Fidelity Mortgage Backed Securities Central Fund

Fund Profile

Fund profile

Fund manager

Fidelity Central Investment Portfolios II LLC

Total assets

$2.62 bn

Liabilities

$844.72 mm

Net assets

$1.77 bn

Number of holdings

3.92 k

Top 200 of 3918 Holdings

As of Feb 2022

Security	$Holding	Balance	% of Fund	Category	Position	Country
Fidelity Cash Central Fund	168.61 mm	168.58 mm shares	9.51	Short-term investment vehicle	Long	USA
UMBS 30YR 2.5% 03/01/2052 #TBA	87.62 mm	88.83 mm principal	4.94	ABS-mortgage backed security	Long	USA
GNII II 2% 03/01/2052 #TBA	82.01 mm	83.90 mm principal	4.62	ABS-mortgage backed security	Long	USA
UMBS 30YR 2% 03/01/2052 #TBA	79.43 mm	82.85 mm principal	4.48	ABS-mortgage backed security	Long	USA
GNII II 2.5% 03/01/2052 #TBA	67.65 mm	67.70 mm principal	3.81	ABS-mortgage backed security	Long	USA
UMBS 30YR 3.5% 03/01/2052 #TBA	58.76 mm	57.05 mm principal	3.31	ABS-mortgage backed security	Long	USA
GNII II 3% 03/01/2052 #TBA	47.72 mm	46.95 mm principal	2.69	ABS-mortgage backed security	Long	USA
UMBS 15YR 2% 03/01/2037 #TBA	42.62 mm	42.95 mm principal	2.40	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 04/01/2051#MA4305	40.76 mm	42.37 mm principal	2.30	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 07/01/2050#CA6399	38.87 mm	39.07 mm principal	2.19	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 07/01/2050#CA6416	37.56 mm	36.89 mm principal	2.12	ABS-mortgage backed security	Long	USA
UMBS 30YR 3% 03/01/2052 #TBA	36.71 mm	36.35 mm principal	2.07	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 05/51#SD7541	35.15 mm	36.46 mm principal	1.98	ABS-mortgage backed security	Long	USA
UMBS 30YR 1.5% 03/01/2052 #TBA	34.48 mm	37.20 mm principal	1.94	ABS-mortgage backed security	Long	USA
UST NOTES 0.125% 07/31/2022	34.03 mm	34.10 mm principal	1.92	Debt	Long	USA
FHLG 30YR 2% 03/01/2051#SD8134	26.35 mm	27.37 mm principal	1.49	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 03/01/2051#MA4281	23.31 mm	24.21 mm principal	1.31	ABS-mortgage backed security	Long	USA
UMBS 15YR 2% 04/01/2037 #TBA	21.79 mm	22.00 mm principal	1.23	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 11/01/2051#RA6241	18.85 mm	19.61 mm principal	1.06	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 06/01/2051#FM7507	18.10 mm	18.22 mm principal	1.02	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 02/52#RA6820	17.10 mm	17.80 mm principal	0.96	ABS-mortgage backed security	Long	USA
GNII II 2% 01/20/2052#MA7826	16.84 mm	17.20 mm principal	0.95	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 01/01/2051#FM7599	16.61 mm	16.10 mm principal	0.94	ABS-mortgage backed security	Long	USA
UMBS 30YR 2.5% 04/01/2052 #TBA	16.34 mm	16.60 mm principal	0.92	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 08/01/2051#QC5848	15.61 mm	15.81 mm principal	0.88	ABS-mortgage backed security	Long	USA
GNII II 3% 10/20/2051#MA7650	15.16 mm	14.89 mm principal	0.85	ABS-mortgage backed security	Long	USA
GNII II 3% 09/20/2051#MA7590	15.12 mm	14.85 mm principal	0.85	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 08/20/2049	14.74 mm	14.63 mm principal	0.83	ABS-collateralized bond/debt obligation	Long	USA
UMBS 15YR 1.5% 03/01/2037 #TBA	14.11 mm	14.50 mm principal	0.80	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 11/01/2051#FM9501	13.93 mm	14.07 mm principal	0.79	ABS-mortgage backed security	Long	USA
GNMA 2017-H06 FA 12ML+35 08/66	13.08 mm	13.20 mm principal	0.74	ABS-collateralized bond/debt obligation	Long	USA
