|
|
|
|
|
|
|
|
|
Security |
|
Par (000) |
|
|
Value |
|
|
|
Collateralized Mortgage Obligations (continued) |
|
|
|
|
Freddie Mac REMICS (continued) |
|
|
|
|
|
|
|
|
Series 3762, Class LN, 4.00%, 11/15/40 |
|
$ |
2,000 |
|
|
$ |
1,806,160 |
|
Series 3780, Class ZA, 4.00%, 12/15/40 |
|
|
3,293 |
|
|
|
3,024,396 |
|
Series 3856, Class PB, 5.00%, 05/15/41 |
|
|
6,358 |
|
|
|
6,193,894 |
|
Series 3960, Class PL, 4.00%, 11/15/41 |
|
|
2,859 |
|
|
|
2,654,961 |
|
Series 3963, Class JB, 4.50%, 11/15/41 |
|
|
519 |
|
|
|
491,837 |
|
Series 4016, Class BX, 4.00%, 09/15/41 |
|
|
15,408 |
|
|
|
14,161,902 |
|
Series 4269, Class PM, 4.00%, 08/15/41 |
|
|
8,884 |
|
|
|
7,762,487 |
|
Series 4299, Class JY, 4.00%, 01/15/44 |
|
|
1,000 |
|
|
|
877,763 |
|
Series 4384, Class LB, 3.50%, 08/15/43 |
|
|
3,851 |
|
|
|
3,595,979 |
|
Series 4615, Class LB, 4.50%, 09/15/41 |
|
|
7,219 |
|
|
|
6,787,162 |
|
Series 4748, Class BM, 3.50%, 11/15/47 |
|
|
3,351 |
|
|
|
2,645,785 |
|
Series 4774, Class L, 4.50%, 03/15/48 |
|
|
5,358 |
|
|
|
5,016,705 |
|
Series 4830, Class AV, 4.00%, 10/15/33 |
|
|
1,069 |
|
|
|
944,648 |
|
Freddie Mac Structured Pass-Through Certificates, Series T-11,
Class A9, 0.13%, 01/25/28(c) |
|
|
59 |
|
|
|
58,376 |
|
Ginnie Mae |
|
|
|
|
|
|
|
|
Series 2011-88, Class PY, 4.00%, 06/20/41 |
|
|
7,409 |
|
|
|
6,913,419 |
|
Series 2012-16, Class HJ, 4.00%, 09/20/40 |
|
|
5,271 |
|
|
|
4,969,619 |
|
Series 2015-96, Class ZM, 4.00%, 07/20/45 |
|
|
8,697 |
|
|
|
7,465,224 |
|
Series 2018-91, Class ZL, 4.00%, 07/20/48 |
|
|
6,318 |
|
|
|
5,014,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
154,628,646 |
|
|
|
Commercial Mortgage-Backed Securities(c) 0.6% |
|
|
|
|
Freddie Mac Multifamily Structured Pass-Through |
|
|
|
|
|
|
|
|
Certificates |
|
|
|
|
|
|
|
|
Series K094, Class X1, 1.01%, 06/25/29 |
|
|
1,400 |
|
|
|
56,380 |
|
Series K104, Class X1, 1.25%, 01/25/30 |
|
|
1,347 |
|
|
|
73,218 |
|
Series K105, Class X1, 1.64%, 01/25/30 |
|
|
1,817 |
|
|
|
135,635 |
|
Series K107, Class X1, 1.71%, 01/25/30 |
|
|
1,228 |
|
|
|
96,314 |
|
Series K109, Class X1, 1.70%, 04/25/30 |
|
|
937 |
|
|
|
73,875 |
|
Series K110, Class X1, 1.81%, 04/25/30 |
|
|
393 |
|
|
|
32,461 |
|
Series K113, Class X1, 1.48%, 06/25/30 |
|
|
1,590 |
|
|
|
113,813 |
|
Series K115, Class X1, 1.43%, 06/25/30 |
|
|
1,949 |
|
|
|
133,444 |
|
Series K120, Class X1, 1.13%, 10/25/30 |
|
|
3,884 |
|
|
|
208,703 |
|
Series K122, Class X1, 0.97%, 11/25/30 |
|
|
1,666 |
|
|
|
78,518 |
|
Ginnie Mae |
|
|
|
|
|
|
|
|
Series 2013-63, Class IO, 0.75%, 09/16/51 |
|
|
3,364 |
|
|
|
83,024 |
|
Series 2014-169, Class IO, 0.62%, 10/16/56 |
|
|
12,629 |
|
|
|
268,514 |
|
Series 2016-113, Class IO, 1.18%, 02/16/58 |
|
|
3,361 |
|
|
|
174,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,528,819 |
|
Interest Only Collateralized Mortgage Obligations 7.8% |
|
|
|
|
Fannie Mae REMIC Trust, Series 1999-W4,
Class IO, 6.50%, 12/25/28 |
|
|
30 |
|
|
|
1,406 |
|
Fannie Mae REMICS |
|
|
|
|
|
Series 1997-90, Class M, 6.00%, 01/25/28 |
|
|
12 |
|
|
|
57 |
|
Series 2006-36, Class PS,
(30-day Avg SOFR + 6.49%), 1.17%, 05/25/36(c) |
|
|
2,081 |
|
|
|
142,213 |
|
Series 2011-134, Class ST,
(30-day Avg SOFR + 5.89%), 0.57%, 12/25/41(c) |
|
|
12,118 |
|
|
|
1,011,746 |
|
Series 2013-10, Class PI, 3.00%, 02/25/43 |
|
|
3,629 |
|
|
|
430,904 |
|
Series 2013-45, Class EI, 4.00%, 04/25/43 |
|
|
1,318 |
|
|
|
119,769 |
|
Series 2015-66, Class AS,
(30-day Avg SOFR + 6.14%), 0.82%, 09/25/45(c) |
|
|
10,437 |
|
|
|
565,084 |
|
Series 2017-70, Class SA,
(30-day Avg SOFR + 6.04%), 0.72%, 09/25/47(c) |
|
|
16,399 |
|
|
|
1,469,658 |
|
Series 2020-12, Class JI, 4.50%, 03/25/50 |
|
|
7,309 |
|
|
|
1,501,050 |
|
Series 2021-23, Class CI, 3.50%, 07/25/46 |
|
|
18,390 |
|
|
|
3,088,856 |
|