|
|
|
Principal
Amount
(000s)
|
Value
|
SECURITIZED
CREDIT (continued)
|
|
|
|
IndyMac
INDA Mortgage Loan Trust
|
|
|
|
|
Series 2007-AR1, Class 1A1, 3.68%, 03/25/37
(v)
|
|
|
$
1,217
|
$
1,098,227
|
Series 2007-AR3, Class 1A1, 3.74%, 07/25/37
(v)
|
|
|
2,438
|
2,162,629
|
IXIS
Real Estate Capital Trust
|
|
|
|
|
Series 2007-HE1, Class A1, 0.24% (1 Month LIBOR USD + 0.06%), 05/25/37
(s),(v)
|
|
|
2,785
|
835,641
|
Series 2006-HE3, Class A2, 0.28% (1 Month LIBOR USD + 0.10%), 01/25/37
(s),(v)
|
|
|
767
|
342,740
|
Series 2007-HE1, Class A2, 0.29% (1 Month LIBOR USD + 0.11%), 05/25/37
(s),(v)
|
|
|
4,433
|
1,350,337
|
Series 2006-HE2, Class A3, 0.34% (1 Month LIBOR USD + 0.16%), 08/25/36
(s),(v)
|
|
|
14,520
|
5,052,826
|
Series 2007-HE1, Class A3, 0.34% (1 Month LIBOR USD + 0.16%), 05/25/37
(s),(v)
|
|
|
1,367
|
422,451
|
Series 2007-HE1, Class A4, 0.41% (1 Month LIBOR USD + 0.23%), 05/25/37
(s),(v)
|
|
|
2,592
|
817,283
|
Series 2006-HE1, Class A4, 0.78% (1 Month LIBOR USD + 0.60%), 03/25/36
(s),(v)
|
|
|
505
|
281,575
|
JP
Morgan Mortgage Trust
|
|
|
|
|
Series 2007-A2, Class 3A2, 3.53%, 04/25/37
(v)
|
|
|
7,912
|
6,550,267
|
Series 2003-A2, Class B4, 3.54%, 11/25/33
(v)
|
|
|
73
|
1
|
Series 2003-A1, Class B4, 3.60%, 10/25/33
(v)
|
|
|
104
|
92,329
|
MASTR
Asset Backed Securities Trust
|
|
|
|
|
Series 2006-NC3, Class A3, 0.28% (1 Month LIBOR USD + 0.10%), 10/25/36
(s),(v)
|
|
|
3,399
|
1,876,136
|
Series 2006-NC2, Class A4, 0.33% (1 Month LIBOR USD + 0.15%), 08/25/36
(s),(v)
|
|
|
9,277
|
4,681,785
|
Series 2006-NC3, Class A4, 0.34% (1 Month LIBOR USD + 0.16%), 10/25/36
(s),(v)
|
|
|
5,734
|
3,211,898
|
Series 2006-HE5, Class A3, 0.34% (1 Month LIBOR USD + 0.16%), 11/25/36
(s),(v)
|
|
|
13,567
|
9,503,416
|
Series 2006-NC2, Class A5, 0.42% (1 Month LIBOR USD + 0.24%), 08/25/36
(s),(v)
|
|
|
458
|
237,307
|
Series 2005-NC2, Class A4, 0.88% (1 Month LIBOR USD + 0.70%), 11/25/35
(s),(v)
|
|
|
9,152
|
6,525,235
|
Nomura
Resecuritization Trust
|
|
|
|
|
Series 2014-1R, Class 2A11, 0.43% (1 Month LIBOR USD + 0.13%), 02/26/37
(e),(v)
|
|
|
31,682
|
23,572,362
|
Series 2015-11R, Class 4A5, 3.15%, 06/26/37
(e),(v)
|
|
|
2,938
|
2,053,242
|
Series 2015-1R, Class 3A7, 3.75%, 03/26/37
(e),(v)
|
|
|
5,627
|
4,256,365
|
Series 2014-2R, Class 1A7, 3.87%, 01/26/36
(e),(v)
|
|
|
3,069
|
2,967,364
|
Series 2015-1R, Class 4A7, 4.39%, 12/26/37
(e),(v)
|
|
|
2,334
|
2,085,830
|
Series 2015-6R, Class 2A4, 6.00%, 01/26/37
(e),(v)
|
|
|
14,642
|
11,566,221
|
Option
One Mortgage Loan Trust
|
|
|
|
|
Series 2007-FXD1, Class 3A6, 5.66%, 01/25/37
(s)
|
|
|
432
|
427,817
|
RALI
Trust
|
|
|
|
|
Series 2007-QO3, Class A1, 0.34% (1 Month LIBOR USD + 0.16%), 03/25/47
(s),(v)
|
|
|
2,073
|
1,853,252
|
Series 2006-QO7, Class 2A1, 2.35% (12 Month U.S. Treasury Average + 0.85%), 09/25/46
(v)
|
|
|
8,665
|
7,577,293
|
Series 2006-QS14, Class A30, 78.85% (1 Month LIBOR USD + 81.25%), 11/25/36
(i),(v)
|
|
|
84
|
289,125
|
Residential
Asset Securitization Trust
|
|
|
|
|
Series 2005-A13, Class 1A1, 0.88% (1 Month LIBOR USD + 0.70%), 10/25/35
(v)
|
|
|
4,231
|
3,144,459
|
RFMSI
Trust
|
|
|
|
|
Series 2007-S3, Class 1A5, 5.50%, 03/25/37
|
|
|
1,922
|
1,660,533
|
Securitized
Asset Backed Receivables LLC Trust
|
|
|
|
|
Series 2006-NC3, Class A2B, 0.33% (1 Month LIBOR USD + 0.15%), 09/25/36
(s),(v)
|
|
|
6,392
|
2,785,156
|
Series 2007-NC1, Class A2B, 0.33% (1 Month LIBOR USD + 0.15%), 12/25/36
(s),(v)
|
|
|
4,294
|
2,702,208
|
Washington
Mutual Mortgage Pass-Through Certificates Trust
|
|
|
|
|
Series 2007-OA1, Class A1A, 2.20% (12 Month U.S. Treasury Average + 0.70%), 02/25/47
(v)
|
|
|
2,645
|
2,346,357
|
Series 2007-HY5, Class 1A1, 3.21%, 05/25/37
(v)
|
|
|
2,778
|
2,544,985
|
Series 2007-HY5, Class 3A1, 3.57%, 05/25/37
(v)
|
|
|
1,475
|
1,368,331
|