (37) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,450 | 14 | (7) | 7 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,280 | 12 | (10) | 2 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,200 | 21 | (25) | (4) |
TOTAL CREDIT DEFAULT SWAPS | $397 | $(503) | $(106) | |||||
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s) | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
Interest Rate Swaps | |||||||||
1% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Jun. 2022 | $37,280 | $94 | $0 | $94 |
1.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Jun. 2025 | 3,290 | 11 | 0 | 11 |
1.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Jun. 2030 | 1,365 | 3 | 0 | 3 |
TOTAL INTEREST RATE SWAPS | $108 | $0 | $108 | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) 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).
(3) Represents floating rate.
Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) 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 $2,000,000.
(d) 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 $574,000.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) 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 $73,260,000 or 8.4% of net assets.
(g) Level 3 security
(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) 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.
(k) 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
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $235 |
Total | $235 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
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 Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's 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. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency 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.
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, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and 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 open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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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