NPORT-P
    false
    
      
      
        
          0000809707
          XXXXXXXX
        
      
      
      
      
        S000006850
        C000064441
        C000140480
        C000018509
        C000133492
        C000018510
      
      
      
    
  
  
    
      Franklin Investors Securities Trust
      811-04986
      0000809707
      549300XUGIR9DEQFV548
      One Franklin Parkway
      San Mateo
      
      94403-1906
      650-312-2000
      Franklin Adjustable U.S. Government Securities Fund
      S000006850
      549300OAF2KY89TO9M53
      2021-10-31
      2021-07-31
      N
    
    
      697852237.36
      19309078.94
      678543158.42
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      17734362.41000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405BD32
        
          
          
        
        6576.94000000
        PA
        USD
        6595.08000000
        0.000971947018
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.47600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379MDU0
        
          
          
        
        9509.07000000
        PA
        USD
        9583.70000000
        0.001412393578
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.43299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407BWE5
        
          
          
        
        168791.16000000
        PA
        USD
        170174.56000000
        0.025079401050
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414UT40
        
          
          
        
        18923.35800000
        PA
        USD
        18915.70000000
        0.002787692980
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Variable
          2.06499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DTE9
        
          
          
        
        125679.10000000
        PA
        USD
        132540.19000000
        0.019533052298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.04400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407FL24
        
          
          
        
        105362.92000000
        PA
        USD
        106057.83000000
        0.015630226122
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.29100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400QX32
        
          
          
        
        4461.42000000
        PA
        USD
        4477.93000000
        0.000659932967
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.83200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414F7E5
        
          
          
        
        17682.93000000
        PA
        USD
        17872.64000000
        0.002633972471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Variable
          2.25299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418U7F5
        
          
          
        
        68359.88000000
        PA
        USD
        68945.86000000
        0.010160865840
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.87200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408G4X2
        
          
          
        
        87016.22000000
        PA
        USD
        89021.34000000
        0.013119480890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.74800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409AFG9
        
          
          
        
        95971.46000000
        PA
        USD
        99303.62000000
        0.014634827389
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.85199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389AZY2
        
          
          
        
        246725.53000000
        PA
        USD
        248380.68000000
        0.036604993642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409ARH4
        
          
          
        
        25032.26000000
        PA
        USD
        25891.44000000
        0.003815739600
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.07699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414NBN3
        
          
          
        
        163188.75300000
        PA
        USD
        163718.90000000
        0.024128000992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Variable
          2.19499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405DM79
        
          
          
        
        17514.33000000
        PA
        USD
        17670.01000000
        0.002604109964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.87999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412CFG0
        
          
          
        
        28053.62000000
        PA
        USD
        28986.95000000
        0.004271939027
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384VWW8
        
          
          
        
        5485.08000000
        PA
        USD
        5507.18000000
        0.000811618234
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-05-01
          Variable
          2.40500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405RNC6
        
          
          
        
        19831.90000000
        PA
        USD
        20676.79000000
        0.003047232846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.81800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404WPZ3
        
          
          
        
        159875.04000000
        PA
        USD
        160598.88000000
        0.023668189415
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389AZ30
        
          
          
        
        29945.74000000
        PA
        USD
        29792.73000000
        0.004390690500
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Variable
          1.55599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XLL9
        
          
          
        
        23183.61000000
        PA
        USD
        23334.71000000
        0.003438942639
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.83700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409AC80
        
          
          
        
        21942.87000000
        PA
        USD
        22403.48000000
        0.003301703026
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.74100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416B5M6
        
          
          
        
        15493.11000000
        PA
        USD
        15671.42000000
        0.002309568640
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416B5B0
        
          
          
        
        2026240.87000000
        PA
        USD
        2137960.78000000
        0.315081031098
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.92300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406PC56
        
          
          
        
        43362.70000000
        PA
        USD
        43221.11000000
        0.006369692106
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.38299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391RTR3
        
          
          
        
        103966.58000000
        PA
        USD
        104396.91000000
        0.015385448766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Variable
          3.38699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DJV9
        
          
          
        
        74074.50000000
        PA
        USD
        74631.99000000
        0.010998856752
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          1.81400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405BMC2
        
          
          
        
        24548.16000000
        PA
        USD
        24720.54000000
        0.003643178726
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414HDB0
        
          
          
        
        13076.63000000
        PA
        USD
        13693.42000000
        0.002018061759
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Variable
          2.10099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RD55
        
          
          
        
        136108.88000000
        PA
        USD
        137410.35000000
        0.020250789989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404VCH9
        
          
          
        
        15155.95000000
        PA
        USD
        15272.87000000
        0.002250832509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.14999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408BUF3
        
          
          
        
        112488.59000000
        PA
        USD
        112833.55000000
        0.016628794882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.78899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300MMM2
        
          
          
        
        753733.18000000
        PA
        USD
        765412.30000000
        0.112802301593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Variable
          2.33300160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407GYF9
        
          
          
        
        12745.83800000
        PA
        USD
        13087.86000000
        0.001928817620
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          5.63600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385Y2D6
        
          
          
        
        109854.93000000
        PA
        USD
        114029.31000000
        0.016805019486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31387EDR5
        
          
          
        
        4213.06000000
        PA
        USD
        4216.70000000
        0.000621434310
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-06-01
          Variable
          2.25200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EQTE2
        
          
          
        
        699051.53000000
        PA
        USD
        741422.34000000
        0.109266791772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Variable
          2.06300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CAU0
        
          
          
        
        265994.73000000
        PA
        USD
        281330.57000000
        0.041460969211
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.06799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31288QGM6
        
          
          
        
        4273084.16000000
        PA
        USD
        4517240.71000000
        0.665726365957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-01
          Variable
          2.02100040
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31362RD87
        
          
          
        
        1528.35000000
        PA
        USD
        1549.69000000
        0.000228384883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Variable
          4.41200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407DNF8
        
          
          
        
        281665.99000000
        PA
        USD
        282182.27000000
        0.041586488125
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.34799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386XRR9
        
          
          
        
        23666.78000000
        PA
        USD
        23643.29000000
        0.003484419481
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-12-01
          Variable
          2.57000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402TH24
        
          
          
        
        17327.61000000
        PA
        USD
        17377.58000000
        0.002561013221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          1.82800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HFW7
        
          
          
        
        43259.04000000
        PA
        USD
        43495.08000000
        0.006410068314
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-01
          Variable
          4.79999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406VD86
        
          
          
        
        248462.62000000
        PA
        USD
        250807.39000000
        0.036962628962
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.98699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410YR30
        
          
          
        
        53408.79000000
        PA
        USD
        53794.62000000
        0.007927958499
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.68599960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406GD55
        
          
          
        
        126637.73000000
        PA
        USD
        127593.98000000
        0.018804106771
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.69099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368JA41
        
          
          
        
        17073.18000000
        PA
        USD
        17076.52000000
        0.002516644636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-02-01
          Variable
          2.33899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403NG92
        
          
          
        
        56144.46000000
        PA
        USD
        56063.60000000
        0.008262348430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.20600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EG7K4
        
          
          
        
        1149994.13000000
        PA
        USD
        1216500.20000000
        0.179281182767
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.16799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407BCV9
        
          
          
        
        27810.34700000
        PA
        USD
        27715.93000000
        0.004084623012
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.15799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405MA23
        
          
          
        
        24349.50000000
        PA
        USD
        25368.61000000
        0.003738687758
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.75100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31362S5F8
        
          
          
        
        244.51000000
        PA
        USD
        246.44000000
        0.000036318986
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-01
          Variable
          2.18300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404YDK5
        
          
          
        
        845.70000000
        PA
        USD
        851.33000000
        0.000125464384
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          2.17000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31369LMA8
        
          
          
        
        14650.61000000
        PA
        USD
        14680.85000000
        0.002163583821
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Variable
          2.42499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128QPKE1
        
          
          
        
        446695.24000000
        PA
        USD
        469742.01000000
        0.069228022443
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.38799880
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XHB6
        
          
          
        
        2781.59000000
        PA
        USD
        2791.73000000
        0.000411429982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407KGP8
        
          
          
        
        9791.42200000
        PA
        USD
        9793.47000000
        0.001443308340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.83999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403TPB4
        
          
          
        
        56709.44000000
        PA
        USD
        57323.54000000
        0.008448031534
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.66500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374R2K8
        
          
          
        
        17057.60000000
        PA
        USD
        17100.19000000
        0.002520132991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-04-01
          Variable
          2.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406P3R8
        
          
          
        
        4801.40000000
        PA
        USD
        4840.95000000
        0.000713432880
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.99500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373UKF3
        
          
          
        
        5207.55000000
        PA
        USD
        5203.10000000
        0.000766804577
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-01
          Variable
          2.17900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411UKA8
        
          
          
        
        15484.80000000
        PA
        USD
        16441.98000000
        0.002423129582
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.08000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128NHWJ8
        
          
          
        
        870078.85000000
        PA
        USD
        914802.27000000
        0.134818582819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.26299960
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414CZH4
        
          
          
        
        34820.54000000
        PA
        USD
        35080.10000000
        0.005169914332
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Variable
          1.79700120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402NGF9
        
          
          
        
        111836.39000000
        PA
        USD
        111895.91000000
        0.016490610598
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.01300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378FMK8
        
          
          
        
        5003.18000000
        PA
        USD
        5021.73000000
        0.000740075253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-04-01
          Variable
          4.06400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31288QBT6
        
          
          
        
        4141621.88000000
        PA
        USD
        4389531.87000000
        0.646905331743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Variable
          2.29100040
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402HBN0
        
          
          
        
        156450.48000000
        PA
        USD
        163091.08000000
        0.024035476295
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403YY56
        
          
          
        
        92529.79000000
        PA
        USD
        92916.26000000
        0.013693493014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.12000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400BWF9
        
          
          
        
        8662.74000000
        PA
        USD
        8761.69000000
        0.001291250216
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          2.09000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406VJY3
        
          
          
        
        106872.09000000
        PA
        USD
        107205.13000000
        0.015799308956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.00800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MYA4
        
          
          
        
        420102.87000000
        PA
        USD
        423629.77000000
        0.062432251323
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Variable
          1.90900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31381JU75
        
          
          
        
        778353.72000000
        PA
        USD
        795004.80000000
        0.117163483285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          3.42799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401Y6N0
        
          
          
        
        22281.82000000
        PA
        USD
        22330.37000000
        0.003290928472
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.39299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412BPZ9
        
          
          
        
        21555.31000000
        PA
        USD
        21756.70000000
        0.003206384108
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RKA6
        
          
          
        
        18221.39000000
        PA
        USD
        19207.02000000
        0.002830626138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.82300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406UUZ9
        
          
          
        
        1640032.26000000
        PA
        USD
        1707697.86000000
        0.251671222207
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.78099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411JGW0
        
          
          
        
        50034.00000000
        PA
        USD
        50255.33000000
        0.007406357189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Variable
          1.82499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386TRN7
        
          
          
        
        7237.60000000
        PA
        USD
        7309.78000000
        0.001077275617
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128QS3L8
        
          
          
        
        160124.65000000
        PA
        USD
        169914.88000000
        0.025041130824
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.02700160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31349UH50
        
          
          
        
        909926.13000000
        PA
        USD
        981298.37000000
        0.144618416356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          3.65100120
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386MLW8
        
          
          
        
        6785.36000000
        PA
        USD
        6907.75000000
        0.001018026622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406X7G1
        
          
          
        
        9533.35000000
        PA
        USD
        9605.18000000
        0.001415559184
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          2.06499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FXX8
        
          
          
        
        7311.85000000
        PA
        USD
        7388.86000000
        0.001088929997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.27599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CSA1
        
          
          
        
        35531.06000000
        PA
        USD
        35689.64000000
        0.005259745022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.38299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411DUN7
        
          
          
        
        4706.17300000
        PA
        USD
        4717.09000000
        0.000695179067
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Variable
          2.31000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384PDG7
        
          
          
        
        116957.70000000
        PA
        USD
        116988.15000000
        0.017241077232
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Variable
          2.36300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407VFN0
        
          
          
        
        18618.93000000
        PA
        USD
        19749.28000000
        0.002910541467
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.34200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405WSY2
        
          
          
        
        8479.12000000
        PA
        USD
        8616.68000000
        0.001269879431
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.85500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407B3T4
        
          
          
        
        837543.84000000
        PA
        USD
        865681.81000000
        0.127579476597
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.63000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406H3E5
        
          
          
        
        2533445.00000000
        PA
        USD
        2634321.54000000
        0.388231980134
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.75200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411EME4
        
          
          
        
        2033.16000000
        PA
        USD
        2080.07000000
        0.000306549402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410SHK6
        
          
          
        
        58236.68000000
        PA
        USD
        60757.35000000
        0.008954087775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          1.79200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36225C4D5
        
          
          
        
        8472.91000000
        PA
        USD
        8738.97000000
        0.001287901866
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-01-20
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402C6L1
        
          
          
        
        353126.55000000
        PA
        USD
        355239.09000000
        0.052353204890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          2.50099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGBF0
        
          
          
        
        201988.63000000
        PA
        USD
        213827.72000000
        0.031512766335
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PZ86
        
          
          
        
        30874.00000000
        PA
        USD
        31285.04000000
        0.004610619031
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.35400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368EWX4
        
          
          
        
        51.39000000
        PA
        USD
        51.53000000
        0.000007594211
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-12-01
          Variable
          2.07500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5QX5
        
          
          
        
        534748.12000000
        PA
        USD
        567387.55000000
        0.083618491021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Variable
          2.10800160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DSD2
        
          
          
        
        101916.70400000
        PA
        USD
        102926.81000000
        0.015168793424
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          1.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XUT2
        
          
          
        
        2082.85000000
        PA
        USD
        2095.44000000
        0.000308814549
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.30899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410WFR4
        
          
          
        
        172855.76000000
        PA
        USD
        174632.28000000
        0.025736355577
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407PWM6
        
          
          
        
        71761.31000000
        PA
        USD
        75002.58000000
        0.011053472291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          1.93799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WVC0
        
          
          
        
        9893.95000000
        PA
        USD
        9949.39000000
        0.001466286982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-01
          Variable
          1.54500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406L3E6
        
          
          
        
        30707.30000000
        PA
        USD
        30709.45000000
        0.004525791708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.30000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WWT2
        
          
          
        
        5804.45000000
        PA
        USD
        5824.71000000
        0.000858414078
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-08-01
          Variable
          2.54900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36225DNG5
        
          
          
        
        47569.35000000
        PA
        USD
        48031.37000000
        0.007078602061
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-03-20
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407X4W8
        
          
          
        
        106644.24000000
        PA
        USD
        111151.87000000
        0.016380958030
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          1.85799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402EM39
        
          
          
        
        49923.21000000
        PA
        USD
        50406.69000000
        0.007428663803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GD34
        
          
          
        
        112037.75000000
        PA
        USD
        113190.84000000
        0.016681450338
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          1.90699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CVF6
        
          
          
        
        105699.79000000
        PA
        USD
        112564.47000000
        0.016589139335
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.39500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407PP28
        
          
          
        
        4096.10000000
        PA
        USD
        4277.74000000
        0.000630430053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          1.92200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409BAN7
        
          
          
        
        49807.65000000
        PA
        USD
        52413.39000000
        0.007724400334
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          2.12600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409EL90
        
          
          
        
        211.63000000
        PA
        USD
        213.90000000
        0.000031523418
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.94500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407DUE3
        
          
          
        
        1230482.01000000
        PA
        USD
        1282351.51000000
        0.188985990660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406N6M1
        
          
          
        
        3871.98000000
        PA
        USD
        3895.69000000
        0.000574125603
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.42999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31360FC45
        
          
          
        
        216.49000000
        PA
        USD
        218.76000000
        0.000032239658
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-01
          Variable
          5.00000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384VYA4
        
          
          
        
        786.83000000
        PA
        USD
        792.33000000
        0.000116769285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-10-01
          Variable
          2.24200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402NY36
        
          
          
        
        203799.05000000
        PA
        USD
        210690.44000000
        0.031050411073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          1.80500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414CPN2
        
          
          
        
        63280.42000000
        PA
        USD
        63173.06000000
        0.009310101975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.40000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407T2T6
        
          
          
        
        16405.99000000
        PA
        USD
        17385.14000000
        0.002562127373
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.22999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365DH73
        
          
          
        
        131.45000000
        PA
        USD
        132.19000000
        0.000019481443
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-01
          Variable
          1.69999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GML4
        
          
          
        
        12014.59000000
        PA
        USD
        12369.80000000
        0.001822993842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Variable
          1.55199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DQP7
        
          
          
        
        21399.15500000
        PA
        USD
        21328.23000000
        0.003143238530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.27499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WTA1
        
          
          
        
        64613.87000000
        PA
        USD
        67985.46000000
        0.010019327312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.83899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JQBR8
        
          
          
        
        478053.99000000
        PA
        USD
        481525.46000000
        0.070964603212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Variable
          2.12500080
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403Y2E2
        
          
          
        
        42979.47000000
        PA
        USD
        43496.30000000
        0.006410248111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          1.86300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403K4Q3
        
          
          
        
        16023.46000000
        PA
        USD
        16088.13000000
        0.002370981093
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          2.33499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JNDN2
        
          
          
        
        619020.59000000
        PA
        USD
        655816.70000000
        0.096650698170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.01600000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XJY1
        
          
          
        
        164230.87000000
        PA
        USD
        172804.36000000
        0.025466966670
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.92200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31372MHE9
        
          
          
        
        1017.95000000
        PA
        USD
        1017.72000000
        0.000149986038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-01-01
          Variable
          1.96200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391FFE3
        
          
          
        
        191427.66000000
        PA
        USD
        192821.12000000
        0.028416927885
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Variable
          1.24499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414UQH4
        
          
          
        
        277678.56200000
        PA
        USD
        277746.88000000
        0.040932824471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.15499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DW96
        
          
          
        
        12391.12000000
        PA
        USD
        13176.80000000
        0.001941925113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.16100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413GK90
        
          
          
        
        34679.91100000
        PA
        USD
        36067.21000000
        0.005315389235
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          1.79899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407PJH2
        
          
          
        
        126439.46000000
        PA
        USD
        132887.03000000
        0.019584167690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.09300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DVS5
        
          
          
        
        63188.73000000
        PA
        USD
        67009.46000000
        0.009875489741
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.03299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411UW80
        
          
          
        
        11731.78000000
        PA
        USD
        11732.21000000
        0.001729029296
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.22999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371MDF1
        
          
          
        
        271881.58000000
        PA
        USD
        273474.04000000
        0.040303116552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.01700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DQT0
        
          
          
        
        11971.63000000
        PA
        USD
        12797.93000000
        0.001886089313
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.17299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411HGV6
        
          
          
        
        11317.85000000
        PA
        USD
        11397.85000000
        0.001679753138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.14999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412CBE9
        
          
          
        
        173144.74000000
        PA
        USD
        174122.55000000
        0.025661234342
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410MHH6
        
          
          
        
        44589.33000000
        PA
        USD
        46614.13000000
        0.006869736938
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          1.95400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406TLM1
        
          
          
        
        32562.33000000
        PA
        USD
        33993.70000000
        0.005009806609
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          2.09499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402HAQ4
        
          
          
        
        25923.84000000
        PA
        USD
        26270.97000000
        0.003871672667
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.40900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414HVC8
        
          
          
        
        2419.03000000
        PA
        USD
        2562.67000000
        0.000377672365
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Variable
          2.13300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410B3M4
        
          
          
        
        7938.52000000
        PA
        USD
        8401.39000000
        0.001238151161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          1.91499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414LUZ9
        
          
          
        
        985.85000000
        PA
        USD
        1003.08000000
        0.000147828474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Variable
          2.27999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405JMH4
        
          
          
        
        23786.98000000
        PA
        USD
        23966.13000000
        0.003531997884
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.07900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DBW9
        
          
          
        
        3498.36000000
        PA
        USD
        3509.16000000
        0.000517160914
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.54099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DVG1
        
          
          
        
        74571.02000000
        PA
        USD
        74822.58000000
        0.011026944870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.32300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413EES0
        
          
          
        
        37749.88000000
        PA
        USD
        37609.88000000
        0.005542739549
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XJG0
        
          
          
        
        20983.20000000
        PA
        USD
        21046.74000000
        0.003101754065
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406LDC9
        
          
          
        
        43032.64000000
        PA
        USD
        44134.92000000
        0.006504364453
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-11-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410QPW5
        
          
          
        
        378832.16000000
        PA
        USD
        381674.56000000
        0.056249120673
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          3.15399960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3136056A0
        
          
          
        
        310.80000000
        PA
        USD
        315.93000000
        0.000046560045
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-12-01
          Variable
          4.25000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378JZY6
        
          
          
        
        196.67000000
        PA
        USD
        197.02000000
        0.000029035735
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-12-01
          Variable
          1.15499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DJR8
        
          
          
        
        13780.45000000
        PA
        USD
        13876.08000000
        0.002044981196
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          1.76900040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409CCW3
        
          
          
        
        663962.86000000
        PA
        USD
        673104.39000000
        0.099198463892
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          2.05700040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412EPK6
        
          
          
        
        108962.74000000
        PA
        USD
        113307.69000000
        0.016698671056
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.67699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368WY87
        
          
          
        
        11264.76000000
        PA
        USD
        11302.47000000
        0.001665696552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-01
          Variable
          2.87799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410WFS2
        
          
          
        
        43427.04000000
        PA
        USD
        43541.26000000
        0.006416874072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Variable
          1.81400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402C5W8
        
          
          
        
        8104.71000000
        PA
        USD
        8142.00000000
        0.001199923674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.06499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371WZW8
        
          
          
        
        4050.81000000
        PA
        USD
        4043.95000000
        0.000595975355
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-01
          Variable
          2.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401D6G1
        
          
          
        
        4755.46000000
        PA
        USD
        4760.70000000
        0.000701606071
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411E4K0
        
          
          
        
        1014.96000000
        PA
        USD
        1076.98000000
        0.000158719454
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.09800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 15 Year
        3132D6AL4
        
          
          
        
        34186131.00000000
        PA
        USD
        35510162.59000000
        5.233294617940
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384VQ70
        
          
          
        
        3296.34000000
        PA
        USD
        3337.67000000
        0.000491887650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-12-01
          Variable
          1.82000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DHR4
        
          
          
        
        5354.58000000
        PA
        USD
        5404.63000000
        0.000796504972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.39600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31288QEM8
        
          
          
        
        4007696.72000000
        PA
        USD
        4238907.52000000
        0.624707134306
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Variable
          2.14599960
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138ELR88
        
          
          
        
        2267022.24000000
        PA
        USD
        2393592.65000000
        0.352754665683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.00599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RTY5
        
          
          
        
        2864.49000000
        PA
        USD
        2883.54000000
        0.000424960441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.31699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36225CZW9
        
          
          
        
        4358.06000000
        PA
        USD
        4424.25000000
        0.000652021900
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-09-20
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XMD6
        
          
          
        
        13167.59000000
        PA
        USD
        13870.10000000
        0.002044099896
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          1.99599840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RHU6
        
          
          
        
        20570.27000000
        PA
        USD
        21028.14000000
        0.003099012898
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407MSU0
        
          
          
        
        10176.85000000
        PA
        USD
        10612.94000000
        0.001564077371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.76600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390WQV7
        
          
          
        
        97382.81000000
        PA
        USD
        98542.46000000
        0.014522651769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          1.68400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403VQQ5
        
          
          
        
        84787.23000000
        PA
        USD
        84533.91000000
        0.012458147864
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          1.89299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391MDC4
        
          
          
        
        142130.16000000
        PA
        USD
        143761.12000000
        0.021186731929
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          1.66500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410YNX8
        
          
          
        
        100469.94000000
        PA
        USD
        100671.85000000
        0.014836469685
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.42499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410EKC1
        
          
          
        
        29981.16000000
        PA
        USD
        31763.13000000
        0.004681077335
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.28999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404U2U3
        
          
          
        
        305994.35000000
        PA
        USD
        308003.43000000
        0.045391870241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          1.96499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MVS8
        
          
          
        
        1424559.35000000
        PA
        USD
        1505429.79000000
        0.221862054214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Variable
          2.01800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31376RFH9
        
          
          
        
        24342.05000000
        PA
        USD
        24411.40000000
        0.003597619355
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-01
          Variable
          2.40800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405N7D1
        
          
          
        
        32530.43000000
        PA
        USD
        34141.40000000
        0.005031573832
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.00900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402GT52
        
          
          
        
        16244.60000000
        PA
        USD
        16398.85000000
        0.002416773317
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          1.92499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411BAT0
        
          
          
        
        45.93000000
        PA
        USD
        45.95000000
        0.000006771861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.32099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413YWH0
        
          
          
        
        60336.70000000
        PA
        USD
        60488.73000000
        0.008914500021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Variable
          2.14499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EKTS4
        
          
          
        
        127845.76000000
        PA
        USD
        135366.58000000
        0.019949590283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Variable
          2.00999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GS61
        
          
          
        
        683.80200000
        PA
        USD
        682.42000000
        0.000100571347
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Variable
          2.20299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402Q4W8
        
          
          
        
        78997.50000000
        PA
        USD
        79515.21000000
        0.011718519155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.59199920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388X3J1
        
          
          
        
        14289.90000000
        PA
        USD
        14516.52000000
        0.002139365760
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-01
          Variable
          1.31799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385Y6D2
        
          
          
        
        73136.00000000
        PA
        USD
        74329.98000000
        0.010954348161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-01
          Variable
          2.05400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411KEW9
        
          
          
        
        9001.00000000
        PA
        USD
        9036.19000000
        0.001331704533
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.22800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405RNA0
        
          
          
        
        2432.77000000
        PA
        USD
        2514.15000000
        0.000370521752
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.80200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391A7F0
        
          
          
        
        7777.46000000
        PA
        USD
        7809.83000000
        0.001150970266
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Variable
          2.14599960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385JFR4
        
          
          
        
        60340.88000000
        PA
        USD
        60513.35000000
        0.008918128382
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Variable
          2.30699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CWE8
        
          
          
        
        71605.19000000
        PA
        USD
        71866.14000000
        0.010591240823
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.34799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, REMIC, Series 2019-38, Class CF
        3136B5EY7
        
          
          
        
        2152097.47000000
        PA
        USD
        2172888.45000000
        0.320228481127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-25
          Floating
          0.53925120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412DZV3
        
          
          
        
        21732.75000000
        PA
        USD
        23398.09000000
        0.003448283238
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.26000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CXQ0
        
          
          
        
        1361.56000000
        PA
        USD
        1365.83000000
        0.000201288596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.36800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411UJF9
        
          
          
        
        2141.65900000
        PA
        USD
        2134.87000000
        0.000314625528
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.00999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407DNH4
        
          
          
        
        1480.98000000
        PA
        USD
        1538.24000000
        0.000226697444
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.27400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404QS42
        
          
          
        
        2070.16000000
        PA
        USD
        2100.68000000
        0.000309586792
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.89100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411SVN3
        
          
          
        
        152900.06000000
        PA
        USD
        152630.78000000
        0.022493894176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Variable
          2.19499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HKE1
        
          
          
        
        842179.41000000
        PA
        USD
        861761.71000000
        0.127001753581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.21799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404V2S6
        
          
          
        
        3244.96000000
        PA
        USD
        3310.65000000
        0.000487905589
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.35699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RSX8
        
          
          
        
        19917.85000000
        PA
        USD
        21225.83000000
        0.003128147375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.33700120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400SJL4
        
          
          
        
        70980.20000000
        PA
        USD
        71118.31000000
        0.010481029705
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.39799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406NBG8
        
          
          
        
        279419.98000000
        PA
        USD
        280232.08000000
        0.041299079730
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.93399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404GNH0
        
          
          
        
        9839.13000000
        PA
        USD
        9846.69000000
        0.001451151614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          1.75500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406UNY0
        
          
          
        
        29234.78000000
        PA
        USD
        29610.41000000
        0.004363821170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          2.08199880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HUG5
        
          
          
        
        18953.02000000
        PA
        USD
        18997.31000000
        0.002799720218
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-02-01
          Variable
          2.47100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31381JNU2
        
          
          
        
        28989.79000000
        PA
        USD
        29088.63000000
        0.004286924072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          3.80000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DKW9
        
          
          
        
        69438.50000000
        PA
        USD
        72164.15000000
        0.010635159916
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.07900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404QLK3
        
          
          
        
        15747.28000000
        PA
        USD
        15878.39000000
        0.002340070753
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.88300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402NY44
        
          
          
        
        22423.59000000
        PA
        USD
        22590.64000000
        0.003329285649
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          1.80500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300MHK2
        
          
          
        
        2049583.24000000
        PA
        USD
        2179409.70000000
        0.321189547482
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Variable
          2.23200000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386QEQ0
        
          
          
        
        1880.86000000
        PA
        USD
        1856.15000000
        0.000273549291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-01
          Variable
          1.55599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406GW47
        
          
          
        
        182921.12000000
        PA
        USD
        183492.29000000
        0.027042095660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          2.04300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407CCN5
        
          
          
        
        53879.79000000
        PA
        USD
        55097.42000000
        0.008119958077
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.75600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31366MTN4
        
          
          
        
        555.50000000
        PA
        USD
        556.46000000
        0.000082008048
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-04-01
          Variable
          1.69999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410RM30
        
          
          
        
        259101.21000000
        PA
        USD
        274541.35000000
        0.040460410895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.17900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EJJ66
        
          
          
        
        10584.75000000
        PA
        USD
        11100.42000000
        0.001635919522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.00800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412A2U7
        
          
          
        
        61120.88000000
        PA
        USD
        60785.06000000
        0.008958171524
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.32999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404FPY3
        
          
          
        
        38380.24000000
        PA
        USD
        38657.73000000
        0.005697165982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.46999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408C2W5
        
          
          
        
        67255.50000000
        PA
        USD
        70776.79000000
        0.010430698345
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.03299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368QFQ1
        
          
          
        
        3416.90000000
        PA
        USD
        3441.80000000
        0.000507233763
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-12-01
          Variable
          3.75000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403AHD0
        
          
          
        
        18272.96000000
        PA
        USD
        18446.59000000
        0.002718558100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.04900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391TU30
        
          
          
        
        79301.20000000
        PA
        USD
        79873.81000000
        0.011771367673
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          1.95599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405MA80
        
          
          
        
        4699.82000000
        PA
        USD
        4743.47000000
        0.000699066808
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.85500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411EWY9
        
          
          
        
        493.12000000
        PA
        USD
        512.42000000
        0.000075517672
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402M4P2
        
          
          
        
        272578.48000000
        PA
        USD
        273358.98000000
        0.040286159635
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.09599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407GYA0
        
          
          
        
        10998.39000000
        PA
        USD
        11470.41000000
        0.001690446636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.81500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407DUF0
        
          
          
        
        2146.27000000
        PA
        USD
        2230.35000000
        0.000328696851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CG75
        
          
          
        
        983231.23000000
        PA
        USD
        1031439.87000000
        0.152007997899
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          1.83899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365DDP7
        
          
          
        
        5198.96000000
        PA
        USD
        5204.08000000
        0.000766949004
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-07-01
          Variable
          2.14599960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402A4W3
        
          
          
        
        3457.71000000
        PA
        USD
        3491.66000000
        0.000514581859
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365DBQ7
        
          
          
        
        2356.10000000
        PA
        USD
        2371.10000000
        0.000349439821
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-05-01
          Variable
          4.74999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406KAA8
        
          
          
        
        36951.27000000
        PA
        USD
        37106.93000000
        0.005468617513
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RPT0
        
          
          
        
        44292.33000000
        PA
        USD
        44654.03000000
        0.006580868062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.32500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373YMM8
        
          
          
        
        533.20000000
        PA
        USD
        534.63000000
        0.000078790861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-02-01
          Variable
          2.13000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DSC5
        
          
          
        
        16468.92000000
        PA
        USD
        16394.68000000
        0.002416158765
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.37200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410G3Q4
        
          
          
        
        108701.41000000
        PA
        USD
        109898.73000000
        0.016196277073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.95800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403CWU1
        
          
          
        
        96494.33000000
        PA
        USD
        101534.05000000
        0.014963536031
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.88100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XK63
        
          
          
        
        28823.45000000
        PA
        USD
        29805.79000000
        0.004392615212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          1.58100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402XXU5
        
          
          
        
        105928.65000000
        PA
        USD
        107294.14000000
        0.015812426765
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.74899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405JWZ3
        
          
          
        
        10144.17000000
        PA
        USD
        10206.62000000
        0.001504196140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.26900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S4EN3
        
          
          
        
        127551.76000000
        PA
        USD
        128705.08000000
        0.018967854646
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.01800160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388JK53
        
          
          
        
        18278.43000000
        PA
        USD
        18328.52000000
        0.002701157586
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Variable
          2.34200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408EQJ4
        
          
          
        
        33730.40000000
        PA
        USD
        33878.20000000
        0.004992784847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.86599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405KMQ1
        
          
          
        
        3382.14000000
        PA
        USD
        3415.75000000
        0.000503394656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.32300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386CLJ9
        
          
          
        
        9091.37000000
        PA
        USD
        9109.31000000
        0.001342480561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-01
          Variable
          2.22999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379PNZ1
        
          
          
        
        5519.97000000
        PA
        USD
        5553.81000000
        0.000818490309
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-05-01
          Variable
          2.45000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406VLK0
        
          
          
        
        49029.26000000
        PA
        USD
        49360.13000000
        0.007274427482
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.61399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378QJU6
        
          
          
        
        1967.42000000
        PA
        USD
        1973.92000000
        0.000290905593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Variable
          2.45000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403CWP2
        
          
          
        
        5029.27000000
        PA
        USD
        5354.44000000
        0.000789108243
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.37300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401JCY2
        
          
          
        
        82250.99000000
        PA
        USD
        82641.55000000
        0.012179262140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-01-01
          Variable
          2.66199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DET2
        
          
          
        
        7935.82000000
        PA
        USD
        8309.34000000
        0.001224585333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.39500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404AY65
        
          
          
        
        37388.27000000
        PA
        USD
        37532.19000000
        0.005531290019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Variable
          2.17299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391RTQ5
        
          
          
        
        198850.43000000
        PA
        USD
        200346.39000000
        0.029525961247
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Variable
          3.36899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403JRR9
        
          
          
        
        36517.60000000
        PA
        USD
        36850.74000000
        0.005430861625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XUU9
        
          
          
        
        3143.55000000
        PA
        USD
        3118.67000000
        0.000459612621
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.26600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        313612HK2
        
          
          
        
        2725.44000000
        PA
        USD
        2773.32000000
        0.000408716817
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-04-01
          Variable
          4.05600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407AZX2
        
          
          
        
        42012.79000000
        PA
        USD
        42134.40000000
        0.006209538697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.26000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407AZQ7
        
          
          
        
        54617.29000000
        PA
        USD
        55404.12000000
        0.008165157855
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.68699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373TSF8
        
          
          
        
        25820.11000000
        PA
        USD
        26071.12000000
        0.003842219861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-10-01
          Variable
          2.19999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410QKA8
        
          
          
        
        84148.37000000
        PA
        USD
        84375.59000000
        0.012434815523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.28300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404JQS7
        
          
          
        
        22984.58000000
        PA
        USD
        23148.27000000
        0.003411466126
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.94100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31380TF30
        
          
          
        
        5501.65000000
        PA
        USD
        5490.47000000
        0.000809155605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Variable
          2.49000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA, Series 2010-12, Class FD
        38376TAF9
        
          
          
        
        844787.56400000
        PA
        USD
        855688.96000000
        0.126106784716
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-01-16
          Floating
          0.69113160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411E3J4
        
          
          
        
        62326.10400000
        PA
        USD
        62997.42000000
        0.009284217108
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.93799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31342AZT9
        
          
          
        
        342781.04000000
        PA
        USD
        350090.54000000
        0.051594439595
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.36499840
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385JPQ5
        
          
          
        
        139725.38000000
        PA
        USD
        139927.63000000
        0.020621773024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-01
          Variable
          2.38399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374WF98
        
          
          
        
        327.40000000
        PA
        USD
        327.40000000
        0.000048250431
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-01
          Variable
          2.22999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401G5B6
        
          
          
        
        175658.76000000
        PA
        USD
        177387.44000000
        0.026142396072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.72800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409VJH7
        
          
          
        
        149046.50900000
        PA
        USD
        148748.23000000
        0.021921705075
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.23999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RD89
        
          
          
        
        1045948.75000000
        PA
        USD
        1096270.86000000
        0.161562436581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.79200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405QDY1
        
          
          
        
        157451.64300000
        PA
        USD
        157689.84000000
        0.023239470922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.85000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RTR0
        
          
          
        
        60049.97000000
        PA
        USD
        61105.10000000
        0.009005337279
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.39000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407DNZ4
        
          
          
        
        67921.61000000
        PA
        USD
        67767.04000000
        0.009987137761
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          2.44000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408FN88
        
          
          
        
        57594.63000000
        PA
        USD
        58076.30000000
        0.008558969209
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.77300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407DUK9
        
          
          
        
        16848.94000000
        PA
        USD
        17559.19000000
        0.002587777915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGR63
        
          
          
        
        1535938.46000000
        PA
        USD
        1624355.00000000
        0.239388604813
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.05899840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412V7C6
        
          
          
        
        53031.53000000
        PA
        USD
        54501.06000000
        0.008032069784
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.36500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404GPK1
        
          
          
        
        94051.10000000
        PA
        USD
        94775.33000000
        0.013967472639
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.86500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406YCH1
        
          
          
        
        178441.29000000
        PA
        USD
        179756.80000000
        0.026491579462
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.08500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391SHX1
        
          
          
        
        3841.38000000
        PA
        USD
        3845.78000000
        0.000566770138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.41499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31367RYK2
        
          
          
        
        420.35000000
        PA
        USD
        421.58000000
        0.000062130167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-01
          Variable
          1.80500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401CV83
        
          
          
        
        9856.60000000
        PA
        USD
        10003.91000000
        0.001474321843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408FPJ2
        
          
          
        
        234964.70400000
        PA
        USD
        245403.99000000
        0.036166305260
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.21000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3140JBHL3
        
          
          
        
        8424999.30000000
        PA
        USD
        8927112.83000000
        1.315629333112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Variable
          2.04599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409WCN9
        
          
          
        
        13021.54000000
        PA
        USD
        13674.89000000
        0.002015330908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.82999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404HVC0
        
          
          
        
        257117.38000000
        PA
        USD
        260322.34000000
        0.038364890540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.18599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389TGC0
        
          
          
        
        116884.60000000
        PA
        USD
        116784.00000000
        0.017210990716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Variable
          2.57699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WSB0
        
          
          
        
        2756.75000000
        PA
        USD
        2774.34000000
        0.000408867139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.78499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402MM72
        
          
          
        
        51906.95000000
        PA
        USD
        52497.11000000
        0.007736738532
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.31599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375VE25
        
          
          
        
        4434.79000000
        PA
        USD
        4440.03000000
        0.000654347471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.19999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DQ36
        
          
          
        
        533621.40000000
        PA
        USD
        561492.11000000
        0.082749653140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.29399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DK81
        
          
          
        
        13747.53000000
        PA
        USD
        14160.08000000
        0.002086835571
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.01800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404TAR4
        
          
          
        
        13874.33000000
        PA
        USD
        14030.58000000
        0.002067750566
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RNB1
        
          
          
        
        14797.89000000
        PA
        USD
        14792.75000000
        0.002180075035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.31400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412BTN2
        
          
          
        
        19280.60000000
        PA
        USD
        19389.85000000
        0.002857570628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.62599840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DAD8
        
          
          
        
        104585.60000000
        PA
        USD
        106071.65000000
        0.015632262838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390XAF7
        
          
          
        
        905.22000000
        PA
        USD
        899.68000000
        0.000132589944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        31418DYN6
        
          
          
        
        6743201.64000000
        PA
        USD
        7096652.35000000
        1.045866023691
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36225C2Y1
        
          
          
        
        146205.78000000
        PA
        USD
        152950.39000000
        0.022540996560
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-12-20
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401D3F6
        
          
          
        
        14283.42000000
        PA
        USD
        14894.68000000
        0.002195096924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.41499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391SGL8
        
          
          
        
        26663.12000000
        PA
        USD
        26757.74000000
        0.003943410182
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407MSQ9
        
          
          
        
        168695.93000000
        PA
        USD
        175929.33000000
        0.025927507751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.77099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RKW8
        
          
          
        
        133029.34000000
        PA
        USD
        140779.41000000
        0.020747303727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.05400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128LUK88
        
          
          
        
        1337783.21000000
        PA
        USD
        1424671.43000000
        0.209960326372
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.21600160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391XNY1
        
          
          
        
        1827.45000000
        PA
        USD
        1833.56000000
        0.000270220099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.33499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300MGN7
        
          
          
        
        759375.41000000
        PA
        USD
        812659.67000000
        0.119765361998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.37399840
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, REMIC, Series 2020-54, Class WF
        3136BBGN6
        
          
          
        
        8263194.25200000
        PA
        USD
        8293608.59000000
        1.222266923936
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          0.54213120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, REMIC, Series 2021-36, Class YF
        3136BHPA1
        
          
          
        
        9544453.70000000
        PA
        USD
        9548329.70000000
        1.407180896530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2061-06-25
          Floating
          0.20999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373XC90
        
          
          
        
        1478.95000000
        PA
        USD
        1487.99000000
        0.000219291872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-12-01
          Variable
          2.20899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406CT32
        
          
          
        
        28408.42000000
        PA
        USD
        28676.96000000
        0.004226254386
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.84799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31362JUN3
        
          
          
        
        616.93000000
        PA
        USD
        635.18000000
        0.000093609373
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Variable
          4.15299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400PAT2
        
          
          
        
        178193.18000000
        PA
        USD
        178558.58000000
        0.026314992316
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          2.01999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401CR21
        
          
          
        
        4643.54000000
        PA
        USD
        4674.35000000
        0.000688880278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.30199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405D4L8
        
          
          
        
        25592.84000000
        PA
        USD
        25718.38000000
        0.003790234958
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.55099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CDW3
        
          
          
        
        86484.04000000
        PA
        USD
        89867.04000000
        0.013244115556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Variable
          1.82000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405ARB1
        
          
          
        
        217752.30000000
        PA
        USD
        216998.62000000
        0.031980076330
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.41200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406PKY4
        
          
          
        
        18422.63000000
        PA
        USD
        18368.19000000
        0.002707003935
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.29399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CRK0
        
          
          
        
        3240.18000000
        PA
        USD
        3266.66000000
        0.000481422582
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.66700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407XWX5
        
          
          
        
        15110.42000000
        PA
        USD
        15104.70000000
        0.002226048529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.27199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404AUY8
        
          
          
        
        30823.60000000
        PA
        USD
        31151.86000000
        0.004590991687
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.52500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411YBW2
        
          
          
        
        131547.77000000
        PA
        USD
        132665.11000000
        0.019551462328
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Variable
          1.84399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DHF0
        
          
          
        
        31720.68000000
        PA
        USD
        31650.37000000
        0.004664459379
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.03400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405WHT5
        
          
          
        
        65268.85000000
        PA
        USD
        65920.72000000
        0.009715037161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.19099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DNA4
        
          
          
        
        1315.45000000
        PA
        USD
        1342.72000000
        0.000197882770
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.36999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KXH2
        