GOVERNMENT NAT MTG AS REMIC PT 2009-118 XZ 5% 12/39	13.03 mm	11.86 mm principal	0.73	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 3% 03/01/2052#SD8201	12.73 mm	12.59 mm principal	0.72	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 01/01/2051#FM7062	12.39 mm	12.46 mm principal	0.70	ABS-mortgage backed security	Long	USA
GNII II 2.5% 11/51#MA7705	12.06 mm	12.05 mm principal	0.68	ABS-mortgage backed security	Long	USA
FNMA 15YR 2.5% 03/01/2035#CA5427	11.88 mm	11.69 mm principal	0.67	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 09/20/2049	11.55 mm	11.46 mm principal	0.65	ABS-collateralized bond/debt obligation	Long	USA
GNR 2016-H13 FB T1Y+50 05/20/2066	11.51 mm	11.58 mm principal	0.65	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 2.5% 02/01/2051#SD7535	11.29 mm	11.33 mm principal	0.64	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 09/01/2048#FM2863	11.19 mm	10.72 mm principal	0.63	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 10/01/2051#RA6076	11.08 mm	11.52 mm principal	0.62	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 02/01/2052#FS0605	11.03 mm	11.15 mm principal	0.62	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 10/01/2051#CB1801	10.77 mm	11.20 mm principal	0.61	ABS-mortgage backed security	Long	USA
FNMA 15YR 2% 01/37#MA4516	10.75 mm	10.82 mm principal	0.61	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 08/01/2051#CB1384	10.56 mm	10.65 mm principal	0.60	ABS-mortgage backed security	Long	USA
FNMA 15YR 2.5% 03/01/2035#CA5428	10.20 mm	10.05 mm principal	0.57	ABS-mortgage backed security	Long	USA
FNMA 15YR 3% 01/01/2035#FM2349	9.99 mm	9.68 mm principal	0.56	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 07/01/2050#RA2976	9.84 mm	9.92 mm principal	0.55	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 11/01/2050#SD7530	9.76 mm	9.82 mm principal	0.55	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 11/01/2051#CB2048	9.51 mm	9.61 mm principal	0.54	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 12/01/2051#CB2289	9.36 mm	9.47 mm principal	0.53	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 02/01/2052#CB2842	9.11 mm	9.49 mm principal	0.51	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 01/01/2052#FS0286	9.08 mm	9.45 mm principal	0.51	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 01/01/2052#RA6622	8.82 mm	8.91 mm principal	0.50	ABS-mortgage backed security	Long	USA
GNII II 3.5% 03/01/2052 #TBA	8.72 mm	8.45 mm principal	0.49	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 10/01/2051#CB1799	8.14 mm	8.45 mm principal	0.46	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 06/01/2050#RA2677	8.05 mm	8.34 mm principal	0.45	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 10/01/2051#RA5715	7.81 mm	8.13 mm principal	0.44	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 07/01/2050#CA6312	7.71 mm	7.57 mm principal	0.43	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 02/01/2052#RA6823	7.54 mm	7.85 mm principal	0.43	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068	7.48 mm	7.34 mm principal	0.42	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 1.5% 12/01/2051#	7.36 mm	7.93 mm principal	0.42	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 02/51#CA8950	7.27 mm	7.33 mm principal	0.41	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 12/01/2051#RA6434	7.23 mm	7.31 mm principal	0.41	ABS-mortgage backed security	Long	USA
