Security | Principal Amount (000's omitted) | Value |
Federal National Mortgage Association: (continued) | | | |
Series 1997-77, Class Z, 7.00%, 11/18/27 | $ | 39 | $ 40,175 |
Series 1998-44, Class ZA, 6.50%, 7/20/28 | | 51 | 51,886 |
Series 1999-45, Class ZG, 6.50%, 9/25/29 | | 15 | 15,155 |
Series 2000-22, Class PN, 6.00%, 7/25/30 | | 212 | 210,384 |
Series 2002-21, Class PE, 6.50%, 4/25/32 | | 155 | 158,661 |
Series 2005-75, Class CS, 2.401%, (23.742% - 30-day SOFR Average x 4.00), 9/25/35(5) | | 491 | 521,276 |
Series 2007-74, Class AC, 5.00%, 8/25/37 | | 1,838 | 1,818,882 |
Series 2011-49, Class NT, 6.00%, (64.855% - 30-day SOFR Average x 10.00, Cap 6.00%), 6/25/41(5) | | 196 | 186,132 |
Series 2012-134, Class ZT, 2.00%, 12/25/42 | | 1,327 | 1,000,945 |
Series 2013-6, Class TA, 1.50%, 1/25/43 | | 1,134 | 970,712 |
Series 2013-67, Class NF, 5.00%, (30-day SOFR Average + 1.114%, Cap 5.00%), 7/25/43(2) | | 947 | 866,604 |
Series 2017-15, Class LE, 3.00%, 6/25/46 | | 396 | 382,705 |
Series 2017-48, Class LG, 2.75%, 5/25/47 | | 1,293 | 1,110,736 |
Interest Only:(6) | | | |
Series 2011-101, Class IC, 3.50%, 10/25/26 | | 714 | 14,526 |
Series 2011-101, Class IE, 3.50%, 10/25/26 | | 230 | 4,623 |
Series 2012-33, Class CI, 3.50%, 3/25/27 | | 248 | 2,542 |
Series 2012-118, Class IN, 3.50%, 11/25/42 | | 2,687 | 519,878 |
Series 2012-124, Class IO, 1.51%, 11/25/42(8) | | 1,040 | 46,605 |
Series 2012-125, Class IG, 3.50%, 11/25/42 | | 8,490 | 1,756,403 |
Series 2012-150, Class SK, 0.70%, (6.036% - 30-day SOFR Average), 1/25/43(5) | | 1,563 | 152,354 |
Series 2013-12, Class SP, 0.20%, (5.536% - 30-day SOFR Average), 11/25/41(5) | | 246 | 2,927 |
Series 2013-15, Class DS, 0.75%, (6.086% - 30-day SOFR Average), 3/25/33(5) | | 3,141 | 148,953 |
Series 2013-16, Class SY, 0.70%, (6.036% - 30-day SOFR Average), 3/25/43(5) | | 856 | 84,906 |
Series 2013-64, Class PS, 0.80%, (6.136% - 30-day SOFR Average), 4/25/43(5) | | 1,135 | 76,610 |
Series 2013-75, Class SC, 0.80%, (6.136% - 30-day SOFR Average), 7/25/42(5) | | 1,334 | 27,931 |
Series 2014-32, Class EI, 4.00%, 6/25/44 | | 314 | 57,667 |
Series 2014-55, Class IN, 3.50%, 7/25/44 | | 666 | 125,368 |
Series 2014-89, Class IO, 3.50%, 1/25/45 | | 893 | 170,761 |
Series 2015-52, Class MI, 3.50%, 7/25/45 | | 783 | 149,700 |
Series 2018-21, Class IO, 3.00%, 4/25/48 | | 3,644 | 585,178 |
Series 2019-1, Class AS, 0.55%, (5.886% - 30-day SOFR Average), 2/25/49(5) | | 5,463 | 334,809 |
Series 2019-33, Class SK, 0.60%, (5.936% - 30-day SOFR Average), 7/25/49(5) | | 3,761 | 344,760 |
Series 2020-23, Class SP, 0.60%, (5.936% - 30-day SOFR Average), 2/25/50(5) | | 3,359 | 394,781 |
Principal Only:(7) | | | |
Series 379, Class 1, 0.00%, 5/25/37 | | 1,007 | 792,951 |
Series 2006-8, Class WQ, 0.00%, 3/25/36 | | 1,669 | 1,336,801 |
Government National Mortgage Association: | | | |
Series 2017-121, Class DF, 5.00%, (1 mo. SOFR + 0.614%, Cap 5.00%), 8/20/47(2) | | 2,875 | 2,748,742 |
Series 2017-137, Class AF, 5.00%, (1 mo. SOFR + 0.614%, Cap 5.00%), 9/20/47(2) | | 1,511 | 1,444,046 |