          
          
        
        36045.76000000
        PA
        USD
        36466.41000000
        0.005374221160
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Variable
          1.98500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409UUT0
        
          
          
        
        525198.07000000
        PA
        USD
        555506.52000000
        0.081867529442
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413DTG2
        
          
          
        
        2436.95000000
        PA
        USD
        2439.65000000
        0.000359542347
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          2.14400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5QL1
        
          
          
        
        775395.17000000
        PA
        USD
        831775.17000000
        0.122582500417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.31500160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PLR9
        
          
          
        
        290395.62000000
        PA
        USD
        303837.53000000
        0.044777922558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.87099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31380ADC3
        
          
          
        
        40097.97000000
        PA
        USD
        39954.74000000
        0.005888312261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Variable
          2.20899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405MCX3
        
          
          
        
        24947.86000000
        PA
        USD
        25020.44000000
        0.003687376357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.55800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406L3Q9
        
          
          
        
        66577.39000000
        PA
        USD
        66980.93000000
        0.009871285145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.30000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406X2J0
        
          
          
        
        39258.44000000
        PA
        USD
        40731.18000000
        0.006002739766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.59699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418M6F4
        
          
          
        
        125374.63000000
        PA
        USD
        126204.73000000
        0.018599366662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Variable
          2.35299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PDD9
        
          
          
        
        73208.88000000
        PA
        USD
        76710.67000000
        0.011305201304
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.92200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402Q4F5
        
          
          
        
        2239.92000000
        PA
        USD
        2252.88000000
        0.000332017200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          2.23200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402C3F7
        
          
          
        
        106038.23000000
        PA
        USD
        106158.26000000
        0.015645026949
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-09-01
          Variable
          3.11500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405KMH1
        
          
          
        
        39889.69000000
        PA
        USD
        39892.98000000
        0.005879210409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.27300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EQBQ4
        
          
          
        
        199418.54000000
        PA
        USD
        212298.86000000
        0.031287451264
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.38299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PKE9
        
          
          
        
        28500.54000000
        PA
        USD
        28739.40000000
        0.004235456454
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DLW8
        
          
          
        
        27950.35000000
        PA
        USD
        28191.88000000
        0.004154765934
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          2.20299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KD27
        
          
          
        
        551093.82000000
        PA
        USD
        559314.63000000
        0.082428747981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          2.19099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406UDS4
        
          
          
        
        69548.28000000
        PA
        USD
        73686.85000000
        0.010859567160
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.29299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RHA0
        
          
          
        
        4297.55000000
        PA
        USD
        4331.81000000
        0.000638398596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.34399960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128QGFA5
        
          
          
        
        291985.26000000
        PA
        USD
        296313.91000000
        0.043669132364
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          1.87499880
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410EM88
        
          
          
        
        6954.70400000
        PA
        USD
        6976.75000000
        0.001028195467
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          1.80299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DHM4
        
          
          
        
        3830886.17000000
        PA
        USD
        4040113.16000000
        0.595409902799
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.99100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31376PMT9
        
          
          
        
        1200.86000000
        PA
        USD
        1199.41000000
        0.000176762522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-07-01
          Variable
          2.37200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400U3Z5
        
          
          
        
        46768.10000000
        PA
        USD
        46976.05000000
        0.006923074739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          1.99900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EJPA0
        
          
          
        
        673656.57000000
        PA
        USD
        719245.56000000
        0.105998498558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Variable
          2.29600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406MA71
        
          
          
        
        17081.46000000
        PA
        USD
        17277.96000000
        0.002546331767
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.72299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403LLM1
        
          
          
        
        12627.41000000
        PA
        USD
        12654.92000000
        0.001865013277
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406X2K7
        
          
          
        
        53017.39000000
        PA
        USD
        54542.35000000
        0.008038154879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.67799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410MHD5
        
          
          
        
        1124873.73000000
        PA
        USD
        1176191.90000000
        0.173340764755
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          1.91099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31381JFR8
        
          
          
        
        58194.91000000
        PA
        USD
        59401.86000000
        0.008754323032
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.74299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371LK99
        
          
          
        
        6651.36000000
        PA
        USD
        6692.20000000
        0.000986260036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403AVC6
        
          
          
        
        32579.77000000
        PA
        USD
        32824.25000000
        0.004837459429
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.13000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404WC38
        
          
          
        
        53568.84000000
        PA
        USD
        53796.65000000
        0.007928257669
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          2.27300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WSP9
        
          
          
        
        84970.35000000
        PA
        USD
        88537.13000000
        0.013048120653
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.77300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414KPM6
        
          
          
        
        14906.48000000
        PA
        USD
        14895.89000000
        0.002195275247
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Variable
          2.38299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402G7L1
        
          
          
        
        5631.91000000
        PA
        USD
        5631.87000000
        0.000829994368
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.21500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402Q4R9
        
          
          
        
        24024.67000000
        PA
        USD
        24691.36000000
        0.003638878337
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.27800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401L5Z2
        
          
          
        
        147782.00000000
        PA
        USD
        157966.98000000
        0.023280314308
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391SJK7
        
          
          
        
        2126.95000000
        PA
        USD
        2127.80000000
        0.000313583590
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          2.41499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409JU99
        
          
          
        
        16179.26000000
        PA
        USD
        16112.39000000
        0.002374556400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          2.63999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405UMM8
        
          
          
        
        8593.73000000
        PA
        USD
        8630.77000000
        0.001271955938
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.09199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402BTK0
        
          
          
        
        29288.68000000
        PA
        USD
        29590.48000000
        0.004360883995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.14499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404VKH0
        
          
          
        
        35135.34000000
        PA
        USD
        35194.10000000
        0.005186715032
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.02500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WSA2
        
          
          
        
        18544.41000000
        PA
        USD
        18608.60000000
        0.002742434253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.78499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401EWC9
        
          
          
        
        64748.07000000
        PA
        USD
        64790.42000000
        0.009548459695
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-01
          Variable
          2.27300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416B5H7
        
          
          
        
        356627.77000000
        PA
        USD
        376461.67000000
        0.055480873298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.88200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407BVH9
        
          
          
        
        50579.51000000
        PA
        USD
        51787.18000000
        0.007632112910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.87800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413RBC9
        
          
          
        
        15465.89000000
        PA
        USD
        16622.96000000
        0.002449801430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.42899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S6AS1
        
          
          
        
        719402.09000000
        PA
        USD
        763075.46000000
        0.112457910824
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.10200040
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JMV38
        
          
          
        
        1670042.28000000
        PA
        USD
        1772416.77000000
        0.261209143148
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.19200040
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138ELXF5
        
          
          
        
        647288.08000000
        PA
        USD
        657908.94000000
        0.096959041121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408BT65
        
          
          
        
        300030.68000000
        PA
        USD
        305453.35000000
        0.045016053320
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          2.89100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CGR1
        
          
          
        
        165547.62000000
        PA
        USD
        173379.51000000
        0.025551729149
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.31199920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31387TZK3
        
          
          
        
        149233.80000000
        PA
        USD
        150146.30000000
        0.022127745027
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Variable
          2.80800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411JU79
        
          
          
        
        1110996.64000000
        PA
        USD
        1182829.31000000
        0.174318950139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          2.20200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379LCM1
        
          
          
        
        74005.10000000
        PA
        USD
        74056.86000000
        0.010914097221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Variable
          2.43200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31361HL57
        
          
          
        
        3193.64000000
        PA
        USD
        3256.35000000
        0.000479903151
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-08-01
          Variable
          3.49999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31366VA20
        
          
          
        
        83.02000000
        PA
        USD
        83.55000000
        0.000012313144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-05-01
          Variable
          4.74999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409JLH1
        
          
          
        
        4666.65000000
        PA
        USD
        4698.93000000
        0.000692502745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          2.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QWK3
        
          
          
        
        658.98000000
        PA
        USD
        661.90000000
        0.000097547221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.35900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386G6R9
        
          
          
        
        48006.57000000
        PA
        USD
        48632.93000000
        0.007167256702
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400JMH9
        
          
          
        
        12227.44000000
        PA
        USD
        13062.24000000
        0.001925041883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.24899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DHG8
        
          
          
        
        45188.26000000
        PA
        USD
        46649.44000000
        0.006874940734
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.56899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403QMV9
        
          
          
        
        84188.34000000
        PA
        USD
        87498.50000000
        0.012895053013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          1.77599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404GV40
        
          
          
        
        2249.69000000
        PA
        USD
        2401.46000000
        0.000353914112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.14999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31417SC24
        
          
          
        
        245285.47000000
        PA
        USD
        258849.71000000
        0.038147862341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Variable
          2.02500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410F6X8
        
          
          
        
        3905.93000000
        PA
        USD
        3966.55000000
        0.000584568564
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.31900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGJB1
        
          
          
        
        302521.59000000
        PA
        USD
        320181.67000000
        0.047186633013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.03100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RRV3
        
          
          
        
        1290.16000000
        PA
        USD
        1292.09000000
        0.000190421196
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.15499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403VQK8
        
          
          
        
        26059.53000000
        PA
        USD
        26145.42000000
        0.003853169791
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          1.90100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405N7J8
        
          
          
        
        5271.14000000
        PA
        USD
        5499.92000000
        0.000810548294
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.80500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EHG55
        
          
          
        
        26339.71000000
        PA
        USD
        26407.23000000
        0.003891753924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403C4Q1
        
          
          
        
        3242.01000000
        PA
        USD
        3305.34000000
        0.000487123031
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.41400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407JL26
        
          
          
        
        123974.25000000
        PA
        USD
        124528.30000000
        0.018352303527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.99800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XPZ4
        
          
          
        
        659.61000000
        PA
        USD
        662.51000000
        0.000097637120
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Variable
          2.31500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31383Q3G7
        
          
          
        
        1402.01000000
        PA
        USD
        1399.66000000
        0.000206274277
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Variable
          2.61500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, REMIC, Series 4215, Class KF
        3137B34M7
        
          
          
        
        3704976.23400000
        PA
        USD
        3723246.21000000
        0.548711775190
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-15
          Floating
          0.39213000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EH7E6
        
          
          
        
        233768.54000000
        PA
        USD
        235164.24000000
        0.034657226601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.66100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416BNZ7
        
          
          
        
        20516.31000000
        PA
        USD
        22046.63000000
        0.003249112414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Variable
          2.12199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31362GM40
        
          
          
        
        2819.50000000
        PA
        USD
        2886.57000000
        0.000425406986
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-01-01
          Variable
          4.48499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405BD57
        
          
          
        
        52651.94000000
        PA
        USD
        52918.52000000
        0.007798843646
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.35000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386C3H3
        
          
          
        
        98050.60000000
        PA
        USD
        98783.92000000
        0.014558236830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416B4U9
        
          
          
        
        7030.42000000
        PA
        USD
        7177.18000000
        0.001057733750
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Variable
          1.78200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410B5X8
        
          
          
        
        41755.44000000
        PA
        USD
        42288.32000000
        0.006232222589
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          1.97700120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RCM9
        
          
          
        
        1262.69000000
        PA
        USD
        1345.97000000
        0.000198361737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.30400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410QQR5
        
          
          
        
        9009.96000000
        PA
        USD
        9088.97000000
        0.001339482962
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.29500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408BQB7
        
          
          
        
        218258.08000000
        PA
        USD
        218020.76000000
        0.032130713764
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          2.11200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402GTK9
        
          
          
        
        21832.48000000
        PA
        USD
        21850.54000000
        0.003220213737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          1.86000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CR61
        
          
          
        
        2777.65000000
        PA
        USD
        2909.26000000
        0.000428750914
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.35699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406PDR7
        
          
          
        
        177924.06000000
        PA
        USD
        183303.06000000
        0.027014207972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.33300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408DCA0
        
          
          
        
        19204.51000000
        PA
        USD
        19484.22000000
        0.002871478366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.11399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405HB80
        
          
          
        
        33405.71000000
        PA
        USD
        34809.67000000
        0.005130059830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          1.83499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414UQ27
        
          
          
        
        128433.77000000
        PA
        USD
        129109.15000000
        0.019027404284
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5W75
        
          
          
        
        1612616.30000000
        PA
        USD
        1712692.61000000
        0.252407321295
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Variable
          2.20500000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391NM40
        
          
          
        
        3011.33000000
        PA
        USD
        3016.75000000
        0.000444592206
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          2.04500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WZK8
        
          
          
        
        23555.90000000
        PA
        USD
        23616.86000000
        0.003480524371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.28800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DFN5
        
          
          
        
        985090.01000000
        PA
        USD
        1027947.18000000
        0.151493264244
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.81599840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EHVL3
        
          
          
        
        137419.76000000
        PA
        USD
        140488.12000000
        0.020704374991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Variable
          1.67400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300LN50
        
          
          
        
        2110360.58000000
        PA
        USD
        2249943.42000000
        0.331584423493
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          2.37600000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384VSV5
        
          
          
        
        97378.52000000
        PA
        USD
        101211.59000000
        0.014916013630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.49900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405XYA5
        
          
          
        
        251377.09000000
        PA
        USD
        252639.96000000
        0.037232703161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.72500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406TTN1
        
          
          
        
        1170.61000000
        PA
        USD
        1177.04000000
        0.000173465753
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          2.11500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401CU76
        
          
          
        
        13185.24000000
        PA
        USD
        13180.64000000
        0.001942491031
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.17800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407AZR5
        
          
          
        
        40256.44000000
        PA
        USD
        40564.60000000
        0.005978190111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.82999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407MGQ2
        
          
          
        
        356671.63000000
        PA
        USD
        362091.29000000
        0.053363044856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.86000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409ASN0
        
          
          
        
        6685.20000000
        PA
        USD
        6759.78000000
        0.000996219609
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.29500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401CXK4
        
          
          
        
        7512.79000000
        PA
        USD
        7558.03000000
        0.001113861352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.85199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GJK0
        
          
          
        
        4008.58000000
        PA
        USD
        4119.15000000
        0.000607057922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Variable
          2.39100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405QYJ1
        
          
          
        
        22817.97000000
        PA
        USD
        23046.69000000
        0.003396495818
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.41499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404DTS7
        
          
          
        
        121417.87000000
        PA
        USD
        123381.50000000
        0.018183294381
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XEK9
        
          
          
        
        56488.92000000
        PA
        USD
        56822.90000000
        0.008374249934
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.35699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S4A49
        
          
          
        
        402030.28000000
        PA
        USD
        426022.96000000
        0.062784946648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.15100000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401KL29
        
          
          
        
        57963.70000000
        PA
        USD
        62024.06000000
        0.009140768605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          2.30400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368HA29
        
          
          
        
        2125.03000000
        PA
        USD
        2134.33000000
        0.000314545946
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Variable
          1.67000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S4GM3
        
          
          
        
        476485.77000000
        PA
        USD
        478628.66000000
        0.070537688584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.20200120
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406V3E4
        
          
          
        
        1487.18000000
        PA
        USD
        1498.07000000
        0.000220777408
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.71100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RBC2
        
          
          
        
        7551.81000000
        PA
        USD
        7599.87000000
        0.001120027503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.31800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406AKA9
        
          
          
        
        125726.29000000
        PA
        USD
        130992.28000000
        0.019304929741
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.79499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375DHB2
        
          
          
        
        26209.92000000
        PA
        USD
        26213.48000000
        0.003863200103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.32499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403NBV8
        
          
          
        
        3365.12000000
        PA
        USD
        3380.94000000
        0.000498264547
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.31999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402EM70
        
          
          
        
        47266.45000000
        PA
        USD
        47600.48000000
        0.007015099836
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.13599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405KMW8
        
          
          
        
        13349.47000000
        PA
        USD
        13365.53000000
        0.001969739114
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.17000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411EZA8
        
          
          
        
        3187.51000000
        PA
        USD
        3331.37000000
        0.000490959190
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.21600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373CSC2
        
          
          
        
        9881176.49000000
        PA
        USD
        10589749.73000000
        1.560659716127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.98100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5EK6
        
          
          
        
        295947.54000000
        PA
        USD
        298141.70000000
        0.043938502113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Variable
          2.23400160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405VG76
        
          
          
        
        21808.28000000
        PA
        USD
        21933.66000000
        0.003232463510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412DPT9
        
          
          
        
        16377.85000000
        PA
        USD
        16493.96000000
        0.002430790111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400WR77
        
          
          
        
        58281.05000000
        PA
        USD
        58708.91000000
        0.008652199830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.81699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400ARQ3
        
          
          
        
        214.87000000
        PA
        USD
        216.28000000
        0.000031874170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.24899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408DRK2
        
          
          
        
        44304.50000000
        PA
        USD
        44821.57000000
        0.006605559196
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          1.83899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375PW51
        
          
          
        
        12793.16000000
        PA
        USD
        12807.77000000
        0.001887539479
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-01
          Variable
          2.16500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404ULA6
        
          
          
        
        37432.48000000
        PA
        USD
        37489.76000000
        0.005525036916
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          2.40000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404MPD4
        
          
          
        
        19534.06000000
        PA
        USD
        19566.48000000
        0.002883601397
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407YRJ0
        
          
          
        
        119308.73000000
        PA
        USD
        125313.34000000
        0.018467998453
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.07900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PAH3
        
          
          
        
        2536.93000000
        PA
        USD
        2557.01000000
        0.000376838225
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.76600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410QEE7
        
          
          
        
        8373.99000000
        PA
        USD
        8850.37000000
        0.001304319392
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.22500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407FUV0
        
          
          
        
        7179.60000000
        PA
        USD
        7674.02000000
        0.001130955327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.31300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419BA21
        
          
          
        
        215189.05000000
        PA
        USD
        227960.34000000
        0.033595555002
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Variable
          2.00800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405YPX3
        
          
          
        
        131636.07000000
        PA
        USD
        134634.56000000
        0.019841709157
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-09-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409UWF8
        
          
          
        
        12005.59000000
        PA
        USD
        12547.54000000
        0.001849188197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.83899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402AFW1
        
          
          
        
        7159.47000000
        PA
        USD
        7153.20000000
        0.001054199708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.15200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406MAP1
        
          
          
        
        8005.25000000
        PA
        USD
        8417.86000000
        0.001240578420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.06899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401D3Z2
        
          
          
        
        3360.82000000
        PA
        USD
        3411.63000000
        0.000502787473
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.27999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FZH1
        
          
          
        
        112354.96000000
        PA
        USD
        113473.48000000
        0.016723104284
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.88899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407T2S8
        
          
          
        
        60921.03000000
        PA
        USD
        63776.55000000
        0.009399041049
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.26199880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375JDP2
        
          
          
        
        18761.96000000
        PA
        USD
        18876.52000000
        0.002781918845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-11-01
          Variable
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QZV6
        
          
          
        
        62078.80000000
        PA
        USD
        66233.92000000
        0.009761194874
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.32499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405QDU9
        
          
          
        
        29794.54200000
        PA
        USD
        30131.03000000
        0.004440547314
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          1.47499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412SKY0
        
          
          
        
        2607.71000000
        PA
        USD
        2635.06000000
        0.000388340810
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386M2G4
        
          
          
        
        10661.08000000
        PA
        USD
        10686.39000000
        0.001574902033
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-09-01
          Variable
          3.11500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400BWB8
        
          
          
        
        22438.52000000
        PA
        USD
        22423.83000000
        0.003304702099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          2.04500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407KHE2
        
          
          
        
        4410.44000000
        PA
        USD
        4439.32000000
        0.000654242835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          1.97499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas Securities Corp.
        2J5703FH5U5M97R1I237
        BNP Paribas Securities Corp.
        N/A
        
          
        
        13025792.96087940
        PA
        USD
        13025792.96087940
        1.919670517526
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.02627799
          2021-08-02
          
            
              12551591.09269720
              USD
              13290190.83384100
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414R5F8
        
          
          
        
        21180.36000000
        PA
        USD
        21435.58000000
        0.003159059189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404JUL7
        
          
          
        
        16045.41000000
        PA
        USD
        16151.16000000
        0.002380270112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.55199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414DPA8
        
          
          
        
        14452.80000000
        PA
        USD
        14669.60000000
        0.002161925858
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.14899840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DTT6
        
          
          
        
        11438.52000000
        PA
        USD
        11611.17000000
        0.001711191079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          2.33399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407EM67
        
          
          
        
        276346.18000000
        PA
        USD
        292843.77000000
        0.043157722005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.10499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378VKP4
        
          
          
        
        5252.60000000
        PA
        USD
        5233.15000000
        0.000771233183
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-06-01
          Variable
          2.23999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411DUK3
        
          
          
        
        203393.23000000
        PA
        USD
        217436.69000000
        0.032044636704
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.39500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374T2E8
        
          
          
        
        134278.39000000
        PA
        USD
        138613.91000000
        0.020428164116
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.90499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DM98
        
          
          
        
        4106.07000000
        PA
        USD
        4156.20000000
        0.000612518149
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.33100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138ERS68
        
          
          
        
        384563.92000000
        PA
        USD
        387438.75000000
        0.057098615643
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Variable
          2.34100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411GTW2
        
          
          
        
        128614.61000000
        PA
        USD
        137782.54000000
        0.020305641327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.37999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, REMIC, Series 4988, Class AF
        3137FUN26
        
          
          
        
        8507702.23700000
        PA
        USD
        8549458.89000000
        1.259972749545
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-15
          Floating
          0.44213040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JRJB3
        
          
          
        
        413304.60000000
        PA
        USD
        438952.61000000
        0.064690448139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.27499840
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5VZ4
        
          
          
        
        514061.20000000
        PA
        USD
        523506.93000000
        0.077151603918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.17100160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404P6G1
        
          
          
        
        79645.85000000
        PA
        USD
        80032.09000000
        0.011794694118
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.20899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31347AVZ4
        
          
          
        
        3373915.25000000
        PA
        USD
        3519643.39000000
        0.518705899002
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Variable
          2.04199920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413YLY5
        
          
          
        
        6641.15000000
        PA
        USD
        6631.95000000
        0.000977380718
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Variable
          1.86800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406XXN7
        
          
          
        
        50657.19000000
        PA
        USD
        50953.11000000
        0.007509192210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.39199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 15 Year
        3133G8AX9
        
          
          
        
        18370276.73000000
        PA
        USD
        19459807.00000000
        2.867880511139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RKL2
        
          
          
        
        540159.19000000
        PA
        USD
        544596.32000000
        0.080259643508
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.39600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CWB4
        
          
          
        
        436167.71000000
        PA
        USD
        438622.45000000
        0.064641790954
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.24200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373YXD6
        
          
          
        
        6170.37000000
        PA
        USD
        6216.75000000
        0.000916190801
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-01-01
          Variable
          2.00199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414EKD5
        
          
          
        
        12972.13000000
        PA
        USD
        13093.11000000
        0.001929591336
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Variable
          2.20600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375VEU3
        
          
          
        
        18948.97000000
        PA
        USD
        19012.04000000
        0.002801891046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.27900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DMZ9
        
          
          
        
        451649.40000000
        PA
        USD
        470045.54000000
        0.069272755043
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.71900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DQN2
        
          
          
        
        71484.04000000
        PA
        USD
        73014.82000000
        0.010760527034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.12299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401HJF0
        
          
          
        
        53338.25000000
        PA
        USD
        55954.54000000
        0.008246275760
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          2.31099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DPE3
        
          
          
        
        34136.16000000
        PA
        USD
        34520.28000000
        0.005087411105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.68099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128QGMT6
        
          
          
        
        198160.62000000
        PA
        USD
        203064.07000000
        0.029926478143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.73000160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407YMC0
        
          
          
        
        10922.18000000
        PA
        USD
        11519.92000000
        0.001697743151
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          2.20299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EJZS0
        
          
          
        
        1949739.33000000
        PA
        USD
        2076975.17000000
        0.306093303605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          2.29799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DG67
        
          
          
        
        28128.55000000
        PA
        USD
        29718.49000000
        0.004379749413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.17599840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368JB57
        
          
          
        
        1139.70000000
        PA
        USD
        1144.41000000
        0.000168656921
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-06-01
          Variable
          2.31500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386CXW7
        
          
          
        
        6950.59000000
        PA
        USD
        7013.47000000
        0.001033607061
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Variable
          2.41899840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402G7D9
        
          
          
        
        20833.72000000
        PA
        USD
        21027.59000000
        0.003098931842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.35000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414RYR0
        
          
          
        
        190330.35400000
        PA
        USD
        190526.89000000
        0.028078816746
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CXP2
        
          
          
        
        3311.92000000
        PA
        USD
        3315.04000000
        0.000488552564
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Variable
          2.27999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409XZY8
        
          
          
        
        185525.14000000
        PA
        USD
        187412.87000000
        0.027619889416
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.95999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31387MAU3
        
          
          
        
        219182.24000000
        PA
        USD
        221153.45000000
        0.032592392577
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-01
          Variable
          2.39500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407SKU5
        
          
          
        
        256394.29000000
        PA
        USD
        258742.61000000
        0.038132078525
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          2.17199880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405XQU0
        
          
          
        
        2580.88000000
        PA
        USD
        2599.59000000
        0.000383113434
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.24399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413RTG1
        
          
          
        
        25850.73800000
        PA
        USD
        25940.31000000
        0.003822941794
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Variable
          2.28200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406MER3
        
          
          
        
        114747.84000000
        PA
        USD
        119419.32000000
        0.017599369843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.72900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371L4X4
        
          
          
        
        14367.24000000
        PA
        USD
        14923.43000000
        0.002199333942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416BT40
        
          
          
        
        2075919.14000000
        PA
        USD
        2196079.17000000
        0.323646203303
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.15799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404A3G7
        
          
          
        
        32848.75000000
        PA
        USD
        33929.87000000
        0.005000399691
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          1.61200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407UMR5
        
          
          
        
        128624.04000000
        PA
        USD
        137193.86000000
        0.020218884870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.48199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385H4F6
        
          
          
        
        19407.30000000
        PA
        USD
        19589.10000000
        0.002886935010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Variable
          2.41499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407JNN8
        
          
          
        
        339391.60000000
        PA
        USD
        359963.06000000
        0.053049397895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.04000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GGV9
        
          
          
        
        36894.72000000
        PA
        USD
        39052.02000000
        0.005755274298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          1.95500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410ABX3
        
          
          
        
        14827.35000000
        PA
        USD
        15021.68000000
        0.002213813493
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          1.86800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RUB3
        
          
          
        
        79656.06000000
        PA
        USD
        84285.69000000
        0.012421566550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.08100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373XBT7
        
          
          
        
        38017.79000000
        PA
        USD
        37998.30000000
        0.005599982776
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-07-01
          Variable
          1.91000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412EJ23
        
          
          
        
        2594.53000000
        PA
        USD
        2653.25000000
        0.000391021553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          1.66100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401DMN8
        
          
          
        
        9967.45000000
        PA
        USD
        9993.66000000
        0.001472811253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.39799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419ACA3
        
          
          
        
        1845128.53000000
        PA
        USD
        1957141.30000000
        0.288432839637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Variable
          2.13900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412CFL9
        
          
          
        
        8095.84000000
        PA
        USD
        8291.90000000
        0.001222015121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.36900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5AJ3
        
          
          
        
        517215.50000000
        PA
        USD
        542291.89000000
        0.079920029149
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.16299880
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391KQN0
        
          
          
        
        837.81000000
        PA
        USD
        839.14000000
        0.000123667889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XR71
        
          
          
        
        121049.62000000
        PA
        USD
        121816.23000000
        0.017952613402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.09599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407XT92
        
          
          
        
        1363236.45000000
        PA
        USD
        1431393.61000000
        0.210951004698
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          1.86800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404FPT4
        
          
          
        
        169067.20000000
        PA
        USD
        172099.69000000
        0.025363116238
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.33300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375GPY6
        
          
          
        
        2313.87000000
        PA
        USD
        2322.29000000
        0.000342246468
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-01
          Variable
          2.94599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402VZW3
        
          
          
        
        13651.41000000
        PA
        USD
        14187.87000000
        0.002090931110
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          1.72400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GBN2
        
          
          
        
        1402.06000000
        PA
        USD
        1419.86000000
        0.000209251243
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.95400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402Q4J7
        
          
          
        
        1621.03000000
        PA
        USD
        1625.19000000
        0.000239511662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.38500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403UYK1
        
          
          
        
        29785.99000000
        PA
        USD
        30968.58000000
        0.004563980878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406NBL7
        
          
          
        
        33147.16000000
        PA
        USD
        34192.91000000
        0.005039165095
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.67400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CBD7
        
          
          
        
        30952.37000000
        PA
        USD
        32222.32000000
        0.004748750260
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          2.36400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402LGC0
        
          
          
        
        150586.60000000
        PA
        USD
        152008.52000000
        0.022402188882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          1.78899840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409ENJ6
        
          
          
        
        60151.77000000
        PA
        USD
        64116.52000000
        0.009449143979
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.45800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KF41
        
          
          
        
        494856.69000000
        PA
        USD
        517434.65000000
        0.076256704320
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.13199920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410UXH0
        
          
          
        
        46246.53000000
        PA
        USD
        49339.50000000
        0.007271387145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.25600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403QMT4
        
          
          
        
        80645.80000000
        PA
        USD
        83829.68000000
        0.012354362277
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409VAS2
        
          
          
        
        757314.18000000
        PA
        USD
        804845.44000000
        0.118613743284
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.17000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410Q3N9
        
          
          
        
        299097.39000000
        PA
        USD
        301419.57000000
        0.044421576764
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          2.35000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31363XDF7
        
          
          
        
        39535.67000000
        PA
        USD
        40525.03000000
        0.005972358500
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-11-01
          Variable
          4.39999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGEG5
        
          
          
        
        100233.39000000
        PA
        USD
        105613.41000000
        0.015564729920
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404EZ90
        
          
          
        
        81417.68000000
        PA
        USD
        81484.94000000
        0.012008807249
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.78899840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412SVV4
        
          
          
        
        77.69600000
        PA
        USD
        77.71000000
        0.000011452477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410PYG2
        
          
          
        
        81302.19000000
        PA
        USD
        85891.13000000
        0.012658167565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.45900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402C2J0
        
          
          
        
        3284.09000000
        PA
        USD
        3321.65000000
        0.000489526710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.29200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404JSQ9
        
          
          
        
        99111.71000000
        PA
        USD
        98816.74000000
        0.014563073663
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          2.21199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403CWW7
        
          
          
        
        4491.22000000
        PA
        USD
        4475.75000000
        0.000659611690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.93399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403CMP3
        
          
          
        
        3798.54000000
        PA
        USD
        3855.21000000
        0.000568159880
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          1.66200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, Series 343, Class F4
        31351DEC1
        
          
          
        
        8579830.64000000
        PA
        USD
        8674516.28000000
        1.278403027480
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-15
          Floating
          0.44213040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384V7K2
        
          
          
        
        19424.57000000
        PA
        USD
        19621.80000000
        0.002891754158
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404CVT4
        
          
          
        
        156319.87000000
        PA
        USD
        157708.87000000
        0.023242275460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.36499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404FPR8
        
          
          
        
        72444.90000000
        PA
        USD
        72221.74000000
        0.010643647217
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          2.34500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402KU28
        
          
          
        
        3186.81000000
        PA
        USD
        3218.79000000
        0.000474367762
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.40500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406QZ91
        
          
          
        
        1168.56000000
        PA
        USD
        1170.52000000
        0.000172504870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.78800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407FU40
        
          
          
        
        16125.55000000
        PA
        USD
        16302.33000000
        0.002402548724
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.37200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413K2Z3
        
          
          
        
        28800.17000000
        PA
        USD
        29034.80000000
        0.004278990899
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408AMN7
        
          
          
        
        129140.46000000
        PA
        USD
        129783.11000000
        0.019126728843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          2.17699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402T6W0
        
          
          
        
        74278.24000000
        PA
        USD
        74902.43000000
        0.011038712728
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.08800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404X3H5
        
          
          
        
        64936.03000000
        PA
        USD
        65216.26000000
        0.009611217678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          2.49000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401H6Q0
        
          
          
        
        3583.95000000
        PA
        USD
        3603.87000000
        0.000531118758
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          1.84899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410XDA1
        
          
          
        
        34794.62000000
        PA
        USD
        37366.27000000
        0.005506837632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.57500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406NCB8
        
          
          
        
        135321.75000000
        PA
        USD
        135854.82000000
        0.020021544438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.89500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365LVQ7
        
          
          
        
        73.57000000
        PA
        USD
        73.58000000
        0.000010843820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-09-01
          Variable
          1.69999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400SXU8
        
          
          
        
        29563.71000000
        PA
        USD
        29685.18000000
        0.004374840366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384V7B2
        
          
          
        
        377.93000000
        PA
        USD
        378.62000000
        0.000055798956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-01
          Variable
          2.77099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391EUJ8
        
          
          
        
        18103.82000000
        PA
        USD
        18111.97000000
        0.002669243625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Variable
          2.24300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402G6M0
        
          
          
        
        22673.97000000
        PA
        USD
        22508.55000000
        0.003317187671
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.21500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407MWS0
        
          
          
        
        7120.05000000
        PA
        USD
        7119.19000000
        0.001049187499
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.45499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412V6Z6
        
          
          
        
        20645.88000000
        PA
        USD
        21364.26000000
        0.003148548435
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.60999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388NR99
        
          
          
        
        49135.17000000
        PA
        USD
        49404.38000000
        0.007280948807
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-01
          Variable
          1.66600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390CLB0
        
          
          
        
        1027.63000000
        PA
        USD
        1030.23000000
        0.000151829693
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Variable
          2.76999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413J3M4
        
          
          
        
        119619.08600000
        PA
        USD
        119761.01000000
        0.017649726257
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Variable
          2.22000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412CE30
        
          
          
        
        20240.72000000
        PA
        USD
        21097.09000000
        0.003109174374
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.70899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406L2Y3
        
          
          
        
        156422.40000000
        PA
        USD
        156924.38000000
        0.023126661591
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.20299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DHP8
        
          
          
        
        41103.27000000
        PA
        USD
        41018.94000000
        0.006045148269
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Variable
          2.31999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406VQ74
        
          
          
        
        12890.71000000
        PA
        USD
        12950.98000000
        0.001908644990
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.51599960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404ERU2
        
          
          
        
        13854.80000000
        PA
        USD
        13990.72000000
        0.002061876216
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.95999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402J4L8
        
          
          
        
        170626.35000000
        PA
        USD
        172813.26000000
        0.025468278304
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.11100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31349SRM7
        
          
          
        
        200838.37000000
        PA
        USD
        210736.74000000
        0.031057234515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.35500120
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DTQ2
        
          
          
        
        5709.76000000
        PA
        USD
        5810.87000000
        0.000856374414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.28300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410EPE2
        
          
          
        
        276380.09000000
        PA
        USD
        280933.87000000
        0.041402505723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          2.10499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402XWP7
        
          
          
        
        63110.80000000
        PA
        USD
        63010.08000000
        0.009286082870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          1.73000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368BYX8
        
          
          
        
        883.33000000
        PA
        USD
        889.09000000
        0.000131029248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-01
          Variable
          5.00000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410MGS3
        
          
          
        
        158853.90000000
        PA
        USD
        160060.34000000
        0.023588822319
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.28300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402D4C1
        
          
          
        
        14095.84000000
        PA
        USD
        14263.52000000
        0.002102079996
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          1.59199920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373KHT9
        
          
          
        
        603420.29000000
        PA
        USD
        620974.17000000
        0.091515795612
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          1.65399840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406RA70
        
          
          
        
        14975.31000000
        PA
        USD
        15032.36000000
        0.002215387453
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.55099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RBH1
        
          
          
        
        17706.90000000
        PA
        USD
        17859.98000000
        0.002632106709
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.50099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406GLR8
        
          
          
        
        148237.23000000
        PA
        USD
        146897.42000000
        0.021648942764
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.59000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3136056B8
        
          
          
        
        80.03000000
        PA
        USD
        81.70000000
        0.000012040501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-01
          Variable
          4.25000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391MQR7
        
          
          
        
        297436.32000000
        PA
        USD
        298860.62000000
        0.044044452632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          1.53799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407JNQ1
        
          
          
        
        7164.71000000
        PA
        USD
        7540.01000000
        0.001111205662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.76500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EHJB9
        
          
          
        
        75970.60000000
        PA
        USD
        81196.73000000
        0.011966332427
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          2.29700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419APP6
        
          
          
        
        756531.55000000
        PA
        USD
        770311.42000000
        0.113524307251
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Variable
          2.18099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GG31
        
          
          
        
        7158.91000000
        PA
        USD
        7294.30000000
        0.001074994259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.34200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409AK81
        
          
          
        
        4292.54000000
        PA
        USD
        4339.53000000
        0.000639536328
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.82800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RN62
        
          
          
        
        10161.51000000
        PA
        USD
        10233.90000000
        0.001508216518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.20200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408GX28
        
          
          
        
        12170.57000000
        PA
        USD
        12284.84000000
        0.001810472900
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.49000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403CZ95
        
          
          
        
        24088.88000000
        PA
        USD
        25491.39000000
        0.003756782407
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.07600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374TG29
        
          
          
        
        52231.01000000
        PA
        USD
        52522.06000000
        0.007740415528
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-01
          Variable
          4.83999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406WEE0
        
          
          
        
        258459.60000000
        PA
        USD
        259290.91000000
        0.038212883997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.79100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RPM5
        
          
          
        
        5723.05000000
        PA
        USD
        5988.85000000
        0.000882604138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.24799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400SM71
        
          
          
        
        7096.02000000
        PA
        USD
        7088.10000000
        0.001044605624
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.39799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411AP58
        
          
          
        
        21194.10000000
        PA
        USD
        21405.07000000
        0.003154562791
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.06499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GJN4
        
          
          
        
        773625.50000000
        PA
        USD
        808573.75000000
        0.119163201333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          1.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409X3V9
        
          
          
        
        52348.02300000
        PA
        USD
        52814.66000000
        0.007783537324
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          1.78800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410RM48
        
          
          
        
        462983.42000000
        PA
        USD
        492223.03000000
        0.072541152893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HUF7
        
          
          
        
        9996.00000000
        PA
        USD
        10063.12000000
        0.001483047890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.30400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FW50
        
          
          
        
        27804.47000000
        PA
        USD
        28112.45000000
        0.004143059973
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.16299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S4GC5
        
          
          
        
        226671.12000000
        PA
        USD
        240573.86000000
        0.035454466973
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.11600080
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410F3M5
        
          
          
        
        810.54000000
        PA
        USD
        816.95000000
        0.000120397647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.42499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JRG26
        
          
          
        
        317030.34000000
        PA
        USD
        332777.03000000
        0.049042868662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.10800160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5DY7
        
          
          
        
        761745.84000000
        PA
        USD
        799858.22000000
        0.117878753926
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.04000120
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DVD8
        
          
          
        
        6587.12000000
        PA
        USD
        6937.35000000
        0.001022388909
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.37300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31347ASU9
        
          
          
        
        949372.88000000
        PA
        USD
        1008825.09000000
        0.148675154628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          2.35699920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400AMQ8
        
          
          
        
        6091.66000000
        PA
        USD
        6109.81000000
        0.000900430565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405RXF8
        
          
          
        
        11374.13000000
        PA
        USD
        11438.74000000
        0.001685779284
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.21799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391QW34
        
          
          
        
        1721.60000000
        PA
        USD
        1725.43000000
        0.000254284488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.30000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404ECQ7
        
          
          
        
        27826.27000000
        PA
        USD
        28147.38000000
        0.004148207766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.09499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401CXL2
        
          
          
        
        13377.67000000
        PA
        USD
        13518.56000000
        0.001992291843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.91000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Securities Inc.
        9J6MBOOO7BECTDTUZW19
        Deutsche Bank Securities Inc.
        N/A
        
          
        
        1809402.89115420
        PA
        USD
        1809402.89115420
        0.266659956511
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.02627799
          2021-08-02
          
            
              1844146.40027121
              USD
              1845674.20628840
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391SSW1
        
          
          
        
        3063.11000000
        PA
        USD
        3070.40000000
        0.000452498851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.12100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409HGL2
        
          
          
        
        55077.58000000
        PA
        USD
        55388.84000000
        0.008162905971
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.42300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401PEH3
        
          
          
        
        668026.00000000
        PA
        USD
        677679.31000000
        0.099872690718
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.79499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138ETM29
        
          
          
        
        8613284.15000000
        PA
        USD
        9185261.95000000
        1.353673946309
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.33200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410AH33
        
          
          
        
        3181.57000000
        PA
        USD
        3177.08000000
        0.000468220769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.50999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400FEQ6
        
          
          
        
        71719.65000000
        PA
        USD
        71922.56000000
        0.010599555696
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.21000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407A5Q0
        
          
          
        
        63253.98000000
        PA
        USD
        63981.53000000
        0.009429249887
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          3.80499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400VP89
        
          
          
        
        2447.38000000
        PA
        USD
        2459.31000000
        0.000362439731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-01
          Variable
          1.41500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413KMQ1
        
          
          
        
        315822.87000000
        PA
        USD
        317798.72000000
        0.046835446803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Variable
          1.82300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406QGG6
        
          
          
        
        117281.07000000
        PA
        USD
        118312.33000000
        0.017436227678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.81800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405DVE4
        
          
          
        
        34173.21000000
        PA
        USD
        34629.08000000
        0.005103445458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.81100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31360FC86
        
          
          
        
        7.75000000
        PA
        USD
        7.83000000
        0.000001153942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-06-01
          Variable
          5.00000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406NEA8
        
          
          
        
        270700.39000000
        PA
        USD
        272726.33000000
        0.040192923120
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.96899840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406WNX8
        
          
          
        
        28497.66000000
        PA
        USD
        28789.81000000
        0.004242885606
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.58500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400Q2Z5
        
          
          
        
        9145.91000000
        PA
        USD
        9166.15000000
        0.001350857331
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          2.41499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JMVS3
        
          
          
        
        383551.95000000
        PA
        USD
        402327.50000000
        0.059292838636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          2.16900000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407BXL8
        
          
          
        
        13641.95000000
        PA
        USD
        13656.65000000
        0.002012642796
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.13999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390W7E6
        
          
          
        
        30054.00000000
        PA
        USD
        31556.34000000
        0.004650601750
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S4HF7
        
          
          
        
        569923.29000000
        PA
        USD
        600777.36000000
        0.088539299607
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.22199920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GMA8
        
          
          
        
        809728.15000000
        PA
        USD
        857104.55000000
        0.126315406671
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.13000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375BVV6
        
          
          
        
        2151.27000000
        PA
        USD
        2166.10000000
        0.000319228036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-09-01
          Variable
          2.37099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GDQ3
        
          
          
        
        13451.32000000
        PA
        USD
        14065.25000000
        0.002072860042
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Variable
          2.03699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403NPV3
        
          
          
        
        108691.02000000
        PA
        USD
        109041.16000000
        0.016069893071
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Variable
          2.11799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GQ89
        
          
          
        
        10640.90000000
        PA
        USD
        10685.13000000
        0.001574716341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Variable
          1.69499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MM90
        
          
          
        
        165396.41000000
        PA
        USD
        174987.74000000
        0.025788741339
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Variable
          1.97799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QX48
        
          
          
        
        2317.86000000
        PA
        USD
        2418.05000000
        0.000356359056
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.01800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404LPS3
        
          
          
        
        3421.41000000
        PA
        USD
        3410.07000000
        0.000502557568
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          2.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402HAL5
        
          
          