GNR 2010-H18 AF 1ML+30 9/60	7.19 mm	7.21 mm principal	0.41	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 2% 12/01/2051#CB2349	7.06 mm	7.34 mm principal	0.40	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 07/01/2051#RA5574	7.06 mm	7.12 mm principal	0.40	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 10/20/2049	7.04 mm	6.97 mm principal	0.40	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 3% 02/01/2050#SD0265	6.91 mm	6.79 mm principal	0.39	ABS-mortgage backed security	Long	USA
FHLG 30YR 3.5% 09/01/2046#G61420	6.85 mm	6.55 mm principal	0.39	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 03/01/2050#FM0076	6.73 mm	6.63 mm principal	0.38	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 11/01/2051#RA6302	6.69 mm	6.97 mm principal	0.38	ABS-mortgage backed security	Long	USA
FNMA 30YR 4% 07/01/2047#MA3058	6.49 mm	6.18 mm principal	0.37	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 09/01/2046#BC2817	6.47 mm	6.32 mm principal	0.36	ABS-mortgage backed security	Long	USA
GNII II 4% 04/20/2047#MA4383	6.34 mm	6.01 mm principal	0.36	ABS-mortgage backed security	Long	USA
GNR 2010-H19 FG 1ML+30 8/60	6.32 mm	6.34 mm principal	0.36	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 3% 07/46#AS7533	6.29 mm	6.13 mm principal	0.35	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 02/01/2052#FS0631	6.19 mm	6.10 mm principal	0.35	ABS-mortgage backed security	Long	USA
FHLG 30YR 4% 06/01/2047#Q48754	6.15 mm	5.82 mm principal	0.35	ABS-mortgage backed security	Long	USA
GNR 2010-H17 FA 1ML+33 7/60	6.08 mm	6.09 mm principal	0.34	ABS-collateralized bond/debt obligation	Long	USA
GNII II 4% 03/20/2049#MA5817	5.85 mm	5.62 mm principal	0.33	ABS-mortgage backed security	Long	USA
FHLG 30YR 3.5% 05/01/2046#G60553	5.78 mm	5.51 mm principal	0.33	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG ASSN HECM 2.75% 02/20/2064	5.71 mm	5.66 mm principal	0.32	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 3% 11/01/2049#CA4536	5.59 mm	5.50 mm principal	0.32	ABS-mortgage backed security	Long	USA
GNII II 4% 03/20/2047#MA4322	5.57 mm	5.27 mm principal	0.31	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 03/01/2050#	5.45 mm	5.37 mm principal	0.31	ABS-mortgage backed security	Long	USA
FNMA 20YR 2.5% 04/01/2037#BM1257	5.28 mm	5.24 mm principal	0.30	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG AS REMIC PT 18-77 FA 1ML+30 06/20/2048	5.23 mm	5.23 mm principal	0.29	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 3.5% 06/01/2049#FM6043	5.11 mm	4.91 mm principal	0.29	ABS-mortgage backed security	Long	USA
GNR 2011-69 GX 4.5% 5/40	5.06 mm	4.91 mm principal	0.29	ABS-collateralized bond/debt obligation	Long	USA
GNR 2011-H12 FA 1ML+49 5/61	5.06 mm	5.06 mm principal	0.29	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 2.5% 05/01/2051#SD7540	4.86 mm	4.90 mm principal	0.27	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 02/01/2050#CA5122	4.79 mm	4.70 mm principal	0.27	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 12/01/2049#CA4860	4.75 mm	4.68 mm principal	0.27	ABS-mortgage backed security	Long	USA
FHLG 20YR 3.5% 02/34#G30703	4.70 mm	4.49 mm principal	0.26	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 06/01/2048#BM4426	4.59 mm	4.41 mm principal	0.26	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 04/01/2051#FM6944	4.53 mm	4.71 mm principal	0.26	ABS-mortgage backed security	Long	USA
GNII II 3.5% 04/20/2050#MA6600	4.44 mm	4.30 mm principal	0.25	ABS-mortgage backed security	Long	USA
GNR 2011-H14 FB 1ML+50 5/61	4.43 mm	4.42 mm principal	0.25	ABS-collateralized bond/debt obligation	Long	USA
