Do any of the TSP funds hold mortgage backed securities?
The Lehman Brothers U.S. Aggregate Index consists of high quality fixed-income securities with maturities of more than one year. The index is comprised of Treasury and Agency bonds, asset-backed securities, and corporate and non-corporate bonds. On December 31, 2005, the LBA Index included 6,453 notes and bonds. The average LBA Index coupon rate was 5.2%, which means that, on an annual basis, interest income equalled approximately 5.2% of the face value of the securities in the LBA Index. The average duration (a measure of interest rate risk) of the LBA Index was 4.5 years, which means that a 1% increase (decrease) in interest rates could be expected to result in a 4.5% decrease (increase) in the price of a security. New issues are added continuously to the LBA Index, and older issues drop out as they reach maturity. Barclays U.S. Debt Index Fund — The F Fund is invested in the Barclays U.S. Debt Index Fund. Because the LBA Index contains such a large number of securities, it is not fe