        
        32431.15000000
        PA
        USD
        32520.08000000
        0.004792632509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.58999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402TLH6
        
          
          
        
        22388.45000000
        PA
        USD
        22393.11000000
        0.003300174752
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          1.73999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404GTS0
        
          
          
        
        154280.90000000
        PA
        USD
        155206.68000000
        0.022873516308
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.62500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374FXM6
        
          
          
        
        182.22000000
        PA
        USD
        182.72000000
        0.000026928279
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-08-01
          Variable
          2.49900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410EPC6
        
          
          
        
        351025.24000000
        PA
        USD
        371535.26000000
        0.054754845788
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          1.97499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HJT0
        
          
          
        
        7411.61000000
        PA
        USD
        8066.54000000
        0.001188802790
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          3.53499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410F4H5
        
          
          
        
        2094.19000000
        PA
        USD
        2093.29000000
        0.000308497694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.11299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300LF34
        
          
          
        
        1586301.87000000
        PA
        USD
        1681417.89000000
        0.247798223169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          2.13900120
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409EJW2
        
          
          
        
        214836.77000000
        PA
        USD
        218181.96000000
        0.032154470543
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.23300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409VJ20
        
          
          
        
        116447.32000000
        PA
        USD
        117030.78000000
        0.017247359810
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.18800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DA63
        
          
          
        
        64921.89000000
        PA
        USD
        64988.31000000
        0.009577623647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.43299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PLQ1
        
          
          
        
        24281.55000000
        PA
        USD
        25403.35000000
        0.003743807550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.87400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400XZG6
        
          
          
        
        4719.00000000
        PA
        USD
        4733.05000000
        0.000697531165
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.87999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CAQ9
        
          
          
        
        16346.59000000
        PA
        USD
        16314.79000000
        0.002404385011
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Variable
          1.84100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402Q5R8
        
          
          
        
        251644.74000000
        PA
        USD
        261499.18000000
        0.038538326819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.70300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5ZW7
        
          
          
        
        8353594.51000000
        PA
        USD
        8878014.38000000
        1.308393470604
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.18900160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374GEW3
        
          
          
        
        5268.64000000
        PA
        USD
        5280.77000000
        0.000778251159
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-04-01
          Variable
          2.34699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DQ69
        
          
          
        
        241274.83000000
        PA
        USD
        255202.53000000
        0.037610360790
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          1.93500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EMA43
        
          
          
        
        933671.91000000
        PA
        USD
        999330.71000000
        0.147275924545
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Variable
          2.30299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407XWM9
        
          
          
        
        99062.18000000
        PA
        USD
        103571.29000000
        0.015263773381
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          1.93399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CL61
        
          
          
        
        1334.12000000
        PA
        USD
        1352.97000000
        0.000199393359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.41800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410AKW5
        
          
          
        
        85671.53000000
        PA
        USD
        90610.33000000
        0.013353657593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.26299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414KQP8
        
          
          
        
        12565.21200000
        PA
        USD
        12549.11000000
        0.001849419575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Variable
          2.38299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373TR77
        
          
          
        
        1490.39000000
        PA
        USD
        1489.83000000
        0.000219563042
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-09-01
          Variable
          2.47899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391TZ50
        
          
          
        
        21772.21000000
        PA
        USD
        22016.73000000
        0.003244705915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          1.99100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403AL78
        
          
          
        
        10925.00000000
        PA
        USD
        11060.38000000
        0.001630018645
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.14200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374GRC3
        
          
          
        
        13014.13000000
        PA
        USD
        13946.05000000
        0.002055292994
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.98100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405FTR3
        
          
          
        
        3096.97000000
        PA
        USD
        3101.24000000
        0.000457043883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          2.29500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400RT76
        
          
          
        
        13278.38000000
        PA
        USD
        13384.72000000
        0.001972567232
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XSJ7
        
          
          
        
        8806.90000000
        PA
        USD
        8939.49000000
        0.001317453413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.03799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403FGK4
        
          
          
        
        15683.42000000
        PA
        USD
        15847.64000000
        0.002335538985
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          2.15499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XE26
        
          
          
        
        423813.99000000
        PA
        USD
        431088.80000000
        0.063531522593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.27300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DNC0
        
          
          
        
        485.14000000
        PA
        USD
        490.76000000
        0.000072325539
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.29799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400AMD7
        
          
          
        
        50739.70000000
        PA
        USD
        51071.36000000
        0.007526619252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.22900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128NHK36
        
          
          
        
        3071234.79000000
        PA
        USD
        3215845.88000000
        0.473933874374
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.94699880
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RHT9
        
          
          
        
        26982.03000000
        PA
        USD
        27536.91000000
        0.004058240018
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QZY0
        
          
          
        
        6213.39000000
        PA
        USD
        6267.13000000
        0.000923615531
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.34799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DUU1
        
          
          
        
        16391.74000000
        PA
        USD
        17157.50000000
        0.002528579028
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.21400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405NLX1
        
          
          
        
        2896.65000000
        PA
        USD
        2920.94000000
        0.000430472249
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.11399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409GFF8
        
          
          
        
        37824.37000000
        PA
        USD
        37965.86000000
        0.005595201945
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.39799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DMF4
        
          
          
        
        11111.34000000
        PA
        USD
        11186.61000000
        0.001648621736
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.22599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412EJ72
        
          
          
        
        4582.47000000
        PA
        USD
        4630.71000000
        0.000682448852
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          1.83499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410DXD7
        
          
          
        
        47401.25000000
        PA
        USD
        50358.53000000
        0.007421566244
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.35800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XJX3
        
          
          
        
        12413.81000000
        PA
        USD
        12928.32000000
        0.001905305482
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409UWM3
        
          
          
        
        95207.43000000
        PA
        USD
        99325.53000000
        0.014638056366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          1.82000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XH31
        
          
          
        
        10715.13000000
        PA
        USD
        11119.09000000
        0.001638671005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.12299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419GJS4
        
          
          
        
        184134.51000000
        PA
        USD
        184391.76000000
        0.027174654657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405JE75
        
          
          
        
        4598.99000000
        PA
        USD
        4613.52000000
        0.000679915484
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.28600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407MJR7
        
          
          
        
        71712.29000000
        PA
        USD
        71726.67000000
        0.010570686493
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.08500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36225DBX1
        
          
          
        
        9781.83000000
        PA
        USD
        10196.04000000
        0.001502636917
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-06-20
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409CD44
        
          
          
        
        86941.16000000
        PA
        USD
        87341.48000000
        0.012871912260
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.39299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371MB89
        
          
          
        
        156390.27000000
        PA
        USD
        165575.58000000
        0.024401628392
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.05300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408BXN3
        
          
          
        
        25848.85000000
        PA
        USD
        26097.56000000
        0.003846116444
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.76000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGEH3
        
          
          
        
        2949713.13000000
        PA
        USD
        3108306.49000000
        0.458085303997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Variable
          2.02100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407CU88
        
          
          
        
        134907.57000000
        PA
        USD
        135073.49000000
        0.019906396273
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.09300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409XQG7
        
          
          
        
        39777.16000000
        PA
        USD
        41573.70000000
        0.006126905781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          1.91999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402Q5D9
        
          
          
        
        32243.59000000
        PA
        USD
        32523.83000000
        0.004793185163
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          2.02299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403VLC1
        
          
          
        
        10824.62000000
        PA
        USD
        10929.75000000
        0.001610767106
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401Y3J2
        
          
          
        
        140350.71000000
        PA
        USD
        140686.25000000
        0.020733574313
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.47500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409X5Q8
        
          
          
        
        135778.06000000
        PA
        USD
        136898.78000000
        0.020175397585
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          1.79200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413ECE3
        
          
          
        
        36913.86000000
        PA
        USD
        36846.31000000
        0.005430208755
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          2.51399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RH69
        
          
          
        
        11739.90000000
        PA
        USD
        11995.35000000
        0.001767809438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XCV7
        
          
          
        
        889.56000000
        PA
        USD
        889.51000000
        0.000131091145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-12-01
          Variable
          2.11500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390AHA1
        
          
          
        
        19782.62000000
        PA
        USD
        19830.06000000
        0.002922446384
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Variable
          2.76999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409DVM2
        
          
          
        
        419932.70000000
        PA
        USD
        441098.77000000
        0.065006737526
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.14999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HU59
        
          
          
        
        14061.20000000
        PA
        USD
        14635.64000000
        0.002156921017
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          3.21800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300LEF8
        
          
          
        
        628812.51000000
        PA
        USD
        653697.09000000
        0.096338321577
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.25299880
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403AQP3
        
          
          
        
        200447.60000000
        PA
        USD
        201888.62000000
        0.029753246716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.17000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403NSL2
        
          
          
        
        101487.95000000
        PA
        USD
        107051.56000000
        0.015776676644
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.25200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407RKJ2
        
          
          
        
        124112.46000000
        PA
        USD
        125093.23000000
        0.018435559838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.60499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384VJ60
        
          
          
        
        2792.43000000
        PA
        USD
        2797.72000000
        0.000412312756
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-01
          Variable
          2.63900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407DTK1
        
          
          
        
        38793.44000000
        PA
        USD
        38791.42000000
        0.005716868487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.98699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402A5N2
        
          
          
        
        95881.81000000
        PA
        USD
        96790.96000000
        0.014264525225
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405AET6
        
          
          
        
        4011.40000000
        PA
        USD
        4071.59000000
        0.000600048788
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411JKZ8
        
          
          
        
        19073.71000000
        PA
        USD
        19117.16000000
        0.002817383059
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          2.00099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413ADY6
        
          
          
        
        14898.91000000
        PA
        USD
        14972.38000000
        0.002206547927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Variable
          1.51499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410SCZ8
        
          
          
        
        1243500.84000000
        PA
        USD
        1299821.58000000
        0.191560634555
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.84299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402C6N7
        
          
          
        
        13850.18000000
        PA
        USD
        13929.93000000
        0.002052917316
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          1.54699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412XPK4
        
          
          
        
        899.18000000
        PA
        USD
        906.71000000
        0.000133625988
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          1.82499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403YHN6
        
          
          
        
        40271.90000000
        PA
        USD
        40629.57000000
        0.005987765036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Variable
          2.40500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DMC1
        
          
          
        
        5334.36000000
        PA
        USD
        5366.24000000
        0.000790847263
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.04800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410SCY1
        
          
          
        
        508410.03000000
        PA
        USD
        531607.92000000
        0.078345483762
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.91900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XJS7
        
          
          
        
        27282.78000000
        PA
        USD
        27649.13000000
        0.004074778392
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Variable
          2.38100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402KR48
        
          
          
        
        3910.86000000
        PA
        USD
        3912.46000000
        0.000576597074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.53000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406NSE5
        
          
          
        
        164812.80000000
        PA
        USD
        166233.70000000
        0.024498618538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.61399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389VAQ0
        
          
          
        
        27071.30000000
        PA
        USD
        27297.41000000
        0.004022943811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Variable
          1.91000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416B5V6
        
          
          
        
        31181.30000000
        PA
        USD
        32787.14000000
        0.004831990359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Variable
          2.41499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XFS8
        
          
          
        
        20065.08000000
        PA
        USD
        20156.77000000
        0.002970595127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.16799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406VZ33
        
          
          
        
        167297.91000000
        PA
        USD
        174560.22000000
        0.025725735766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.69800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406LMT2
        
          
          
        
        51619.91000000
        PA
        USD
        53345.09000000
        0.007861709213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.95000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391LSJ5
        
          
          
        
        653203.93000000
        PA
        USD
        655925.98000000
        0.096666803262
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          1.79300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401BX83
        
          
          
        
        35776.49000000
        PA
        USD
        35933.84000000
        0.005295733890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.32800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407MSF3
        
          
          
        
        5495.85000000
        PA
        USD
        5730.87000000
        0.000844584449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.74999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407CAP2
        
          
          
        
        1700489.03000000
        PA
        USD
        1778341.55000000
        0.262082304998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.59900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412CBL3
        
          
          
        
        34020.17000000
        PA
        USD
        36506.17000000
        0.005380080772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CAG1
        
          
          
        
        12075.09000000
        PA
        USD
        12787.95000000
        0.001884618515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.05400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411E2N6
        
          
          
        
        90611.17000000
        PA
        USD
        92015.48000000
        0.013560740957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.12900040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400PEL5
        
          
          
        
        1184.23000000
        PA
        USD
        1178.68000000
        0.000173707447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          2.41499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401G4N1
        
          
          
        
        21838.08000000
        PA
        USD
        21995.52000000
        0.003241580100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          1.89500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JRV37
        
          
          
        
        233009.46000000
        PA
        USD
        234193.11000000
        0.034514106743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Variable
          2.33600040
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CQG0
        
          
          
        
        96861.16000000
        PA
        USD
        97299.75000000
        0.014339507928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Variable
          2.21600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409WCG4
        
          
          
        
        47689.88000000
        PA
        USD
        50574.86000000
        0.007453447783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.17000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XEC4
        
          
          
        
        15430.52000000
        PA
        USD
        15516.47000000
        0.002286732952
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.12699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EPR63
        
          
          
        
        876751.91000000
        PA
        USD
        926529.68000000
        0.136546904718
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Variable
          1.96300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EHVA7
        
          
          
        
        73542.60000000
        PA
        USD
        77588.84000000
        0.011434621223
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Variable
          2.02600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416BWK0
        
          
          
        
        52734.17000000
        PA
        USD
        53117.06000000
        0.007828103391
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Variable
          2.04199920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409ACY3
        
          
          
        
        257789.11000000
        PA
        USD
        258531.25000000
        0.038100929438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.79100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410B6S8
        
          
          
        
        12941.04000000
        PA
        USD
        13047.81000000
        0.001922915268
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.16299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406BV64
        
          
          
        
        150112.10000000
        PA
        USD
        150659.26000000
        0.022203342282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.81699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375DTX1
        
          
          
        
        4140.28000000
        PA
        USD
        4136.53000000
        0.000609619292
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-12-01
          Variable
          2.17000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WZW2
        
          
          
        
        4971.18000000
        PA
        USD
        5006.02000000
        0.000737759999
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.53699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407AAJ0
        
          
          
        
        231938.09000000
        PA
        USD
        240122.33000000
        0.035387922937
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.96999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405RM94
        
          
          
        
        94013.45000000
        PA
        USD
        94299.63000000
        0.013897366560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.11899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XSY4
        
          
          
        
        9307.27000000
        PA
        USD
        9340.04000000
        0.001376484293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          1.44600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406LZ68
        
          
          
        
        948.18000000
        PA
        USD
        1013.18000000
        0.000149316957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391USA4
        
          
          
        
        15447.32000000
        PA
        USD
        15446.95000000
        0.002276487472
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.01200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WS87
        
          
          
        
        165474.16000000
        PA
        USD
        167666.18000000
        0.024709729649
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          1.65300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400SJK6
        
          
          
        
        10525.93000000
        PA
        USD
        10516.43000000
        0.001549854253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.39299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KVD3
        
          
          
        
        7286.60000000
        PA
        USD
        7405.38000000
        0.001091364625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-02-01
          Variable
          2.59700040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412G2Z3
        
          
          
        
        16923.42000000
        PA
        USD
        17008.49000000
        0.002506618744
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          4.99100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411JMS2
        
          
          
        
        12043.47000000
        PA
        USD
        12772.32000000
        0.001882315051
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          2.15600040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406L5A2
        
          
          
        
        55375.55000000
        PA
        USD
        55451.49000000
        0.008172138988
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.31000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402XWG7
        
          
          
        
        112309.64000000
        PA
        USD
        113528.81000000
        0.016731258519
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          1.88499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RMG1
        
          
          
        
        11657.16000000
        PA
        USD
        11692.07000000
        0.001723113681
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.18900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402W5X2
        
          
          
        
        30529.19000000
        PA
        USD
        30711.80000000
        0.004526138038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-01
          Variable
          1.41500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416BK49
        
          
          
        
        3076412.37000000
        PA
        USD
        3228905.12000000
        0.475858474134
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.82499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GDS9
        
          
          
        
        8586.96000000
        PA
        USD
        9151.42000000
        0.001348686503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.41200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 15 Year
        3133G76Q1
        
          
          
        
        21169845.52000000
        PA
        USD
        22450320.77000000
        3.308606164753
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31367JC24
        
          
          
        
        40779.10000000
        PA
        USD
        41299.56000000
        0.006086504518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Variable
          5.24999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389CYT0
        
          
          
        
        210790.51000000
        PA
        USD
        212153.86000000
        0.031266081953
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Variable
          1.63500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401MUQ2
        
          
          
        
        86796.72000000
        PA
        USD
        87210.43000000
        0.012852598824
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.08000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390NJT0
        
          
          
        
        2810.86000000
        PA
        USD
        2772.75000000
        0.000408632813
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Variable
          1.55599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374TYQ6
        
          
          
        
        35947.47000000
        PA
        USD
        36370.70000000
        0.005360115940
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Variable
          2.17900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408EQ21
        
          
          
        
        762602.83000000
        PA
        USD
        786452.29000000
        0.115903060879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.67600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404RUM7
        
          
          
        
        15585.99000000
        PA
        USD
        16211.51000000
        0.002389164167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.77900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391FPC6
        
          
          
        
        831.37000000
        PA
        USD
        831.97000000
        0.000122611213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Variable
          2.05499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WZZ5
        
          
          
        
        232214.15000000
        PA
        USD
        233556.35000000
        0.034420264518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Variable
          1.57500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400YA22
        
          
          
        
        39912.64000000
        PA
        USD
        40312.16000000
        0.005940986877
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.91499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388L4U1
        
          
          
        
        746.55000000
        PA
        USD
        747.75000000
        0.000110199327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-01
          Variable
          2.36900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DAE6
        
          
          
        
        79636.02000000
        PA
        USD
        81537.91000000
        0.012016613680
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, REMIC, Series 4730, Class WF
        3137FBCF1
        
          
          
        
        6833926.94600000
        PA
        USD
        6881416.59000000
        1.014145748079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-15
          Floating
          0.44213040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409U6T7
        
          
          
        
        52610.51000000
        PA
        USD
        52758.41000000
        0.007775247505
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.96999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DKQ1
        
          
          
        
        200911.25000000
        PA
        USD
        210704.34000000
        0.031052459579
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.68500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405DLX3
        
          
          
        
        81710.91000000
        PA
        USD
        84829.62000000
        0.012501727995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.79399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405TZV7
        
          
          
        
        140814.87000000
        PA
        USD
        142042.52000000
        0.020933454009
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128QSU95
        
          
          
        
        351978.58000000
        PA
        USD
        362465.44000000
        0.053418185048
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          1.73499840
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407XPG0
        
          
          
        
        16553.91000000
        PA
        USD
        17325.12000000
        0.002553281951
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          1.99699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371MFY8
        
          
          
        
        105486.28000000
        PA
        USD
        111688.87000000
        0.016460098169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36225D3S1
        
          
          
        
        94241.26000000
        PA
        USD
        96035.40000000
        0.014153174902
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-20
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386C4B5
        
          
          
        
        13086.34000000
        PA
        USD
        13309.94000000
        0.001961546562
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404NAD8
        
          
          
        
        5856.95000000
        PA
        USD
        6253.30000000
        0.000921577341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.11600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5LE2
        
          
          
        
        1144911.85000000
        PA
        USD
        1230092.98000000
        0.181284412750
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.27300040
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410MHB9
        
          
          
        
        298914.92000000
        PA
        USD
        312511.91000000
        0.046056305501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          1.86699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385NVP1
        
          
          
        
        28316.40000000
        PA
        USD
        28354.43000000
        0.004178721669
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-01
          Variable
          2.99800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388K2K7
        
          
          
        
        46852.04000000
        PA
        USD
        46964.37000000
        0.006921353405
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Variable
          3.02000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411VHW2
        
          
          
        
        3708.35000000
        PA
        USD
        3923.35000000
        0.000578201983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          2.27999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411VVR7
        
          
          
        
        37493.30000000
        PA
        USD
        39172.58000000
        0.005773041775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.02299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300MAA1
        
          
          
        
        220408.92000000
        PA
        USD
        236057.66000000
        0.034788893981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          2.33799840
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404JVP7
        
          
          
        
        174775.64000000
        PA
        USD
        175110.63000000
        0.025806852199
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          1.99699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413NJ63
        
          
          
        
        46851.05000000
        PA
        USD
        47832.49000000
        0.007049292208
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          1.14400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406UUX4
        
          
          
        
        194887.27000000
        PA
        USD
        202211.08000000
        0.029800769117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.66799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385H5Y4
        
          
          
        
        108165.90000000
        PA
        USD
        108792.50000000
        0.016033246912
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Variable
          2.36800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407GCT3
        
          
          
        
        213278.43000000
        PA
        USD
        212613.27000000
        0.031333787300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.44000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404PHL8
        
          
          
        
        3405.07000000
        PA
        USD
        3435.35000000
        0.000506283197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          2.26000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402REK1
        
          
          
        
        2856.05000000
        PA
        USD
        2980.17000000
        0.000439201245
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.42399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31376JNW5
        
          
          
        
        7385.07000000
        PA
        USD
        7443.42000000
        0.001096970753
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.32400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385YEG6
        
          
          
        
        33392.52000000
        PA
        USD
        33519.54000000
        0.004939927487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Variable
          2.41099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403C3Z2
        
          
          
        
        121971.15000000
        PA
        USD
        122898.22000000
        0.018112071203
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.03500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405AP64
        
          
          
        
        4182.18000000
        PA
        USD
        4470.27000000
        0.000658804078
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.24100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404Q5M7
        
          
          
        
        352775.63000000
        PA
        USD
        360763.79000000
        0.053167405127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384WAD2
        
          
          
        
        35641.75000000
        PA
        USD
        35714.36000000
        0.005263388121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-07-01
          Variable
          2.72300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405NLW3
        
          
          
        
        893.17000000
        PA
        USD
        903.70000000
        0.000133182390
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WSS3
        
          
          
        
        16122.11000000
        PA
        USD
        16799.47000000
        0.002475814514
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.78499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S54S0
        
          
          
        
        675765.80000000
        PA
        USD
        685729.47000000
        0.101059079513
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Variable
          2.19999960
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414NBM5
        
          
          
        
        21797.71900000
        PA
        USD
        21864.73000000
        0.003222304982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Variable
          2.32999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405H3L0
        
          
          
        
        1290.67000000
        PA
        USD
        1296.09000000
        0.000191010694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.08900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404DZ68
        
          
          
        
        32238.04000000
        PA
        USD
        32973.24000000
        0.004859416765
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.19700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410EFD5
        
          
          
        
        6006.18000000
        PA
        USD
        6023.12000000
        0.000887654665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390WQX3
        
          
          
        
        83829.90000000
        PA
        USD
        83953.66000000
        0.012372633775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.52299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Securities (USA) Inc.
        CYYGQCGNHMHPSMRL3R97
        HSBC Securities (USA) Inc.
        N/A
        
          
        
        3163440.28796640
        PA
        USD
        3163440.28796640
        0.466210623261
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.02627799
          2021-08-02
          
            
              3217163.06127858
              USD
              3226665.50297200
              USD
              ADAS
            
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409JKQ2
        
          
          
        
        43779.10000000
        PA
        USD
        43834.16000000
        0.006460040080
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.02299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FX34
        
          
          
        
        9729.67000000
        PA
        USD
        10405.39000000
        0.001533489781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          2.66600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128NHPT4
        
          
          
        
        151074.19000000
        PA
        USD
        159213.70000000
        0.023464049121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.11700160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405RC61
        
          
          
        
        136778.50000000
        PA
        USD
        137713.83000000
        0.020295515221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.16500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402REL9
        
          
          
        
        14935.24000000
        PA
        USD
        15934.02000000
        0.002348269200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          2.33399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GSX2
        
          
          
        
        21577.15000000
        PA
        USD
        21667.48000000
        0.003193235350
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Variable
          2.31099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407MSW6
        
          
          
        
        64607.25000000
        PA
        USD
        67364.44000000
        0.009927804762
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.71200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412CFA3
        
          
          
        
        25330.90000000
        PA
        USD
        26260.82000000
        0.003870176815
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.58400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407XUW9
        
          
          
        
        82840.02000000
        PA
        USD
        86611.99000000
        0.012764403991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          1.96099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407MSE6
        
          
          
        
        10271.23000000
        PA
        USD
        10360.31000000
        0.001526846136
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416B5R5
        
          
          
        
        89242.56000000
        PA
        USD
        94391.60000000
        0.013910920599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Variable
          2.14800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DNX3
        
          
          
        
        40388.90000000
        PA
        USD
        40768.34000000
        0.006008216204
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.30500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406WGK4
        
          
          
        
        2391.73000000
        PA
        USD
        2401.93000000
        0.000353983378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411HM56
        
          
          
        
        12053.28000000
        PA
        USD
        12760.45000000
        0.001880565715
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402TLV5
        
          
          
        
        3531.88000000
        PA
        USD
        3561.13000000
        0.000524819969
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.20299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RQK8
        
          
          
        
        37693.73000000
        PA
        USD
        37605.90000000
        0.005542152998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.35900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390UMX1
        
          
          
        
        3806.04000000
        PA
        USD
        3829.11000000
        0.000564313404
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          2.28999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DC49
        
          
          
        
        309064.02000000
        PA
        USD
        323082.68000000
        0.047614168088
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.97799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JR6K7
        
          
          
        
        359847.72000000
        PA
        USD
        382063.67000000
        0.056306465588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          2.29500000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403Q5H9
        
          
          
        
        1811.50000000
        PA
        USD
        1824.25000000
        0.000268848042
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          1.72500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416BWG9
        
          
          
        
        5681.92000000
        PA
        USD
        5804.76000000
        0.000855473955
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.32099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414URK6
        
          
          
        
        376488.05000000
        PA
        USD
        380142.21000000
        0.056023291264
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.77999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410VQJ2
        
          
          
        
        335912.71000000
        PA
        USD
        343827.70000000
        0.050671456300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.72500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403AU60
        
          
          
        
        136748.57000000
        PA
        USD
        137725.84000000
        0.020297285189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.21500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405X5P4
        
          
          
        
        17586.72000000
        PA
        USD
        17711.15000000
        0.002610172953
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.32300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401GYR9
        
          
          
        
        11676.13000000
        PA
        USD
        11671.84000000
        0.001720132294
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.09999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389TR46
        
          
          
        
        1649.17000000
        PA
        USD
        1649.99000000
        0.000243166551
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406L3G1
        
          
          
        
        4211.46000000
        PA
        USD
        4521.30000000
        0.000666324602
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          2.30000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373TTU4
        
          
          
        
        1311.55000000
        PA
        USD
        1314.11000000
        0.000193666384
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-09-01
          Variable
          2.45499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390WTK8
        
          
          
        
        9115.41000000
        PA
        USD
        9167.89000000
        0.001351113762
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          1.66299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401YQM0
        
          
          
        
        80695.02000000
        PA
        USD
        81060.86000000
        0.011946308645
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.26800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378FEF8
        
          
          
        
        7516.41000000
        PA
        USD
        7512.58000000
        0.001107163178
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-06-01
          Variable
          2.21000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405LNA3
        
          
          
        
        76721.50000000
        PA
        USD
        77075.54000000
        0.011358973860
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          2.31900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31417VFL2
        
          
          
        
        157228.79000000
        PA
        USD
        159030.85000000
        0.023437101682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.00499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404UQ60
        
          
          
        
        4169.36000000
        PA
        USD
        4195.48000000
        0.000618307022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          1.83200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405WHV0
        
          
          
        
        6278.20000000
        PA
        USD
        6314.19000000
        0.000930550978
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.36199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XP43
        
          
          
        
        2674.42000000
        PA
        USD
        2707.46000000
        0.000399010728
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-08-01
          Variable
          2.32300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413QJ33
        
          
          
        
        9248.06000000
        PA
        USD
        9794.08000000
        0.001443398239
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Variable
          2.19999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384VBF8
        
          
          
        
        104761.88000000
        PA
        USD
        104940.63000000
        0.015465579263
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-05-01
          Variable
          2.34200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406V5L6
        
          
          
        
        209000.87000000
        PA
        USD
        215916.31000000
        0.031820571369
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.63400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409XXB0
        
          
          
        
        77586.57000000
        PA
        USD
        80838.09000000
        0.011913478014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          1.96999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389AZN6
        
          
          
        
        41311.25000000
        PA
        USD
        43343.72000000
        0.006387761701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.98199880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407KRF8
        
          
          
        
        95942.84000000
        PA
        USD
        98659.01000000
        0.014539828274
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.03000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405YXX4
        
          
          
        
        36697.96000000
        PA
        USD
        36919.64000000
        0.005441015732
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.01899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DBS4
        
          
          
        
        4795.85000000
        PA
        USD
        5127.38000000
        0.000755645375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.43799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGSW5
        
          
          
        
        1642253.51000000
        PA
        USD
        1738858.60000000
        0.256263522581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.08400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410L6G2
        
          
          
        
        9582.62000000
        PA
        USD
        9746.60000000
        0.001436400894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.03799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403ATU9
        
          
          
        
        17511.26000000
        PA
        USD
        17628.27000000
        0.002597958550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.30799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413BDZ1
        
          
          
        
        123479.54400000
        PA
        USD
        124234.28000000
        0.018308972459
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.24499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402M4D9
        
          
          
        
        68678.68000000
        PA
        USD
        69451.78000000
        0.010235425578
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.03000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31370Q6L8
        
          
          
        
        225295.16000000
        PA
        USD
        231401.14000000
        0.034102641391
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          1.62699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388G7J4
        
          
          
        
        28298.29000000
        PA
        USD
        28555.86000000
        0.004208407327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400AM96
        
          
          
        
        113858.20000000
        PA
        USD
        114116.12000000
        0.016817813072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          1.99199880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373UEJ2
        
          
          
        
        373.56000000
        PA
        USD
        374.16000000
        0.000055141665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-01
          Variable
          2.34299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402G6P3
        
          
          
        
        25003.25000000
        PA
        USD
        25136.29000000
        0.003704449700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.21500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128QPQ21
        
          
          
        
        1694726.80000000
        PA
        USD
        1834176.89000000
        0.270311013712
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.71100160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410F7K5
        
          
          
        
        1159605.97000000
        PA
        USD
        1228779.40000000
        0.181090824474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.19899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402JXS1
        
          
          
        
        3620.26000000
        PA
        USD
        3657.28000000
        0.000538990033
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          1.77800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31381JN24
        
          
          
        
        11170.67000000
        PA
        USD
        11261.82000000
        0.001659705777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.26100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378C4V1
        
          
          
        
        11095.20000000
        PA
        USD
        11043.80000000
        0.001627575175
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-01
          Variable
          1.55599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374KHJ0
        
          
          
        
        25724.12000000
        PA
        USD
        25741.71000000
        0.003793673207
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-11-01
          Variable
          1.98299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MM82
        
          
          
        
        803278.28000000
        PA
        USD
        849200.10000000
        0.125150491823
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.94500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406KA26
        
          
          
        
        8725.84000000
        PA
        USD
        8811.58000000
        0.001298602733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          2.27999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RKC2
        
          
          
        
        25672.72000000
        PA
        USD
        25716.79000000
        0.003790000633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Variable
          2.37600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379R5R5
        
          
          
        
        4451.08000000
        PA
        USD
        4477.48000000
        0.000659866648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-04-01
          Variable
          2.80599840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403CFP1
        
          
          
        
        185247.90000000
        PA
        USD
        186796.84000000
        0.027529102265
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.42600040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408DXE9
        
          
          
        
        12155.30000000
        PA
        USD
        12216.41000000
        0.001800388059
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          1.83999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388RPD3
        
          
          
        
        190870.30000000
        PA
        USD
        191847.16000000
        0.028273390958
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          1.95000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386QD99
        
          
          
        
        292299.55000000
        PA
        USD
        296941.28000000
        0.043761590742
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31360YJ70
        
          
          
        
        911.40000000
        PA
        USD
        921.85000000
        0.000135857238
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-07-01
          Variable
          5.00000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409XUP2
        
          
          
        
        79640.31000000
        PA
        USD
        84129.48000000
        0.012398545170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          1.93500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5L51
        
          
          
        
        3678860.17000000
        PA
        USD
        3930098.51000000
        0.579196542066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          2.26699920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410SC47
        
          
          
        
        71893.27000000
        PA
        USD
        75166.51000000
        0.011077631402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.90100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DFN4
        
          
          
        
        810349.40000000
        PA
        USD
        859792.47000000
        0.126711537701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.08000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407LJN8
        
          
          
        
        700240.58000000
        PA
        USD
        730495.98000000
        0.107656524266
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.10499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375AEU9
        
          
          
        
        535.28000000
        PA
        USD
        537.26000000
        0.000079178456
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-10-01
          Variable
          2.04500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5F66
        
          
          
        
        409986.42000000
        PA
        USD
        424128.52000000
        0.062505754385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Variable
          2.03699880
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, REMIC, Series 4845, Class QF
        3137FJZV4
        
          
          
        
        7548153.84900000
        PA
        USD
        7584298.18000000
        1.117732613745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-15
          Floating
          0.39313080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410MER7
        
          
          
        
        19972.17000000
        PA
        USD
        20047.86000000
        0.002954544563
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.10499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391S6L9
        
          
          
        
        37791.73000000
        PA
        USD
        37941.91000000
        0.005591672324
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          1.86999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KBX1
        
          
          
        
        121980.10000000
        PA
        USD
        123032.20000000
        0.018131816447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          1.66100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405WN92
        
          
          
        
        40024.76000000
        PA
        USD
        40135.43000000
        0.005914941371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.64999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402C2S0
        
          
          
        
        48879.42000000
        PA
        USD
        48865.17000000
        0.007201482970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          1.90699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373MHP3
        
          
          
        
        1770.93000000
        PA
        USD
        1772.57000000
        0.000261231725
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-11-01
          Variable
          2.37499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MNV0
        
          
          
        
        2033453.84000000
        PA
        USD
        2145854.49000000
        0.316244363143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          2.03000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DVP1
        
          
          
        
        26861.89000000
        PA
        USD
        28455.65000000
        0.004193638922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.15399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419ACM7
        
          
          
        
        875266.47000000
        PA
        USD
        921702.59000000
        0.135835514449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          2.11600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DAF3
        
          
          
        
        227678.30000000
        PA
        USD
        232872.28000000
        0.034319450002
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411EYM3
        
          
          
        
        860.46000000
        PA
        USD
        895.49000000
        0.000131972445
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.97600040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XFF9
        
          
          
        
        8474.02000000
        PA
        USD
        8476.16000000
        0.001249170357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.99800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407BWF2
        
          
          
        
        42928.05000000
        PA
        USD
        43349.88000000
        0.006388669528
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389KAQ4
        
          
          
        
        138875.73000000
        PA
        USD
        139554.70000000
        0.020566812629
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Variable
          1.66500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407P4K1
        
          
          
        
        777527.06000000
        PA
        USD
        784097.54000000
        0.115556030632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.60099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CW32
        
          
          
        
        275345.96000000
        PA
        USD
        282650.75000000
        0.041655530159
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          1.74800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391QWB6
        
          
          
        
        29710.78000000
        PA
        USD
        29693.18000000
        0.004376019363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          2.26000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391UTA3
        
          
          
        
        16716.00000000
        PA
        USD
        16842.56000000
        0.002482164883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          1.90299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419AB48
        
          
          
        
        17979.09000000
        PA
        USD
        18860.62000000
        0.002779575590
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.32599960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406VL95
        
          
          
        
        65.66000000
        PA
        USD
        66.57000000
        0.000009810724
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.86000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408GAQ0
        
          
          
        
        862818.11000000
        PA
        USD
        878650.52000000
        0.129490734538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          2.11200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403K4F7
        
          
          
        
        374976.41000000
        PA
        USD
        380134.95000000
        0.056022221325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.33499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384VVT6
        
          
          
        
        18.58000000
        PA
        USD
        18.74000000
        0.000002761799
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Variable
          2.49599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412ECK0
        
          
          
        
        713238.67000000
        PA
        USD
        759184.11000000
        0.111884424826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.25200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409UBQ7
        
          
          
        
        59111.28000000
        PA
        USD
        59566.76000000
        0.008778625097
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          2.11200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418WMU1
        
          
          
        
        561405.82000000
        PA
        USD
        594614.95000000
        0.087631117139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Variable
          2.19200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405AEW9
        
          
          
        
        43619.99000000
        PA
        USD
        44078.32000000
        0.006496023053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31381JRV6
        
          
          
        
        227345.00000000
        PA
        USD
        227658.21000000
        0.033551028726
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.50099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406G4D8
        
          
          
        
        54173.70000000
        PA
        USD
        54627.48000000
        0.008050700876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.95900120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405XXV0
        
          
          
        
        32112.44000000
        PA
        USD
        32311.89000000
        0.004761950599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.99500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412CFN5
        
          
          
        
        20601.38000000
        PA
        USD
        20701.70000000
        0.003050903946
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.46999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5QV9
        
          
          
        
        1296533.12000000
        PA
        USD
        1380456.17000000
        0.203444121846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.21799960
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DFV6
        
          
          
        
        753.03000000
        PA
        USD
        755.82000000
        0.000111388640
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.17299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389AY80
        
          
          
        
        15282.24000000
        PA
        USD
        15147.38000000
        0.002232338475
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.62699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410D4P2
        
          
          
        
        30064.90000000
        PA
        USD
        30376.34000000
        0.004476699768
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          1.86400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406J3L5
        
          
          
        
        1129.88000000
        PA
        USD
        1130.01000000
        0.000166534727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.04999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PC40
        
          
          
        
        60376.15000000
        PA
        USD
        60541.99000000
        0.008922349190
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.77300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406RKF1
        
          
          
        
        269691.87000000
        PA
        USD
        276495.01000000
        0.040748330680
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          1.74800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404GZJ3
        
          
          
        
        68292.48000000
        PA
        USD
        68969.07000000
        0.010164286404
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.14800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402TL45
        
          
          
        
        143708.61000000
        PA
        USD
        144538.90000000
        0.021301356915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.10899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405UTZ2
        
          
          
        
        4480.63000000
        PA
        USD
        4521.52000000
        0.000666357024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          1.84600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407CEJ2
        
          
          
        
        18962.69000000
        PA
        USD
        19141.77000000
        0.002821009947
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.89699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405YPJ4
        
          
          
        
        8902.41000000
        PA
        USD
        8977.49000000
        0.001323053646
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Variable
          0.86500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31288QGQ7
        
          
          
        
        4233572.08000000
        PA
        USD
        4460365.26000000
        0.657344371489
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-01
          Variable
          2.74100040
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402G7A5
        
          
          
        
        5552.24000000
        PA
        USD
        5615.54000000
        0.000827587741
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.37399840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XPN1
        
          
          
        
        61149.99000000
        PA
        USD
        61482.43000000
        0.009060946122
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          1.36500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408FPH6
        
          
          
        
        38125.61000000
        PA
        USD
        38354.16000000
        0.005652427487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.21000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419AFJ1
        
          
          
        
        354007.93000000
        PA
        USD
        370746.38000000
        0.054638584944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.23099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403VWN5
        
          
          
        
        77556.52000000
        PA
        USD
        78262.90000000
        0.011533960519
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.29899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406C6Q6
        
          
          
        
        107304.05000000
        PA
        USD
        112009.39000000
        0.016507334663
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.04500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402YQW7
        
          
          
        
        242055.01000000
        PA
        USD
        242778.51000000
        0.035779376298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411RTJ7
        
          
          
        
        11167.82000000
        PA
        USD
        11685.97000000
        0.001722214697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          1.87700040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401GY24
        
          
          
        
        138773.70000000
        PA
        USD
        144882.01000000
        0.021351922600
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5FP4
        
          
          
        
        563641.50000000
        PA
        USD
        587824.96000000
        0.086630445345
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Variable
          2.09000160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410WFG8
        
          
          
        
        3745.08000000
        PA
        USD
        3718.46000000
        0.000548006409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Variable
          1.86599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406AVG4
        
          
          
        
        45652.53000000
        PA
        USD
        45876.27000000
        0.006760995145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.84700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401BYD1
        
          
          
        
        17783.53000000
        PA
        USD
        17922.45000000
        0.002641313198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          2.07100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400AP77
        
          
          
        
        9342.27000000
        PA
        USD
        9431.96000000
        0.001390030963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          2.24899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406VC95
        
          
          
        
        1127.42000000
        PA
        USD
        1132.06000000
        0.000166836845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          1.98699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409GSP2
        
          
          
        
        767.04000000
        PA
        USD
        769.24000000
        0.000113366407
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          1.99699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300LUP8
        
          
          
        
        1271140.69000000
        PA
        USD
        1359995.84000000
        0.200428789698
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.34299880
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EJDL9
        
          
          
        
        1583855.14000000
        PA
        USD
        1676939.99000000
        0.247138294622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Variable
          2.07500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31366QU78
        
          
          
        
        5456.33000000
        PA
        USD
        5467.90000000
        0.000805829361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-04-01
          Variable
          2.07500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407Y2A6
        
          
          
        
        31146.95000000
        PA
        USD
        31331.10000000
        0.004617407103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          1.99900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GJV6
        
          
          
        
        2253.14000000
        PA
        USD
        2266.76000000
        0.000334062759
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.34100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DFT1
        
          
          
        
        288312.40000000
        PA
        USD
        290433.88000000
        0.042802565525
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          1.99500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404CAE0
        
          
          
        
        50059.54000000
        PA
        USD
        50424.71000000
        0.007431319492
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.39799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DEL0
        
          
          
        
        3815.67000000
        PA
        USD
        3824.34000000
        0.000563610428
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.44800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MBE1
        
          
          
        
        1693696.90000000
        PA
        USD
        1755840.57000000
        0.258766232952
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          2.26400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408DVM3
        
          
          
        
        369405.94000000
        PA
        USD
        369478.13000000
        0.054451677157
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          1.91400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KSL9
        
          
          
        
        40709.66000000
        PA
        USD
        41098.50000000
        0.006056873389
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          2.28700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411EW52
        
          
          
        
        11847.79000000
        PA
        USD
        11882.62000000
        0.001751195904
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406XXS6
        
          
          
        
        65634.94000000
        PA
        USD
        65652.43000000
        0.009675498040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.33300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401DL25
        
          
          
        
        32607.53000000
        PA
        USD
        32920.11000000
        0.004851586754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.56300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411S6V3
        
          
          
        
        443971.54000000
        PA
        USD
        445218.64000000
        0.065613901558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.25799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405QCV8
        
          
          
        
        10235.27000000
        PA
        USD
        10250.37000000
        0.001510643777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.34500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KFR0
        
          
          
        
        59416.16000000
        PA
        USD
        59519.47000000
        0.008771655754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.18599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385JLV8
        
          
          
        
        29022.00000000
        PA
        USD
        29191.16000000
        0.004302034386
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Variable
          2.25500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403NRB5
        
          
          
        
        13795.12000000
        PA
        USD
        13799.34000000
        0.002033671672
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.11899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405TJL7
        
          
          
        
        21217.53000000
        PA
        USD
        21257.84000000
        0.003132864834
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.67100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379LCA7
        
          
          
        
        40406.17000000
        PA
        USD
        40456.58000000
        0.005962270711
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-01
          Variable
          3.90999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300MZH9
        
          
          
        
        607345.60000000
        PA
        USD
        646993.56000000
        0.095350391787
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Variable
          2.22000120
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402LLN0
        