GNR 2012-H01 FA 1ML+70 11/61	4.37 mm	4.35 mm principal	0.25	ABS-collateralized bond/debt obligation	Long	USA
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+23 04/25/2031	4.35 mm	4.36 mm principal	0.25	ABS-mortgage backed security	Long	USA
GNII II 4.0% 08/20/2045#MA3035	4.35 mm	4.11 mm principal	0.25	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG AS REMIC PT 17-161 DF 1ML+25 10/20/2047	4.34 mm	4.35 mm principal	0.24	ABS-collateralized bond/debt obligation	Long	USA
GNR 2011-H21 FA 1ML+60 10/61	4.34 mm	4.33 mm principal	0.24	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 3% 02/01/2050#SD7512	4.26 mm	4.17 mm principal	0.24	ABS-mortgage backed security	Long	USA
FHLG 30YR 3% 12/01/2049#QA5154	4.07 mm	4.00 mm principal	0.23	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG AS REMIC PT 1ML+30 05/20/2048	4.04 mm	4.04 mm principal	0.23	ABS-collateralized bond/debt obligation	Long	USA
UST NOTES 0.875% 09/30/2026	4.04 mm	4.20 mm principal	0.23	Debt	Long	USA
GNR 2011-H17 FA 1ML+53 6/61	4.00 mm	4.00 mm principal	0.23	ABS-collateralized bond/debt obligation	Long	USA
GOVERNMENT NAT MTG 2010-169 Z 4.5% 12/20/2040	3.95 mm	3.79 mm principal	0.22	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 3.5% 09/01/2046#AL9058	3.93 mm	3.76 mm principal	0.22	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 01/01/2052#FS0288	3.93 mm	4.09 mm principal	0.22	ABS-mortgage backed security	Long	USA
UMBS 30YR 2% 04/01/2052 #TBA	3.88 mm	4.05 mm principal	0.22	ABS-mortgage backed security	Long	USA
FHLG 30YR 3.5% 08/01/2047#Q50031	3.83 mm	3.68 mm principal	0.22	ABS-mortgage backed security	Long	USA
GNR 2012-H06 FA 1ML+63 1/62	3.80 mm	3.78 mm principal	0.21	ABS-collateralized bond/debt obligation	Long	USA
FNMA 15YR 3% 01/01/2035#FM2286	3.75 mm	3.63 mm principal	0.21	ABS-mortgage backed security	Long	USA
GNII II 4% 07/20/2048#MA5330	3.71 mm	3.55 mm principal	0.21	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 11/01/2051#FM9633	3.70 mm	3.64 mm principal	0.21	ABS-mortgage backed security	Long	USA
FHLG 30YR 3.5% 03/01/2048#G67710	3.69 mm	3.55 mm principal	0.21	ABS-mortgage backed security	Long	USA
FNMA 30YR 1.5% 10/01/2051#MA4436	3.68 mm	3.97 mm principal	0.21	ABS-mortgage backed security	Long	USA
GNR 2011-H07 FA 1ML+50 3/61	3.60 mm	3.59 mm principal	0.20	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 3.5% 01/01/2047#AL9776	3.53 mm	3.38 mm principal	0.20	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 12/01/2051#CB2320	3.48 mm	3.51 mm principal	0.20	ABS-mortgage backed security	Long	USA
GNII II 2.5% 07/20/2051#MA7472	3.45 mm	3.45 mm principal	0.19	ABS-mortgage backed security	Long	USA
GNR 2010-31 BP 5% 3/20/40	3.44 mm	3.21 mm principal	0.19	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 2% 10/01/2050#CA7323	3.39 mm	3.52 mm principal	0.19	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 05/01/2046#AS7241	3.39 mm	3.25 mm principal	0.19	ABS-mortgage backed security	Long	USA
GNR 2011-H14 FC 1ML+50 5/61	3.39 mm	3.38 mm principal	0.19	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 4% 08/01/2047#CA0181	3.34 mm	3.17 mm principal	0.19	ABS-mortgage backed security	Long	USA
GNR 2011-H05 FA 1ML+50 12/60	3.33 mm	3.32 mm principal	0.19	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 3% 04/01/2050#BK2255	3.28 mm	3.22 mm principal	0.19	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 5.0% 04/15/2041	3.25 mm	2.91 mm principal	0.18	ABS-collateralized bond/debt obligation	Long	USA
