Security
| Principal
Amount
(000's omitted)
| Value
|
Federal National Mortgage Association: (continued)
|
|
|
|
Series 2007-74, Class AC, 5.00%, 8/25/37
| $
| 405
| $ 405,055
|
Series 2011-49, Class NT, 6.00%, (64.855% - 30-day SOFR Average x 10.00, Cap 6.00%), 6/25/41(6)
|
| 115
| 112,131
|
Series 2012-134, Class ZT, 2.00%, 12/25/42
|
| 498
| 387,478
|
Series 2013-6, Class TA, 1.50%, 1/25/43
|
| 263
| 229,169
|
Series 2015-74, Class SL, 0.00%, (2.282% - 30-day SOFR Average x 0.587, Floor 0.00%), 10/25/45(6)
|
| 867
| 506,924
|
Series 2017-15, Class LE, 3.00%, 6/25/46
|
| 39
| 38,075
|
Interest Only:(5)
|
|
|
|
Series 2004-46, Class SI, 0.538%, (5.886% - 30-day SOFR Average), 5/25/34(6)
|
| 225
| 8,089
|
Series 2005-17, Class SA, 1.238%, (6.586% - 30-day SOFR Average), 3/25/35(6)
|
| 394
| 36,528
|
Series 2006-42, Class PI, 1.128%, (6.476% - 30-day SOFR Average), 6/25/36(6)
|
| 493
| 45,240
|
Series 2006-44, Class IS, 1.138%, (6.486% - 30-day SOFR Average), 6/25/36(6)
|
| 476
| 40,878
|
Series 2007-50, Class LS, 0.988%, (6.336% - 30-day SOFR Average), 6/25/37(6)
|
| 388
| 35,126
|
Series 2008-26, Class SA, 0.738%, (6.086% - 30-day SOFR Average), 4/25/38(6)
|
| 497
| 47,071
|
Series 2008-61, Class S, 0.638%, (5.986% - 30-day SOFR Average), 7/25/38(6)
|
| 745
| 48,819
|
Series 2010-109, Class PS, 1.138%, (6.486% - 30-day SOFR Average), 10/25/40(6)
|
| 781
| 61,658
|
Series 2010-147, Class KS, 0.488%, (5.836% - 30-day SOFR Average), 1/25/41(6)
|
| 855
| 32,822
|
Series 2012-52, Class AI, 3.50%, 8/25/26
|
| 45
| 727
|
Series 2012-118, Class IN, 3.50%, 11/25/42
|
| 1,084
| 209,896
|
Series 2012-150, Class PS, 0.688%, (6.036% - 30-day SOFR Average), 1/25/43(6)
|
| 1,712
| 179,954
|
Series 2012-150, Class SK, 0.688%, (6.036% - 30-day SOFR Average), 1/25/43(6)
|
| 722
| 80,065
|
Series 2013-23, Class CS, 0.788%, (6.136% - 30-day SOFR Average), 3/25/33(6)
|
| 567
| 32,606
|
Series 2014-32, Class EI, 4.00%, 6/25/44
|
| 173
| 31,792
|
Series 2014-55, Class IN, 3.50%, 7/25/44
|
| 398
| 75,210
|
Series 2014-80, Class BI, 3.00%, 12/25/44
|
| 909
| 147,083
|
Series 2014-89, Class IO, 3.50%, 1/25/45
|
| 329
| 63,226
|
Series 2015-14, Class KI, 3.00%, 3/25/45
|
| 734
| 114,162
|
Series 2015-52, Class MI, 3.50%, 7/25/45
|
| 390
| 74,879
|
Series 2015-57, Class IO, 3.00%, 8/25/45
|
| 1,528
| 254,159
|
Series 2015-93, Class BS, 0.688%, (6.036% - 30-day SOFR Average), 8/25/45(6)
|
| 408
| 29,207
|
Series 2018-21, Class IO, 3.00%, 4/25/48
|
| 738
| 118,858
|
Series 2020-23, Class SP, 0.588%, (5.936% - 30-day SOFR Average), 2/25/50(6)
|
| 1,339
| 175,860
|
Series 2020-45, Class IJ, 2.50%, 7/25/50
|
| 1,831
| 263,612
|
Principal Only:(7)
Series 2006-8, Class WQ, 0.00%, 3/25/36
|
| 348
|
282,821
|