          
          
        
        57564.32000000
        PA
        USD
        58093.67000000
        0.008561529105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.28600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, REMIC, Series 4107, Class KF
        3137AUFV6
        
          
          
        
        4386354.03600000
        PA
        USD
        4420979.04000000
        0.651539844612
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-15
          Floating
          0.48213000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408EQC9
        
          
          
        
        180134.92000000
        PA
        USD
        188766.44000000
        0.027819371201
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.97600040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KWJ9
        
          
          
        
        641634.49000000
        PA
        USD
        649908.60000000
        0.095779994527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.12100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413H5A2
        
          
          
        
        15217.79000000
        PA
        USD
        15343.95000000
        0.002261307893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.34200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RHF9
        
          
          
        
        115106.60000000
        PA
        USD
        116127.91000000
        0.017114299740
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.32800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408B4W5
        
          
          
        
        6876.27000000
        PA
        USD
        6933.64000000
        0.001021842150
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.78800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368HUE1
        
          
          
        
        162.34000000
        PA
        USD
        162.50000000
        0.000023948366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374VCG7
        
          
          
        
        24959.89000000
        PA
        USD
        24994.09000000
        0.003683493037
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-09-01
          Variable
          2.84799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DVU0
        
          
          
        
        18881.87000000
        PA
        USD
        20252.14000000
        0.002984650239
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.21400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374TDJ5
        
          
          
        
        2055.53000000
        PA
        USD
        2047.63000000
        0.000301768572
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-01
          Variable
          2.58500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401HVK5
        
          
          
        
        43257.05000000
        PA
        USD
        43843.37000000
        0.006461397400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          1.74200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373KHS1
        
          
          
        
        27738.96000000
        PA
        USD
        30042.64000000
        0.004427520877
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Variable
          3.69600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138ESAN8
        
          
          
        
        5227569.36000000
        PA
        USD
        5534035.51000000
        0.815576053096
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Variable
          2.09199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405DUD7
        
          
          
        
        911.63000000
        PA
        USD
        913.21000000
        0.000134583922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410S6D4
        
          
          
        
        5751.48000000
        PA
        USD
        5813.58000000
        0.000856773799
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.25600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XRB2
        
          
          
        
        141869.38000000
        PA
        USD
        151477.56000000
        0.022323938885
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.12600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401KMH5
        
          
          
        
        56391.70000000
        PA
        USD
        56979.84000000
        0.008397378898
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.21500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403AX83
        
          
          
        
        47310.05000000
        PA
        USD
        47745.93000000
        0.007036535466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.19800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QTK7
        
          
          
        
        2888.59000000
        PA
        USD
        2918.15000000
        0.000430061074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          1.66299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300M4K6
        
          
          
        
        1360262.69000000
        PA
        USD
        1450569.58000000
        0.213777054856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.35100160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385JN87
        
          
          
        
        50532.30000000
        PA
        USD
        51200.42000000
        0.007545639413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Variable
          1.88499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374GLP0
        
          
          
        
        410.32000000
        PA
        USD
        410.91000000
        0.000060557680
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Variable
          2.43799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401YYL3
        
          
          
        
        41093.20000000
        PA
        USD
        41385.54000000
        0.006099175783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.45300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404V6Z6
        
          
          
        
        41286.33000000
        PA
        USD
        41424.94000000
        0.006104982341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.27199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGL93
        
          
          
        
        318739.53000000
        PA
        USD
        336734.18000000
        0.049626051905
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.15200080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XCP0
        
          
          
        
        340.68000000
        PA
        USD
        349.02000000
        0.000051436669
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          4.00799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MKA9
        
          
          
        
        21518.88000000
        PA
        USD
        21931.58000000
        0.003232156971
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.32200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406F6R7
        
          
          
        
        29016.84000000
        PA
        USD
        29100.30000000
        0.004288643933
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.65099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413NKA2
        
          
          
        
        33807.34000000
        PA
        USD
        34138.29000000
        0.005031115497
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          1.34799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419AJH1
        
          
          
        
        439284.51000000
        PA
        USD
        443778.70000000
        0.065401691033
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.04199920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S4KY2
        
          
          
        
        286934.50000000
        PA
        USD
        304161.41000000
        0.044825654230
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.62699920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404VDP0
        
          
          
        
        21691.71500000
        PA
        USD
        21872.66000000
        0.003223473662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.23800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400YDJ2
        
          
          
        
        94333.96000000
        PA
        USD
        94664.07000000
        0.013951075745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          2.90999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384KZR0
        
          
          
        
        4743.17000000
        PA
        USD
        4754.14000000
        0.000700639294
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Variable
          2.25500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405YPF2
        
          
          
        
        553313.67000000
        PA
        USD
        554830.78000000
        0.081767942556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          1.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XUH8
        
          
          
        
        5526.78000000
        PA
        USD
        5593.60000000
        0.000824354343
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.29700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WVC4
        
          
          
        
        105261.68000000
        PA
        USD
        105770.71000000
        0.015587911938
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.28499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414CNW4
        
          
          
        
        10195.91000000
        PA
        USD
        10552.05000000
        0.001555103734
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.30899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404WAN6
        
          
          
        
        31471.78000000
        PA
        USD
        31406.66000000
        0.004628542725
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.27300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400WEN6
        
          
          
        
        5040.66000000
        PA
        USD
        5071.38000000
        0.000747392400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          2.45400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413JFD1
        
          
          
        
        1419.64000000
        PA
        USD
        1426.23000000
        0.000210190019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.41300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404DX60
        
          
          
        
        48835.77000000
        PA
        USD
        49488.42000000
        0.007293334165
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.10499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WSN0
        
          
          
        
        28660.35000000
        PA
        USD
        28589.13000000
        0.004213310479
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          2.54000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        313617NN8
        
          
          
        
        1226.78000000
        PA
        USD
        1234.44000000
        0.000181925052
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-01
          Variable
          2.21500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411AJ97
        
          
          
        
        274935.47000000
        PA
        USD
        292671.90000000
        0.043132392739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.32099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FWR2
        
          
          
        
        2896432.19000000
        PA
        USD
        3062799.20000000
        0.451378687117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.19600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371YFB2
        
          
          
        
        23936.92000000
        PA
        USD
        23890.33000000
        0.003520826892
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-01
          Variable
          2.33499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CLA2
        
          
          
        
        762184.75000000
        PA
        USD
        797281.68000000
        0.117499037475
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.29600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31415MU78
        
          
          
        
        164984.73000000
        PA
        USD
        177672.52000000
        0.026184409612
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Variable
          2.26100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411SM94
        
          
          
        
        73590.48000000
        PA
        USD
        76657.87000000
        0.011297419928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          1.65700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128LUFH4
        
          
          
        
        345701.25000000
        PA
        USD
        349741.71000000
        0.051543030927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.41999920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403VTK5
        
          
          
        
        4821.11000000
        PA
        USD
        4814.67000000
        0.000709559876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.04400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386M2Y5
        
          
          
        
        10555.99000000
        PA
        USD
        10638.44000000
        0.001567835423
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-08-01
          Variable
          6.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389HEY0
        
          
          
        
        8893.40000000
        PA
        USD
        8987.49000000
        0.001324527392
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Variable
          2.32499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408BCL0
        
          
          
        
        29821.83400000
        PA
        USD
        29906.42000000
        0.004407445514
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.27300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402MNH9
        
          
          
        
        893.13000000
        PA
        USD
        891.21000000
        0.000131341682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.21500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374GAG2
        
          
          
        
        5628.42000000
        PA
        USD
        5657.17000000
        0.000833722944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-05-01
          Variable
          4.26700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385Y2E4
        
          
          
        
        73205.83000000
        PA
        USD
        75973.93000000
        0.011196624570
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405YX22
        
          
          
        
        24690.89000000
        PA
        USD
        24929.39000000
        0.003673957903
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.83499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XJP0
        
          
          
        
        26957.14000000
        PA
        USD
        26959.09000000
        0.003973084050
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.11299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31380ADJ8
        
          
          
        
        1111.56000000
        PA
        USD
        1111.38000000
        0.000163789139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-12-01
          Variable
          2.24700120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408C2U9
        
          
          
        
        40550.27000000
        PA
        USD
        40920.29000000
        0.006030609769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          1.86300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EM2J9
        
          
          
        
        2282157.43000000
        PA
        USD
        2446348.71000000
        0.360529566858
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Variable
          2.28200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409XXJ3
        
          
          
        
        153052.37000000
        PA
        USD
        155198.02000000
        0.022872240044
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.10499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411YPE7
        
          
          
        
        962.51000000
        PA
        USD
        1020.22000000
        0.000150354474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Variable
          1.95199920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391SJH4
        
          
          
        
        1656.98000000
        PA
        USD
        1651.54000000
        0.000243394982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          2.41499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401MHB0
        
          
          
        
        6911.99000000
        PA
        USD
        6957.12000000
        0.001025302504
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          2.28700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410UXJ6
        
          
          
        
        422288.02000000
        PA
        USD
        451399.77000000
        0.066524842878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.32499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WXE4
        
          
          
        
        39722.90000000
        PA
        USD
        40026.66000000
        0.005898911440
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.31500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406WNY6
        
          
          
        
        557539.54000000
        PA
        USD
        587935.73000000
        0.086646770025
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.95999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404GPG0
        
          
          
        
        447698.00000000
        PA
        USD
        447779.10000000
        0.065991248226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.73999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379LCG4
        
          
          
        
        92211.84000000
        PA
        USD
        93016.15000000
        0.013708214259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Variable
          2.11299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405U6G9
        
          
          
        
        160238.02000000
        PA
        USD
        167731.21000000
        0.024719313417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.77800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GDM2
        
          
          
        
        9531.79000000
        PA
        USD
        10054.98000000
        0.001481848262
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          2.04000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JR3X2
        
          
          
        
        1621360.55000000
        PA
        USD
        1714198.47000000
        0.252629246751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.07799920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300MZK2
        
          
          
        
        1596290.92000000
        PA
        USD
        1696578.09000000
        0.250032450986
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Variable
          2.26400040
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404ULF5
        
          
          
        
        173415.75000000
        PA
        USD
        173186.76000000
        0.025523322702
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DHN3
        
          
          
        
        77928.78000000
        PA
        USD
        80695.33000000
        0.011892438822
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.61399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409WCB5
        
          
          
        
        7622.91000000
        PA
        USD
        7916.57000000
        0.001166701027
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.65300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405DLY1
        
          
          
        
        1838.08000000
        PA
        USD
        1849.42000000
        0.000272557460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.87999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RN39
        
          
          
        
        6074.51000000
        PA
        USD
        6107.22000000
        0.000900048865
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.19999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RH77
        
          
          
        
        84386.60000000
        PA
        USD
        86295.85000000
        0.012717812998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GDF7
        
          
          
        
        39139.51000000
        PA
        USD
        40455.72000000
        0.005962143969
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          1.64300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413EE43
        
          
          
        
        324515.46000000
        PA
        USD
        330850.74000000
        0.048758982519
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407CP76
        
          
          
        
        7773.25000000
        PA
        USD
        7811.27000000
        0.001151182486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.05499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RHZ5
        
          
          
        
        3263.75000000
        PA
        USD
        3283.92000000
        0.000483966267
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.09499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DQR4
        
          
          
        
        1602.40000000
        PA
        USD
        1711.77000000
        0.000252271352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.29399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402C5X6
        
          
          
        
        64947.13000000
        PA
        USD
        65011.33000000
        0.009581016209
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.32099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416CGZ3
        
          
          
        
        2264590.61000000
        PA
        USD
        2402165.40000000
        0.354018070949
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.17500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31362TX81
        
          
          
        
        4939.71000000
        PA
        USD
        4978.65000000
        0.000733726357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-07-01
          Variable
          6.31000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409WCD1
        
          
          
        
        82934.75000000
        PA
        USD
        87497.24000000
        0.012894867321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.96899840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408GXK8
        
          
          
        
        79404.16000000
        PA
        USD
        80401.68000000
        0.011849162282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.08900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FVN2
        
          
          
        
        11045.43000000
        PA
        USD
        11069.91000000
        0.001631423125
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Variable
          2.20200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31360QU74
        
          
          
        
        1290.60000000
        PA
        USD
        1318.36000000
        0.000194292726
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-01
          Variable
          4.42299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400QSJ3
        
          
          
        
        3230.54000000
        PA
        USD
        3233.02000000
        0.000476464902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          1.62600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400FE45
        
          
          
        
        266378.74000000
        PA
        USD
        268903.31000000
        0.039629507226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.39000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391SM64
        
          
          
        
        144.84000000
        PA
        USD
        145.16000000
        0.000021392891
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          3.34299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402JXU6
        
          
          
        
        38217.82200000
        PA
        USD
        38741.41000000
        0.005709498286
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          1.91199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385W6E4
        
          
          
        
        994.31000000
        PA
        USD
        994.67000000
        0.000146589054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.31500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379LXG1
        
          
          
        
        30519.49000000
        PA
        USD
        30619.00000000
        0.004512461679
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-01-01
          Variable
          2.80400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414SKF9
        
          
          
        
        130771.81000000
        PA
        USD
        130533.50000000
        0.019237317240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.25100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405X5R0
        
          
          
        
        67621.25000000
        PA
        USD
        67900.14000000
        0.010006753315
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.24300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413NJ30
        
          
          
        
        209390.17000000
        PA
        USD
        215135.04000000
        0.031705432046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          1.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406PCX5
        
          
          
        
        1016.12000000
        PA
        USD
        1015.26000000
        0.000149623496
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          2.33300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405RXD3
        
          
          
        
        22773.26000000
        PA
        USD
        22923.89000000
        0.003378398222
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138YBWH2
        
          
          
        
        83130.39000000
        PA
        USD
        85240.51000000
        0.012562282729
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Variable
          1.97499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401G4Z4
        
          
          
        
        48035.00000000
        PA
        USD
        49922.64000000
        0.007357327147
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.82000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414UQL5
        
          
          
        
        72167.82000000
        PA
        USD
        72887.90000000
        0.010741822254
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.77800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DHL7
        
          
          
        
        321984.76000000
        PA
        USD
        326996.56000000
        0.048190974434
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.91000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409DYY3
        
          
          
        
        112818.29000000
        PA
        USD
        113636.38000000
        0.016747111600
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          3.20000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404NLA2
        
          
          
        
        39458.44000000
        PA
        USD
        42125.87000000
        0.006208281592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.16699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DX46
        
          
          
        
        71099.66000000
        PA
        USD
        73905.71000000
        0.010891821556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          1.69200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391XH93
        
          
          
        
        42986.07000000
        PA
        USD
        43298.72000000
        0.006381129846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Variable
          1.57299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401CAQ6
        
          
          
        
        33565.14000000
        PA
        USD
        33523.40000000
        0.004940496353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.64999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405XWJ8
        
          
          
        
        1406712.34000000
        PA
        USD
        1485955.40000000
        0.218992024539
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.16100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409VSA2
        
          
          
        
        44989.28000000
        PA
        USD
        45057.68000000
        0.006640355803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.12000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374KR91
        
          
          
        
        589.59000000
        PA
        USD
        592.92000000
        0.000087381324
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-01-01
          Variable
          2.20100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403UYH8
        
          
          
        
        8586.17000000
        PA
        USD
        8927.07000000
        0.001315623021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412SUN3
        
          
          
        
        153807.78000000
        PA
        USD
        154508.37000000
        0.022770603178
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Variable
          1.96400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406H3D7
        
          
          
        
        85755.65000000
        PA
        USD
        89203.43000000
        0.013146316323
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.75899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31360QU58
        
          
          
        
        88.85000000
        PA
        USD
        90.59000000
        0.000013350661
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-06-01
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405FTT9
        
          
          
        
        39435.46000000
        PA
        USD
        39376.94000000
        0.005803159240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.29500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407HD37
        
          
          
        
        311770.60000000
        PA
        USD
        329817.34000000
        0.048606685648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.97700120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FZT5
        
          
          
        
        17876.40000000
        PA
        USD
        18005.26000000
        0.002653517285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          1.97499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403JP42
        
          
          
        
        220001.68000000
        PA
        USD
        220218.15000000
        0.032454553150
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.42499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408GJF5
        
          
          
        
        10512.74000000
        PA
        USD
        11141.87000000
        0.001642028198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          2.21699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EHZ70
        
          
          
        
        94191.13000000
        PA
        USD
        95379.28000000
        0.014056479505
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          1.83499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409DT60
        
          
          
        
        210339.57000000
        PA
        USD
        209985.07000000
        0.030946457479
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          2.16200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EQJX1
        
          
          
        
        530529.25000000
        PA
        USD
        562451.98000000
        0.082891113560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Variable
          2.25600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412HRW1
        
          
          
        
        30652.04300000
        PA
        USD
        30510.66000000
        0.004496495119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Variable
          1.11499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408EGX4
        
          
          
        
        45081.23000000
        PA
        USD
        47512.89000000
        0.007002191299
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.91199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403C7L9
        
          
          
        
        13646.02000000
        PA
        USD
        14196.82000000
        0.002092250113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          1.73199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3140JBML7
        
          
          
        
        33102327.37000000
        PA
        USD
        35026938.72000000
        5.162079712300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Variable
          2.08500120
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386G7J6
        
          
          
        
        15507.11000000
        PA
        USD
        15341.58000000
        0.002260958615
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Variable
          1.55599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407VNZ4
        
          
          
        
        959696.30000000
        PA
        USD
        1016762.52000000
        0.149844929888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.19499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400RDY4
        
          
          
        
        7831.09000000
        PA
        USD
        7919.33000000
        0.001167107781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          1.69099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DHP7
        
          
          
        
        1561.34000000
        PA
        USD
        1586.82000000
        0.000233856900
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.56200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402VNU0
        
          
          
        
        11182.98000000
        PA
        USD
        11275.84000000
        0.001661771968
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.26699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388XVV3
        
          
          
        
        775443.82000000
        PA
        USD
        795547.46000000
        0.117243457564
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          1.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300LLX1
        
          
          
        
        392060.34000000
        PA
        USD
        415741.45000000
        0.061269713627
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          2.16600120
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404NBN5
        
          
          
        
        4430.84000000
        PA
        USD
        4732.67000000
        0.000697475162
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.11700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388MXS2
        
          
          
        
        12518.86000000
        PA
        USD
        12530.24000000
        0.001846638617
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-05-01
          Variable
          2.41999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403YV59
        
          
          
        
        12942.88000000
        PA
        USD
        13043.38000000
        0.001922262399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.09000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406TTE1
        
          
          
        
        79084.24000000
        PA
        USD
        79996.77000000
        0.011789488849
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390PQW0
        
          
          
        
        9394.58000000
        PA
        USD
        9417.39000000
        0.001387883715
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.32999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36225DN75
        
          
          
        
        57734.70000000
        PA
        USD
        59085.00000000
        0.008707625928
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-04-20
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391UJV8
        
          
          
        
        25290.48000000
        PA
        USD
        25413.48000000
        0.003745300455
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          1.86500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404HG60
        
          
          
        
        116194.31000000
        PA
        USD
        117107.81000000
        0.017258712072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          2.10499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409JKP4
        
          
          
        
        411609.29000000
        PA
        USD
        437016.13000000
        0.064405060249
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          2.00900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406AZ62
        
          
          
        
        23108.71000000
        PA
        USD
        24160.90000000
        0.003560702027
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.72299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128QSAC0
        
          
          
        
        1889746.85000000
        PA
        USD
        1990051.53000000
        0.293282970332
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.86000120
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411JLF1
        
          
          
        
        6554.63000000
        PA
        USD
        6565.43000000
        0.000967577363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          1.92399840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391RYS5
        
          
          
        
        29007.55000000
        PA
        USD
        28999.50000000
        0.004273788577
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Variable
          2.14499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407GB80
        
          
          
        
        245619.53000000
        PA
        USD
        250413.73000000
        0.036904613493
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.69800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36225DAS3
        
          
          
        
        22958.58000000
        PA
        USD
        23643.03000000
        0.003484381163
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-05-20
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373YW62
        
          
          
        
        468.61000000
        PA
        USD
        472.08000000
        0.000069572582
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-09-01
          Variable
          1.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373UJB4
        
          
          
        
        1205.15000000
        PA
        USD
        1215.48000000
        0.000179130831
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-09-01
          Variable
          2.88600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XP84
        
          
          
        
        5940.58000000
        PA
        USD
        6004.50000000
        0.000884910550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.66199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410QAR2
        
          
          
        
        51324.19000000
        PA
        USD
        52328.37000000
        0.007711870549
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.19999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31415CML8
        
          
          
        
        118955.69000000
        PA
        USD
        120449.99000000
        0.017751264382
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419AFS1
        
          
          
        
        284525.26000000
        PA
        USD
        297174.09000000
        0.043795901014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.06499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407E6Z1
        
          
          
        
        2499.88000000
        PA
        USD
        2610.82000000
        0.000384768450
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.34799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DKQ2
        
          
          
        
        28037.96000000
        PA
        USD
        29097.13000000
        0.004288176756
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.82900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        3140KAPY6
        
          
          
        
        10589102.81000000
        PA
        USD
        11190816.51000000
        1.649241668880
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DSF8
        
          
          
        
        30393.79000000
        PA
        USD
        30328.97000000
        0.004469718635
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.10300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KCR3
        
          
          
        
        6090.75000000
        PA
        USD
        6446.69000000
        0.000950078107
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Variable
          2.02299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S44P9
        
          
          
        
        1244261.83000000
        PA
        USD
        1313781.61000000
        0.193617987846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          1.95599880
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411JZ58
        
          
          
        
        75562.27000000
        PA
        USD
        80251.38000000
        0.011827011886
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          2.13099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402NYZ5
        
          
          
        
        40911.85000000
        PA
        USD
        42264.03000000
        0.006228642861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          1.80500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406AV82
        
          
          
        
        139393.16000000
        PA
        USD
        140845.52000000
        0.020757046659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.65600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DR76
        
          
          
        
        14928.63000000
        PA
        USD
        15059.59000000
        0.002219400463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.30299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413JB45
        
          
          
        
        8060.63000000
        PA
        USD
        8092.89000000
        0.001192686109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          1.92499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404DTQ1
        
          
          
        
        2099.11000000
        PA
        USD
        2112.99000000
        0.000311400973
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QWH0
        
          
          
        
        22111.82000000
        PA
        USD
        22966.31000000
        0.003384649850
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.93299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GDT7
        
          
          
        
        2716.58000000
        PA
        USD
        2833.83000000
        0.000417634451
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.99599840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EJN20
        
          
          
        
        243876.26000000
        PA
        USD
        252416.61000000
        0.037199787053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          1.65800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408BXK9
        
          
          
        
        84480.21000000
        PA
        USD
        85248.14000000
        0.012563407197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.76000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373BEF2
        
          
          
        
        7598.32000000
        PA
        USD
        7645.50000000
        0.001126752205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-01
          Variable
          2.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406VUL8
        
          
          
        
        1512.66000000
        PA
        USD
        1529.41000000
        0.000225396127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.08000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406TTD3
        
          
          
        
        401590.74000000
        PA
        USD
        405185.10000000
        0.059713976181
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          2.01999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405DJE8
        
          
          
        
        129959.93000000
        PA
        USD
        129668.28000000
        0.019109805823
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.00199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QZ46
        
          
          
        
        241634.03000000
        PA
        USD
        254814.83000000
        0.037553223673
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.97300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391UD69
        
          
          
        
        260431.53000000
        PA
        USD
        260886.05000000
        0.038447967054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          1.97300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407XZM6
        
          
          
        
        114713.07000000
        PA
        USD
        120445.01000000
        0.017750530457
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          2.06799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405N7F6
        
          
          
        
        6063.27000000
        PA
        USD
        6278.71000000
        0.000925322129
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.90299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RN54
        
          
          
        
        335000.40000000
        PA
        USD
        338611.15000000
        0.049902669535
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.82099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375JVS6
        
          
          
        
        3626.91000000
        PA
        USD
        3630.04000000
        0.000534975550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-01-01
          Variable
          2.42499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403GCV2
        
          
          
        
        35488.92000000
        PA
        USD
        35561.30000000
        0.005240830971
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.27400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407JWL2
        
          
          
        
        34935.58000000
        PA
        USD
        35533.66000000
        0.005236757538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          1.78300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406GY52
        
          
          
        
        46566.57000000
        PA
        USD
        46608.34000000
        0.006868883640
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.94000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300LFK6
        
          
          
        
        312503.83000000
        PA
        USD
        317683.19000000
        0.046818420620
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Variable
          2.18700000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409WCJ8
        
          
          
        
        884323.48000000
        PA
        USD
        933238.51000000
        0.137535615593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.94900040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EHDZ2
        
          
          
        
        633176.41000000
        PA
        USD
        659174.60000000
        0.097145567208
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          2.06600040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386C3W0
        
          
          
        
        174075.34000000
        PA
        USD
        176718.55000000
        0.026043818702
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PRS1
        
          
          
        
        57315.84000000
        PA
        USD
        58616.07000000
        0.008638517575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403AU86
        
          
          
        
        15421.48000000
        PA
        USD
        15587.66000000
        0.002297224547
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.01099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402ENR5
        
          
          
        
        40267.16000000
        PA
        USD
        42167.83000000
        0.006214465428
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.26000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405NL94
        
          
          
        
        37843.77000000
        PA
        USD
        38126.69000000
        0.005618904195
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.27999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XSL2
        
          
          
        
        8832.73000000
        PA
        USD
        8905.77000000
        0.001312483942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.31400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RN88
        
          
          
        
        23117.44000000
        PA
        USD
        23449.95000000
        0.003455926083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.78400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403N6X0
        
          
          
        
        251546.81000000
        PA
        USD
        252953.92000000
        0.037278972879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Variable
          1.96499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405XXY4
        
          
          
        
        7133.82000000
        PA
        USD
        7165.40000000
        0.001055997678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.99000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406C6X1
        
          
          
        
        62749.40000000
        PA
        USD
        69627.38000000
        0.010261304551
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          4.10500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402HBG5
        
          
          
        
        141603.00000000
        PA
        USD
        141693.46000000
        0.020882011444
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Variable
          2.51899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401CP31
        
          
          
        
        14222.35000000
        PA
        USD
        14273.14000000
        0.002103497739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.83800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5FR0
        
          
          
        
        481596.99000000
        PA
        USD
        502150.06000000
        0.074004144580
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Variable
          2.32999920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384ACD8
        
          
          
        
        168204.30000000
        PA
        USD
        169462.74000000
        0.024974496890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Variable
          2.98699920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406WNU4
        
          
          
        
        60426.55000000
        PA
        USD
        60801.23000000
        0.008960554571
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.80699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406NME1
        
          
          
        
        44562.95000000
        PA
        USD
        45041.09000000
        0.006637910859
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.90400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411UN64
        
          
          
        
        12605.61000000
        PA
        USD
        12716.71000000
        0.001874119551
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.10899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403GWE8
        
          
          
        
        39552.39000000
        PA
        USD
        41108.11000000
        0.006058289659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391JKL3
        
          
          
        
        9378.39000000
        PA
        USD
        9404.03000000
        0.001385914791
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406M3E4
        
          
          
        
        31237.54000000
        PA
        USD
        31433.26000000
        0.004632462889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.81800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401PEJ9
        
          
          
        
        21096.64000000
        PA
        USD
        21276.34000000
        0.003135591264
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.79499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403GCU4
        
          
          
        
        8710.25000000
        PA
        USD
        8773.75000000
        0.001293027553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.45499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MQ96
        
          
          
        
        210913.99500000
        PA
        USD
        222453.63000000
        0.032784006034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-01
          Variable
          2.11399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406HG50
        
          
          
        
        8110.83000000
        PA
        USD
        8649.65000000
        0.001274738370
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.48500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405WHS7
        
          
          
        
        43942.44000000
        PA
        USD
        45765.80000000
        0.006744714677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          1.80200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DB25
        
          
          
        
        13044.52000000
        PA
        USD
        13907.17000000
        0.002049563071
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.39500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3140J5FX2
        
          
          
        
        593886.19000000
        PA
        USD
        632218.61000000
        0.093172940019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Variable
          2.34399960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391BC39
        
          
          
        
        16622.41000000
        PA
        USD
        16998.65000000
        0.002505168579
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Variable
          2.28300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        31418D2R2
        
          
          
        
        34204537.44000000
        PA
        USD
        35529281.91000000
        5.236112319329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413MFB8
        
          
          
        
        254385.14000000
        PA
        USD
        254268.46000000
        0.037472702634
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          2.14300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Institutional Fiduciary Trust - Money Market Portfolio
        549300M4TP89K77LG374
        Institutional Fiduciary Trust - Money Market Portfolio
        457756500
        
          
          
        
        33970245.83100000
        NS
        USD
        33970245.83000000
        5.006350061667
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404NEM4
        
          
          
        
        12531.74000000
        PA
        USD
        12570.69000000
        0.001852599918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409XDV8
        
          
          
        
        25622.82000000
        PA
        USD
        25795.70000000
        0.003801629959
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.32999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401PFA7
        
          
          
        
        75022.53000000
        PA
        USD
        75332.58000000
        0.011102105896
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.47499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QST9
        
          
          
        
        39307.54000000
        PA
        USD
        39636.90000000
        0.005841470731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.45300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403VWF2
        
          
          
        
        40732.66000000
        PA
        USD
        40728.87000000
        0.006002399330
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.02899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413GLM0
        
          
          
        
        5715.91000000
        PA
        USD
        5854.56000000
        0.000862813209
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          2.71400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374TK99
        
          
          
        
        3869.92000000
        PA
        USD
        3879.83000000
        0.000571788242
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-03-01
          Variable
          2.35400040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EQ5S7
        
          
          
        
        1133925.91000000
        PA
        USD
        1199546.01000000
        0.176782566460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Variable
          2.02299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GD83
        
          
          
        
        410.27000000
        PA
        USD
        436.97000000
        0.000064398261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.45000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391SSV3
        
          
          
        
        648.64000000
        PA
        USD
        651.86000000
        0.000096067581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410UK68
        
          
          
        
        2744.30000000
        PA
        USD
        2762.87000000
        0.000407176752
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          1.73000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419AFH5
        
          
          
        
        488350.36000000
        PA
        USD
        498501.85000000
        0.073466491234
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Variable
          1.44299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WTF6
        
          
          
        
        85826.44000000
        PA
        USD
        85863.05000000
        0.012654029288
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.35500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402VZX1
        
          
          
        
        37495.29000000
        PA
        USD
        38967.72000000
        0.005742850622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          1.71900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400ANT1
        
          
          
        
        2055.17000000
        PA
        USD
        2061.39000000
        0.000303796446
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          2.12900040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390WRA2
        
          
          
        
        14231.59000000
        PA
        USD
        14304.04000000
        0.002108051613
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          1.66299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407XR78
        
          
          
        
        1339528.88000000
        PA
        USD
        1405834.68000000
        0.207184268613
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Variable
          1.92600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138ENA82
        
          
          
        
        765049.15000000
        PA
        USD
        771596.89000000
        0.113713752828
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Variable
          2.03199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405YU25
        
          
          
        
        43207.49000000
        PA
        USD
        43393.55000000
        0.006395105375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400QTZ6
        
          
          
        
        23984.61000000
        PA
        USD
        24065.28000000
        0.003546610072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          1.89500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391XEH8
        
          
          
        
        156216.85000000
        PA
        USD
        157818.91000000
        0.023258492557
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Variable
          2.98000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403VYY9
        
          
          
        
        249846.00000000
        PA
        USD
        262253.93000000
        0.038649557768
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          1.95000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389AZ55
        
          
          
        
        9471.09000000
        PA
        USD
        9523.32000000
        0.001403495102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Variable
          1.55599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407MEP6
        
          
          
        
        7855.70000000
        PA
        USD
        7875.40000000
        0.001160633616
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.46499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404B2P6
        
          
          
        
        5932.93000000
        PA
        USD
        5976.48000000
        0.000880781115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          1.59000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365JAA0
        
          
          
        
        31.88000000
        PA
        USD
        31.85000000
        0.000004693879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-08-01
          Variable
          2.45000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418NAF7
        
          
          
        
        43452.00000000
        PA
        USD
        45934.25000000
        0.006769539922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Variable
          2.09400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389AZX4
        
          
          
        
        34241.61000000
        PA
        USD
        34931.85000000
        0.005148066053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Variable
          1.55599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404UDP2
        
          
          
        
        135620.35000000
        PA
        USD
        144923.46000000
        0.021358031276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400H5W9
        
          
          
        
        84127.73000000
        PA
        USD
        84998.92000000
        0.012526678508
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          2.18300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GK44
        
          
          
        
        11600.15000000
        PA
        USD
        11697.04000000
        0.001723846133
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EK6B6
        
          
          
        
        1353538.47000000
        PA
        USD
        1431303.76000000
        0.210937763094
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Variable
          2.05200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404RUN5
        
          
          
        
        44831.98000000
        PA
        USD
        46638.78000000
        0.006873369721
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.78800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379LCK5
        
          
          
        
        5730.55000000
        PA
        USD
        5754.72000000
        0.000848099332
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Variable
          3.26599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3140JA4Y1
        
          
          
        
        5271619.58000000
        PA
        USD
        5589324.65000000
        0.823724265824
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Variable
          2.09000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410PMX8
        
          
          
        
        3925.46000000
        PA
        USD
        3933.27000000
        0.000579663939
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.53199880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DLJ7
        
          
          
        
        42829.41000000
        PA
        USD
        43214.76000000
        0.006368756277
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405RND4
        
          
          
        
        7038.76000000
        PA
        USD
        7306.67000000
        0.001076817282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.77800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409UWR2
        
          
          
        
        79569.74000000
        PA
        USD
        83116.16000000
        0.012249207580
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.81599840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402BSQ8
        
          
          
        
        13889.24000000
        PA
        USD
        13914.53000000
        0.002050647748
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.28700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374TU64
        
          
          
        
        9536.02000000
        PA
        USD
        9505.27000000
        0.001400834992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-05-01
          Variable
          2.22699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DFB0
        
          
          
        
        242977.52000000
        PA
        USD
        243549.11000000
        0.035892943135
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.06100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405UY60
        
          
          
        
        193613.57000000
        PA
        USD
        194538.60000000
        0.028670040746
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.76100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406MEP7
        
          
          
        
        7453.07000000
        PA
        USD
        7734.24000000
        0.001139830223
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.65200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401KSS5
        
          
          
        
        95495.87000000
        PA
        USD
        95585.78000000
        0.014086912352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.41200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406QGB7
        
          
          
        
        15715.38000000
        PA
        USD
        16366.86000000
        0.002412058805
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.73099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PP38
        
          
          
        
        5577.23000000
        PA
        USD
        5602.58000000
        0.000825677767
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400ARR1
        
          
          
        
        23819.05000000
        PA
        USD
        25433.72000000
        0.003748283316
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.24899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409A5L9
        
          
          
        
        4125.12000000
        PA
        USD
        4134.17000000
        0.000609271488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          1.79499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406WEF7
        
          
          
        
        20209.66000000
        PA
        USD
        21343.17000000
        0.003145440306
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.87599960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407CCP0
        
          
          
        
        28082.24000000
        PA
        USD
        28147.12000000
        0.004148169449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.74499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5XQ2
        
          
          
        
        1380909.52000000
        PA
        USD
        1477085.09000000
        0.217684766498
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          2.40999840
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418UHN7
        
          
          
        
        174013.16000000
        PA
        USD
        181164.47000000
        0.026699034210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Variable
          2.05999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375QLS1
        
          
          
        
        2664.50000000
        PA
        USD
        2676.26000000
        0.000394412642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-06-01
          Variable
          2.01099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GQL0
        
          
          
        
        97924.36000000
        PA
        USD
        103870.46000000
        0.015307863429
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.08800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36225DLD4
        
          
          
        
        22136.54000000
        PA
        USD
        23160.93000000
        0.003413331887
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-01-20
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DSD3
        
          
          
        
        83622.68000000
        PA
        USD
        83958.96000000
        0.012373414860
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.06100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31361ML80
        
          
          
        
        1485.91000000
        PA
        USD
        1516.13000000
        0.000223438992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-09-01
          Variable
          3.46500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XK48
        
          
          
        
        176948.34000000
        PA
        USD
        184364.65000000
        0.027170659332
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.27800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386G6N8
        
          
          
        
        29928.78000000
        PA
        USD
        30543.23000000
        0.004501295108
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGV68
        
          
          
        
        113835.57000000
        PA
        USD
        121633.40000000
        0.017925668911
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          2.30100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MVF6
        
          
          
        
        1293163.73000000
        PA
        USD
        1372298.73000000
        0.202241922709
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          2.25299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400QZ48
        
          
          
        
        5588.37000000
        PA
        USD
        5621.15000000
        0.000828414512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          1.82400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406GR84
        
          
          
        
        686561.66000000
        PA
        USD
        698841.30000000
        0.102991429701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.69099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128QJCX2
        
          
          
        
        252429.81000000
        PA
        USD
        256382.45000000
        0.037784250982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          2.12000040
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GDL4
        
          
          
        
        95465.32000000
        PA
        USD
        102143.96000000
        0.015053421249
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.32099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405AR70
        
          
          
        
        19807.54000000
        PA
        USD
        19914.56000000
        0.002934899534
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.33499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406XTD4
        
          
          
        
        345723.08000000
        PA
        USD
        346970.26000000
        0.051134589700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.68300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128Q2FC2
        
          
          
        
        193316.65000000
        PA
        USD
        195706.18000000
        0.028842112336
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.92299840
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HKB7
        
          
          
        
        2628.09000000
        PA
        USD
        2634.72000000
        0.000388290703
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-08-01
          Variable
          2.19499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HN32
        
          
          
        
        2805.31000000
        PA
        USD
        3023.78000000
        0.000445628249
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          4.00299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402MPQ7
        
          
          
        
        6976.93000000
        PA
        USD
        6965.86000000
        0.001026590558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409JSM3
        
          
          
        
        51192.20000000
        PA
        USD
        51486.40000000
        0.007587785590
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.64199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300LKW4
        
          
          
        
        1020283.67000000
        PA
        USD
        1091540.38000000
        0.160865284168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.37099960
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401L4L4
        
          
          
        
        2684.14000000
        PA
        USD
        2708.58000000
        0.000399175788
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406AZZ8
        
          
          
        
        37861.87000000
        PA
        USD
        37924.87000000
        0.005589161062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.67500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31387UEK3
        
          
          
        
        1120.18000000
        PA
        USD
        1120.63000000
        0.000165152354
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-12-01
          Variable
          2.78600040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414UP36
        
          
          
        
        201159.45000000
        PA
        USD
        202160.78000000
        0.029793356176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Variable
          2.15499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3140JBKS4
        
          
          
        
        70452473.88000000
        PA
        USD
        74794719.11000000
        11.02283888384
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-01
          Variable
          2.10899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JRGX8
        
          
          
        
        3618926.94000000
        PA
        USD
        3844110.40000000
        0.566524082116
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.17100160
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3140JBHN9
        
          
          
        
        7572876.10000000
        PA
        USD
        8024005.05000000
        1.182534220621
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Variable
          2.64800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128NHML4
        
          
          
        
        264660.61000000
        PA
        USD
        276900.18000000
        0.040808042430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.69999920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419AFT9
        
          
          
        
        1305241.14000000
        PA
        USD
        1377022.97000000
        0.202938155504
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          1.99299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FZG3
        
          
          
        
        38698.29000000
        PA
        USD
        39132.75000000
        0.005767171846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.04099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404H4G1
        
          
          
        
        6534.70000000
        PA
        USD
        6545.84000000
        0.000964690295
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410G6F5
        
          
          
        
        386515.39000000
        PA
        USD
        388995.57000000
        0.057328051307
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Variable
          2.01099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409DSH7
        
          
          
        
        40584.42000000
        PA
        USD
        40484.74000000
        0.005966420779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          2.61200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407GCY2
        
          
          
        
        1119.15000000
        PA
        USD
        1123.39000000
        0.000165559107
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.81300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373YXC8
        
          
          
        
        2605.50000000
        PA
        USD
        2626.10000000
        0.000387020334
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-01
          Variable
          1.59500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384VKA9
        
          
          
        
        1330.55000000
        PA
        USD
        1343.28000000
        0.000197965300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-01
          Variable
          2.38899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371MAV9
        
          
          
        
        12690.70000000
        PA
        USD
        12577.12000000
        0.001853547536
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407QG59
        
          
          
        
        102686.54000000
        PA
        USD
        103265.18000000
        0.015218660555
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.37099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FWV3
        
          
          
        
        60837.09000000
        PA
        USD
        64474.09000000
        0.009501840700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          2.09400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390S3K5
        
          
          
        
        26164.84000000
        PA
        USD
        26347.78000000
        0.003882992507
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-05-01
          Variable
          1.58699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RMJ5
        
          
          
        
        225748.99000000
        PA
        USD
        233527.04000000
        0.034415944970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.72199880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416BK56
        
          
          
        
        180643.88000000
        PA
        USD
        191060.59000000
        0.028157470549
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.09099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390K5E4
        
          
          
        
        123711.73000000
        PA
        USD
        124021.29000000
        0.018277583151
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          1.79499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406PCY3
        
          
          
        
        3743.56000000
        PA
        USD
        3746.64000000
        0.000552159424
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          2.33300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DXK0
        
          
          
        
        8914.64000000
        PA
        USD
        8983.14000000
        0.001323886312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Variable
          2.05400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, REMIC, Series 4197, Class KF
        3137B1TL6
        
          
          
        
        3682066.25100000
        PA
        USD
        3702516.45000000
        0.545656735913
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-15
          Floating
          0.39213000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406GNF2
        
          
          
        
        47792.02000000
        PA
        USD
        47963.39000000
        0.007068583538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DBZ8
        
          
          
        
        12053.83000000
        PA
        USD
        12903.86000000
        0.001901700700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          2.31800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409XQY8
        
          
          
        
        76939.71000000
        PA
        USD
        80492.53000000
        0.011862551261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          2.01899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375HEE0
        
          
          
        
        6068.46000000
        PA
        USD
        6085.12000000
        0.000896791887
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Variable
          2.72300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373T4T4
        
          
          
        
        6804.60000000
        PA
        USD
        6806.22000000
        0.001003063683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-04-01
          Variable
          2.40699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406WHP2
        
          
          
        
        5458.07000000
        PA
        USD
        5455.55000000
        0.000804009285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.71799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402JBV8
        
          
          
        
        14163.46000000
        PA
        USD
        14213.30000000
        0.002094678845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.19700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389PVL1
        
          
          
        
        133965.29000000
        PA
        USD
        134605.36000000
        0.019837405820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Variable
          1.66500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CQF2
        
          
          
        
        3403.52000000
        PA
        USD
        3400.62000000
        0.000501164879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Variable
          2.33399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31408EKN1
        
          
          
        
        303344.00000000
        PA
        USD
        317475.47000000
        0.046787807976
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.97799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405JQP2
        
          
          
        
        1167.71000000
        PA
        USD
        1222.79000000
        0.000180208139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          2.04000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400KQZ2
        
          
          
        
        18672.20000000
        PA
        USD
        18787.69000000
        0.002768827563
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.71600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WUW7
        
          
          
        
        25864.20000000
        PA
        USD
        25998.62000000
        0.003831535205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          1.92999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410SC96
        
          
          