FEDERAL HOME LN MTG MLT 3857 ZP 5% 05/15/2041	3.20 mm	2.90 mm principal	0.18	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 3.5% 03/01/2032#C91403	3.20 mm	3.06 mm principal	0.18	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044	3.16 mm	3.10 mm principal	0.18	ABS-collateralized bond/debt obligation	Long	USA
FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035	3.14 mm	2.87 mm principal	0.18	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 2.5% 12/01/2051#CB2321	3.10 mm	3.13 mm principal	0.17	ABS-mortgage backed security	Long	USA
FHLG 20YR 3.5% 05/01/2038#G31067	3.09 mm	2.96 mm principal	0.17	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 12/01/2051#CB2350	3.08 mm	3.20 mm principal	0.17	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047	3.04 mm	2.98 mm principal	0.17	ABS-collateralized bond/debt obligation	Long	USA
FHLG 15YR 2.5% 12/01/2032#G18669	3.04 mm	2.99 mm principal	0.17	ABS-mortgage backed security	Long	USA
FHLG 30YR 3% 12/01/2051#SD8184	3.03 mm	3.00 mm principal	0.17	ABS-mortgage backed security	Long	USA
GNR 2010-H27 FA 1ML+38 12/60	3.02 mm	3.02 mm principal	0.17	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 2% 12/01/2051#RA6510	2.96 mm	3.08 mm principal	0.17	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 06/01/2045#AY5622	2.95 mm	2.82 mm principal	0.17	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 01/47 #MA2864	2.93 mm	2.81 mm principal	0.17	ABS-mortgage backed security	Long	USA
FHLG 30YR 3.5% 03/01/2046#G60440	2.92 mm	2.78 mm principal	0.16	ABS-mortgage backed security	Long	USA
GNII II 4.0% 11/20/2044#MA2372	2.88 mm	2.72 mm principal	0.16	ABS-mortgage backed security	Long	USA
GNMA II 5% 04/48#784805	2.84 mm	2.62 mm principal	0.16	ABS-mortgage backed security	Long	USA
FHLG 30YR 3.5% 06/01/2045#Q34311	2.84 mm	2.71 mm principal	0.16	ABS-mortgage backed security	Long	USA
GNR 2011-H13 FA 1ML+50 4/61	2.84 mm	2.83 mm principal	0.16	ABS-collateralized bond/debt obligation	Long	USA
FHR 2877 ZD 5% 10/34	2.83 mm	2.72 mm principal	0.16	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 3% 12/01/2046#G60989	2.83 mm	2.76 mm principal	0.16	ABS-mortgage backed security	Long	USA
FHLG 30YR 4% 04/46#G60551	2.82 mm	2.66 mm principal	0.16	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031	2.78 mm	2.70 mm principal	0.16	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 2.5% 12/01/2051#CB2376	2.78 mm	2.81 mm principal	0.16	ABS-mortgage backed security	Long	USA
FNMA 30YR 4.5% 11/01/2042#AL6997	2.75 mm	2.54 mm principal	0.15	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 12/01/2051#RA6496	2.75 mm	2.78 mm principal	0.15	ABS-mortgage backed security	Long	USA
UMBS 30YR 1.5% 04/01/2052 #TBA	2.73 mm	2.95 mm principal	0.15	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 11/01/2049#CA4557	2.71 mm	2.62 mm principal	0.15	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 8/46#BC1509	2.69 mm	2.62 mm principal	0.15	ABS-mortgage backed security	Long	USA
GNII II 3.5% 09/20/2043#MA1285	2.65 mm	2.52 mm principal	0.15	ABS-mortgage backed security	Long	USA
GNR 2012-H03 FA 1ML+70 1/20/62 RVM	2.65 mm	2.63 mm principal	0.15	ABS-collateralized bond/debt obligation	Long	USA
FNR 2010-15 FJ 1ML+93 6/36	2.64 mm	2.58 mm principal	0.15	ABS-collateralized bond/debt obligation	Long	USA
GNMA 6.00% 6/36 #782394	2.64 mm	2.35 mm principal	0.15	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 09/01/2051#CB1549	2.63 mm	2.66 mm principal	0.15	ABS-mortgage backed security	Long	USA
