Security
| Principal
Amount
(000's omitted)
| Value
|
Federal National Mortgage Association: (continued)
|
|
|
|
Series 2007-74, Class AC, 5.00%, 8/25/37
| $
| 483
| $ 481,157
|
Series 2011-49, Class NT, 6.00%, (64.86% - 30-day average SOFR x 10.00, Cap 6.00%), 6/25/41(5)
|
| 131
| 125,595
|
Series 2012-134, Class ZT, 2.00%, 12/25/42
|
| 498
| 402,397
|
Series 2013-6, Class TA, 1.50%, 1/25/43
|
| 303
| 272,729
|
Series 2015-74, Class SL, 0.00%, (2.282% - 30-day average SOFR x 0.587, Floor 0.00%), 10/25/45(5)
|
| 867
| 486,222
|
Series 2017-15, Class LE, 3.00%, 6/25/46
|
| 46
| 44,693
|
Interest Only:(4)
|
|
|
|
Series 2004-46, Class SI, 0.817%, (6.00% - 30-day average SOFR), 5/25/34(5)
|
| 319
| 10,515
|
Series 2005-17, Class SA, 1.517%, (6.70% - 30-day average SOFR), 3/25/35(5)
|
| 459
| 38,736
|
Series 2006-42, Class PI, 1.407%, (6.59% - 30-day Average SOFR), 6/25/36(5)
|
| 624
| 55,142
|
Series 2006-44, Class IS, 1.417%, (6.60% - 30-day average SOFR), 6/25/36(5)
|
| 563
| 45,016
|
Series 2007-50, Class LS, 1.267%, (6.45% - 30-day average SOFR), 6/25/37(5)
|
| 453
| 36,697
|
Series 2008-26, Class SA, 1.017%, (6.20% - 30-day average SOFR), 4/25/38(5)
|
| 589
| 54,583
|
Series 2008-61, Class S, 0.917%, (6.10% - 30-day average SOFR), 7/25/38(5)
|
| 924
| 56,149
|
Series 2010-109, Class PS, 1.417%, (6.60% - 30-day Average SOFR), 10/25/40(5)
|
| 934
| 68,624
|
Series 2010-147, Class KS, 0.767%, (5.95% - 30-day Average SOFR), 1/25/41(5)
|
| 1,155
| 40,976
|
Series 2012-52, Class AI, 3.50%, 8/25/26
|
| 102
| 2,767
|
Series 2012-118, Class IN, 3.50%, 11/25/42
|
| 1,196
| 236,461
|
Series 2012-150, Class PS, 0.967%, (6.15% - 30-day average SOFR), 1/25/43(5)
|
| 1,848
| 169,945
|
Series 2012-150, Class SK, 0.967%, (6.15% - 30-day average SOFR), 1/25/43(5)
|
| 808
| 79,022
|
Series 2013-23, Class CS, 1.067%, (6.25% - 30-day average SOFR), 3/25/33(5)
|
| 728
| 39,088
|
Series 2013-54, Class HS, 1.117%, (6.30% - 30-day average SOFR), 10/25/41(5)
|
| 18
| 36
|
Series 2014-32, Class EI, 4.00%, 6/25/44
|
| 194
| 33,683
|
Series 2014-55, Class IN, 3.50%, 7/25/44
|
| 443
| 90,596
|
Series 2014-80, Class BI, 3.00%, 12/25/44
|
| 1,014
| 182,135
|
Series 2014-89, Class IO, 3.50%, 1/25/45
|
| 367
| 79,588
|
Series 2015-14, Class KI, 3.00%, 3/25/45
|
| 822
| 135,789
|
Series 2015-52, Class MI, 3.50%, 7/25/45
|
| 425
| 86,194
|
Series 2015-57, Class IO, 3.00%, 8/25/45
|
| 2,049
| 364,953
|
Series 2015-93, Class BS, 0.967%, (6.15% - 30-day average SOFR), 8/25/45(5)
|
| 458
| 21,551
|
Series 2018-21, Class IO, 3.00%, 4/25/48
|
| 809
| 143,290
|
Series 2020-23, Class SP, 0.867%, (6.05% - 30-day average SOFR), 2/25/50(5)
|
| 1,453
| 161,170
|
Series 2020-45, Class IJ, 2.50%, 7/25/50
|
| 2,029
|
279,290
|