        
        13159.93000000
        PA
        USD
        13758.24000000
        0.002027614578
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.99000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391FFF0
        
          
          
        
        36442.11000000
        PA
        USD
        36637.94000000
        0.005399500318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Variable
          1.53900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404QF61
        
          
          
        
        5105.56000000
        PA
        USD
        5101.54000000
        0.000751837217
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          2.17900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379RPK8
        
          
          
        
        47165.65000000
        PA
        USD
        47143.33000000
        0.006947727556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Variable
          2.19999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300LB87
        
          
          
        
        288453.50000000
        PA
        USD
        290911.31000000
        0.042872926561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.41499880
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300MAW3
        
          
          
        
        360964.80000000
        PA
        USD
        364414.49000000
        0.053705425436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.41599960
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389AZ22
        
          
          
        
        16274.42000000
        PA
        USD
        16147.94000000
        0.002379795566
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Variable
          1.55599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403QQG8
        
          
          
        
        2826.03000000
        PA
        USD
        2850.82000000
        0.000420138345
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.41999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406WQP2
        
          
          
        
        6253.53000000
        PA
        USD
        6508.69000000
        0.000959215330
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.73999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402TP74
        
          
          
        
        6878.77000000
        PA
        USD
        6943.65000000
        0.001023317369
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          1.85400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3140FCAM0
        
          
          
        
        1882267.04000000
        PA
        USD
        1966181.23000000
        0.289765095351
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Variable
          2.09300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404KRM6
        
          
          
        
        41984.26000000
        PA
        USD
        42098.06000000
        0.006204183105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          1.91999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406WRX4
        
          
          
        
        3840.60000000
        PA
        USD
        4078.47000000
        0.000601062725
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Variable
          2.21299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402A5X0
        
          
          
        
        51823.72000000
        PA
        USD
        52484.43000000
        0.007734869823
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.25200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407CEQ6
        
          
          
        
        24891.06000000
        PA
        USD
        25082.73000000
        0.003696556319
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.67000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391MCM3
        
          
          
        
        36664.20000000
        PA
        USD
        36664.51000000
        0.005403416060
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.41099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404EAC0
        
          
          
        
        44624.84000000
        PA
        USD
        44645.51000000
        0.006579612430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.00900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400AMS4
        
          
          
        
        72262.21000000
        PA
        USD
        72555.00000000
        0.010692761263
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DMV8
        
          
          
        
        454279.92000000
        PA
        USD
        469019.15000000
        0.069121491268
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          1.72000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405JFC3
        
          
          
        
        208148.73000000
        PA
        USD
        209044.59000000
        0.030807854652
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          1.92200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409XZU6
        
          
          
        
        10008.70000000
        PA
        USD
        10353.92000000
        0.001525904413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Variable
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406VYX8
        
          
          
        
        39578.77000000
        PA
        USD
        39987.50000000
        0.005893140252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          1.48500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400ANG9
        
          
          
        
        13709.09000000
        PA
        USD
        13768.67000000
        0.002029151694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31418MMV1
        
          
          
        
        345547.97000000
        PA
        USD
        349681.92000000
        0.051534219402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Variable
          1.91400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FWH4
        
          
          
        
        678399.11000000
        PA
        USD
        716831.95000000
        0.105642793845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          1.93700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390RZZ9
        
          
          
        
        4341.78000000
        PA
        USD
        4367.59000000
        0.000643671658
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          2.40000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403EDZ7
        
          
          
        
        2750.68000000
        PA
        USD
        2928.50000000
        0.000431586401
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.41700040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406H3G0
        
          
          
        
        4652.04000000
        PA
        USD
        4677.68000000
        0.000689371035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.94000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391T4G0
        
          
          
        
        7251.43000000
        PA
        USD
        7321.28000000
        0.001078970424
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          2.24399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31372U4Q8
        
          
          
        
        1589.93000000
        PA
        USD
        1587.81000000
        0.000234002801
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-01
          Variable
          2.32499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128JRFC5
        
          
          
        
        1306219.71000000
        PA
        USD
        1388185.87000000
        0.204583282990
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.26599840
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WYA1
        
          
          
        
        89351.49000000
        PA
        USD
        89303.97000000
        0.013161133362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Variable
          2.37700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371EMK8
        
          
          
        
        11550.18000000
        PA
        USD
        11522.83000000
        0.001698172011
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-11-01
          Variable
          1.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405AEY5
        
          
          
        
        206088.72000000
        PA
        USD
        210877.69000000
        0.031078006959
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410QZE4
        
          
          
        
        179114.50000000
        PA
        USD
        180003.35000000
        0.026527914660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          2.96700120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405X2Q5
        
          
          
        
        373082.56000000
        PA
        USD
        380360.49000000
        0.056055460184
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.11200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365DNB7
        
          
          
        
        43.11000000
        PA
        USD
        43.11000000
        0.000006353317
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-03-01
          Variable
          2.11600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407KKY4
        
          
          
        
        319370.99000000
        PA
        USD
        320394.40000000
        0.047217984003
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.29299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411VEC9
        
          
          
        
        2431.92000000
        PA
        USD
        2449.44000000
        0.000360985144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          1.89500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WSR5
        
          
          
        
        34170.21000000
        PA
        USD
        35609.59000000
        0.005247947688
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.78099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374M7C2
        
          
          
        
        32281.26000000
        PA
        USD
        32284.37000000
        0.004757894851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-02-01
          Variable
          2.32499880
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2021-08-30
      Franklin Investors Securities Trust
      Robert Kubilis
      Robert Kubilis
      Chief Financial Officer, Chief Accounting Officer and Treasurer
    