FHLG 3.50% 4/42 #C03811	2.63 mm	2.49 mm principal	0.15	ABS-mortgage backed security	Long	USA
FHLG 30YR 3% 04/01/2050#RA2457	2.46 mm	2.42 mm principal	0.14	ABS-mortgage backed security	Long	USA
FNMA 15YR 3% 08/01/2032#MA3090	2.44 mm	2.37 mm principal	0.14	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 12/01/2051#CB2347	2.43 mm	2.53 mm principal	0.14	ABS-mortgage backed security	Long	USA
FHLG 15YR 2.5% 07/01/2033#G16661	2.43 mm	2.39 mm principal	0.14	ABS-mortgage backed security	Long	USA
GNR 2012-H07 FA 1ML+63 3/20/62	2.43 mm	2.42 mm principal	0.14	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 2% 07/01/2050#CA6275	2.41 mm	2.50 mm principal	0.14	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 11/01/2051#BQ6772	2.37 mm	2.47 mm principal	0.13	ABS-mortgage backed security	Long	USA
FNR 2004-91 Z 5 12/34	2.30 mm	2.21 mm principal	0.13	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 2% 12/01/2051#CB2346	2.29 mm	2.38 mm principal	0.13	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 08/01/2045#AY8424	2.29 mm	2.19 mm principal	0.13	ABS-mortgage backed security	Long	USA
GNII II 3.5% 05/43 #MA1012	2.27 mm	2.15 mm principal	0.13	ABS-mortgage backed security	Long	USA
FNR 2010-118 PB 4.5% 10/40	2.25 mm	2.10 mm principal	0.13	ABS-collateralized bond/debt obligation	Long	USA
FNMA 30YR 2% 11/01/2050#CA7616	2.24 mm	2.32 mm principal	0.13	ABS-mortgage backed security	Long	USA
FNMA 15YR 2.5% 02/01/2035#FM2502	2.24 mm	2.20 mm principal	0.13	ABS-mortgage backed security	Long	USA
GNII II 4.00% 10/41 #005203	2.23 mm	2.10 mm principal	0.13	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 09/01/2046#AS7844	2.22 mm	2.17 mm principal	0.13	ABS-mortgage backed security	Long	USA
GNMA II 3.5% 11/20/2047#784391	2.19 mm	2.08 mm principal	0.12	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 11/01/2051#RA6239	2.19 mm	2.28 mm principal	0.12	ABS-mortgage backed security	Long	USA
FHLG 30YR 4% 05/01/2048#Q55992	2.19 mm	2.07 mm principal	0.12	ABS-mortgage backed security	Long	USA
FHLG 30YR 3% 11/01/2051#QD1240	2.19 mm	2.16 mm principal	0.12	ABS-mortgage backed security	Long	USA
FANNIE MAE 2010-95 ZC 5% 09/25/2040	2.18 mm	1.97 mm principal	0.12	ABS-collateralized bond/debt obligation	Long	USA
FNMA 15YR 2% 12/01/2036#BU1384	2.17 mm	2.19 mm principal	0.12	ABS-mortgage backed security	Long	USA
GNII II 3.0% 01/20/2043#MA0698	2.17 mm	2.08 mm principal	0.12	ABS-mortgage backed security	Long	USA
FHLG 20YR 3.5% 06/01/2032#C91456	2.17 mm	2.07 mm principal	0.12	ABS-mortgage backed security	Long	USA
FNMA 30YR 2% 12/01/2051#CB2348	2.15 mm	2.23 mm principal	0.12	ABS-mortgage backed security	Long	USA
FHLG 30YR 3% 6/46#V82414	2.13 mm	2.08 mm principal	0.12	ABS-mortgage backed security	Long	USA
FHLG 30YR 3% 05/01/2046#V82275	2.13 mm	2.07 mm principal	0.12	ABS-mortgage backed security	Long	USA
GOVERNMENT NAT MTG ASSN HECM 2.75% 05/20/2064	2.11 mm	2.09 mm principal	0.12	ABS-collateralized bond/debt obligation	Long	USA
FHLG 30YR 3% 09/01/2051#QC7496	2.11 mm	2.08 mm principal	0.12	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 10/01/2051#QC9114	2.10 mm	2.19 mm principal	0.12	ABS-mortgage backed security	Long	USA
FHLG 30YR 4% 06/45#G60179	2.09 mm	1.97 mm principal	0.12	ABS-mortgage backed security	Long	USA
FNMA 15YR 3% 12/01/2034#FM0046	2.04 mm	1.97 mm principal	0.11	ABS-mortgage backed security	Long	USA
FNMA 30YR 5% 02/01/2049#BM5577	2.02 mm	1.83 mm principal	0.11	ABS-mortgage backed security	Long	USA