Security
| Principal
Amount
(000's omitted)
| Value
|
Interest Only: (continued)
|
|
|
|
Series 4644, Class TI, 3.50%, 1/15/45
| $
| 1,267
| $ 179,171
|
Series 4744, Class IO, 4.00%, 11/15/47
|
| 2,021
| 391,994
|
Series 4749, Class IL, 4.00%, 12/15/47
|
| 901
| 175,005
|
Series 4793, Class SD, 0.747%, (6.086% - 30-day average SOFR), 6/15/48(4)
|
| 4,311
| 481,377
|
Series 4966, Class SY, 0.598%, (5.936% - 30-day average SOFR), 4/25/50(4)
|
| 11,315
| 1,501,960
|
Principal Only:(6)
|
|
|
|
Series 242, Class PO, 0.00%, 11/15/36
|
| 1,729
| 1,400,757
|
Series 259, Class PO, 0.00%, 4/15/39
|
| 1,097
| 877,244
|
Series 3606, Class PO, 0.00%, 12/15/39
|
| 1,167
| 905,759
|
Series 4417, Class KO, 0.00%, 12/15/43
|
| 184
| 122,480
|
Series 4478, Class PO, 0.00%, 5/15/45
|
| 559
| 415,458
|
Federal National Mortgage Association:
|
|
|
|
Series 1994-45, Class Z, 6.50%, 2/25/24
|
| 0(7)
| 82
|
Series 1994-89, Class ZQ, 8.00%, 7/25/24
|
| 22
| 21,718
|
Series 1996-57, Class Z, 7.00%, 12/25/26
|
| 71
| 71,033
|
Series 1997-77, Class Z, 7.00%, 11/18/27
|
| 48
| 49,353
|
Series 1998-44, Class ZA, 6.50%, 7/20/28
|
| 60
| 61,431
|
Series 1999-45, Class ZG, 6.50%, 9/25/29
|
| 17
| 17,817
|
Series 2000-22, Class PN, 6.00%, 7/25/30
|
| 244
| 244,495
|
Series 2002-21, Class PE, 6.50%, 4/25/32
|
| 175
| 182,168
|
Series 2005-75, Class CS, 2.392%, (23.742% - 30-day average SOFR x 4.00), 9/25/35(4)
|
| 520
| 596,391
|
Series 2007-74, Class AC, 5.00%, 8/25/37
|
| 2,014
| 2,027,635
|
Series 2011-49, Class NT, 6.00%, (64.855% - 30-day average SOFR x 10.00, Cap 6.00%), 6/25/41(4)
|
| 205
| 198,827
|
Series 2012-134, Class ZT, 2.00%, 12/25/42
|
| 1,314
| 1,083,585
|
Series 2013-6, Class TA, 1.50%, 1/25/43
|
| 1,168
| 1,022,431
|
Series 2013-67, Class NF, 5.00%, (30-day average SOFR + 1.114%), 7/25/43(2)
|
| 947
| 887,508
|
Series 2017-15, Class LE, 3.00%, 6/25/46
|
| 441
| 427,147
|
Series 2017-48, Class LG, 2.75%, 5/25/47
|
| 1,330
| 1,163,786
|
Interest Only:(5)
|
|
|
|
Series 2011-101, Class IC, 3.50%, 10/25/26
|
| 1,063
| 27,860
|
Series 2011-101, Class IE, 3.50%, 10/25/26
|
| 337
| 8,745
|
Series 2012-33, Class CI, 3.50%, 3/25/27
|
| 505
| 8,940
|
Series 2012-118, Class IN, 3.50%, 11/25/42
|
| 2,820
| 554,087
|
Series 2012-124, Class IO, 1.526%, 11/25/42(8)
|
| 1,198
| 56,650
|
Series 2012-125, Class IG, 3.50%, 11/25/42
|
| 8,910
| 1,888,083
|
Series 2012-150, Class SK, 0.698%, (6.036% - 30-day average SOFR), 1/25/43(4)
|
| 1,616
| 176,661
|
Series 2013-12, Class SP, 0.198%, (5.536% - 30-day average SOFR), 11/25/41(4)
|
| 284
| 4,571
|
Series 2013-15, Class DS, 0.748%, (6.086% - 30-day average SOFR), 3/25/33(4)
|
| 3,547
| 217,470
|
Series 2013-16, Class SY, 0.698%, (6.036% - 30-day average SOFR), 3/25/43(4)
|
| 883
| 129,135
|
Series 2013-64, Class PS, 0.798%, (6.136% - 30-day average SOFR), 4/25/43(4)
|
| 1,185
| 84,161
|
Series 2013-75, Class SC, 0.798%, (6.136% - 30-day average SOFR), 7/25/42(4)
|
| 1,502
| 36,021
|
Series 2014-32, Class EI, 4.00%, 6/25/44
|
| 336
| 57,777
|
Series 2014-55, Class IN, 3.50%, 7/25/44
|
| 707
| 135,203
|