  
  XXXX




Not
FDIC
Insured
May
Lose
Value
No
Bank
Guarantee
FIST-Q3PH
1
Statements
of
Investments
(unaudited)
Franklin
Adjustable
U.S.
Government
Securities
Fund
2
Franklin
Convertible
Securities
Fund
5
Franklin
Equity
Income
Fund
10
Franklin
Floating
Rate
Daily
Access
Fund
15
Franklin
Low
Duration
Total
Return
Fund
29
Franklin
Managed
Income
Fund
50
Franklin
Total
Return
Fund
59
Notes
to
Statements
of
Investments
86
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Adjustable
U.S.
Government
Securities
Fund
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
2
a
a
Principal
Amount
a
Value
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
9.5%
Diversified
Financial
Services
0.1%
a
GNMA
,
2010-12
,
FD
,
FRN
,
0.691
%
,
(
1-month
USD
LIBOR
+
0.6
%
),
1/16/40
.......
$
844,788
$
855,689
Thrifts
&
Mortgage
Finance
9.4%
a
FHLMC
,
4988,
AF,
FRN,
0.442%,
(1-month
USD
LIBOR
+
0.35%),
10/15/37
.............
8,507,702
8,549,459
343,
F4,
FRN,
0.442%,
Strip,
(1-month
USD
LIBOR
+
0.35%),
10/15/37
.........
8,579,831
8,674,516
4197,
KF,
FRN,
0.392%,
(1-month
USD
LIBOR
+
0.3%),
9/15/37
..............
3,682,066
3,702,516
4107,
KF,
FRN,
0.482%,
(1-month
USD
LIBOR
+
0.39%),
6/15/38
.............
4,386,354
4,420,979
4215,
KF,
FRN,
0.392%,
(1-month
USD
LIBOR
+
0.3%),
2/15/40
..............
3,704,976
3,723,246
4845,
QF,
FRN,
0.393%,
(1-month
USD
LIBOR
+
0.3%),
12/15/48
.............
7,548,154
7,584,298
4730,
WF,
FRN,
0.442%,
(1-month
USD
LIBOR
+
0.35%),
8/15/38
.............
6,833,927
6,881,417
a
FNMA
,
2019-38,
CF,
FRN,
0.539%,
(1-month
USD
LIBOR
+
0.45%),
7/25/49
...........
2,152,097
2,172,888
2020-54,
WF,
FRN,
0.542%,
(1-month
USD
LIBOR
+
0.45%),
8/25/50
..........
8,263,194
8,293,609
2021-36,
YF,
FRN,
0.21%,
(30-day
SOFR
Average
+
0.2%),
6/25/61
............
9,544,454
9,548,330
63,551,258
a
a
a
a
a
Total
Commercial
Mortgage-Backed
Securities
(Cost
$64,273,347)
................
64,406,947
Mortgage-Backed
Securities
82.5%
b
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Adjustable
Rate
13.6%
FHLMC,
1.86%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/36
...............
1,889,747
1,990,052
FHLMC,
1.947%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
9/01/35
..............
3,071,235
3,215,846
FHLMC,
2.021%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
10/01/43
.............
4,273,084
4,517,241
FHLMC,
2.042%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
5/01/45
..............
3,373,915
3,519,643
FHLMC,
2.146%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
7/01/43
..............
4,007,697
4,238,908
FHLMC,
2.171%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
7/01/35
..............
3,618,927
3,844,110
FHLMC,
2.189%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
9/01/37
..............
8,353,595
8,878,014
FHLMC,
2.232%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
11/01/40
.............
2,049,583
2,179,410
FHLMC,
2.267%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
6/01/37
..............
3,678,860
3,930,099
FHLMC,
2.291%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
7/01/43
..............
4,141,622
4,389,532
FHLMC,
2.376%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
3/01/35
................
2,110,361
2,249,943
FHLMC,
2.741%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/44
..............
4,233,572
4,460,365
FHLMC,
1.7%
-
3.651%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
8/01/33
-
11/01/41
42,539,349
44,869,023
92,282,186
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Fixed
Rate
11.4%
FHLMC
Pool,
15
Year,
2%,
7/01/36
......................................
34,186,131
35,510,162
FHLMC
Pool,
15
Year,
2.5%,
3/01/35
.....................................
21,169,846
22,450,321
FHLMC
Pool,
15
Year,
2.5%,
3/01/35
.....................................
18,370,277
19,459,807
77,420,290
b
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
49.5%
FNMA,
1.752%,
(6-month
USD
LIBOR
+/-
MBS
Margin),
12/01/34
...............
2,533,445
2,634,322
FNMA,
1.825%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
2/01/36
...............
3,076,412
3,228,905
FNMA,
1.923%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
2/01/36
...............
2,026,241
2,137,961
FNMA,
1.991%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
3/01/35
...............
3,830,886
4,040,113
FNMA,
2.006%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
3/01/37
...............
2,267,022
2,393,593
FNMA,
2.021%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/39
...............
2,949,713
3,108,306
FNMA,
2.03%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/36
................
2,033,454
2,145,854
FNMA,
2.046%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
9/01/38
...............
8,424,999
8,927,113
FNMA,
2.085%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
4/01/47
...............
33,102,327
35,026,939
FNMA,
2.09%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
7/01/42
................
5,271,620
5,589,325
FNMA,
2.092%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
4/01/40
...............
5,227,569
5,534,036
FNMA,
2.109%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
4/01/44
...............
70,452,474
74,794,719
FNMA,
2.158%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
2/01/36
...............
2,075,919
2,196,079
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Adjustable
U.S.
Government
Securities
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
3
See
Abbreviations
on
page
104
.
a
a
Principal
Amount
a
Value
a
a
a
a
a
Mortgage-Backed
Securities
(continued)
b
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
(continued)
FNMA,
2.175%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/37
...............
$
2,264,591
$
2,402,165
FNMA,
2.196%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
11/01/34
..............
2,896,432
3,062,799
FNMA,
2.282%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
1/01/38
.................
2,282,157
2,446,349
FNMA,
2.298%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
6/01/36
.................
1,949,739
2,076,975
FNMA,
2.332%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
5/01/36
.................
8,613,284
9,185,262
FNMA,
2.648%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
9/01/45
...............
7,572,876
8,024,005
FNMA,
2.981%,
(COFI
11th
District
+/-
MBS
Margin),
4/01/34
..................
9,881,176
10,589,750
FNMA,
0.865%
-
6.12%,
(1-month
USD
LIBOR
+/-
MBS
Margin),
8/01/21
-
5/01/48
..
141,400,803
146,007,909
FNMA,
2.115%
-
6.31%,
(6-month
H15BDI
+/-
MBS
Margin),
12/01/21
-
11/01/34
....
64,024
65,270
335,617,749
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
7.9%
FNMA,
15
Year,
2%,
7/01/36
...........................................
34,204,537
35,529,282
FNMA,
15
Year,
2.5%,
3/01/35
.........................................
10,589,103
11,190,817
FNMA,
15
Year,
2.5%,
4/01/36
.........................................
6,743,202
7,096,652
53,816,751
b
Government
National
Mortgage
Association
(GNMA)
Adjustable
Rate
0.1%
GNMA
II,
1.875%
-
2.25%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
9/20/33
-
5/20/36
..
413,459
426,266
426,266
Total
Mortgage-Backed
Securities
(Cost
$557,042,299)
...........................
559,563,242
Total
Long
Term
Investments
(Cost
$621,315,646)
...............................
623,970,189
a
a
a
a
a
Short
Term
Investments
7.7%
Shares
a
Money
Market
Funds
5.0%
c,d
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
...................
33,934,610
33,934,610
Total
Money
Market
Funds
(Cost
$33,934,610)
..................................
33,934,610
Principal
Amount
Repurchase
Agreements
2.7%
e
Joint
Repurchase
Agreement,
0.026%,
8/02/21
(Maturity
Value
$17,998,676)
BNP
Paribas
Securities
Corp.
(Maturity
Value
$13,025,822)
Deutsche
Bank
Securities,
Inc.
(Maturity
Value
$1,809,407)
HSBC
Securities
(USA),
Inc.
(Maturity
Value
$3,163,447)
Collateralized
by
U.S.
Government
Agency
Securities,
3%
-
5%,
4/20/41
-
3/20/51;
U.S.
Treasury
Bond,
Index
Linked,
2.38%,
1/15/25;
and
U.S.
Treasury
Note,
2.25%,
4/30/24
(valued
at
$18,362,531)
.......................................
17,998,636
17,998,636
Total
Repurchase
Agreements
(Cost
$17,998,636)
...............................
17,998,636
Total
Short
Term
Investments
(Cost
$51,933,246
)
................................
51,933,246
a
Total
Investments
(Cost
$673,248,892)
99.7%
...................................
$675,903,435
Other
Assets,
less
Liabilities
0.3%
.............................................
2,639,750
Net
Assets
100.0%
...........................................................
$678,543,185
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Adjustable
U.S.
Government
Securities
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
4
a
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
b
Adjustable
Rate
Mortgage-Backed
Security
(ARM);
the
rate
shown
is
the
effective
rate
at
period
end.
ARM
rates
are
not
based
on
a
published
reference
rate
and
spread,
but
instead
pass-through
weighted
average
interest
income
inclusive
of
any
caps
or
floors,
if
applicable,
from
the
underlying
mortgage
loans
in
which
the
majority
of
mortgages
pay
interest
based
on
the
index
shown
at
their
designated
reset
dates
plus
a
spread,
less
the
applicable
servicing
and
guaranty
fee
(MBS
margin).
c
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
d
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
e
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Convertible
Securities
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
5
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
3.3%
Diversified
Financial
Services
1.8%
Equitable
Holdings,
Inc.
.................................
United
States
3,075,915
$
94,953,496
Life
Sciences
Tools
&
Services
0.4%
a
Illumina,
Inc.
.........................................
United
States
44,744
22,181,838
Machinery
0.7%
Fortive
Corp.
.........................................
United
States
484,259
35,186,259
Multi-Utilities
0.4%
Sempra
Energy
.......................................
United
States
152,501
19,924,256
Total
Common
Stocks
(Cost
$150,040,624)
.....................................
172,245,849
Convertible
Preferred
Stocks
20.7%
Auto
Components
1.9%
Aptiv
plc,
5.5%,
A
.....................................
United
States
530,000
99,512,800
Capital
Markets
2.2%
KKR
&
Co.,
Inc.,
6%,
C
.................................
United
States
1,360,000
112,934,400
Chemicals
1.2%
International
Flavors
&
Fragrances,
Inc.,
6%
.................
United
States
1,192,242
60,732,808
Electric
Utilities
3.4%
American
Electric
Power
Co.,
Inc.,
6.125%
..................
United
States
440,000
22,118,800
American
Electric
Power
Co.,
Inc.,
6.125%
..................
United
States
600,000
31,842,000
NextEra
Energy,
Inc.,
5.279%
............................
United
States
1,100,000
56,474,000
PG&E
Corp.,
5.5%
....................................
United
States
430,000
38,880,600
Southern
Co.
(The),
6.75%,
2019
.........................
United
States
550,000
28,517,500
177,832,900
Food
Products
1.4%
Bunge
Ltd.,
4.875%
...................................
United
States
630,000
74,365,200
Health
Care
Equipment
&
Supplies
2.5%
Danaher
Corp.,
4.75%,
A
................................
United
States
54,000
107,608,500
Danaher
Corp.,
5%,
B
..................................
United
States
14,045
22,508,657
130,117,157
Health
Care
Technology
0.4%
Change
Healthcare,
Inc.,
6%
.............................
United
States
300,000
21,807,000
Life
Sciences
Tools
&
Services
1.8%
Avantor
,
Inc.,
6.25%,
A
.................................
United
States
820,000
94,833,000
Multi-Utilities
1.7%
DTE
Energy
Co.,
6.25%
................................
United
States
800,000
41,040,000
NiSource,
Inc.,
7.75%
..................................
United
States
450,000
47,430,000
88,470,000
Semiconductors
&
Semiconductor
Equipment
2.1%
Broadcom,
Inc.,
8%,
A
..................................
United
States
71,100
109,802,574
Water
Utilities
0.9%
Essential
Utilities,
Inc.,
6%
..............................
United
States
770,000
46,700,500
Wireless
Telecommunication
Services
1.2%
a,b
2020
Cash
Mandatory
Exchangeable
Trust,
144A,
5.25%
.......
United
States
48,000
60,285,120
a
Total
Convertible
Preferred
Stocks
(Cost
$797,467,872)
..........................
1,077,393,459
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Convertible
Securities
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
6
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Convertible
Bonds
71.8%
Biotechnology
3.3%
Insmed
,
Inc.
,
Senior
Note
,
0.75
%
,
6/01/28
...................
United
States
46,000,000
$
46,920,000
Intercept
Pharmaceuticals,
Inc.
,
Senior
Note
,
2
%
,
5/15/26
.......
United
States
21,000,000
14,284,200
Neurocrine
Biosciences,
Inc.
,
Senior
Note
,
2.25
%
,
5/15/24
......
United
States
44,750,000
58,121,300
b
PTC
Therapeutics,
Inc.
,
Senior
Note
,
144A,
1.5
%
,
9/15/26
.......
United
States
48,000,000
50,203,200
169,528,700
Communications
Equipment
1.5%
Viavi
Solutions,
Inc.
,
Senior
Note,
1.75%,
6/01/23
...........................
United
States
40,969,000
53,258,221
Senior
Note,
1%,
3/01/24
.............................
United
States
20,000,000
27,062,500
80,320,721
Energy
Equipment
&
Services
0.5%
b
Oil
States
International,
Inc.
,
Senior
Note
,
144A,
4.75
%
,
4/01/26
..
United
States
28,000,000
26,243,928
Entertainment
3.5%
iQIYI
,
Inc.
,
Senior
Note,
3.75%,
12/01/23
..........................
China
40,000,000
38,676,000
Senior
Note,
2%,
4/01/25
.............................
China
26,000,000
22,139,000
Sea
Ltd.
,
Senior
Note
,
2.375
%
,
12/01/25
....................
Taiwan
26,000,000
80,969,200
b
Zynga,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
12/15/26
...........
United
States
37,000,000
38,873,125
180,657,325
Equity
Real
Estate
Investment
Trusts
(REITs)
0.6%
Pebblebrook
Hotel
Trust
,
Senior
Note
,
1.75
%
,
12/15/26
.........
United
States
26,000,000
29,107,000
Health
Care
Equipment
&
Supplies
4.1%
DexCom
,
Inc.
,
Senior
Note
,
0.25
%
,
11/15/25
.................
United
States
79,000,000
89,961,250
b
Haemonetics
Corp.
,
Senior
Note
,
144A,
Zero
Cpn
.,
3/01/26
......
United
States
37,500,000
32,150,267
Insulet
Corp.
,
Senior
Note
,
0.375
%
,
9/01/26
.................
United
States
65,000,000
90,065,625
212,177,142
Health
Care
Providers
&
Services
0.8%
b
Accolade,
Inc.
,
Senior
Note
,
144A,
0.5
%
,
4/01/26
.............
United
States
19,000,000
22,254,700
b
Guardant
Health,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
11/15/27
...
United
States
20,000,000
21,625,000
43,879,700
Hotels,
Restaurants
&
Leisure
2.2%
Booking
Holdings,
Inc.
,
Senior
Note,
0.9%,
9/15/21
............................
United
States
37,500,000
40,125,000
Senior
Note,
0.75%,
5/01/25
...........................
United
States
19,000,000
26,924,811
b
Vail
Resorts,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
1/01/26
........
United
States
48,000,000
48,420,000
115,469,811
Interactive
Media
&
Services
3.5%
Snap,
Inc.
,
Senior
Note,
0.75%,
8/01/26
...........................
United
States
7,400,000
24,313,625
b
Senior
Note,
144A,
Zero
Cpn
.,
5/01/27
...................
United
States
46,000,000
53,038,000
Weibo
Corp.
,
Senior
Note
,
1.25
%
,
11/15/22
..................
China
53,000,000
50,615,000
Zillow
Group,
Inc.
,
Senior
Note
,
2.75
%
,
5/15/25
...............
United
States
31,500,000
56,322,000
184,288,625
Internet
&
Direct
Marketing
Retail
5.6%
b
Etsy,
Inc.
,
Senior
Note
,
144A,
0.125
%
,
9/01/27
...............
United
States
80,000,000
96,400,000
Pinduoduo
,
Inc.
,
Senior
Note
,
Zero
Cpn
.,
12/01/25
............
China
93,000,000
86,257,500
b
RealReal
,
Inc.
(The)
,
Senior
Note
,
144A,
1
%
,
3/01/28
..........
United
States
30,000,000
26,427,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Convertible
Securities
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
7
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Convertible
Bonds
(continued)
Internet
&
Direct
Marketing
Retail
(continued)
b
Wayfair,
Inc.
,
Senior
Note
,
144A,
0.625
%
,
10/01/25
............
United
States
85,000,000
$
82,875,000
291,959,500
IT
Services
7.6%
Okta
,
Inc.
,
Senior
Note
,
0.125
%
,
9/01/25
....................
United
States
73,000,000
106,543,500
b
Repay
Holdings
Corp.
,
Senior
Note
,
144A,
Zero
Cpn
.,
2/01/26
....
United
States
19,000,000
19,023,750
b
Shift4
Payments,
Inc.
,
Senior
Note,
144A,
Zero
Cpn
.,
12/15/25
..................
United
States
36,000,000
46,890,000
Senior
Note,
144A,
0.5%,
8/01/27
.......................
United
States
35,000,000
36,421,875
b
Square,
Inc.
,
Senior
Note,
144A,
Zero
Cpn
.,
5/01/26
...................
United
States
39,500,000
45,054,688
Senior
Note,
144A,
0.25%,
11/01/27
.....................
United
States
45,000,000
53,212,500
Wix.com
Ltd.
,
Senior
Note,
Zero
Cpn
.,
7/01/23
........................
Israel
34,800,000
73,549,800
b
Senior
Note,
144A,
Zero
Cpn
.,
8/15/25
...................
Israel
15,400,000
16,855,300
397,551,413
Life
Sciences
Tools
&
Services
0.8%
c
Illumina,
Inc.
,
Senior
Note
,
Zero
Cpn
.,
8/15/23
................
United
States
25,750,000
32,670,312
NeoGenomics
,
Inc.
,
Senior
Note
,
0.25
%
,
1/15/28
.............
United
States
9,500,000
9,375,313
42,045,625
Machinery
0.8%
Fortive
Corp.
,
Senior
Note
,
0.875
%
,
2/15/22
.................
United
States
40,270,000
40,511,620
Media
3.8%
b
Cable
One,
Inc.
,
Senior
Note,
144A,
Zero
Cpn
.,
3/15/26
...................
United
States
48,750,000
48,676,875
Senior
Note,
144A,
1.125%,
3/15/28
.....................
United
States
26,250,000
26,712,535
b
Liberty
Broadband
Corp.
,
Senior
Bond,
144A,
1.25%,
9/30/50
......................
United
States
57,000,000
58,083,000
Senior
Bond,
144A,
2.75%,
9/30/50
......................
United
States
34,500,000
37,126,109
Liberty
Media
Corp.
,
Senior
Note
,
1.375
%
,
10/15/23
...........
United
States
21,200,000
28,269,660
198,868,179
Metals
&
Mining
1.5%
b
Ivanhoe
Mines
Ltd.
,
Senior
Note
,
144A,
2.5
%
,
4/15/26
..........
Canada
60,000,000
75,327,099
Pharmaceuticals
2.3%
Jazz
Investments
I
Ltd.
,
Senior
Note,
1.5%,
8/15/24
............................
United
States
39,750,000
43,032,183
Senior
Note,
2%,
6/15/26
.............................
United
States
35,000,000
45,500,000
Revance
Therapeutics,
Inc.
,
Senior
Note
,
1.75
%
,
2/15/27
.......
United
States
27,000,000
31,308,468
119,840,651
Road
&
Rail
2.4%
Lyft,
Inc.
,
Senior
Note
,
1.5
%
,
5/15/25
.......................
United
States
61,000,000
97,661,000
b
Uber
Technologies,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
12/15/25
..
United
States
30,000,000
29,415,000
127,076,000
Semiconductors
&
Semiconductor
Equipment
4.0%
b
MACOM
Technology
Solutions
Holdings,
Inc.
,
Senior
Note
,
144A,
0.25
%
,
3/15/26
.....................................
United
States
31,000,000
32,201,250
Microchip
Technology,
Inc.
,
Senior
Sub.
Bond
,
1.625
%
,
2/15/27
...
United
States
39,750,000
85,041,150
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Convertible
Securities
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
8
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Convertible
Bonds
(continued)
Semiconductors
&
Semiconductor
Equipment
(continued)
Silicon
Laboratories,
Inc.
,
Senior
Note
,
0.625
%
,
6/15/25
........
United
States
68,000,000
$
92,439,200
209,681,600
Software
19.9%
Alteryx
,
Inc.
,
Senior
Note,
0.5%,
8/01/24
............................
United
States
20,000,000
19,012,000
Senior
Note,
1%,
8/01/26
.............................
United
States
20,000,000
18,526,000
Atlassian
,
Inc.
,
Senior
Note
,
0.625
%
,
5/01/23
................
United
States
21,500,000
85,689,490
b
Bill.com
Holdings,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
12/01/25
...
United
States
66,000,000
96,112,500
Blackline,
Inc.
,
Senior
Note
,
0.125
%
,
8/01/24
.................
United
States
9,500,000
15,538,437
Coupa
Software,
Inc.
,
Senior
Note
,
0.375
%
,
6/15/26
...........
United
States
74,000,000
79,439,000
b
DocuSign,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
1/15/24
.........
United
States
76,000,000
81,358,000
Envestnet
,
Inc.
,
Senior
Note,
1.75%,
6/01/23
...........................
United
States
51,500,000
63,087,500
b
Senior
Note,
144A,
0.75%,
8/15/25
......................
United
States
11,500,000
11,442,500
Guidewire
Software,
Inc.
,
Senior
Note
,
1.25
%
,
3/15/25
.........
United
States
44,000,000
52,057,500
HubSpot
,
Inc.
,
Senior
Note
,
0.375
%
,
6/01/25
.................
United
States
55,500,000
119,429,063
Palo
Alto
Networks,
Inc.
,
Senior
Note
,
0.75
%
,
7/01/23
..........
United
States
43,000,000
66,542,500
b
Q2
Holdings,
Inc.
,
Senior
Note
,
144A,
0.125
%
,
11/15/25
........
United
States
56,000,000
56,029,411
Splunk
,
Inc.
,
Senior
Note,
1.125%,
9/15/25
..........................
United
States
22,500,000
27,253,125
Senior
Note,
1.125%,
6/15/27
..........................
United
States
6,500,000
6,353,750
Workday,
Inc.
,
Senior
Note
,
0.25
%
,
10/01/22
.................
United
States
57,500,000
93,328,250
Workiva
,
Inc.
,
Senior
Note
,
1.125
%
,
8/15/26
.................
United
States
22,000,000
38,114,376
Zendesk
,
Inc.
,
Senior
Note
,
0.625
%
,
6/15/25
.................
United
States
80,000,000
109,448,000
1,038,761,402
Specialty
Retail
3.1%
Burlington
Stores,
Inc.
,
Senior
Note
,
2.25
%
,
4/15/25
...........
United
States
53,000,000
86,853,750
RH
,
Senior
Note
,
Zero
Cpn
.,
9/15/24
.......................
United
States
24,000,000
75,257,854
162,111,604
Total
Convertible
Bonds
(Cost
$2,984,953,905)
..................................
3,745,407,645
Total
Long
Term
Investments
(Cost
$3,932,462,401)
.............................
4,995,046,953
a
Short
Term
Investments
4.6%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
4.1%
d,e
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
216,952,205
216,952,205
Total
Money
Market
Funds
(Cost
$216,952,205)
.................................
216,952,205
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.5%
a
a
a
a
a
Money
Market
Funds
0.4%
d,e
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
19,930,000
19,930,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Convertible
Securities
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
9
See
Abbreviations
on
page
104
.
Short
Term
Investments
(continued)
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Repurchase
Agreements
0.1%
f
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$4,209,357)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$4,293,529)
........................................
4,209,339
$
4,209,339
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$24,139,339)
...........................................................
24,139,339
Total
Short
Term
Investments
(Cost
$241,091,544
)
...............................
241,091,544
a
Total
Investments
(Cost
$4,173,553,945)
100.4%
................................
$5,236,138,497
Other
Assets,
less
Liabilities
(0.4)%
...........................................
(24,584,007)
Net
Assets
100.0%
...........................................................
$5,211,554,490
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
a
Non-income
producing.
b
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$1,328,737,732,
representing
25.5%
of
net
assets.
c
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
d
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
e
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
f
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Equity
Income
Fund
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
10
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
83.5%
Aerospace
&
Defense
3.7%
Lockheed
Martin
Corp.
.................................
United
States
82,000
$
30,476,940
Raytheon
Technologies
Corp.
............................
United
States
1,128,500
98,123,075
128,600,015
Air
Freight
&
Logistics
2.5%
United
Parcel
Service,
Inc.,
B
............................
United
States
450,000
86,112,000
Banks
9.9%
Bank
of
America
Corp.
.................................
United
States
2,740,000
105,106,400
Citigroup,
Inc.
........................................
United
States
780,000
52,743,600
JPMorgan
Chase
&
Co.
.................................
United
States
895,000
135,843,100
Truist
Financial
Corp.
..................................
United
States
875,000
47,626,250
341,319,350
Beverages
3.7%
Coca-Cola
Co.
(The)
...................................
United
States
1,150,000
65,584,500
PepsiCo,
Inc.
........................................
United
States
388,000
60,896,600
126,481,100
Capital
Markets
8.4%
Apollo
Global
Management,
Inc.
..........................
United
States
825,000
48,559,500
Ares
Management
Corp.
................................
United
States
830,000
59,436,300
BlackRock,
Inc.
.......................................
United
States
61,800
53,591,106
Morgan
Stanley
.......................................
United
States
1,350,000
129,573,000
291,159,906
Chemicals
3.6%
BASF
SE
...........................................
Germany
355,000
27,896,552
Huntsman
Corp.
......................................
United
States
1,320,000
34,861,200
Linde
plc
............................................
United
Kingdom
95,500
29,355,745
Sherwin-Williams
Co.
(The)
..............................
United
States
113,500
33,031,905
125,145,402
Commercial
Services
&
Supplies
1.6%
Republic
Services,
Inc.
.................................
United
States
467,000
55,274,120
Communications
Equipment
0.6%
Cisco
Systems,
Inc.
...................................
United
States
375,000
20,763,750
Diversified
Telecommunication
Services
1.4%
TELUS
Corp.
........................................
Canada
645,000
14,321,274
Verizon
Communications,
Inc.
............................
United
States
615,000
34,304,700
48,625,974
Electric
Utilities
6.1%
Duke
Energy
Corp.
....................................
United
States
888,500
93,390,235
Entergy
Corp.
........................................
United
States
285,000
29,332,200
NextEra
Energy,
Inc.
...................................
United
States
961,250
74,881,375
Xcel
Energy,
Inc.
......................................
United
States
185,000
12,626,250
210,230,060
Electrical
Equipment
2.5%
Eaton
Corp.
plc
.......................................
United
States
346,500
54,764,325
Emerson
Electric
Co.
..................................
United
States
305,000
30,771,450
85,535,775
Equity
Real
Estate
Investment
Trusts
(REITs)
1.3%
Prologis,
Inc.
.........................................
United
States
240,000
30,729,600
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Equity
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
11
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Equity
Real
Estate
Investment
Trusts
(REITs)
(continued)
Public
Storage
.......................................
United
States
44,000
$
13,749,120
44,478,720
Food
&
Staples
Retailing
1.2%
Walmart,
Inc.
........................................
United
States
300,500
42,836,275
Health
Care
Equipment
&
Supplies
2.9%
Medtronic
plc
........................................
United
States
753,500
98,942,085
Health
Care
Providers
&
Services
2.6%
HCA
Healthcare,
Inc.
...................................
United
States
165,000
40,953,000
UnitedHealth
Group,
Inc.
................................
United
States
115,000
47,405,300
88,358,300
Hotels,
Restaurants
&
Leisure
1.6%
McDonald's
Corp.
.....................................
United
States
223,000
54,124,330
Household
Products
2.4%
Procter
&
Gamble
Co.
(The)
.............................
United
States
595,000
84,626,850
Insurance
0.5%
Arthur
J
Gallagher
&
Co.
................................
United
States
131,500
18,319,265
IT
Services
1.3%
Fidelity
National
Information
Services,
Inc.
...................
United
States
133,000
19,823,650
Visa,
Inc.,
A
..........................................
United
States
100,000
24,639,000
44,462,650
Life
Sciences
Tools
&
Services
0.5%
Thermo
Fisher
Scientific,
Inc.
............................
United
States
34,000
18,360,340
Machinery
2.2%
Fortive
Corp.
.........................................
United
States
462,508
33,605,831
Illinois
Tool
Works,
Inc.
.................................
United
States
100,000
22,667,000
Stanley
Black
&
Decker,
Inc.
.............................
United
States
92,500
18,227,125
74,499,956
Media
1.9%
Comcast
Corp.,
A
.....................................
United
States
1,125,000
66,183,750
Multiline
Retail
2.8%
Target
Corp.
.........................................
United
States
372,500
97,241,125
Oil,
Gas
&
Consumable
Fuels
4.8%
Canadian
Natural
Resources
Ltd.
.........................
Canada
715,000
23,609,300
Chevron
Corp.
.......................................
United
States
707,000
71,979,670
Royal
Dutch
Shell
plc,
ADR,
A
............................
Netherlands
890,000
36,151,800
Suncor
Energy,
Inc.
....................................
Canada
1,800,000
35,334,000
167,074,770
Pharmaceuticals
5.0%
Johnson
&
Johnson
...................................
United
States
641,500
110,466,300
Merck
&
Co.,
Inc.
.....................................
United
States
240,000
18,448,800
Pfizer,
Inc.
...........................................
United
States
990,000
42,381,900
171,297,000
Road
&
Rail
1.4%
Norfolk
Southern
Corp.
.................................
United
States
192,300
49,580,709
Semiconductors
&
Semiconductor
Equipment
1.9%
Broadcom,
Inc.
.......................................
United
States
43,500
21,114,900
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Equity
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
12
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Semiconductors
&
Semiconductor
Equipment
(continued)
Texas
Instruments,
Inc.
.................................
United
States
233,000
$
44,414,460
65,529,360
Software
2.1%
Microsoft
Corp.
.......................................
United
States
138,500
39,460,035
Oracle
Corp.
.........................................
United
States
370,000
32,241,800
71,701,835
Specialty
Retail
2.5%
Lowe's
Cos.,
Inc.
......................................
United
States
250,000
48,172,500
TJX
Cos.,
Inc.
(The)
...................................
United
States
560,000
38,533,600
86,706,100
Technology
Hardware,
Storage
&
Peripherals
0.6%
Apple,
Inc.
..........................................
United
States
133,000
19,399,380
Total
Common
Stocks
(Cost
$1,793,818,119)
....................................
2,882,970,252
Equity-Linked
Securities
8.5%
Banks
0.8%
a
Royal
Bank
of
Canada
into
Bank
of
America
Corp.,
144A,
7.75%,
11/01/21
..........................................
United
States
902,000
26,421,578
Chemicals
0.6%
a
Goldman
Sachs
International
Bank
into
Linde
plc,
144A,
6.5%,
10/25/21
..........................................
United
Kingdom
80,150
21,847,633
Electrical
Equipment
0.5%
a
Royal
Bank
of
Canada
into
Eaton
Corp.
plc,
144A,
7%,
8/30/21
...
United
States
118,600
16,785,490
Equity
Real
Estate
Investment
Trusts
(REITs)
0.7%
a
Royal
Bank
of
Canada
into
Healthpeak
Properties,
Inc.,
144A,
9.5%,
12/01/21
..........................................
United
States
660,000
22,987,795
Food
&
Staples
Retailing
0.7%
a
Citigroup
Global
Markets
Holdings,
Inc.
into
Tesco
plc,
144A,
6.5%,
1/10/22
...........................................
United
Kingdom
149,700
23,896,922
Health
Care
Providers
&
Services
0.8%
a
Royal
Bank
of
Canada
into
HCA
Healthcare,
Inc.,
Senior
Note
,
144A,
6%,
7/15/22
........................................
United
States
130,400
29,343,687
Internet
&
Direct
Marketing
Retail
0.9%
a
Credit
Suisse
AG
into
Amazon.com,
Inc.,
144A,
5%,
4/22/22
.....
United
States
9,650
31,852,514
IT
Services
0.9%
a
Credit
Suisse
AG
into
Visa,
Inc.,
144A,
5%,
11/30/21
...........
United
States
70,500
16,244,716
a
Royal
Bank
of
Canada
into
Fidelity
National
Information
Services,
Inc.,
144A,
5%,
5/27/22
...............................
United
States
109,700
16,338,383
32,583,099
Life
Sciences
Tools
&
Services
0.7%
a
Credit
Suisse
AG
into
Thermo
Fisher
Scientific,
Inc.,
144A,
4.5%,
8/05/22
...........................................
United
States
43,000
22,550,672
Machinery
0.8%
a
Credit
Suisse
AG
into
Stanley
Black
&
Decker,
Inc.,
144A,
6.5%,
3/31/22
...........................................
United
States
133,000
26,316,002
Multiline
Retail
0.5%
a
Barclays
Bank
plc
into
Dollar
Tree,
Inc.,
144A,
5.5%,
1/14/22
.....
United
States
185,800
18,921,245
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Equity
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
13
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Equity-Linked
Securities
(continued)
Specialty
Retail
0.6%
a
Citigroup
Global
Markets
Holdings,
Inc.
into
TJX
Cos.,
Inc.
(The),
144A,
6.5%,
9/14/21
.................................
United
States
321,500
$
20,954,928
Total
Equity-Linked
Securities
(Cost
$270,692,981)
..............................
294,461,565
Convertible
Preferred
Stocks
6.0%
Capital
Markets
0.5%
KKR
&
Co.,
Inc.,
6%,
C
.................................
United
States
220,000
18,268,800
Health
Care
Equipment
&
Supplies
3.2%
b
Becton
Dickinson
and
Co.,
6%,
B
.........................
United
States
636,500
35,784,030
Boston
Scientific
Corp.,
5.5%,
A
..........................
United
States
180,000
22,114,800
Danaher
Corp.,
4.75%,
A
................................
United
States
22,500
44,836,875
Danaher
Corp.,
5%,
B
..................................
United
States
5,552
8,897,691
111,633,396
Semiconductors
&
Semiconductor
Equipment
1.4%
Broadcom,
Inc.,
8%,
A
..................................
United
States
31,500
48,646,710
Water
Utilities
0.9%
Essential
Utilities,
Inc.,
6%
..............................
United
States
475,000
28,808,750
Total
Convertible
Preferred
Stocks
(Cost
$163,424,921)
..........................
207,357,656
Total
Long
Term
Investments
(Cost
$2,227,936,021)
.............................
3,384,789,473
a
Short
Term
Investments
2.0%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
1.8%
c,d
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
61,265,300
61,265,300
Total
Money
Market
Funds
(Cost
$61,265,300)
..................................
61,265,300
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.2%
a
a
a
a
a
Money
Market
Funds
0.2%
c,d
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
5,965,000
5,965,000
Principal
Amount
*
Repurchase
Agreements
0.0%
e
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$1,492,194)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$1,522,033)
........................................
1,492,188
1,492,188
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$7,457,188)
............................................................
7,457,188
Total
Short
Term
Investments
(Cost
$68,722,488
)
................................
68,722,488
a
Total
Investments
(Cost
$2,296,658,509)
100.0%
................................
$3,453,511,961
Other
Assets,
less
Liabilities
(0.0)%
...........................................
(662,718)
Net
Assets
100.0%
...........................................................
$3,452,849,243
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Equity
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
14
See
Abbreviations
on
page
104
.
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
Rounds
to
less
than
0.1%
of
net
assets.
a
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$294,461,565,
representing
8.5%
of
net
assets.
b
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
c
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
d
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
e
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Floating
Rate
Daily
Access
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
15
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
3.4%
Hotels,
Restaurants
&
Leisure
0.1%
a
24
Hour
Fitness
Worldwide,
Inc.
..........................
United
States
287,830
$
671,651
Machinery
0.9%
a
UTEX
Industries,
Inc.
..................................
United
States
261,340
11,498,960
Paper
&
Forest
Products
2.4%
a,b,c,d
Appvion
Operations,
Inc.
................................
United
States
1,219,956
29,876,200
Road
&
Rail
0.0%
a,b
Onsite
Rental
Group
Operations
Pty.
Ltd.
...................
Australia
11,563,612
Total
Common
Stocks
(Cost
$40,046,446)
......................................
42,046,811
Management
Investment
Companies
3.4%
Capital
Markets
3.4%
e
Franklin
Floating
Rate
Income
Fund
.......................
United
States
4,630,114
36,624,200
f
Invesco
Senior
Loan
ETF
...............................
United
States
280,416
6,177,565
42,801,765
Total
Management
Investment
Companies
(Cost
$51,562,905)
....................
42,801,765
Preferred
Stocks
0.2%
Hotels,
Restaurants
&
Leisure
0.2%
a
24
Hour
Fitness
Worldwide,
Inc.
..........................
United
States
681,685
2,045,055
a
Total
Preferred
Stocks
(Cost
$919,936)
.........................................
2,045,055
Rights
Rights
0.1%
Energy
Equipment
&
Services
0.1%
a,b,g
Fieldwood
Energy,
Inc.,
2/20/49
...........................
United
States
26,230
1,456,552
Total
Rights
(Cost
$1,456,589)
................................................
1,456,552
Warrants
Warrants
0.0%
Machinery
0.0%
a,b
UTEX
Industries,
Inc.,
2/20/49
............................
United
States
634
1,099
Total
Warrants
(Cost
$—)
.....................................................
1,099
Principal
Amount
*
Corporate
Bonds
4.7%
Airlines
1.1%
h
American
Airlines
Inc
/
AAdvantage
Loyalty
IP
Ltd.
,
Senior
Secured
Note
,
144A,
5.5
%
,
4/20/26
.............................
United
States
5,800,000
6,075,500
h
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.
,
Senior
Secured
Note
,
144A,
4.5
%
,
10/20/25
.....................................
United
States
6,000,000
6,453,440
h
United
Airlines,
Inc.
,
Senior
Secured
Note
,
144A,
4.375
%
,
4/15/26
.
United
States
585,000
602,626
13,131,566
Chemicals
0.3%
h
SCIH
Salt
Holdings,
Inc.
,
Senior
Secured
Note
,
144A,
4.875
%
,
5/01/28
...........................................
United
States
3,900,000
3,906,396
Construction
Materials
0.3%
h
Cemex
SAB
de
CV
,
Senior
Secured
Bond
,
144A,
5.2
%
,
9/17/30
..
Mexico
3,875,000
4,251,728
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
16
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Containers
&
Packaging
0.2%
h
Reynolds
Group
Issuer,
Inc.
/
Reynolds
Group
Issuer
LLC
/
Reynolds
Group
Issuer
Luxembourg
SA
,
Senior
Secured
Note
,
144A,
4
%
,
10/15/27
..........................................
United
States
2,500,000
$
2,500,000
Diversified
Telecommunication
Services
0.2%
h
Altice
France
SA
,
Senior
Secured
Note
,
144A,
5.125
%
,
7/15/29
...
France
2,000,000
2,017,320
Hotels,
Restaurants
&
Leisure
0.1%
h
International
Game
Technology
plc
,
Senior
Secured
Note
,
144A,
5.25
%
,
1/15/29
.....................................
United
States
500,000
534,390
Independent
Power
and
Renewable
Electricity
Producers
0.1%
h
Talen
Energy
Supply
LLC
,
Senior
Secured
Note
,
144A,
6.625
%
,
1/15/28
...........................................
United
States
1,556,000
1,384,895
Media
0.5%
h
Diamond
Sports
Group
LLC
/
Diamond
Sports
Finance
Co.
,
Senior
Secured
Note
,
144A,
5.375
%
,
8/15/26
....................
United
States
5,300,000
3,080,625
h
Sinclair
Television
Group,
Inc.
,
Senior
Secured
Note
,
144A,
4.125
%
,
12/01/30
..........................................
United
States
1,900,000
1,846,163
h
Univision
Communications,
Inc.
,
Senior
Secured
Note
,
144A,
5.125
%
,
2/15/25
.....................................
United
States
1,555,556
1,582,685
6,509,473
Oil,
Gas
&
Consumable
Fuels
0.2%
Cheniere
Energy,
Inc.
,
Senior
Secured
Note
,
4.625
%
,
10/15/28
...
United
States
2,400,000
2,536,824
Road
&
Rail
1.6%
h
First
Student
Bidco
,
Inc.
/
First
Transit
Parent,
Inc.
,
Senior
Secured
Note
,
144A,
4
%
,
7/31/29
..............................
United
States
500,000
501,250
b,i
Onsite
Rental
Group
Operations
Pty.
Ltd.
,
PIK,
6.1
%
,
10/26/23
...
Australia
21,096,262
19,870,734
20,371,984
Wireless
Telecommunication
Services
0.1%
h
Vmed
O2
UK
Financing
I
plc
,
Senior
Secured
Bond
,
144A,
4.25
%
,
1/31/31
...........................................
United
Kingdom
1,430,000
1,419,389
Total
Corporate
Bonds
(Cost
$62,057,699)
......................................
58,563,965
a
j
Senior
Floating
Rate
Interests
82.9%
Aerospace
&
Defense
1.6%
AI
Convoy
(Luxembourg)
SARL,
USD
Term
Loan,
B,
4.5%,
(6-month
USD
LIBOR
+
3.5%),
1/18/27
...........................
Luxembourg
3,612,415
3,614,293
i
Alloy
FinCo
Ltd.,
Term
Loan,
B,
14%,
PIK,
(3-month
USD
LIBOR
+
0.5%),
3/06/25
......................................
United
Kingdom
8,047,570
7,725,668
Dynasty
Acquisition
Co.,
Inc.,
2020
Term
Loan,
B1,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
5,342,454
5,175,502
2020
Term
Loan,
B2,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
2,872,287
2,782,528
19,297,991
a
a
a
a
a
a
Air
Freight
&
Logistics
0.4%
Kenan
Advantage
Group,
Inc.
(The),
U.S.
Term
Loan,
B1,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
3/24/26
..................
United
States
4,370,428
4,371,805
Airlines
2.6%
AAdvantage
Loyalty
IP
Ltd.
(American
Airlines,
Inc.),
Initial
Term
Loan,
5.5%,
(3-month
USD
LIBOR
+
4.75%),
4/20/28
.........
United
States
3,548,233
3,653,350
g,k
Air
Canada,
Term
Loan,
B,
TBD,
7/27/28
....................
Canada
2,728,682
2,736,650
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
17
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Airlines
(continued)
Allegiant
Travel
Co.,
Replacement
Term
Loan,
3.156%,
(3-month
USD
LIBOR
+
3%),
2/05/24
............................
United
States
3,051,875
$
3,029,932
American
Airlines,
Inc.,
2017
Term
Loan,
B,
2.093%,
(1-month
USD
LIBOR
+
2%),
12/15/23
..........................................
United
States
1,979,381
1,936,825
2018
Replacement
Term
Loan,
1.836%,
(1-month
USD
LIBOR
+
1.75%),
6/27/25
.....................................
United
States
2,622,959
2,450,276
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.,
Initial
Term
Loan,
4.75%,
(3-month
USD
LIBOR
+
3.75%),
10/20/27
.................
United
States
4,371,107
4,623,670
Kestrel
Bidco
,
Inc.,
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3%),
12/11/26
..........................................
Canada
10,043,178
9,720,290
United
AirLines
,
Inc.,
Term
Loan,
B,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
4/21/28
.....................................
United
States
3,540,234
3,551,085
31,702,078
a
a
a
a
a
a
Auto
Components
2.1%
Adient
US
LLC,
Term
Loan,
B1,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
4/10/28
......................................
United
States
6,500,000
6,503,250
Clarios
Global
LP,
First
Lien,
Amendment
No.
1
Dollar
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
4/30/26
............
United
States
5,588,936
5,554,005
First
Brands
Group
LLC,
First
Lien,
2021
Term
Loan,
6%,
(3-month
USD
LIBOR
+
5%),
3/30/27
............................
United
States
4,531,506
4,589,578
Highline
Aftermarket
Acquisition
LLC,
First
Lien,
Initial
Term
Loan,
5.25%,
(3-month
USD
LIBOR
+
4.5%),
11/09/27
.............
United
States
2,641,853
2,652,856
TI
Group
Automotive
Systems
LLC,
Refinancing
US
Term
Loan,
3.75%,
(3-month
USD
LIBOR
+
3.25%),
12/16/26
............
United
States
2,192,418
2,195,159
Truck
Hero,
Inc.,
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
1/31/28
.....................................
United
States
4,946,375
4,937,422
26,432,270
a
a
a
a
a
a
Automobiles
0.7%
g
American
Trailer
World
Corp.,
First
Lien,
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
3/03/28
..................
United
States
5,752,411
5,684,130
Thor
Industries,
Inc.,
Term
Loan,
B1,
3.125%,
(1-month
USD
LIBOR
+
3%),
2/01/26
......................................
United
States
3,000,000
3,005,640
8,689,770
a
a
a
a
a
a
Banks
0.9%
Finastra
Ltd.,
First
Lien,
Dollar
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.5%),
6/13/24
...............................
United
Kingdom
11,690,807
11,524,739
Beverages
0.6%
City
Brewing
Company
LLC,
First
Lien,
Closing
Date
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.5%),
4/05/28
..............
United
States
2,210,884
2,201,212
Triton
Water
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3.5%),
3/31/28
...................
United
States
4,821,466
4,791,043
6,992,255
a
a
a
a
a
a
Biotechnology
0.2%
Grifols
Worldwide
Operations
Ltd.,
Dollar
Term
Loan,
B,
2.084%,
(1-
week
USD
LIBOR
+
2%),
11/15/27
.......................
Ireland
2,275,214
2,247,559
Building
Products
0.2%
Cornerstone
Building
Brands,
Inc.,
Term
Loan,
B,
3.75%,
(1-month
USD
LIBOR
+
3.25%),
4/12/28
..........................
United
States
2,962,345
2,960,494
Capital
Markets
2.5%
Citadel
Securities
LP,
2021
Term
Loan,
2.592%,
(1-month
USD
LIBOR
+
2.5%),
2/02/28
...............................
United
States
4,289,250
4,221,844
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
18
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Capital
Markets
(continued)
Deerfield
Dakota
Holding
LLC,
First
Lien,
Initial
Dollar
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
3.75%),
4/09/27
.............
United
States
5,922,277
$
5,932,937
g
Edelman
Financial
Engines
Center
LLC
(The),
First
Lien,
2021
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
4/07/28
....
United
States
5,400,000
5,394,357
Jane
Street
Group
LLC,
Dollar
Term
Loan,
2.852%,
(1-week
USD
LIBOR
+
2.75%;
1-month
USD
LIBOR
+
2.75%),
1/26/28
......
United
States
1,122,174
1,106,744
Russell
Investments
US
Institutional
Holdco,
Inc.,
2025
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.5%),
5/30/25
..............
United
States
9,912,434
9,880,219
Vertical
Midco
GmbH,
USD
Term
Loan,
4.478%,
(6-month
USD
LIBOR
+
4.25%),
6/30/27
..............................
Germany
4,090,894
4,087,376
30,623,477
a
a
a
a
a
a
Chemicals
2.2%
ASP
Unifrax
Holdings,
Inc.,
First
Lien,
USD
Term
Loan,
3.897%,
(3-month
USD
LIBOR
+
3.75%),
12/12/25
.................
United
States
2,493,606
2,453,085
Cyanco
Intermediate
2
Corp.,
First
Lien,
Initial
Term
Loan,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
3/16/25
...................
United
States
5,318,482
5,272,424
INEOS
Styrolution
Group
GmbH,
2026
Dollar
Term
Loan,
B,
3.25%,
(1-month
USD
LIBOR
+
2.75%),
1/29/26
..................
United
Kingdom
1,873,332
1,870,522
Lummus
Technology
Holdings
V
LLC,
2021
Refinancing
Term
Loan,
B,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
6/30/27
..........
United
States
3,339,573
3,316,346
NIC
Acquisition
Corp.,
First
Lien,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
12/29/27
.........................
United
States
4,609,411
4,592,126
Nouryon
Finance
BV,
Initial
Dollar
Term
Loan,
2.835%,
(1-month
USD
LIBOR
+
2.75%),
10/01/25
.........................
Netherlands
1,655,189
1,637,015
SCIH
Salt
Holdings,
Inc.,
First
Lien,
Incremental
Term
Loan,
B1,
4.75%,
(3-month
USD
LIBOR
+
4%),
3/16/27
...............
United
States
5,938,152
5,946,643
g,k
Sparta
U.S.
Holdco
LLC,
First
Lien,
Initial
Term
Commitment
Term
Loan,
TBD,
8/02/28
..................................
United
States
2,515,625
2,518,241
27,606,402
a
a
a
a
a
a
Commercial
Services
&
Supplies
2.6%
Allied
Universal
Holdco
LLC,
Initial
U.S.
Dollar
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.75%),
5/12/28
..................
United
States
7,550,599
7,554,261
g
APX
Group,
Inc.,
Initial
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
7/10/28
......................................
United
States
2,830,065
2,813,085
g
CCI
Buyer,
Inc.,
First
Lien,
Initial
Term
Loan,
4.75%,
(3-month
USD
LIBOR
+
4%),
12/17/27
...............................
United
States
2,439,558
2,443,913
g
Madison
IAQ
LLC,
Term
Loan,
3.75%,
(3-month
USD
LIBOR
+
3.25%),
6/21/28
.....................................
United
States
5,007,107
4,970,881
Prime
Security
Services
Borrower
LLC,
First
Lien,
2021
Refinancing
Term
Loan,
B1,
3.5%,
(1-month
USD
LIBOR
+
2.75%;
3-month
USD
LIBOR
+
2.75%),
9/23/26
..........................
United
States
2,245,096
2,237,766
g
Spin
Holdco,
Inc.,
Initial
Term
Loan,
4.75%,
(3-month
USD
LIBOR
+
4%),
3/04/28
.......................................
United
States
1,900,000
1,900,950
Staples,
Inc.,
2019
Refinancing
New
Term
Loan,
B1,
5.176%,
(3-month
USD
LIBOR
+
5%),
4/16/26
................................
United
States
5,287,165
5,138,094
2019
Refinancing
New
Term
Loan,
B2,
4.676%,
(3-month
USD
LIBOR
+
4.5%),
9/12/24
...............................
United
States
5,486,005
5,407,637
32,466,587
a
a
a
a
a
a
Communications
Equipment
0.6%
CommScope
,
Inc.,
Initial
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
4/06/26
...................................
United
States
7,997,142
7,932,166
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
19
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Construction
&
Engineering
0.5%
g
USIC
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4.25%,
(1-month
USD
LIBOR
+
3.5%),
5/12/28
...........................
United
States
6,255,172
$
6,236,407
Construction
Materials
0.2%
White
Cap
Buyer
LLC,
Initial
Closing
Date
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
4%),
10/19/27
....................
United
States
2,977,500
2,984,021
Containers
&
Packaging
1.6%
BWay
Holding
Co.,
Initial
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
4/03/24
...................................
United
States
10,437,415
10,123,458
g
Charter
Next
Generation,
Inc.,
First
Lien,
2021
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
12/01/27
.............
United
States
4,869,209
4,871,230
Kleopatra
Finco
SARL,
USD
Term
Loan,
B,
5.25%,
(3-month
USD
LIBOR
+
4.75%),
2/12/26
..............................
Luxembourg
4,726,068
4,733,441
19,728,129
a
a
a
a
a
a
Diversified
Consumer
Services
1.2%
KUEHG
Corp.,
Term
Loan,
B3,
4.75%,
(3-month
USD
LIBOR
+
3.75%),
2/21/25
.....................................
United
States
5,068,757
4,974,073
Learning
Care
Group
(US)
No.
2,
Inc.,
First
Lien,
Initial
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.25%),
3/13/25
.............
United
States
1,950,000
1,909,167
Sedgwick
Claims
Management
Services,
Inc.
(Lightning
Cayman
Merger
Sub
Ltd.),
Initial
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
12/31/25
..................................
United
States
1,682,741
1,658,661
WeddingWire
,
Inc.,
First
Lien,
Initial
Term
Loan,
4.628%,
(2-month
USD
LIBOR
+
4.5%;
3-month
USD
LIBOR
+
4.5%),
12/19/25
...
United
States
3,684,430
3,689,036
WW
International,
Inc.,
Initial
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
4/13/28
....................................
United
States
2,358,974
2,356,769
14,587,706
a
a
a
a
a
a
Diversified
Financial
Services
1.9%
g,k
AqGen
Ascensus
,
Inc.,
Term
Loan,
TBD,
5/19/28
..............
United
States
7,297,468
7,277,400
Jefferies
Finance
LLC,
Closing
Date
Term
Loan,
5.25%,
(3-month
USD
LIBOR
+
2%),
6/03/26
............................
United
States
2,977,435
2,967,193
g
MPH
Acquisition
Holdings
LLC,
Initial
Term
Loan,
3.75%,
(3-month
USD
LIBOR
+
2.75%),
6/07/23
..........................
United
States
4,550,000
4,523,633
Verscend
Holding
Corp.,
Term
Loan,
B1,
4.092%,
(1-month
USD
LIBOR
+
4%),
8/27/25
................................
United
States
9,308,760
9,305,269
24,073,495
a
a
a
a
a
a
Diversified
Telecommunication
Services
2.5%
Altice
France
SA,
USD
Incremental
Term
Loan,
B13,
4.155%,
(3-month
USD
LIBOR
+
4%),
8/14/26
.....................
France
4,403,288
4,398,709
Global
Tel*Link
Corp.,
First
Lien,
Term
Loan,
4.342%,
(1-month
USD
LIBOR
+
4.25%),
11/29/25
..........................................
United
States
14,254,610
13,207,751
Second
Lien,
Term
Loan,
8.342%,
(1-month
USD
LIBOR
+
8.25%),
11/29/26
..........................................
United
States
7,895,149
6,753,630
West
Corp.,
Initial
Term
Loan,
B,
5%,
(3-month
USD
LIBOR
+
4%),
10/10/24
..........................................
United
States
3,584,204
3,501,212
Zayo
Group
Holdings,
Inc.,
Initial
Dollar
Term
Loan,
3.092%,
(1-month
USD
LIBOR
+
3%),
3/09/27
.....................
United
States
3,755,569
3,699,573
31,560,875
a
a
a
a
a
a
Electric
Utilities
0.1%
Astoria
Energy
LLC,
Advance
(2020)
Term
Loan,
B,
4.5%,
(3-month
USD
LIBOR
+
3.5%),
12/10/27
..........................
United
States
1,417,875
1,415,989
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
20
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Electronic
Equipment,
Instruments
&
Components
0.1%
Verifone
Systems,
Inc.,
First
Lien,
Initial
Term
Loan,
4.147%,
(3-month
USD
LIBOR
+
4%),
8/20/25
.....................
United
States
1,786,224
$
1,747,374
Entertainment
2.8%
AMC
Entertainment
Holdings,
Inc.,
Term
Loan,
B1,
3.103%,
(1-month
USD
LIBOR
+
3%),
4/22/26
............................
United
States
1,994,898
1,777,813
Banijay
Entertainment
SAS,
USD
Term
Loan,
B,
3.851%,
(1-month
USD
LIBOR
+
3.75%),
3/01/25
..........................
France
5,222,045
5,213,089
g
Crown
Finance
US,
Inc.,
Initial
Dollar
Term
Loan,
3.5%,
(3-month
USD
LIBOR
+
2.5%),
2/28/25
...........................
United
States
2,981,460
2,427,848
Diamond
Sports
Group
LLC,
Term
Loan,
3.35%,
(1-month
USD
LIBOR
+
3.25%),
8/24/26
..............................
United
States
12,857,566
7,109,655
Lions
Gate
Capital
Holdings
LLC,
2023
Term
Loan,
A,
1.842%,
(1-month
USD
LIBOR
+
1.75%),
3/22/23
..................
United
States
14,172,606
14,066,312
William
Morris
Endeavor
Entertainment
LLC
(IMG
Worldwide
Holdings
LLC),
First
Lien,
Term
Loan,
B1,
2.85%,
(1-month
USD
LIBOR
+
2.75%),
5/18/25
..............................
United
States
4,369,960
4,257,608
34,852,325
a
a
a
a
a
a
Equity
Real
Estate
Investment
Trusts
(REITs)
0.3%
g
Brookfield
Property
REIT,
Inc.,
Initial
Term
Loan,
B,
2.592%,
(1-month
USD
LIBOR
+
2.5%),
8/27/25
...................
United
States
3,790,256
3,686,024
Food
&
Staples
Retailing
1.5%
GNC
Holdings,
Inc.,
Second
Lien,
Term
Loan,
6.103%,
(1-month
USD
LIBOR
+
6%),
10/07/26
...........................
United
States
18,611,297
16,936,280
Shearer's
Foods
LLC,
First
Lien,
Refinancing
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.5%),
9/23/27
...................
United
States
1,772,782
1,773,979
18,710,259
a
a
a
a
a
a
Food
Products
0.7%
i
CSM
Bakery
Solutions
Ltd.,
Second
Lien,
Term
Loan,
8.75%,
PIK,
(3-month
USD
LIBOR
+
7.75%),
7/05/22
..................
United
States
8,039,532
7,992,662
Health
Care
Equipment
&
Supplies
0.2%
Jazz
Pharmaceuticals,
Inc.,
Initial
Dollar
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
5/05/28
...........................
United
States
2,428,571
2,434,643
Health
Care
Providers
&
Services
7.5%
ADMI
Corp.,
Amendment
No.
4
Refinancing
Term
Loan,
3.625%,
(1-month
USD
LIBOR
+
3.125%),
12/23/27
............................
United
States
7,894,098
7,773,713
Amendment
No.
5
Incremental
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
12/23/27
..............................
United
States
2,747,485
2,738,899
g,k
Aveanna
Healthcare
LLC,
Term
Loan,
B,
TBD,
6/30/28
.........
United
States
2,546,481
2,535,735
CNT
Holdings
I
Corp.,
First
Lien,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
11/08/27
.........................
United
States
2,362,689
2,360,846
eResearchTechnology
,
Inc.,
First
Lien,
Initial
Term
Loan,
5.5%,
(1-month
USD
LIBOR
+
4.5%),
2/04/27
...................
United
States
6,642,405
6,663,163
Gentiva
Health
Services,
Inc.,
First
Lien,
Term
Loan,
B1,
2.875%,
(1-month
USD
LIBOR
+
2.75%),
7/02/25
..................
United
States
2,250,737
2,245,121
Global
Medical
Response,
Inc.,
2018
New
Term
Loan,
5.25%,
(3-month
USD
LIBOR
+
4.25%),
3/14/25
..................
United
States
2,857,581
2,859,967
g
Heartland
Dental
LLC,
2021
Incremental
Term
Loan,
4.093%,
(1-month
USD
LIBOR
+
4%),
4/30/25
.....................
United
States
2,545,455
2,539,880
ICON
Luxembourg
SARL,
Term
Loan,
3%,
(3-month
USD
LIBOR
+
2.5%),
7/03/28
......................................
Luxembourg
2,993,338
2,990,659
National
Mentor
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%;
3-month
USD
LIBOR
+
3.75%),
3/02/28
...................
United
States
9,757,567
9,753,517
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
21
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Health
Care
Providers
&
Services
(continued)
First
Lien,
Initial
Term
Loan,
C,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
3/02/28
.....................................
United
States
307,315
$
307,188
Pathway
Vet
Alliance
LLC,
First
Lien,
2021
Replacement
Term
Loan,
3.842%,
(1-month
USD
LIBOR
+
3.75%),
3/31/27
............
United
States
10,772,121
10,731,725
Phoenix
Guarantor,
Inc.,
First
Lien,
Term
Loan,
B1,
3.339%,
(1-month
USD
LIBOR
+
3.25%),
3/05/26
.....................................
United
States
6,868,463
6,790,335
First
Lien,
Term
Loan,
B3,
3.596%,
(1-month
USD
LIBOR
+
3.5%),
3/05/26
...........................................
United
States
6,305,324
6,245,644
Pluto
Acquisition
I,
Inc.,
First
Lien,
2021
Term
Loan,
4.135%,
(2-month
USD
LIBOR
+
4%),
6/22/26
.....................
United
States
2,651,519
2,638,262
g
Radiology
Partners,
Inc.,
First
Lien,
Term
Loan,
B,
4.348%,
(1-month
USD
LIBOR
+
4.25%),
7/09/25
..........................
United
States
4,350,000
4,344,562
g
Team
Health
Holdings,
Inc.,
Initial
Term
Loan,
3.75%,
(1-month
USD
LIBOR
+
2.75%),
2/06/24
..............................
United
States
2,643,099
2,565,048
U.S.
Anesthesia
Partners,
Inc.,
First
Lien,
Initial
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3%),
6/23/24
.....................
United
States
1,795,069
1,775,296
g
U.S.
Renal
Care,
Inc.,
Initial
Term
Loan,
5.125%,
(1-month
USD
LIBOR
+
5%),
6/26/26
................................
United
States
3,590,863
3,599,517
Waystar
Technologies,
Inc.,
First
Lien,
Initial
Term
Loan,
4.092%,
(1-month
USD
LIBOR
+
4%),
10/22/26
....................
United
States
12,205,962
12,179,292
93,638,369
a
a
a
a
a
a
Hotels,
Restaurants
&
Leisure
4.2%
i
24
Hour
Fitness
Worldwide,
Inc.,
Term
Loan,
5.146%,
PIK,
(3-month
USD
LIBOR
+
5%),
12/29/25
...........................
United
States
13,180,494
11,515,440
Boyd
Gaming
Corp.,
Term
Loan,
A,
3.25%,
(1-week
USD
LIBOR
+
2.75%),
9/15/23
.....................................
United
States
3,701,503
3,701,504
Caesars
Resort
Collection
LLC,
Term
Loan,
B,
2.842%,
(1-month
USD
LIBOR
+
2.75%),
12/23/24
United
States
8,881,970
8,794,438
Term
Loan,
B1,
4.592%,
(1-month
USD
LIBOR
+
4.5%),
7/21/25
United
States
1,714,247
1,718,035
Golden
Nugget,
Inc.,
Initial
Term
Loan,
B,
3.25%,
(2-month
USD
LIBOR
+
2.5%),
10/04/23
..............................
United
States
5,196,941
5,153,312
g,k
Hilton
Grand
Vacations
Borrower
LLC,
Term
Loan,
TBD,
5/19/28
..
United
States
1,904,762
1,900,476
IRB
Holding
Corp.,
Fourth
Amendment
Incremental
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.25%),
12/15/27
............
United
States
4,718,845
4,709,997
g,k
Raptor
Acquisition
Corp.,
Term
Loan,
B,
TBD,
11/01/26
.........
United
States
4,916,525
4,921,147
Station
Casinos
LLC,
Term
Loan,
B1,
2.5%,
(1-month
USD
LIBOR
+
2.25%),
2/08/27
.....................................
United
States
5,694,163
5,608,751
g,k
Whatabrands
LLC,
Term
Loan,
B,
TBD,
7/21/28
...............
United
States
4,233,577
4,219,013
52,242,113
a
a
a
a
a
a
Household
Durables
0.7%
g,k
Osmosis
Buyer
Ltd.,
Initial
Term
Loan,
B,
TBD,
7/30/28
.........
United
States
4,761,905
4,767,119
Playtika
Holding
Corp.,
Term
Loan,
B1,
2.842%,
(1-month
USD
LIBOR
+
2.75%),
3/13/28
..............................
United
States
863,197
858,182
g,k
VC
GB
Holdings
I
Corp.,
First
Lien,
Initial
Term
Loan,
TBD,
7/21/28
United
States
3,035,037
3,017,023
8,642,324
a
a
a
a
a
a
Household
Products
0.5%
b,i,l
FGI
Operating
Co.
LLC,
Term
Loan,
11%,
PIK,
(3-month
USD
LIBOR
+
10%),
5/16/22
.....................................
United
States
39,624,859
6,420,436
Insurance
3.6%
Acrisure
LLC,
First
Lien,
2020
Term
Loan,
3.607%,
(2-month
USD
LIBOR
+
3.5%),
2/15/27
......................................
United
States
4,937,500
4,857,883
g,k
Incremental
Term
Loan,
B,
TBD,
2/15/27
..................
United
States
2,282,609
2,267,635
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
22
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Insurance
(continued)
Alliant
Holdings
Intermediate
LLC,
2018
Initial
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
5/09/25
...........................................
United
States
8,236,449
$
8,140,041
2020
New
Term
Loan,
4.25%,
(1-month
USD
LIBOR
+
3.75%),
11/05/27
..........................................
United
States
1,069,025
1,069,693
AssuredPartners
,
Inc.,
2020
February
Refinancing
Term
Loan,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
2/12/27
...............................
United
States
8,995,012
8,900,249
g
2021
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
2/12/27
...
United
States
2,042,664
2,042,153
Asurion
LLC,
New
Term
Loan,
B8,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
12/23/26
..........................................
United
States
8,959,775
8,804,368
New
Term
Loan,
B9,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
7/31/27
...........................................
United
States
3,566,568
3,507,506
Second
Lien,
New
Term
Loan,
B3,
5.342%,
(1-month
USD
LIBOR
+
5.25%),
1/31/28
...................................
United
States
195,987
195,358
g,k
Second
Lien,
New
Term
Loan,
B4,
TBD,
1/20/29
............
United
States
5,426,293
5,407,626
45,192,512
a
a
a
a
a
a
Internet
&
Direct
Marketing
Retail
0.6%
MH
Sub
I
LLC
(Micro
Holding
Corp.),
First
Lien,
2020
June
New
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
3.75%),
9/13/24
..............................
United
States
2,941,548
2,944,445
First
Lien,
Amendment
No.
2
Initial
Term
Loan,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
9/13/24
...........................
United
States
4,328,828
4,307,422
7,251,867
a
a
a
a
a
a
IT
Services
4.8%
Arches
Buyer,
Inc.,
Refinancing
Term
Loan,
3.75%,
(1-month
USD
LIBOR
+
3.25%),
12/06/27
.............................
United
States
1,775,539
1,767,282
Aventiv
Technologies
LLC,
First
Lien,
Initial
Term
Loan,
5.5%,
(3-month
USD
LIBOR
+
4.5%),
11/01/24
..................
United
States
8,772,727
8,203,070
Barracuda
Networks,
Inc.,
First
Lien,
2020
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
2/12/25
..................
United
States
2,936,712
2,944,362
Gainwell
Acquisition
Corp.,
First
Lien,
Term
Loan,
B,
4.75%,
(3-month
USD
LIBOR
+
4%),
10/01/27
....................
United
States
9,244,207
9,257,195
Informatica
LLC,
Dollar
2020
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
2/25/27
..............................
United
States
3,058,557
3,030,525
Neustar
,
Inc.,
First
Lien,
Term
Loan,
B5,
5.5%,
(3-month
USD
LIBOR
+
4.5%),
8/08/24
....................................
United
States
6,035,470
5,917,899
Peraton
Corp.,
First
Lien,
Term
Loan,
B,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
2/01/28
...................................
United
States
8,290,866
8,296,048
Pitney
Bowes,
Inc.,
Refinancing
Term
Loan,
B,
4.1%,
(1-month
USD
LIBOR
+
4%),
3/17/28
................................
United
States
10,972,500
11,010,245
g,k
Sitel
Worldwide
Corp.,
Term
Loan,
TBD,
7/28/28
..............
France
1,563,380
1,563,380
TIBCO
Software,
Inc.,
Term
Loan,
B3,
3.85%,
(1-month
USD
LIBOR
+
3.75%),
6/30/26
...................................
United
States
8,187,815
8,128,986
60,118,992
a
a
a
a
a
a
Leisure
Products
0.9%
Hercules
Achievement,
Inc.
(Varsity
Brands
Holding
Co.,
Inc.),
First
Lien,
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.5%),
12/16/24
..........................................
United
States
5,262,715
5,132,621
g
Motion
Acquisition
Ltd.,
Term
Loan,
B1,
3.397%,
(3-month
USD
LIBOR
+
3.25%),
11/12/26
United
Kingdom
2,626,284
2,501,062
Term
Loan,
B2,
3.397%,
(3-month
USD
LIBOR
+
3.25%),
11/12/26
United
Kingdom
373,716
355,898
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
23
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Leisure
Products
(continued)
NASCAR
Holdings
LLC,
Initial
Term
Loan,
2.842%,
(1-month
USD
LIBOR
+
2.75%),
10/19/26
.............................
United
States
3,371,715
$
3,348,062
11,337,643
a
a
a
a
a
a
Life
Sciences
Tools
&
Services
0.1%
ICON
plc,
U.S.
Term
Loan,
3%,
(3-month
USD
LIBOR
+
2.5%),
7/03/28
...........................................
Ireland
745,792
745,125
Machinery
0.5%
Tiger
Acquisition
LLC,
First
Lien,
Initial
Term
Loan,
3.75%,
(3-month
USD
LIBOR
+
3.25%),
6/01/28
..........................
United
States
2,938,776
2,920,423
g,k
TK
Elevator
Midco
GmbH,
Term
Loan,
B1,
TBD,
7/30/27
........
Germany
381,818
381,490
UTEX
Industries,
Inc.,
First
Out
Term
Loan,
8.5%,
(1-month
USD
LIBOR
+
7%),
12/03/24
United
States
1,539,398
1,552,229
i
Second
Out
Term
Loan,
5.25%,
PIK,
(1-month
USD
LIBOR
+
3.75%),
12/03/25
....................................
United
States
1,716,315
1,672,858
6,527,000
a
a
a
a
a
a
Media
4.7%
g
Cengage
Learning,
Inc.,
First
Lien,
Term
Loan,
B,
5.75%,
(3-month
USD
LIBOR
+
4.75%),
7/14/26
..........................
United
States
10,565,741
10,575,937
Clear
Channel
Outdoor
Holdings,
Inc.,
Term
Loan,
B,
3.628%,
(2-month
USD
LIBOR
+
3.5%;
3-month
USD
LIBOR
+
3.5%),
8/21/26
...........................................
United
States
9,532,521
9,271,378
CSC
Holdings
LLC,
March
2017
Refinancing
Term
Loan,
2.343%,
(1-month
USD
LIBOR
+
2.25%),
7/17/25
..................
United
States
10,421,063
10,282,098
Gray
Television,
Inc.,
Term
Loan,
B2,
2.35%,
(1-month
USD
LIBOR
+
2.25%),
2/07/24
.....................................
United
States
3,457,244
3,436,863
g,k
McGraw-Hill
Education,
Inc.,
Initial
Term
Loan,
TBD,
7/28/28
.....
United
States
3,354,839
3,324,645
Nexstar
Broadcasting,
Inc.,
Term
Loan,
B3,
2.337%,
(1-month
USD
LIBOR
+
2.25%),
1/17/24
..............................
United
States
1,688,156
1,678,660
Radiate
HoldCo
LLC,
Term
Loan,
B,
4.25%,
(1-month
USD
LIBOR
+
3.5%),
9/25/26
......................................
United
States
1,630,969
1,626,778
Sinclair
Television
Group,
Inc.,
Term
Loan,
B,
2.35%,
(1-month
USD
LIBOR
+
2.25%),
1/03/24
..............................
United
States
1,803,522
1,782,782
Univision
Communications,
Inc.,
First
Lien,
2021
Replacement
Converted
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.25%),
3/15/26
..........................
United
States
2,313,287
2,312,327
g,k
Term
Loan,
B,
TBD,
5/05/28
............................
United
States
5,508,696
5,500,956
Virgin
Media
Bristol
LLC,
Term
Loan,
Q,
3.343%,
(1-month
USD
LIBOR
+
3.25%),
1/31/29
..............................
United
States
3,155,393
3,145,312
WideOpenWest
Finance
LLC,
Eighth
Amendment
Term
Loan,
B,
4.25%,
(1-month
USD
LIBOR
+
3.25%),
8/18/23
.............
United
States
5,353,788
5,352,690
58,290,426
a
a
a
a
a
a
Metals
&
Mining
0.6%
U.S.
Silica
Co.,
Term
Loan,
5%,
(1-month
USD
LIBOR
+
4%),
5/01/25
...........................................
United
States
7,311,655
7,058,489
Multiline
Retail
0.1%
Franchise
Group,
Inc.,
First
Lien,
Initial
Term
Loan,
5.5%,
(3-month
USD
LIBOR
+
4.75%),
3/10/26
..........................
United
States
1,295,402
1,305,118
Oil,
Gas
&
Consumable
Fuels
3.3%
Fieldwood
Energy
LLC,
g,m
Debtor-in-possession
Facility
Term
Loan,
9.75%,
(1-month
USD
LIBOR
+
8.75%),
8/04/22
..............................
United
States
724,518
753,499
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
24
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Oil,
Gas
&
Consumable
Fuels
(continued)
l
First
Lien,
Closing
Date
Term
Loan,
7.251%,
(3-month
USD
LIBOR
+
4.25%),
4/11/22
....................................
United
States
74,275,433
$
40,095,364
40,848,863
a
a
a
a
a
a
Personal
Products
1.1%
Conair
Holdings
LLC,
First
Lien,
Initial
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.75%),
5/17/28
..........................
United
States
3,054,844
3,050,552
Coty,
Inc.,
USD
Term
Loan,
B,
2.352%,
(1-month
USD
LIBOR
+
2.25%),
4/07/25
.....................................
United
States
1,232,824
1,187,696
Sunshine
Luxembourg
VII
SARL,
Term
Loan,
B3,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
10/01/26
.........................
Luxembourg
9,298,296
9,315,731
13,553,979
a
a
a
a
a
a
Pharmaceuticals
0.5%
Bausch
Health
Cos.,
Inc.,
Initial
Term
Loan,
3.104%,
(1-month
USD
LIBOR
+
3%),
6/02/25
................................
United
States
2,537,502
2,522,594
Organon
&
Co.,
Dollar
Term
Loan,
3.5%,
(6-month
USD
LIBOR
+
3%),
6/02/28
.......................................
United
States
3,348,649
3,344,815
5,867,409
a
a
a
a
a
a
Professional
Services
0.6%
CCRR
Parent,
Inc.,
First
Lien,
Initial
Term
Loan,
5%,
(3-month
USD
LIBOR
+
4.25%),
3/06/28
..............................
United
States
1,629,143
1,634,234
Dun
&
Bradstreet
Corp.
(The),
Initial
Term
Loan,
3.336%,
(1-month
USD
LIBOR
+
3.25%),
2/06/26
..........................
United
States
3,007,659
2,986,034
UKG,
Inc.,
First
Lien,
2021
Incremental
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3.25%),
5/04/26
..........................
United
States
2,231,230
2,232,847
6,853,115
a
a
a
a
a
a
Real
Estate
Management
&
Development
0.3%
Cushman
&
Wakefield
U.S.
Borrower
LLC,
Replacement
Term
Loan,
2.842%,
(1-month
USD
LIBOR
+
2.75%),
8/21/25
............
United
States
3,670,707
3,623,850
Road
&
Rail
2.0%
Avis
Budget
Car
Rental
LLC,
New
Term
Loan,
B,
2.35%,
(1-month
USD
LIBOR
+
2.25%),
8/06/27
..........................
United
States
5,209,706
5,105,955
Ventia
Midco
Pty.
Ltd.,
2017
Refinancing
USD
Term
Loan,
B,
5%,
(3-month
USD
LIBOR
+
4%),
5/21/26
.....................
Australia
19,825,761
19,863,033
24,968,988
a
a
a
a
a
a
Software
12.1%
athenahealth
,
Inc.,
First
Lien,
Term
Loan,
B1,
4.41%,
(3-month
USD
LIBOR
+
4.25%),
2/11/26
..............................
United
States
11,749,739
11,767,363
Atlas
Purchaser,
Inc.,
First
Lien,
Initial
Term
Loan,
6%,
(3-month
USD
LIBOR
+
5.25%),
5/08/28
..........................
United
States
3,090,909
3,047,760
Blackboard,
Inc.,
First
Lien,
Term
Loan,
B5,
7%,
(3-month
USD
LIBOR
+
6%),
6/30/24
................................
United
States
11,272,464
11,362,644
Ceridian
HCM
Holding,
Inc.,
Initial
Term
Loan,
2.584%,
(1-week
USD
LIBOR
+
2.5%),
4/30/25
...............................
United
States
3,845,759
3,784,707
DCert
Buyer,
Inc.,
First
Lien,
Initial
Term
Loan,
4.092%,
(1-month
USD
LIBOR
+
4%),
10/16/26
..........................................
United
States
10,628,171
10,629,659
Second
Lien,
First
Amendment
Refinancing
Term
Loan,
7.092%,
(1-month
USD
LIBOR
+
7%),
2/19/29
.....................
United
States
2,168,879
2,196,380
ECI
Macola
/MAX
Holding
LLC,
First
Lien,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
11/09/27
..................
United
States
2,985,000
2,990,970
Epicor
Software
Corp.,
Term
Loan,
C,
4%,
(1-month
USD
LIBOR
+
3.25%),
7/30/27
.....................................
United
States
5,338,590
5,329,541
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
25
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Software
(continued)
Greeneden
U.S.
Holdings
I
LLC,
2020
Initial
Dollar
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
4%),
12/01/27
..............
United
States
8,022,628
$
8,040,559
Hyland
Software,
Inc.,
First
Lien,
2018
Refinancing
Term
Loan,
4.25%,
(1-month
USD
LIBOR
+
3.5%),
7/01/24
...............................
United
States
7,073,313
7,083,251
Second
Lien,
2021
Refinancing
Term
Loan,
7%,
(1-month
USD
LIBOR
+
6.25%),
7/07/25
..............................
United
States
106,061
106,989
Idera
,
Inc.,
First
Lien,
Term
Loan,
B1,
4.5%,
(2-month
USD
LIBOR
+
3.75%),
3/02/28
.....................................
United
States
6,666,670
6,658,337
IGT
Holding
IV
AB,
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.75%),
3/31/28
.....................................
Sweden
4,142,950
4,127,414
Ivanti
Software,
Inc.,
First
Lien,
First
Amendment
Term
Loan,
4.75%,
(3-month
USD
LIBOR
+
4%),
12/01/27
...............................
United
States
305,640
304,940
First
Lien,
Initial
Term
Loan,
5.75%,
(3-month
USD
LIBOR
+
4.75%),
12/01/27
....................................
United
States
5,486,250
5,490,063
LogMeIn,
Inc.,
First
Lien,
Initial
Term
Loan,
4.85%,
(1-month
USD
LIBOR
+
4.75%),
8/31/27
..............................
United
States
5,904,739
5,888,590
Mitchell
International,
Inc.,
First
Lien,
Amendment
No.
2
New
Facility
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
4.25%),
11/29/24
..................
United
States
4,664,750
4,673,077
First
Lien,
Initial
Term
Loan,
3.354%,
(1-month
USD
LIBOR
+
3.25%),
11/29/24
....................................
United
States
2,390,738
2,363,985
Perforce
Software,
Inc.,
First
Lien,
New
Term
Loan,
3.842%,
(1-month
USD
LIBOR
+
3.75%),
7/01/26
..................
United
States
5,614,008
5,556,464
Polaris
Newco
LLC,
First
Lien,
Dollar
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
4%),
6/02/28
............................
United
States
8,816,667
8,821,163
Project
Alpha
Intermediate
Holding,
Inc.,
2021
Refinancing
Term
Loan,
4.1%,
(1-month
USD
LIBOR
+
4%),
4/26/24
...........
United
States
4,856,124
4,854,108
Project
Ruby
Ultimate
Parent
Corp.,
First
Lien,
Closing
Date
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.25%),
3/10/28
..........
United
States
4,328,257
4,310,533
Quest
Software
US
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4.379%,
(3-month
USD
LIBOR
+
4.25%),
5/16/25
............
United
States
4,104,285
4,106,583
RealPage
,
Inc.,
First
Lien,
Initial
Term
Loan,
3.75%,
(1-month
USD
LIBOR
+
3.25%),
4/24/28
..............................
United
States
4,896,774
4,873,221
Rocket
Software,
Inc.,
First
Lien,
Initial
Term
Loan,
4.342%,
(1-month
USD
LIBOR
+
4.25%),
11/28/25
.........................
United
States
1,994,898
1,953,005
Sophia
LP,
Closing
Date
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
10/07/27
....................................
United
States
3,866,429
3,868,498
k
Sovos
Compliance
LLC,
Term
Loan,
B,
TBD,
7/29/28
...........
United
States
1,255,918
1,259,058
Surf
Holdings
SARL,
First
Lien,
Dollar
Term
Loan,
3.628%,
(3-month
USD
LIBOR
+
3.5%),
3/05/27
...........................
Luxembourg
5,066,314
5,021,629
Syncsort
,
Inc.,
First
Lien,
Initial
Term
Loan,
5%,
(3-month
USD
LIBOR
+
4.25%),
4/24/28
..............................
United
States
6,002,642
5,988,115
Ultimate
Software
Group,
Inc.
(The),
First
Lien,
Initial
Term
Loan,
3.842%,
(1-month
USD
LIBOR
+
3.75%),
5/04/26
............
United
States
4,295,352
4,298,230
150,756,836
a
a
a
a
a
a
Specialty
Retail
1.8%
Michaels
Companies,
Inc.
(The),
Term
Loan,
B,
5%,
(1-month
USD
LIBOR
+
4.25%),
4/15/28
..............................
United
States
4,760,000
4,769,782
Park
River
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3.25%),
12/28/27
.........................
United
States
4,974,626
4,933,760
PetSmart
LLC,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
2/11/28
.....................................
United
States
1,727,090
1,728,601
Rent-A-Center,
Inc.,
Initial
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
4%),
2/17/28
......................................
United
States
1,625,830
1,633,959
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
26
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Specialty
Retail
(continued)
Savers,
Inc.,
Term
Loan,
6.5%,
(3-month
USD
LIBOR
+
5.75%),
4/21/28
...........................................
United
States
3,592,105
$
3,635,516
SRS
Distribution,
Inc.,
2021
Refinancing
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.75%),
6/02/28
..................
United
States
3,662,252
3,641,267
Woof
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
12/21/27
.........................
United
States
2,361,976
2,360,015
22,702,900
a
a
a
a
a
a
Technology
Hardware,
Storage
&
Peripherals
1.0%
Amentum
Government
Services
Holdings
LLC,
First
Lien,
Term
Loan,
1,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
1/29/27
...........................................
United
States
2,673,000
2,662,976
First
Lien,
Term
Loan,
2,
5.5%,
(3-month
USD
LIBOR
+
4.75%),
1/29/27
...........................................
United
States
3,092,899
3,104,497
g,k
Magenta
Buyer
LLC,
First
Lien,
Initial
Term
Loan,
TBD,
7/27/28
...
United
States
7,206,099
7,181,346
12,948,819
a
a
a
a
a
a
Textiles,
Apparel
&
Luxury
Goods
0.5%
Champ
Acquisition
Corp.,
First
Lien,
Initial
Term
Loan,
5.685%,
(3-month
USD
LIBOR
+
5.5%;
6-month
USD
LIBOR
+
5.5%),
12/19/25
..........................................
United
States
2,916,051
2,929,406
Tory
Burch
LLC,
Initial
Term
Loan,
B,
4%,
(1-month
USD
LIBOR
+
3.5%),
4/16/28
......................................
United
States
2,770,198
2,758,771
5,688,177
a
a
a
a
a
a
Transportation
Infrastructure
0.1%
g
First
Student
Bidco
,
Inc.,
Initial
Term
Loan,
B,
3.5%,
(2-month
USD
LIBOR
+
3%),
7/21/28
United
States
719,807
715,477
Initial
Term
Loan,
C,
3.5%,
(2-month
USD
LIBOR
+
3%),
7/21/28
United
States
265,700
264,102
979,579
a
a
a
a
a
a
Total
Senior
Floating
Rate
Interests
(Cost
$1,096,855,633)
........................
1,030,420,431
Asset-Backed
Securities
0.8%
Diversified
Financial
Services
0.8%
h,n
Alinea
CLO
Ltd.
,
2018-1A
,
C
,
144A,
FRN
,
2.034
%
,
(
3-month
USD
LIBOR
+
1.9
%
),
7/20/31
...............................
United
States
7,000,000
6,965,436
h,n
Dryden
40
Senior
Loan
Fund
,
2015-40A
,
CR
,
144A,
FRN
,
2.256
%
,
(
3-month
USD
LIBOR
+
2.1
%
),
8/15/31
...................
United
States
2,000,000
2,001,746
h,n
Galaxy
XXV
CLO
Ltd.
,
2018-25A
,
C
,
144A,
FRN
,
2.125
%
,
(
3-month
USD
LIBOR
+
2
%
),
10/25/31
...........................
United
States
500,000
500,546
9,467,728
a
a
a
a
a
a
Total
Asset-Backed
Securities
(Cost
$9,500,000)
................................
9,467,728
Shares/Units
Escrows
and
Litigation
Trusts
0.2%
h
99
Escrow
Issuer,
Inc.,
Escrow
Account,
144A
................
United
States
2,500,000
2,359,375
a,b
Millennium
Corporate
Claim
Trust,
Escrow
Account
............
United
States
13,585,837
a,b
Millennium
Lender
Claim
Trust,
Escrow
Account
..............
United
States
13,585,837
a,b
Remington
Outdoor
Co.,
Inc.,
Litigation
Units
.................
United
States
170,300
Total
Escrows
and
Litigation
Trusts
(Cost
$2,497,977)
...........................
2,359,375
Total
Long
Term
Investments
(Cost
$1,264,897,185)
.............................
1,189,162,781
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
27
See
Abbreviations
on
page
104
.
Short
Term
Investments
12.1%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
5.0%
e,o
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
62,034,245
$
62,034,245
Total
Money
Market
Funds
(Cost
$62,034,245)
..................................
62,034,245
Principal
Amount
*
a
a
a
a
a
Repurchase
Agreements
6.7%
p
Joint
Repurchase
Agreement,
0.026%,
8/02/21
(Maturity
Value
$83,086,759)
BNP
Paribas
Securities
Corp.
(Maturity
Value
$60,130,718)
Deutsche
Bank
Securities,
Inc.
(Maturity
Value
$8,352,712)
HSBC
Securities
(USA)
Inc.
(Maturity
Value
$14,603,329)
Collateralized
by
U.S.
Government
Agency
Securities,
3%
-
5%,
4/20/41
-
3/20/51;
U.S.
Treasury
Bond,
Index
Linked,
2.38%,
1/15/25;
and
U.S.
Treasury
Note,
2.25%,
4/30/24
(valued
at
$84,766,412)
.......................................
83,086,577
83,086,577
Total
Repurchase
Agreements
(Cost
$83,086,577)
...............................
83,086,577
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.4%
Country
Shares
Money
Market
Funds
0.3%
e,o
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
4,542,000
4,542,000
Principal
Amount
*
Repurchase
Agreements
0.1%
p
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$1,136,433)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$1,159,157)
........................................
1,136,428
1,136,428
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$5,678,428)
............................................................
5,678,428
Total
Short
Term
Investments
(Cost
$150,799,250
)
...............................
150,799,250
a
Total
Investments
(Cost
$1,415,696,435)
107.8%
................................
$1,339,962,031
Other
Assets,
less
Liabilities
(7.8)%
...........................................
(96,837,034)
Net
Assets
100.0%
...........................................................
$1,243,124,997
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
Rounds
to
less
than
0.1%
of
net
assets.
a
Non-income
producing.
b
Fair
valued
using
significant
unobservable
inputs.
See
Note
10
regarding
fair
value
measurements.
c
See
Note
6
regarding
restricted
securities.
d
See
Note
8
regarding
holdings
of
5%
voting
securities.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
28
e
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
f
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
g
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
h
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$47,983,510,
representing
3.9%
of
net
assets.
i
Income
may
be
received
in
additional
securities
and/or
cash.
j
The
coupon
rate
shown
represents
the
rate
at
period
end.
k
A
portion
or
all
of
the
security
represents
an
unsettled
loan
commitment.
The
coupon
rate
is
to-be
determined
(TBD)
at
the
time
of
the
settlement
and
will
be
based
upon
a
reference
index/floor
plus
a
spread.
l
Defaulted
security
or
security
for
which
income
has
been
deemed
uncollectible.
m
See
Note
7
regarding
unfunded
loan
commitments.
n
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
o
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
p
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Low
Duration
Total
Return
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
29
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
0.0%
Multiline
Retail
0.0%
a,b,c
K2016470219
South
Africa
Ltd.,
A
.........................
South
Africa
12,326,925
$
a,b,c
K2016470219
South
Africa
Ltd.,
B
.........................
South
Africa
1,226,701
Oil,
Gas
&
Consumable
Fuels
0.0%
a,b
Riviera
Resources,
Inc.
.................................
United
States
2,835
732
Total
Common
Stocks
(Cost
$135,230)
.........................................
732
Management
Investment
Companies
4.7%
Capital
Markets
4.7%
d
Franklin
Floating
Rate
Income
Fund
.......................
United
States
14,835,570
117,349,358
d
Franklin
Liberty
High
Yield
Corporate
ETF
...................
United
States
259,500
6,885,833
Invesco
Senior
Loan
ETF
...............................
United
States
445,000
9,803,350
134,038,541
Total
Management
Investment
Companies
(Cost
$143,706,548)
...................
134,038,541
Warrants
Warrants
0.0%
Oil,
Gas
&
Consumable
Fuels
0.0%
a,b
Battalion
Oil
Corp.,
A,
10/08/22
...........................
United
States
1,093
258
a,b
Battalion
Oil
Corp.,
B,
10/08/22
...........................
United
States
1,366
179
a,b
Battalion
Oil
Corp.,
C,
10/08/22
...........................
United
States
1,757
103
540
Paper
&
Forest
Products
0.0%
b
Verso
Corp.,
7/25/23
...................................
United
States
146
569
Total
Warrants
(Cost
$—)
.....................................................
1,109
Principal
Amount
*
Corporate
Bonds
20.2%
Aerospace
&
Defense
0.6%
Boeing
Co.
(The)
,
Senior
Note
,
2.196
%
,
2/04/26
..............
United
States
10,400,000
10,496,428
General
Dynamics
Corp.
,
Senior
Note
,
3.25
%
,
4/01/25
.........
United
States
4,000,000
4,345,973
e
TransDigm
,
Inc.
,
Senior
Secured
Note
,
144A,
6.25
%
,
3/15/26
....
United
States
1,500,000
1,575,000
16,417,401
Air
Freight
&
Logistics
0.1%
e
DAE
Funding
LLC
,
Senior
Note
,
144A,
1.55
%
,
8/01/24
.........
United
Arab
Emirates
1,700,000
1,702,150
Airlines
0.3%
e
American
Airlines
Inc
/
AAdvantage
Loyalty
IP
Ltd.
,
Senior
Secured
Note
,
144A,
5.5
%
,
4/20/26
.............................
United
States
1,300,000
1,361,750
e
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.
,
Senior
Secured
Note
,
144A,
4.5
%
,
10/20/25
.....................................
United
States
4,600,000
4,947,637
e
Hawaiian
Brand
Intellectual
Property
Ltd.
/
HawaiianMiles
Loyalty
Ltd.
,
Senior
Secured
Note
,
144A,
5.75
%
,
1/20/26
............
United
States
2,100,000
2,203,929
e
United
Airlines,
Inc.
,
Senior
Secured
Note
,
144A,
4.375
%
,
4/15/26
.
United
States
300,000
309,039
8,822,355
Auto
Components
0.0%
Aptiv
Corp.
,
Senior
Bond
,
4.15
%
,
3/15/24
...................
United
States
900,000
976,004
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
30
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Banks
4.2%
e
Akbank
TAS
,
Senior
Bond
,
144A,
5.125
%
,
3/31/25
............
Turkey
2,000,000
$
2,022,600
Bank
of
America
Corp.
,
Senior
Note,
3.55%
to
3/05/23,
FRN
thereafter,
3/05/24
.......
United
States
10,350,000
10,844,691
Senior
Note,
2.015%
to
2/13/25,
FRN
thereafter,
2/13/26
......
United
States
3,500,000
3,612,394
Barclays
plc
,
Senior
Note
,
4.61%
to
2/15/22,
FRN
thereafter
,
2/15/23
United
Kingdom
6,300,000
6,440,532
Citigroup,
Inc.
,
Senior
Note,
2.35%,
8/02/21
...........................
United
States
5,400,000
5,400,000
Senior
Note,
3.106%
to
4/08/25,
FRN
thereafter,
4/08/26
......
United
States
6,500,000
6,965,082
Sub.
Bond,
4.6%,
3/09/26
.............................
United
States
2,600,000
2,981,095
HSBC
Holdings
plc
,
Senior
Bond,
4.3%,
3/08/26
............................
United
Kingdom
800,000
906,037
Senior
Note,
3.262%
to
3/13/22,
FRN
thereafter,
3/13/23
......
United
Kingdom
1,400,000
1,425,068
Senior
Note,
2.013%
to
9/22/27,
FRN
thereafter,
9/22/28
......
United
Kingdom
7,600,000
7,699,514
JPMorgan
Chase
&
Co.
,
Senior
Note,
2.083%
to
4/22/25,
FRN
thereafter,
4/22/26
......
United
States
18,200,000
18,891,709
Sub.
Bond,
3.875%,
9/10/24
...........................
United
States
8,400,000
9,148,973
e
Shinhan
Bank
Co.
Ltd.
,
Senior
Note
,
144A,
1.375
%
,
10/21/26
....
South
Korea
6,500,000
6,560,526
e
Societe
Generale
SA
,
Senior
Note
,
144A,
1.792%
to
6/09/26,
FRN
thereafter
,
6/09/27
...................................
France
3,900,000
3,918,221
e
Standard
Chartered
plc
,
Senior
Note
,
144A,
3.885%
to
3/15/23,
FRN
thereafter
,
3/15/24
...................................
United
Kingdom
10,000,000
10,492,251
e
UniCredit
SpA
,
Senior
Note
,
144A,
1.982%
to
6/03/26,
FRN
thereafter
,
6/03/27
...................................
Italy
3,800,000
3,811,608
Wells
Fargo
&
Co.
,
Senior
Note,
2.188%
to
4/30/25,
FRN
thereafter,
4/30/26
......
United
States
13,400,000
13,955,932
Sub.
Bond,
4.1%,
6/03/26
.............................
United
States
3,000,000
3,381,831
118,458,064
Beverages
0.5%
Anheuser-Busch
Cos.
LLC
/
Anheuser-Busch
InBev
Worldwide,
Inc.
,
Senior
Note
,
3.65
%
,
2/01/26
...........................
Belgium
8,000,000
8,878,898
e
Coca-Cola
Europacific
Partners
plc
,
Senior
Note
,
144A,
1.5
%
,
1/15/27
...........................................
United
Kingdom
4,400,000
4,408,046
13,286,944
Biotechnology
0.2%
AbbVie,
Inc.
,
Senior
Bond,
3.6%,
5/14/25
............................
United
States
4,510,000
4,931,284
Senior
Note,
3.8%,
3/15/25
............................
United
States
600,000
657,759
Senior
Note,
2.95%,
11/21/26
..........................
United
States
500,000
542,369
6,131,412
Capital
Markets
1.3%
Credit
Suisse
Group
AG
,
Senior
Note
,
4.55
%
,
4/17/26
..........
Switzerland
8,000,000
9,095,324
Goldman
Sachs
Group,
Inc.
(The)
,
Senior
Bond,
3.75%,
5/22/25
...........................
United
States
1,000,000
1,096,049
Senior
Bond,
3.75%,
2/25/26
...........................
United
States
6,500,000
7,205,165
Senior
Note,
3.272%
to
9/29/24,
FRN
thereafter,
9/29/25
......
United
States
5,000,000
5,364,814
Morgan
Stanley
,
Senior
Bond,
3.7%,
10/23/24
...........................
United
States
1,400,000
1,529,725
Senior
Note,
2.188%
to
4/28/25,
FRN
thereafter,
4/28/26
......
United
States
3,800,000
3,948,336
Sub.
Bond,
4.35%,
9/08/26
............................
United
States
7,800,000
8,890,069
37,129,482
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
31
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Chemicals
0.5%
e,f
Anagram
International,
Inc.
/
Anagram
Holdings
LLC
,
Secured
Note
,
144A,
PIK,
10
%
,
8/15/26
..............................
United
States
314,174
$
294,887
e
Braskem
Netherlands
Finance
BV
,
Senior
Bond
,
144A,
4.5
%
,
1/31/30
...........................................
Brazil
7,100,000
7,504,061
EI
du
Pont
de
Nemours
and
Co.
,
Senior
Note
,
1.7
%
,
7/15/25
.....
United
States
4,100,000
4,230,234
Methanex
Corp.
,
Senior
Bond
,
4.25
%
,
12/01/24
...............
Canada
1,500,000
1,595,108
e
SABIC
Capital
II
BV
,
Senior
Bond
,
144A,
4.5
%
,
10/10/28
........
Saudi
Arabia
400,000
462,751
14,087,041
Commercial
Services
&
Supplies
0.1%
e
APCOA
Parking
Holdings
GmbH
,
Senior
Secured
Note
,
144A,
4.625
%
,
1/15/27
.....................................
Germany
1,200,000
EUR
1,435,827
Communications
Equipment
0.1%
e
CommScope
Technologies
LLC
,
Senior
Bond
,
144A,
6
%
,
6/15/25
.
United
States
1,500,000
1,524,375
Consumer
Finance
0.7%
Capital
One
Financial
Corp.
,
Senior
Note
,
3.05
%
,
3/09/22
.......
United
States
13,800,000
14,002,260
Caterpillar
Financial
Services
Corp.
,
Senior
Note
,
1.45
%
,
5/15/25
.
United
States
1,900,000
1,953,922
OneMain
Finance
Corp.
,
Senior
Note
,
6.125
%
,
3/15/24
.........
United
States
4,200,000
4,525,500
20,481,682
Containers
&
Packaging
0.1%
e
Owens-Brockway
Glass
Container,
Inc.
,
Senior
Note
,
144A,
5.875
%
,
8/15/23
...........................................
United
States
1,000,000
1,074,540
e
Sealed
Air
Corp.
,
Senior
Bond
,
144A,
5.25
%
,
4/01/23
..........
United
States
950,000
1,001,585
2,076,125
Diversified
Financial
Services
0.3%
g
Cia
Securitizadora
de
Creditos
Financeiros
Vert
-Fintech
,
12
,
Senior
Secured
Note
,
FRN
,
Zero
Cpn
.,
(
BZDIOVRA
+
5.75
%
),
2/14/24
.
Brazil
7,676,000
BRL
1,766,013
e
EDP
Finance
BV
,
Senior
Note
,
144A,
1.71
%
,
1/24/28
..........
Portugal
6,500,000
6,485,986
8,251,999
Diversified
Telecommunication
Services
0.9%
AT&T,
Inc.
,
Senior
Bond
,
4.125
%
,
2/17/26
...................
United
States
7,000,000
7,880,997
e
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp.
,
Senior
Note
,
144A,
4
%
,
3/01/23
...................................
United
States
1,700,000
1,718,214
Verizon
Communications,
Inc.
,
Senior
Note
,
1.45
%
,
3/20/26
.....
United
States
15,700,000
15,923,174
25,522,385
Electric
Utilities
1.0%
Exelon
Corp.
,
Senior
Bond
,
3.4
%
,
4/15/26
...................
United
States
7,000,000
7,692,089
e
Korea
East-West
Power
Co.
Ltd.
,
Senior
Note,
144A,
3.875%,
7/19/23
.....................
South
Korea
4,800,000
5,115,971
Senior
Note,
144A,
1.75%,
5/06/25
......................
South
Korea
8,500,000
8,728,108
Southern
Co.
(The)
,
Senior
Bond
,
3.25
%
,
7/01/26
.............
United
States
6,850,000
7,492,613
29,028,781
Energy
Equipment
&
Services
0.3%
Baker
Hughes
a
GE
Co.
LLC
/
Baker
Hughes
Co-Obligor,
Inc.
,
Senior
Note
,
2.773
%
,
12/15/22
..........................
United
States
8,800,000
9,080,581
Entertainment
0.7%
e
Banijay
Entertainment
SASU
,
Senior
Secured
Note
,
144A,
5.375
%
,
3/01/25
...........................................
France
3,500,000
3,628,730
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
32
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Entertainment
(continued)
Netflix,
Inc.
,
Senior
Bond,
5.75%,
3/01/24
...........................
United
States
1,800,000
$
2,009,583
Senior
Bond,
4.375%,
11/15/26
.........................
United
States
3,100,000
3,521,476
e
Senior
Note,
144A,
3.625%,
6/15/25
.....................
United
States
3,100,000
3,332,593
Walt
Disney
Co.
(The)
,
Senior
Note
,
1.75
%
,
1/13/26
...........
United
States
6,600,000
6,824,338
19,316,720
Equity
Real
Estate
Investment
Trusts
(REITs)
0.1%
e
VICI
Properties
LP
/
VICI
Note
Co.,
Inc.
,
Senior
Note
,
144A,
3.5
%
,
2/15/25
...........................................
United
States
3,000,000
3,061,815
Food
&
Staples
Retailing
0.1%
e
Cencosud
SA
,
Senior
Bond
,
144A,
4.375
%
,
7/17/27
...........
Chile
2,900,000
3,181,822
Health
Care
Equipment
&
Supplies
0.0%
Edwards
Lifesciences
Corp.
,
Senior
Bond
,
4.3
%
,
6/15/28
.......
United
States
300,000
350,639
Health
Care
Providers
&
Services
0.9%
Anthem,
Inc.
,
Senior
Note
,
1.5
%
,
3/15/26
...................
United
States
8,000,000
8,148,013
Centene
Corp.
,
Senior
Note
,
3.375
%
,
2/15/30
................
United
States
2,700,000
2,820,865
Cigna
Corp.
,
Senior
Note
,
1.25
%
,
3/15/26
...................
United
States
8,300,000
8,374,279
Orlando
Health
Obligated
Group
,
3.777
%
,
10/01/28
............
United
States
105,000
118,948
Providence
St
Joseph
Health
Obligated
Group
,
H
,
2.746
%
,
10/01/26
United
States
15,000
16,140
Quest
Diagnostics,
Inc.
,
Senior
Bond
,
3.45
%
,
6/01/26
..........
United
States
4,150,000
4,593,961
24,072,206
Hotels,
Restaurants
&
Leisure
0.4%
e
Genting
New
York
LLC
/
GENNY
Capital,
Inc.
,
Senior
Note
,
144A,
3.3
%
,
2/15/26
......................................
United
States
400,000
403,084
e
International
Game
Technology
plc
,
Senior
Secured
Note
,
144A,
4.125
%
,
4/15/26
.....................................
United
States
1,800,000
1,877,481
e
NCL
Corp.
Ltd.
,
Senior
Note
,
144A,
5.875
%
,
3/15/26
...........
United
States
4,050,000
4,085,438
e
Studio
City
Finance
Ltd.
,
Senior
Note
,
144A,
6
%
,
7/15/25
.......
Macau
2,600,000
2,719,600
e
TUI
Cruises
GmbH
,
Senior
Note
,
144A,
6.5
%
,
5/15/26
..........
Germany
650,000
EUR
791,959
e
Wynn
Macau
Ltd.
,
Senior
Note
,
144A,
5.625
%
,
8/26/28
.........
Macau
400,000
410,560
10,288,122
Independent
Power
and
Renewable
Electricity
Producers
0.1%
e
InterGen
NV
,
Senior
Secured
Bond
,
144A,
7
%
,
6/30/23
.........
Netherlands
1,400,000
1,391,131
e
Talen
Energy
Supply
LLC
,
Senior
Note
,
144A,
10.5
%
,
1/15/26
....
United
States
1,500,000
1,001,250
2,392,381
Interactive
Media
&
Services
0.7%
Baidu,
Inc.
,
Senior
Note
,
4.375
%
,
5/14/24
...................
China
6,500,000
7,073,749
e
Tencent
Holdings
Ltd.
,
Senior
Note,
144A,
2.985%,
1/19/23
.....................
China
9,200,000
9,492,199
Senior
Note,
144A,
1.81%,
1/26/26
......................
China
3,000,000
3,057,221
19,623,169
Internet
&
Direct
Marketing
Retail
0.6%
Alibaba
Group
Holding
Ltd.
,
Senior
Note,
2.8%,
6/06/23
............................
China
1,100,000
1,141,495
Senior
Note,
3.6%,
11/28/24
...........................
China
11,000,000
11,920,861
Amazon.com,
Inc.
,
Senior
Note
,
2.4
%
,
2/22/23
...............
United
States
2,550,000
2,631,824
15,694,180
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
33
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
IT
Services
0.2%
Fiserv,
Inc.
,
Senior
Note
,
2.25
%
,
6/01/27
....................
United
States
5,200,000
$
5,449,303
Machinery
0.0%
e
Manitowoc
Co.,
Inc.
(The)
,
Secured
Note
,
144A,
9
%
,
4/01/26
....
United
States
1,200,000
1,299,300
Media
0.6%
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
,
Senior
Secured
Note
,
4.908
%
,
7/23/25
.....
United
States
8,000,000
9,085,143
CSC
Holdings
LLC
,
Senior
Bond
,
5.25
%
,
6/01/24
.............
United
States
2,000,000
2,163,500
Fox
Corp.
,
Senior
Note
,
3.05
%
,
4/07/25
.....................
United
States
2,000,000
2,148,100
e
Univision
Communications,
Inc.
,
Senior
Secured
Note
,
144A,
5.125
%
,
2/15/25
.....................................
United
States
3,700,000
3,764,528
17,161,271
Metals
&
Mining
0.0%
e,h
Novelis
Corp.
,
Senior
Note
,
144A,
3.25
%
,
11/15/26
............
United
States
1,000,000
1,016,285
Multiline
Retail
0.0%
a,e,f
K2016470219
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
3
%
,
12/31/22
.......................................
South
Africa
1,036,936
a,e,f
K2016470260
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
25
%
,
12/31/22
......................................
South
Africa
371,816
Multi-Utilities
0.3%
Dominion
Energy,
Inc.
,
D,
Senior
Bond,
2.85%,
8/15/26
........................
United
States
1,300,000
1,400,441
A,
Senior
Note,
1.45%,
4/15/26
.........................
United
States
6,000,000
6,064,391
7,464,832
Oil,
Gas
&
Consumable
Fuels
2.0%
Apache
Corp.
,
Senior
Note
,
4.625
%
,
11/15/25
................
United
States
1,500,000
1,614,375
BP
Capital
Markets
America,
Inc.
,
Senior
Note
,
3.41
%
,
2/11/26
...
United
States
7,000,000
7,699,896
Cenovus
Energy,
Inc.
,
Senior
Note
,
5.375
%
,
7/15/25
...........
Canada
4,000,000
4,565,758
Cheniere
Corpus
Christi
Holdings
LLC
,
Senior
Secured
Note
,
5.875
%
,
3/31/25
.....................................
United
States
5,800,000
6,632,616
Chevron
Corp.
,
Senior
Note
,
1.554
%
,
5/11/25
................
United
States
4,500,000
4,630,763
Energy
Transfer
LP
,
Senior
Bond
,
4.75
%
,
1/15/26
.............
United
States
5,200,000
5,869,565
EnLink
Midstream
Partners
LP
,
Senior
Bond
,
4.4
%
,
4/01/24
......
United
States
3,800,000
3,999,082
e
Harvest
Operations
Corp.
,
Senior
Note
,
144A,
4.2
%
,
6/01/23
.....
South
Korea
2,900,000
3,083,111
MPLX
LP
,
Senior
Note
,
4.875
%
,
12/01/24
...................
United
States
6,800,000
7,603,672
Occidental
Petroleum
Corp.
,
Senior
Note,
3.45%,
7/15/24
...........................
United
States
3,000,000
3,040,275
Senior
Note,
5.5%,
12/01/25
...........................
United
States
500,000
550,650
Sabine
Pass
Liquefaction
LLC
,
Senior
Secured
Note,
5.75%,
5/15/24
....................
United
States
2,000,000
2,240,804
Senior
Secured
Note,
5.625%,
3/01/25
...................
United
States
2,000,000
2,291,923
Williams
Cos.,
Inc.
(The)
,
Senior
Bond
,
4
%
,
9/15/25
...........
United
States
2,300,000
2,560,106
56,382,596
Personal
Products
0.2%
Avon
Products,
Inc.
,
Senior
Bond
,
6.75
%
,
3/15/23
.............
United
Kingdom
5,835,000
6,221,569
e
Oriflame
Investment
Holding
plc
,
Senior
Secured
Note
,
144A,
5.125
%
,
5/04/26
.....................................
Switzerland
600,000
617,700
6,839,269
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
34
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Pharmaceuticals
0.8%
AstraZeneca
plc
,
Senior
Note
,
0.7
%
,
4/08/26
.................
United
Kingdom
6,300,000
$
6,229,817
e
Bayer
US
Finance
II
LLC
,
Senior
Note,
144A,
3.875%,
12/15/23
....................
Germany
5,800,000
6,207,709
Senior
Note,
144A,
4.25%,
12/15/25
.....................
Germany
4,600,000
5,144,531
Bristol-Myers
Squibb
Co.
,
Senior
Note
,
2.9
%
,
7/26/24
..........
United
States
2,551,000
2,727,001
e
Royalty
Pharma
plc
,
Senior
Note
,
144A,
1.75
%
,
9/02/27
........
United
States
700,000
704,544
21,013,602
Real
Estate
Management
&
Development
0.0%
e
Vivion
Investments
SARL
,
Senior
Note
,
Reg
S,
3
%
,
8/08/24
.....
Luxembourg
700,000
EUR
829,272
Semiconductors
&
Semiconductor
Equipment
0.4%
Maxim
Integrated
Products,
Inc.
,
Senior
Bond
,
3.45
%
,
6/15/27
...
United
States
800,000
892,837
e
SK
Hynix,
Inc.
,
Senior
Note
,
144A,
1.5
%
,
1/19/26
.............
South
Korea
9,900,000
9,842,771
10,735,608
Specialty
Retail
0.0%
e,g
Party
City
Holdings,
Inc.
,
Senior
Secured
Note
,
144A,
FRN
,
5.75
%
,
(
6-month
USD
LIBOR
+
5
%
),
7/15/25
.....................
United
States
565,890
537,064
Thrifts
&
Mortgage
Finance
0.4%
e
BPCE
SA
,
Senior
Note
,
144A,
2.375
%
,
1/14/25
...............
France
7,000,000
7,311,134
Radian
Group,
Inc.
,
Senior
Note
,
6.625
%
,
3/15/25
.............
United
States
3,000,000
3,365,355
10,676,489
Tobacco
0.3%
Altria
Group,
Inc.
,
Senior
Note
,
2.35
%
,
5/06/25
...............
United
States
4,200,000
4,401,130
e
Imperial
Brands
Finance
plc
,
Senior
Bond,
144A,
4.25%,
7/21/25
......................
United
Kingdom
3,695,000
4,079,168
Senior
Note,
144A,
3.125%,
7/26/24
.....................
United
Kingdom
700,000
738,331
9,218,629
Trading
Companies
&
Distributors
0.1%
e
WESCO
Distribution,
Inc.
,
Senior
Note
,
144A,
7.125
%
,
6/15/25
...
United
States
1,400,000
1,506,743
Wireless
Telecommunication
Services
0.1%
e
Sprint
Spectrum
Co.
LLC
/
Sprint
Spectrum
Co.
II
LLC
/
Sprint
Spectrum
Co.
III
LLC
,
Senior
Secured
Note,
144A,
3.423%,
9/20/21
..............
United
States
156,250
156,895
Senior
Secured
Note,
144A,
4.738%,
3/20/25
..............
United
States
750,000
804,176
T-Mobile
USA,
Inc.
,
Senior
Note
,
2.25
%
,
2/15/26
..............
United
States
3,000,000
3,037,860
3,998,931
Total
Corporate
Bonds
(Cost
$555,255,441)
.....................................
566,522,856
a
g
Senior
Floating
Rate
Interests
0.9%
Aerospace
&
Defense
0.1%
Dynasty
Acquisition
Co.,
Inc.
,
2020
Term
Loan,
B1,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
1,789,272
1,733,357
2020
Term
Loan,
B2,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
961,974
931,913
2,665,270
a
a
a
a
a
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
35
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
g
Senior
Floating
Rate
Interests
(continued)
Airlines
0.2%
h,i
Air
Canada
,
Term
Loan,
B
,
TBD,
7/27/28
....................
Canada
6,900,000
6,920,148
Diversified
Consumer
Services
0.1%
KUEHG
Corp.
,
Term
Loan,
B3
,
4.75
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
2/21/25
.....................................
United
States
1,626,063
1,595,688
Entertainment
0.1%
Diamond
Sports
Group
LLC
,
Term
Loan
,
3.35
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
8/24/26
..............................
United
States
1,723,684
953,120
William
Morris
Endeavor
Entertainment
LLC
(IMG
Worldwide
Holdings
LLC)
,
First
Lien,
Term
Loan,
B1
,
2.85
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
5/18/25
..............................
United
States
1,401,103
1,365,081
2,318,201
a
a
a
a
a
a
Leisure
Products
0.1%
Hercules
Achievement,
Inc.
(Varsity
Brands
Holding
Co.,
Inc.)
,
First
Lien,
Initial
Term
Loan
,
4.5
%
,
(
1-month
USD
LIBOR
+
3.5
%
),
12/16/24
..........................................
United
States
2,390,174
2,331,089
Media
0.2%
h
Cengage
Learning,
Inc.
,
First
Lien,
Term
Loan,
B
,
5.75
%
,
(
3-month
USD
LIBOR
+
4.75
%
),
7/14/26
..........................
United
States
2,610,029
2,612,547
h
Clear
Channel
Outdoor
Holdings,
Inc.
,
Term
Loan,
B
,
3.628
%
,
(
2-month
USD
LIBOR
+
3.5%;
3-month
USD
LIBOR
+
3.5%
),
8/21/26
...........................................
United
States
3,200,000
3,112,336
5,724,883
a
a
a
a
a
a
Personal
Products
0.1%
Coty,
Inc.
,
USD
Term
Loan,
B
,
2.352
%
,
(
1-month
USD
LIBOR
+
2.25
%
),
4/07/25
.....................................
United
States
2,755,475
2,654,611
Total
Senior
Floating
Rate
Interests
(Cost
$24,817,280)
..........................
24,209,890
Marketplace
Loans
0.9%
Diversified
Financial
Services
0.9%
a
Lending
Club
-
LCX,
5%
-
28.8%,
4/24/22
-
4/14/25
............
United
States
3,079,809
2,872,618
a
Lending
Club,
5%
-
28.8%,
9/20/21
-
3/16/25
.................
United
States
10,250,061
9,344,004
a
Square
Capital,
Zero
Cpn
.,
3/18/22
-
1/27/23
.................
United
States
13,440,527
13,266,653
a
Upgrade,
13.64%
-
30.51%,
9/05/22
-
1/25/25
................
United
States
1,385,418
1,291,813
26,775,088
a
a
a
a
a
a
Total
Marketplace
Loans
(Cost
$28,155,815)
....................................
26,775,088
Foreign
Government
and
Agency
Securities
5.2%
e
Banque
Centrale
de
Tunisie
,
Senior
Bond,
144A,
5.75%,
1/30/25
..
Tunisia
4,700,000
3,992,203
e
Banque
Ouest
Africaine
de
Developpement
,
Senior
Bond,
144A,
5%,
7/27/27
...........................................
Supranational
j
3,900,000
4,353,617
e
Belarus
Government
Bond,
Senior
Bond,
144A,
7.625%,
6/29/27
..
Belarus
3,900,000
3,839,452
Brazil
Government
Bond,
Senior
Bond,
8.75%,
2/04/25
.........
Brazil
2,720,000
3,390,507
Colombia
Government
Bond,
Senior
Bond,
8.125%,
5/21/24
.....
Colombia
5,300,000
6,208,924
e
Dexia
Credit
Local
SA,
Senior
Note,
144A,
2.375%,
9/20/22
.....
France
4,800,000
4,915,507
e
Dominican
Republic
Government
Bond,
Senior
Note,
144A,
8.9%,
2/15/23
...........................................
Dominican
Republic
218,500,000
DOP
4,044,888
e
Egypt
Government
Bond,
Senior
Note,
144A,
5.75%,
5/29/24
....
Egypt
3,800,000
4,051,062
e,k
Electricite
de
France
SA,
Junior
Sub.
Bond,
144A,
5.625%
to
1/22/24,
FRN
thereafter,
Perpetual
.......................
France
2,200,000
2,369,400
Equinor
ASA,
Senior
Note,
2.875%,
4/06/25
...........................
Norway
15,300,000
16,412,941
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
36
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Foreign
Government
and
Agency
Securities
(continued)
Senior
Note,
1.75%,
1/22/26
...........................
Norway
5,400,000
$
5,588,769
e
Export-Import
Bank
of
India,
Senior
Bond,
144A,
3.875%,
2/01/28
.
India
3,400,000
3,696,513
Export-Import
Bank
of
Korea,
Senior
Bond,
2.875%,
1/21/25
.....
South
Korea
2,000,000
2,140,869
e
Gabon
Government
Bond,
Senior
Bond,
144A,
6.95%,
6/16/25
...
Gabon
1,250,000
1,358,825
Hungary
Government
Bond,
Senior
Bond,
5.375%,
2/21/23
......
Hungary
3,400,000
3,666,407
e
Indonesia
Government
Bond,
Senior
Note,
144A,
3.7%,
1/08/22
..
Indonesia
6,330,000
6,417,585
e
Iraq
Government
Bond,
Senior
Bond,
144A,
5.8%,
1/15/28
......
Iraq
6,093,750
5,844,059
e
Israel
Electric
Corp.
Ltd.,
Senior
Secured
Bond,
144A,
Reg
S,
4.25%,
8/14/28
...........................................
Israel
1,400,000
1,572,270
e
Kazakhstan
Government
Bond,
Senior
Bond,
144A,
3.875%,
10/14/24
..........................................
Kazakhstan
5,830,000
6,364,658
Korea
Development
Bank
(The),
Senior
Note,
3.375%,
3/12/23
...
South
Korea
7,100,000
7,434,252
Mexico
Government
Bond,
Senior
Bond,
4.15%,
3/28/27
........
Mexico
6,100,000
6,950,126
e
Mongolia
Government
Bond,
Senior
Note,
144A,
8.75%,
3/09/24
..
Mongolia
1,360,000
1,556,015
e
Pakistan
Government
Bond,
Senior
Bond,
144A,
8.25%,
9/30/25
..
Pakistan
1,440,000
1,580,083
Peru
Government
Bond,
Senior
Bond,
7.35%,
7/21/25
...........................
Peru
3,300,000
4,024,944
Senior
Bond,
2.783%,
1/23/31
..........................
Peru
800,000
805,112
e
Petroleos
Mexicanos
,
Senior
Note,
144A,
6.875%,
10/16/25
.....
Mexico
990,000
1,091,416
Philippines
Government
Bond,
Senior
Bond,
4.2%,
1/21/24
......
Philippines
1,600,000
1,742,839
Poland
Government
Bond,
Senior
Bond,
5%,
3/23/22
..........
Poland
4,310,000
4,444,511
e
Russia
Government
Bond,
Senior
Bond,
144A,
4.875%,
9/16/23
..
Russia
4,400,000
4,783,363
South
Africa
Government
Bond,
Senior
Bond,
5.875%,
9/16/25
...
South
Africa
5,640,000
6,395,534
Turkey
Government
Bond,
Senior
Note,
6.375%,
10/14/25
.......
Turkey
5,980,000
6,294,010
e
Ukraine
Government
Bond,
Senior
Bond,
144A,
7.375%,
9/25/32
.
Ukraine
4,500,000
4,693,860
l
Uruguay
Government
Bond,
Index
Linked,
Senior
Bond,
3.7%,
6/26/37
...........................................
Uruguay
170,449,778
UYU
4,383,359
Total
Foreign
Government
and
Agency
Securities
(Cost
$144,087,019)
............
146,407,880
U.S.
Government
and
Agency
Securities
34.8%
U.S.
Treasury
Notes,
2.125%,
9/30/21
.....................................
United
States
10,000,000
10,033,490
1.75%,
5/15/22
.....................................
United
States
117,000,000
118,540,270
1.875%,
8/31/22
.....................................
United
States
75,000,000
76,447,266
2%,
2/15/23
........................................
United
States
95,000,000
97,727,539
2.625%,
2/28/23
.....................................
United
States
52,000,000
54,045,469
1.625%,
4/30/23
.....................................
United
States
90,000,000
92,309,765
1.625%,
5/31/23
.....................................
United
States
50,000,000
51,335,937
2.75%,
5/31/23
.....................................
United
States
98,000,000
102,635,860
2.5%,
8/15/23
......................................
United
States
110,000,000
115,177,734
2.75%,
8/31/23
.....................................
United
States
105,000,000
110,578,125
2.875%,
10/31/23
....................................
United
States
52,000,000
55,095,625
2.875%,
11/30/23
....................................
United
States
70,000,000
74,298,437
l
0.25%,
1/15/25
.....................................
United
States
1,340,000
1,662,185
l
0.375%,
7/15/25
.....................................
United
States
1,200,000
1,512,244
2.875%,
7/31/25
.....................................
United
States
12,000,000
13,108,125
l
0.375%,
7/15/27
.....................................
United
States
3,840,000
4,820,121
Total
U.S.
Government
and
Agency
Securities
(Cost
$978,446,874)
................
979,328,192
Asset-Backed
Securities
14.6%
Airlines
0.0%
American
Airlines
Pass-Through
Trust,
2016-2,
AA,
3.2%,
6/15/28
.
United
States
39,350
40,263
United
Airlines
Pass-Through
Trust,
2020-1,
B,
4.875%,
7/15/27
..
United
States
420,413
441,753
482,016
a
a
a
a
a
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
37
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Commercial
Services
&
Supplies
0.5%
e,m
Armada
Euro
CLO
IV
DAC,
4A,
B,
144A,
FRN,
1.7%,
7/15/33
....
Ireland
12,400,000
EUR
$
14,739,540
Consumer
Finance
0.5%
Discover
Card
Execution
Note
Trust,
2019-A3,
A,
1.89%,
10/15/24
United
States
13,340,000
13,610,009
Diversified
Financial
Services
13.6%
e,n
Adagio
CLO
VIII
DAC,
VIII-A,
B1,
144A,
FRN,
1.65%,
(3-month
EURIBOR
+
1.65%),
4/15/32
...........................
Ireland
500,000
EUR
596,176
e
American
Homes
4
Rent
Trust
,
2014-SFR3,
A,
144A,
3.678%,
12/17/36
...................
United
States
712,007
756,257
2015-SFR1,
A,
144A,
3.467%,
4/17/52
....................
United
States
5,431,502
5,750,736
e,n
AMMC
CLO
21
Ltd.,
2017-21A,
C,
144A,
FRN,
2.276%,
(3-month
USD
LIBOR
+
2.1%),
11/02/30
..........................
United
States
400,000
395,388
e,n
AMMC
CLO
XI
Ltd.,
2012-11A,
CR2,
144A,
FRN,
2.028%,
(3-month
USD
LIBOR
+
1.9%),
4/30/31
...........................
United
States
1,850,000
1,843,935
e,n
Antares
CLO
Ltd.,
2018-1A,
B,
144A,
FRN,
1.784%,
(3-month
USD
LIBOR
+
1.65%),
4/20/31
..............................
United
States
6,000,000
5,917,500
e,n
Apidos
CLO
XXXV,
2021-35A,
A,
144A,
FRN,
1.245%,
(3-month
USD
LIBOR
+
1.05%),
4/20/34
..........................
United
States
19,306,000
19,317,577
e,n
Ares
European
CLO
VIII
BV,
8A,
BR,
144A,
FRN,
1.6%,
(3-month
EURIBOR
+
1.6%),
4/17/32
............................
Ireland
700,000
EUR
825,012
e,n
Bain
Capital
Credit
CLO
Ltd.,
2018-1A,
A1,
144A,
FRN,
1.098%,
(3-month
USD
LIBOR
+
0.96%),
4/23/31
..................
United
States
2,000,000
2,000,498
e,n
BCC
Middle
Market
CLO
LLC,
2018-1A,
A2,
144A,
FRN,
2.284%,
(3-month
USD
LIBOR
+
2.15%),
10/20/30
.................
United
States
2,100,000
2,077,824
e,n
Blackrock
European
CLO
IX
DAC
,
9A,
A,
144A,
FRN,
0.9%,
(3-month
EURIBOR
+
0.9%),
12/15/32
Ireland
3,300,000
EUR
3,918,629
9A,
B,
144A,
FRN,
1.55%,
(3-month
EURIBOR
+
1.55%),
12/15/32
Ireland
1,100,000
EUR
1,306,935
e,n
BlueMountain
CLO
Ltd.
,
2012-2A,
BR2,
144A,
FRN,
1.605%,
(3-month
USD
LIBOR
+
1.45%),
11/20/28
....................................
United
States
2,970,000
2,973,643
2012-2A,
DR2,
144A,
FRN,
3.055%,
(3-month
USD
LIBOR
+
2.9%),
11/20/28
.....................................
United
States
2,295,000
2,268,033
e,n
BlueMountain
Fuji
EUR
CLO
V
DAC,
5A,
B,
144A,
FRN,
1.55%,
(3-month
EURIBOR
+
1.55%),
1/15/33
....................
Ireland
4,550,000
EUR
5,405,751
e,n
BlueMountain
Fuji
US
CLO
III
Ltd.
,
2017-3A,
A2,
144A,
FRN,
1.276%,
(3-month
USD
LIBOR
+
1.15%),
1/15/30
.....................................
United
States
1,000,000
998,197
2017-3A,
C,
144A,
FRN,
1.826%,
(3-month
USD
LIBOR
+
1.7%),
1/15/30
...........................................
United
States
500,000
496,427
e,n
Carlyle
Global
Market
Strategies
CLO
Ltd.
,
2014-1A,
A2R2,
144A,
FRN,
1.264%,
(3-month
USD
LIBOR
+
1.13%),
4/17/31
.....................................
United
States
1,200,000
1,192,173
2014-1A,
DR,
144A,
FRN,
2.734%,
(3-month
USD
LIBOR
+
2.6%),
4/17/31
...........................................
United
States
533,000
513,405
e,n
Carlyle
GMS
Finance
MM
CLO
LLC,
2015-1A,
A2R,
144A,
FRN,
2.326%,
(3-month
USD
LIBOR
+
2.2%),
10/15/31
............
United
States
7,300,000
7,174,571
e,n
Carlyle
US
CLO
Ltd.
,
2017-4A,
B,
144A,
FRN,
1.976%,
(3-month
USD
LIBOR
+
1.85%),
1/15/30
...........................................
United
States
1,107,000
1,104,234
2017-4A,
C,
144A,
FRN,
2.926%,
(3-month
USD
LIBOR
+
2.8%),
1/15/30
...........................................
United
States
400,000
385,744
2017-5A,
B,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
1/20/30
...........................................
United
States
2,200,000
2,170,225
2021-1A,
A1,
144A,
FRN,
1.331%,
(3-month
USD
LIBOR
+
1.14%),
4/15/34
.....................................
United
States
17,876,000
17,929,621
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
38
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
e,n
Carlyle
US
CLO
Ltd.,
(continued)
e,n
Cent
CLO
21
Ltd.,
2014-21A,
CR2,
144A,
FRN,
3.329%,
(3-month
USD
LIBOR
+
3.2%),
7/27/30
...........................
United
States
502,000
$
498,435
e
CF
Hippolyta
LLC,
2020-1,
A1,
144A,
1.69%,
7/15/60
..........
United
States
3,482,471
3,563,760
e,m
Consumer
Loan
Underlying
Bond
Certificate
Issuer
Trust
I
,
2018-14,
PT,
144A,
FRN,
7.893%,
9/16/41
.................
United
States
90,365
87,381
a
2018-29,
PT,
144A,
FRN,
30.891%,
12/15/43
...............
United
States
235,489
234,691
2018-8,
PT,
144A,
FRN,
Zero
Cpn
.,
6/17/41
................
United
States
6,571
5,726
2019-26,
PT,
144A,
FRN,
20.753%,
8/15/44
................
United
States
940,330
940,993
2019-31,
PT,
144A,
FRN,
22.416%,
9/15/44
................
United
States
840,540
834,210
2019-37,
PT,
144A,
FRN,
22.443%,
10/17/44
...............
United
States
826,571
816,014
2019-42,
PT,
144A,
FRN,
21.204%,
11/15/44
...............
United
States
846,161
846,366
2019-51,
PT,
144A,
FRN,
17.225%,
1/15/45
................
United
States
2,255,085
2,256,472
2019-52,
PT,
144A,
FRN,
16.627%,
1/15/45
................
United
States
2,811,990
2,835,165
2019-S1,
PT,
144A,
FRN,
18.465%,
4/15/44
................
United
States
485,032
476,891
2019-S2,
PT,
144A,
FRN,
15.051%,
5/16/44
................
United
States
392,908
391,207
2019-S3,
PT,
144A,
FRN,
15.166%,
6/15/44
................
United
States
290,047
288,970
2019-S4,
PT,
144A,
FRN,
14.24%,
8/15/44
.................
United
States
637,593
638,101
2019-S5,
PT,
144A,
FRN,
13.929%,
9/15/44
................
United
States
672,439
672,495
2019-S6,
PT,
144A,
FRN,
12.466%,
10/17/44
...............
United
States
647,880
637,012
2019-S7,
PT,
144A,
FRN,
11.254%,
12/15/44
...............
United
States
1,270,570
1,255,306
2019-S8,
PT,
144A,
FRN,
11.978%,
1/15/45
................
United
States
1,637,467
1,612,955
2020-2,
PT,
144A,
FRN,
17.112%,
3/15/45
.................
United
States
2,590,318
2,599,117
2020-7,
PT,
144A,
FRN,
16.993%,
4/17/45
.................
United
States
1,543,601
1,530,052
e,n
Cook
Park
CLO
Ltd.,
2018-1A,
A2,
144A,
FRN,
1.254%,
(3-month
USD
LIBOR
+
1.12%),
4/17/30
..........................
United
States
1,000,000
995,047
n
CWABS,
Inc.,
2004-1,
M1,
FRN,
0.839%,
(1-month
USD
LIBOR
+
0.75%),
3/25/34
.....................................
United
States
45,456
45,374
e,n
Dryden
44
Euro
CLO
2015
BV,
2015-44A,
A1RR,
144A,
FRN,
0.88%,
(3-month
EURIBOR
+
0.88%),
4/15/34
....................
Netherlands
20,020,000
EUR
23,722,348
e,n
Dryden
55
CLO
Ltd.
,
2018-55A,
C,
144A,
FRN,
2.026%,
(3-month
USD
LIBOR
+
1.9%),
4/15/31
...........................................
United
States
600,000
593,813
2018-55A,
D,
144A,
FRN,
2.976%,
(3-month
USD
LIBOR
+
2.85%),
4/15/31
.....................................
United
States
300,000
297,000
e,n
Dryden
58
CLO
Ltd.,
2018-58A,
A2,
144A,
FRN,
1.384%,
(3-month
USD
LIBOR
+
1.25%),
7/17/31
..........................
United
States
1,600,000
1,597,300
e,n
Dryden
64
CLO
Ltd.,
2018-64A,
C,
144A,
FRN,
1.884%,
(3-month
USD
LIBOR
+
1.75%),
4/18/31
..........................
United
States
750,000
748,468
e,n
Ellington
CLO
III
Ltd.,
2018-3A,
A1,
144A,
FRN,
1.784%,
(3-month
USD
LIBOR
+
1.65%),
7/20/30
..........................
United
States
3,700,639
3,698,424
e
FirstKey
Homes
Trust,
2020-SFR2,
A,
144A,
1.266%,
10/19/37
...
United
States
4,220,664
4,240,500
e,n
Galaxy
XXVII
CLO
Ltd.,
2018-27A,
A,
144A,
FRN,
1.176%,
(3-month
USD
LIBOR
+
1.02%),
5/16/31
..........................
United
States
1,500,000
1,500,300
e,n
Golden
Tree
Loan
Management
US
CLO
1
Ltd.,
2021-9A,
A,
144A,
FRN,
1.204%,
(3-month
USD
LIBOR
+
1.07%),
1/20/33
.......
United
States
15,731,000
15,767,658
e,n
Halcyon
Loan
Advisors
Funding
Ltd.,
2018-1A,
A2,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
7/21/31
.............
United
States
5,000,000
4,990,636
e,n
Holland
Park
CLO
DAC,
1A,
A1RR,
144A,
FRN,
0.92%,
(3-month
EURIBOR
+
0.92%),
11/14/32
..........................
Ireland
15,000,000
EUR
17,813,391
e,n
LCM
26
Ltd.,
26A,
C,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
1/20/31
......................................
United
States
2,000,000
1,991,712
n
Lehman
XS
Trust,
2005-4,
1A4,
FRN,
0.649%,
(1-month
USD
LIBOR
+
0.56%),
10/25/35
..................................
United
States
140,008
140,119
e,n
Long
Point
Park
CLO
Ltd.,
2017-1A,
B,
144A,
FRN,
1.834%,
(3-month
USD
LIBOR
+
1.7%),
1/17/30
...................
United
States
2,000,000
1,990,219
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
39
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
e,n
Madison
Park
Euro
Funding
VIII
DAC
,
8A,
ARN,
144A,
FRN,
0.95%,
(3-month
EURIBOR
+
0.95%),
4/15/32
...........................................
Ireland
24,700,000
EUR
$
29,368,261
8A,
BRN,
144A,
FRN,
1.7%,
(3-month
EURIBOR
+
1.7%),
4/15/32
Ireland
2,800,000
EUR
3,329,762
e,n
Madison
Park
Funding
XIII
Ltd.,
2014-13A,
DR2,
144A,
FRN,
2.984%,
(3-month
USD
LIBOR
+
2.85%),
4/19/30
............
United
States
332,000
329,095
e,n
Madison
Park
Funding
XLII
Ltd.,
13A,
C,
144A,
FRN,
1.938%,
(3-month
USD
LIBOR
+
1.8%),
11/21/30
..................
United
States
1,600,000
1,585,652
e,n
Magnetite
XXIX
Ltd.,
2021-29A,
A,
144A,
FRN,
1.116%,
(3-month
USD
LIBOR
+
0.99%),
1/15/34
..........................
United
States
21,809,000
21,811,066
e,m
Mill
City
Mortgage
Loan
Trust
,
2017-1,
A1,
144A,
FRN,
2.75%,
11/25/58
..................
United
States
342,207
345,872
2018-1,
A1,
144A,
FRN,
3.25%,
5/25/62
...................
United
States
8,128,381
8,322,041
2018-4,
A1B,
144A,
FRN,
3.5%,
4/25/66
...................
United
States
8,129,355
8,488,692
e,n
Neuberger
Berman
CLO
XVIII
Ltd.,
2014-18A,
A1BR,
144A,
FRN,
1.534%,
(3-month
USD
LIBOR
+
1.4%),
10/21/30
............
United
States
2,295,000
2,299,232
e,n
Octagon
Investment
Partners
18-R
Ltd.
,
2018-18A,
A1A,
144A,
FRN,
1.086%,
(3-month
USD
LIBOR
+
0.96%),
4/16/31
.....................................
United
States
1,000,000
1,001,064
2018-18A,
C,
144A,
FRN,
2.826%,
(3-month
USD
LIBOR
+
2.7%),
4/16/31
...........................................
United
States
1,000,000
982,467
e,n
Octagon
Investment
Partners
26
Ltd.,
2016-1A,
A2R,
144A,
FRN,
1.476%,
(3-month
USD
LIBOR
+
1.35%),
7/15/30
............
United
States
1,600,000
1,599,143
e,n
Octagon
Investment
Partners
33
Ltd.,
2017-1A,
C,
144A,
FRN,
2.884%,
(3-month
USD
LIBOR
+
2.75%),
1/20/31
............
United
States
250,000
248,316
e,n
Octagon
Investment
Partners
35
Ltd.,
2018-1A,
A1B,
144A,
FRN,
1.234%,
(3-month
USD
LIBOR
+
1.1%),
1/20/31
.............
United
States
2,000,000
1,988,971
e,n
OHA
Credit
Partners
VII
Ltd.,
2012-7A,
AR3,
144A,
FRN,
1.225%,
(3-month
USD
LIBOR
+
1.07%),
2/20/34
..................
United
States
17,876,000
17,898,347
e,m
Prosper
Pass-Thru
Trust
III
,
2020-PT1,
A,
144A,
FRN,
8.796%,
3/15/26
.................
United
States
1,629,683
1,616,238
2020-PT2,
A,
144A,
FRN,
9.444%,
4/15/26
.................
United
States
1,874,741
1,841,932
2020-PT3,
A,
144A,
FRN,
7.183%,
5/15/26
.................
United
States
598,105
600,090
n
RAAC
Trust,
2004-SP1,
AII,
FRN,
0.789%,
(1-month
USD
LIBOR
+
0.7%),
3/25/34
......................................
United
States
159,145
161,233
e,n
RR
14
Ltd.,
2021-14A,
A1,
144A,
FRN,
1.246%,
(3-month
USD
LIBOR
+
1.12%),
4/15/36
..............................
United
States
23,418,000
23,407,657
e,n
Sculptor
CLO
XXV
Ltd.,
25A,
A1,
144A,
FRN,
1.404%,
(3-month
USD
LIBOR
+
1.27%),
1/15/31
..........................
United
States
10,726,000
10,728,839
e,m
Towd
Point
Mortgage
Trust
,
2017-1,
A1,
144A,
FRN,
2.75%,
10/25/56
..................
United
States
5,525,243
5,610,658
2018-4,
A1,
144A,
FRN,
3%,
6/25/58
.....................
United
States
12,975,407
13,517,584
2019-1,
A1,
144A,
FRN,
3.722%,
3/25/58
..................
United
States
10,503,565
11,109,432
e,m
Upgrade
Master
Pass-Thru
Trust
,
2019-PT1,
A,
144A,
FRN,
15.567%,
6/15/25
................
United
States
316,684
283,897
2019-PT2,
A,
144A,
FRN,
13.977%,
2/15/26
................
United
States
1,558,210
1,574,306
e,n
Voya
CLO
Ltd.
,
2013-2A,
A1R,
144A,
FRN,
1.095%,
(3-month
USD
LIBOR
+
0.97%),
4/25/31
.....................................
United
States
11,800,000
11,803,002
2013-2A,
CR,
144A,
FRN,
2.875%,
(3-month
USD
LIBOR
+
2.75%),
4/25/31
.....................................
United
States
375,000
364,743
2014-1A,
BR2,
144A,
FRN,
2.034%,
(3-month
USD
LIBOR
+
1.9%),
4/18/31
......................................
United
States
2,750,000
2,721,742
2014-1A,
CR2,
144A,
FRN,
2.934%,
(3-month
USD
LIBOR
+
2.8%),
4/18/31
......................................
United
States
600,000
580,313
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
40
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
e,n
Voya
CLO
Ltd.,
(continued)
2016-3A,
CR,
144A,
FRN,
3.384%,
(3-month
USD
LIBOR
+
3.25%),
10/18/31
....................................
United
States
1,698,113
$
1,645,260
2018-2A,
A2,
144A,
FRN,
1.376%,
(3-month
USD
LIBOR
+
1.25%),
7/15/31
.....................................
United
States
2,500,000
2,489,063
380,126,089
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.0%
m
Conseco
Finance
Securitizations
Corp.,
2002-2,
M1,
FRN,
7.424%,
3/01/33
...........................................
United
States
385,089
404,409
n
Countrywide
Asset-Backed
Certificates
Trust,
2002-3,
1A1,
FRN,
0.829%,
(1-month
USD
LIBOR
+
0.74%),
5/25/32
............
United
States
1,064
1,051
405,460
a
a
a
a
a
a
Total
Asset-Backed
Securities
(Cost
$400,828,490)
..............................
409,363,114
Commercial
Mortgage-Backed
Securities
2.1%
Diversified
Financial
Services
1.6%
e
BAMLL
Commercial
Mortgage
Securities
Trust
,
2012-PARK,
A,
144A,
2.959%,
12/10/30
...................
United
States
3,300,000
3,399,059
2015-200P,
A,
144A,
3.218%,
4/14/33
....................
United
States
600,000
644,025
e,n
BX
Commercial
Mortgage
Trust
,
2018-IND,
A,
144A,
FRN,
0.843%,
(1-month
USD
LIBOR
+
0.75%),
11/15/35
..........................................
United
States
2,377,286
2,382,869
2019-XL,
A,
144A,
FRN,
1.013%,
(1-month
USD
LIBOR
+
0.92%),
10/15/36
..........................................
United
States
3,440,629
3,452,025
2020-BXLP,
A,
144A,
FRN,
0.893%,
(1-month
USD
LIBOR
+
0.8%),
12/15/36
.....................................
United
States
10,946,327
10,972,913
2020-FOX,
A,
144A,
FRN,
1.093%,
(1-month
USD
LIBOR
+
1%),
11/15/32
..........................................
United
States
13,233,080
13,291,816
e
BXP
Trust
,
2017-GM
,
A
,
144A,
3.379
%
,
6/13/39
..............
United
States
2,000,000
2,210,676
Commercial
Mortgage
Trust
,
m
2006-GG7,
AJ,
FRN,
6.012%,
7/10/38
....................
United
States
836,002
752,611
e,m
2014-277P,
A,
144A,
FRN,
3.611%,
8/10/49
................
United
States
3,880,000
4,161,588
e
2015-3BP,
A,
144A,
3.178%,
2/10/35
.....................
United
States
600,000
642,441
e,n
DBCG
Mortgage
Trust
,
2017-BBG
,
A
,
144A,
FRN
,
0.793
%
,
(
1-month
USD
LIBOR
+
0.7
%
),
6/15/34
...........................
United
States
1,500,000
1,503,017
e,m
Eleven
Madison
Mortgage
Trust
,
2015-11MD
,
A
,
144A,
FRN
,
3.555
%
,
9/10/35
.....................................
United
States
2,005,000
2,187,876
e,m
J.P.
Morgan
Chase
Commercial
Mortgage
Securities
Trust
,
2016-
NINE
,
A
,
144A,
FRN
,
2.854
%
,
9/06/38
....................
United
States
600,000
646,630
e
Morgan
Stanley
Capital
I
Trust
,
2014-150E
,
A
,
144A,
3.912
%
,
9/09/32
...........................................
United
States
450,000
484,033
46,731,579
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.5%
Banc
of
America
Commercial
Mortgage
Trust
,
2015-UBS7
,
A4
,
3.705
%
,
9/15/48
.....................................
United
States
100,000
109,581
FHLMC
,
4402
,
PE
,
3.5
%
,
3/15/43
.........................
United
States
389,023
395,441
GS
Mortgage
Securities
Trust
,
2016-GS3,
A4,
2.85%,
10/10/49
.........................
United
States
600,000
645,796
2017-GS6,
A3,
3.433%,
5/10/50
.........................
United
States
2,000,000
2,220,452
JPMBB
Commercial
Mortgage
Securities
Trust
,
2015-C30,
A5,
3.822%,
7/15/48
.........................
United
States
1,500,000
1,647,404
2016-C1,
A5,
3.576%,
3/15/49
..........................
United
States
1,500,000
1,647,090
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
41
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
Wells
Fargo
Commercial
Mortgage
Trust
,
2016-NXS6
,
A2
,
2.399
%
,
11/15/49
..........................................
United
States
6,500,367
$
6,504,617
13,170,381
a
a
a
a
a
a
Total
Commercial
Mortgage-Backed
Securities
(Cost
$58,155,643)
................
59,901,960
Mortgage-Backed
Securities
2.6%
o
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Adjustable
Rate
0.0%
FHLMC,
2.195%
-
2.267%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
10/01/36
-
6/01/37
...................................
United
States
923,871
968,736
968,736
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Fixed
Rate
0.0%
FHLMC
Gold
Pools,
15
Year,
5%,
10/01/23
..................
United
States
29,335
30,581
FHLMC
Gold
Pools,
15
Year,
6%,
6/01/23
...................
United
States
2,984
3,072
FHLMC
Gold
Pools,
30
Year,
5%,
1/01/39
...................
United
States
67,829
77,529
111,182
o
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
0.3%
FNMA,
1.155%
-
3.343%,
(6-month
USD
LIBOR
+/-
MBS
Margin),
9/01/22
-
8/01/37
....................................
United
States
629,614
636,431
FNMA,
1.225%
-
1.3%,
(1-month
USD
LIBOR
+/-
MBS
Margin),
4/01/28
-
7/01/34
....................................
United
States
198,249
199,138
FNMA,
1.308%
-
2.561%,
(12-month
average
of
1-year
CMT
+/-
MBS
Margin),
11/01/30
-
10/01/44
.......................
United
States
240,329
247,392
FNMA,
1.425%
-
2.75%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
11/01/32
-
2/01/44
...................................
United
States
5,501,017
5,732,317
FNMA,
1.556%
-
5.63%,
(COFI
11th
District
+/-
MBS
Margin),
12/01/25
-
12/01/36
..................................
United
States
69,481
72,405
FNMA,
1.645%
-
2.895%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
3/01/24
-
4/01/40
....................................
United
States
1,185,919
1,199,840
FNMA,
2.493%
-
4.171%,
(3-year
CMT
T-Note
+/-
MBS
Margin),
2/01/26
-
6/01/34
....................................
United
States
32,931
33,072
FNMA,
2.625%,
(6-month
H15BDI
+/-
MBS
Margin),
8/01/32
.....
United
States
54,599
54,724
FNMA,
2.875%,
(Federal
COFI
+/-
MBS
Margin),
8/01/29
.......
United
States
2,852
2,858
FNMA,
4.8%,
(5-year
CMT
T-Note
+/-
MBS
Margin),
2/01/30
.....
United
States
31,228
31,398
8,209,575
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
2.3%
FNMA,
15
Year,
3.5%,
10/01/25
...........................
United
States
310,508
331,853
FNMA,
15
Year,
4%,
12/01/25
............................
United
States
475,123
505,151
FNMA,
15
Year,
4.5%,
5/01/23
-
6/01/25
....................
United
States
235,830
247,467
FNMA,
30
Year,
5%,
3/01/38
.............................
United
States
9,574
10,896
p
FNMA,
Single-family,
15
Year,
2%,
8/25/36
..................
United
States
59,821,000
62,085,319
63,180,686
o
Government
National
Mortgage
Association
(GNMA)
Adjustable
Rate
0.0%
GNMA
II,
1.875%
-
2.25%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
4/20/26
-
9/20/26
....................................
United
States
9,112
9,252
9,252
Total
Mortgage-Backed
Securities
(Cost
$72,210,679)
............................
72,479,431
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
42
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Municipal
Bonds
1.2%
California
0.3%
San
Jose
Redevelopment
Agency
Successor
Agency
,
Tax
Allocation,
Senior
Lien,
2017
A-T,
Refunding,
2.48%,
8/01/21
United
States
1,595,000
$
1,595,000
Tax
Allocation,
Senior
Lien,
2017
A-T,
Refunding,
2.63%,
8/01/22
United
States
5,320,000
5,445,419
Tax
Allocation,
Senior
Lien,
2017
A-T,
Refunding,
3.226%,
8/01/27
United
States
190,000
212,020
7,252,439
Colorado
0.0%
Board
of
Governors
of
Colorado
State
University
System
,
Revenue
,
2015
E-2
,
5
%
,
3/01/25
................................
United
States
100,000
116,725
Florida
0.0%
Citizens
Property
Insurance,
Inc.
,
Revenue
,
2015
A-1
,
5
%
,
6/01/22
United
States
125,000
127,005
Hawaii
0.1%
City
&
County
Honolulu
,
Wastewater
System
,
Revenue
,
2019
B
,
Refunding
,
2.233
%
,
7/01/24
............................
United
States
2,470,000
2,594,388
Illinois
0.1%
State
of
Illinois
,
GO
,
2003
,
5.1
%
,
6/01/33
...................
United
States
2,415,000
2,898,584
Massachusetts
0.1%
Massachusetts
State
College
Building
Authority
,
Revenue
,
2019
C
,
Refunding
,
2.256
%
,
5/01/26
............................
United
States
2,635,000
2,799,403
New
York
0.4%
Metropolitan
Transportation
Authority
,
Revenue
,
2020
E
,
Refunding
,
4
%
,
11/15/45
.......................................
United
States
1,865,000
2,188,174
New
York
State
Urban
Development
Corp.
,
State
of
New
York
Sales
Tax
,
Revenue
,
2019
B
,
Refunding
,
2.25
%
,
3/15/26
...........
United
States
8,750,000
9,190,395
11,378,569
Ohio
0.0%
City
of
Cincinnati
,
GO
,
2015
A
,
Refunding
,
5
%
,
12/01/25
........
United
States
100,000
117,781
Teays
Valley
Local
School
District
,
GO
,
2015
,
Refunding
,
4
%
,
12/01/26
..........................................
United
States
100,000
108,763
226,544
Texas
0.2%
Texas
State
University
System
,
Revenue
,
2019
B
,
Refunding
,
2.351
%
,
3/15/26
.....................................
United
States
4,825,000
5,136,820
Total
Municipal
Bonds
(Cost
$30,475,740)
......................................
32,530,477
Residential
Mortgage-Backed
Securities
6.6%
Capital
Markets
0.0%
n
Merrill
Lynch
Mortgage
Investors
Trust
,
2003-A,
1A,
FRN,
0.829%,
(1-month
USD
LIBOR
+
0.74%),
3/25/28
...........................................
United
States
119,921
120,272
2003-E,
A1,
FRN,
0.709%,
(1-month
USD
LIBOR
+
0.62%),
10/25/28
..........................................
United
States
280,166
283,644
403,916
a
a
a
a
a
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
43
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Diversified
Financial
Services
0.4%
n
American
Home
Mortgage
Investment
Trust
,
2005-1
,
6A
,
FRN
,
2.159
%
,
(
6-month
USD
LIBOR
+
2
%
),
6/25/45
..............
United
States
414,137
$
425,383
e,m
BRAVO
Residential
Funding
Trust
,
2019-2
,
A3
,
144A,
FRN
,
3.5
%
,
10/25/44
..........................................
United
States
5,786,543
6,044,220
m
CHL
Mortgage
Pass-Through
Trust
,
2004-11
,
2A1
,
FRN
,
2.017
%
,
7/25/34
...........................................
United
States
938,635
948,950
e,m
CIM
Trust
,
2019-INV1
,
A1
,
144A,
FRN
,
4
%
,
2/25/49
...........
United
States
315,972
320,989
Credit
Suisse
First
Boston
Mortgage
Securities
Corp.
,
2004-6
,
3A1
,
5
%
,
6
/25/
37
........................................
United
States
154,730
132,964
e,m
CSMC
Trust
,
2014-IVR3
,
A1
,
144A,
FRN
,
3.5
%
,
7/25/44
........
United
States
588,388
601,870
m
GSR
Mortgage
Loan
Trust
,
2005-AR1
,
1A1
,
FRN
,
2.678
%
,
1/25/35
United
States
98,407
97,711
m
J.P.
Morgan
Mortgage
Trust
,
2004-A1
,
5A1
,
FRN
,
2.385
%
,
2/25/34
United
States
20,522
21,886
MASTR
Alternative
Loan
Trust
,
2003-1
,
3A1
,
5
%
,
6/25/23
.......
United
States
12,781
13,019
e,n
OBX
Trust
,
2018-1
,
A2
,
144A,
FRN
,
0.739
%
,
(
1-month
USD
LIBOR
+
0.65
%
),
6/25/57
.....................................
United
States
1,401,794
1,404,650
n
Thornburg
Mortgage
Securities
Trust
,
2004-3
,
A
,
FRN
,
0.829
%
,
(
1-month
USD
LIBOR
+
0.74
%
),
9/25/34
..................
United
States
403,961
410,140
10,421,782
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
6.2%
n
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
2013-DN2,
M2,
FRN,
4.339%,
(1-month
USD
LIBOR
+
4.25%),
11/25/23
..........................................
United
States
5,134,855
5,273,301
2014-DN2,
M3,
FRN,
3.689%,
(1-month
USD
LIBOR
+
3.6%),
4/25/24
...........................................
United
States
6,963,107
7,071,952
2014-DN3,
M3,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
8/25/24
...........................................
United
States
1,444,067
1,474,067
2014-DN4,
M3,
FRN,
4.639%,
(1-month
USD
LIBOR
+
4.55%),
10/25/24
..........................................
United
States
2,874,405
2,917,890
2014-HQ2,
M3,
FRN,
3.839%,
(1-month
USD
LIBOR
+
3.75%),
9/25/24
...........................................
United
States
9,743,460
9,923,851
2014-HQ3,
M3,
FRN,
4.839%,
(1-month
USD
LIBOR
+
4.75%),
10/25/24
..........................................
United
States
486,003
488,014
2015-HQA1,
M3,
FRN,
4.789%,
(1-month
USD
LIBOR
+
4.7%),
3/25/28
...........................................
United
States
13,171,975
13,525,668
2015-HQA2,
M3,
FRN,
4.889%,
(1-month
USD
LIBOR
+
4.8%),
5/25/28
...........................................
United
States
1,532,306
1,587,304
2016-DNA1,
M3,
FRN,
5.639%,
(1-month
USD
LIBOR
+
5.55%),
7/25/28
...........................................
United
States
10,317,222
10,811,461
2016-DNA2,
M3,
FRN,
4.739%,
(1-month
USD
LIBOR
+
4.65%),
10/25/28
..........................................
United
States
12,277,543
12,832,970
2016-HQA2,
M3,
FRN,
5.239%,
(1-month
USD
LIBOR
+
5.15%),
11/25/28
..........................................
United
States
9,778,598
10,142,675
2016-HQA3,
M2,
FRN,
1.439%,
(1-month
USD
LIBOR
+
1.35%),
3/25/29
...........................................
United
States
98,342
98,314
2017-HQA3,
M2,
FRN,
2.439%,
(1-month
USD
LIBOR
+
2.35%),
4/25/30
...........................................
United
States
178,773
183,144
n
FNMA
Connecticut
Avenue
Securities
,
2013-C01,
M2,
FRN,
5.339%,
(1-month
USD
LIBOR
+
5.25%),
10/25/23
..........................................
United
States
6,258,346
6,543,087
2014-C01,
M2,
FRN,
4.489%,
(1-month
USD
LIBOR
+
4.4%),
1/25/24
...........................................
United
States
1,590,128
1,644,064
2014-C02,
1M2,
FRN,
2.689%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
...........................................
United
States
6,975,996
7,027,510
2014-C02,
2M2,
FRN,
2.689%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
...........................................
United
States
1,568,540
1,584,995
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
44
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
n
FNMA
Connecticut
Avenue
Securities,
(continued)
2014-C03,
1M2,
FRN,
3.089%,
(1-month
USD
LIBOR
+
3%),
7/25/24
...........................................
United
States
7,049,109
$
7,107,838
2014-C03,
2M2,
FRN,
2.989%,
(1-month
USD
LIBOR
+
2.9%),
7/25/24
...........................................
United
States
8,085,801
8,197,366
2014-C04,
1M2,
FRN,
4.989%,
(1-month
USD
LIBOR
+
4.9%),
11/25/24
..........................................
United
States
6,951,889
7,191,639
2014-C04,
2M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
11/25/24
..........................................
United
States
1,722,453
1,766,395
2015-C01,
1M2,
FRN,
4.389%,
(1-month
USD
LIBOR
+
4.3%),
2/25/25
...........................................
United
States
4,535,395
4,646,858
2015-C01,
2M2,
FRN,
4.639%,
(1-month
USD
LIBOR
+
4.55%),
2/25/25
...........................................
United
States
166,199
166,491
2015-C02,
1M2,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
5,327,273
5,437,020
2015-C02,
2M2,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
1,224,117
1,235,627
2015-C03,
1M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
7/25/25
...........................................
United
States
5,526,354
5,676,557
2016-C01,
1M2,
FRN,
6.839%,
(1-month
USD
LIBOR
+
6.75%),
8/25/28
...........................................
United
States
1,296,110
1,382,013
2016-C01,
2M2,
FRN,
7.039%,
(1-month
USD
LIBOR
+
6.95%),
8/25/28
...........................................
United
States
4,006,819
4,224,409
2016-C02,
1M2,
FRN,
6.089%,
(1-month
USD
LIBOR
+
6%),
9/25/28
...........................................
United
States
112,792
118,594
2016-C04,
1M2,
FRN,
4.339%,
(1-month
USD
LIBOR
+
4.25%),
1/25/29
...........................................
United
States
11,088,815
11,596,070
2016-C05,
2M2,
FRN,
4.539%,
(1-month
USD
LIBOR
+
4.45%),
1/25/29
...........................................
United
States
8,552,147
8,961,639
2016-C06,
1M2,
FRN,
4.339%,
(1-month
USD
LIBOR
+
4.25%),
4/25/29
...........................................
United
States
3,429,527
3,568,100
2016-C07,
2M2,
FRN,
4.439%,
(1-month
USD
LIBOR
+
4.35%),
5/25/29
...........................................
United
States
7,361,280
7,722,516
2017-C03,
1M2,
FRN,
3.089%,
(1-month
USD
LIBOR
+
3%),
10/25/29
..........................................
United
States
2,470,040
2,539,749
n
New
York
Mortgage
Trust
,
2005-3
,
M1
,
FRN
,
0.764
%
,
(
1-month
USD
LIBOR
+
0.675
%
),
2/25/36
.............................
United
States
119,482
115,394
174,784,542
a
a
a
a
a
a
Total
Residential
Mortgage-Backed
Securities
(Cost
$199,259,925)
................
185,610,240
Shares
Escrows
and
Litigation
Trusts
0.0%
b
Mesquite
Energy,
Inc.,
Escrow
Account
.....................
United
States
1,900,000
52,250
a,b
Millennium
Corporate
Claim
Trust,
Escrow
Account
............
United
States
477,205
a,b
Millennium
Lender
Claim
Trust,
Escrow
Account
..............
United
States
477,205
Total
Escrows
and
Litigation
Trusts
(Cost
$1,838,967)
...........................
52,250
Total
Long
Term
Investments
(Cost
$2,637,373,651)
.............................
2,637,221,760
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
45
Short
Term
Investments
7.8%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
2.0%
d,q
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
56,061,627
$
56,061,627
Total
Money
Market
Funds
(Cost
$56,061,627)
..................................
56,061,627
Principal
Amount
*
a
a
a
a
a
Repurchase
Agreements
5.8%
r
Joint
Repurchase
Agreement,
0.026%,
8/02/21
(Maturity
Value
$164,050,233)
BNP
Paribas
Securities
Corp.
(Maturity
Value
$118,724,794)
Deutsche
Bank
Securities,
Inc.
(Maturity
Value
$16,491,970)
HSBC
Securities
(USA)
Inc.
(Maturity
Value
$28,833,469)
Collateralized
by
U.S.
Government
Agency
Securities,
3%
-
5%,
4/20/41
-
3/20/51;
U.S.
Treasury
Bond,
Index
Linked,
2.38%,
1/15/25;
and
U.S.
Treasury
Note,
2.25%,
4/30/24
(valued
at
$167,366,616)
......................................
164,049,874
164,049,874
Total
Repurchase
Agreements
(Cost
$164,049,874)
..............................
164,049,874
Total
Short
Term
Investments
(Cost
$220,111,501
)
...............................
220,111,501
a
Total
Investments
(Cost
$2,857,485,152)
101.6%
................................
$2,857,333,261
Other
Assets,
less
Liabilities
(1.6)%
...........................................
(47,123,957)
Net
Assets
100.0%
...........................................................
$2,810,209,304
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
Rounds
to
less
than
0.1%
of
net
assets.
a
Fair
valued
using
significant
unobservable
inputs.
See
Note
10
regarding
fair
value
measurements.
b
Non-income
producing.
c
See
Note
6
regarding
restricted
securities.
d
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
e
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$680,131,583,
representing
24.2%
of
net
assets.
f
Income
may
be
received
in
additional
securities
and/or
cash.
g
The
coupon
rate
shown
represents
the
rate
at
period
end.
h
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
i
A
portion
or
all
of
the
security
represents
an
unsettled
loan
commitment.
The
coupon
rate
is
to-be
determined
(TBD)
at
the
time
of
the
settlement
and
will
be
based
upon
a
reference
index/floor
plus
a
spread.
j
A
supranational
organization
is
an
entity
formed
by
two
or
more
central
governments
through
international
treaties.
k
Perpetual
security
with
no
stated
maturity
date.
l
Principal
amount
of
security
is
adjusted
for
inflation.
m
Adjustable
rate
security
with
an
interest
rate
that
is
not
based
on
a
published
reference
index
and
spread.  The
rate
is
based
on
the
structure
of
the
agreement
and
current
market
conditions.
The
coupon
rate
shown
represents
the
rate
at
period
end.
n
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
o
Adjustable
Rate
Mortgage-Backed
Security
(ARM);
the
rate
shown
is
the
effective
rate
at
period
end.
ARM
rates
are
not
based
on
a
published
reference
rate
and
spread,
but
instead
pass-through
weighted
average
interest
income
inclusive
of
any
caps
or
floors,
if
applicable,
from
the
underlying
mortgage
loans
in
which
the
majority
of
mortgages
pay
interest
based
on
the
index
shown
at
their
designated
reset
dates
plus
a
spread,
less
the
applicable
servicing
and
guaranty
fee
(MBS
margin).
p
Security
purchased
on
a
to-be-announced
(TBA)
basis.
q
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
r
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
46
At
July
31,
2021,
the
Fund
had
the
following futures
contracts
outstanding.
See
Note
3. 
At
July
31,
2021,
the
Fund
had
the
following
forward
exchange
contracts
outstanding.
See
Note
3
Futures
Contracts
Description
Type
Number
of
Contracts
Notional
Amount
*
Expiration
Date
Value/
Unrealized
Appreciation
(Depreciation)
Interest
rate
contracts
U.S.
Treasury
10
Year
Notes
....................
Short
1,330
$
178,822,656
9/21/21
$
(2,938,258)
U.S.
Treasury
2
Year
Notes
.....................
Long
3,305
729,268,906
9/30/21
(96,414)
U.S.
Treasury
5
Year
Notes
.....................
Short
643
80,018,336
9/30/21
(260,645)
Total
Futures
Contracts
......................................................................
$(3,295,317)
*
As
of
period
end.
Forward
Exchange
Contracts
Currency
Counter-
party
a
Type
Quantity
Contract
Amount
*
Settlement
Date
Unrealized
Appreciation
Unrealized
Depreciation
a
a
a
a
a
a
a
a
OTC
Forward
Exchange
Contracts
Brazilian
Real
......
JPHQ
Buy
2,520,623
497,928
8/09/21
$
$
(14,346)
Brazilian
Real
......
JPHQ
Sell
2,520,623
460,010
8/09/21
(23,573)
Brazilian
Real
......
JPHQ
Sell
4,945,000
929,371
8/30/21
(16,526)
Chinese
Yuan
......
JPHQ
Buy
14,000,000
2,125,172
9/17/21
31,864
Turkish
Lira
........
JPHQ
Buy
12,510,000
1,318,230
9/28/21
122,368
Brazilian
Real
......
JPHQ
Sell
2,520,623
491,560
11/08/21
14,256
Euro
.............
JPHQ
Buy
1,520,000
1,821,226
12/14/21
(13,071)
Euro
.............
JPHQ
Sell
1,200,000
1,420,236
12/14/21
(7,255)
Canadian
Dollar
....
JPHQ
Sell
2,640,000
2,143,301
12/16/21
27,653
Japanese
Yen
......
JPHQ
Buy
436,000,000
3,932,126
12/29/21
48,007
Australian
Dollar
....
JPHQ
Buy
3,490,000
2,576,025
1/19/22
(12,959)
Singapore
Dollar
....
JPHQ
Buy
3,600,000
2,647,390
1/19/22
9,111
South
Korean
Won
..
JPHQ
Buy
3,000,000,000
2,595,245
1/19/22
1,131
Total
Forward
Exchange
Contracts
...................................................
$254,390
$(87,730)
Net
unrealized
appreciation
(depreciation)
............................................
$166,660
*
In
U.S.
dollars
unless
otherwise
indicated.
a
May
be
comprised
of
multiple
contracts
with
the
same
counterparty,
currency
and
settlement
date.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
47
At
July
31,
2021,
the
Fund
had
the
following credit
default
swap
contracts outstanding.
See
Note
3. 
Credit
Default
Swap
Contracts
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
Centrally
Cleared
Swap
Contracts
Contracts
to
Sell
Protection
(c)(d)
Traded
Index
ITRAXX.
EUROPE.
MAIN.35
....
1.00%
Quarterly
6/20/26
11,100,000
EUR
$
361,557
$
291,458
$
70,099
Investment
Grade
Total
Centrally
Cleared
Swap
Contracts
.....................................
$361,557
$291,458
$70,099
OTC
Swap
Contracts
Contracts
to
Buy
Protection
(c)
Single
Name
Avon
Products,
Inc.
.......
(5.00)%
Quarterly
CITI
3/20/23
5,835,000
(389,202)
(277,391)
(111,811)
HCA,
Inc.
.....
(5.00)%
Quarterly
FBCO
3/20/22
2,050,000
(75,355)
(47,505)
(27,850)
Nabors
Industries,
Inc.
.......
(1.00)%
Quarterly
CITI
12/20/21
6,200,000
84,949
34,883
50,066
Contracts
to
Sell
Protection
(c)(d)
Single
Name
Air
France-KLM
.
5.00%
Quarterly
BOFA
6/20/26
600,000
EUR
29,214
11,782
17,432
NR
Air
France-KLM
.
5.00%
Quarterly
JPHQ
6/20/26
1,420,000
EUR
69,139
24,360
44,779
NR
Air
France-KLM
.
5.00%
Quarterly
MSCO
12/20/25
1,320,000
EUR
63,700
1,390
62,310
NR
American
Airlines
Group,
Inc.
..
5.00%
Quarterly
CITI
12/20/21
1,600,000
34,926
(41,449)
76,375
CCC
American
Airlines
Group,
Inc.
..
5.00%
Quarterly
GSCO
6/20/22
1,000,000
17,045
(8,315)
25,360
CCC
Carnival
Corp.
..
1.00%
Quarterly
CITI
12/20/25
1,600,000
(204,938)
(219,523)
14,585
B-
Macy's
Retail
Holdings
LLC
.
1.00%
Quarterly
JPHQ
12/20/25
1,600,000
(135,437)
(261,480)
126,043
B
Nabors
Industries,
Inc.
.......
1.00%
Quarterly
CITI
12/20/23
6,200,000
(866,351)
(442,878)
(423,473)
CCC-
Nordstrom,
Inc.
.
1.00%
Quarterly
BNDP
6/20/26
3,300,000
(208,150)
(209,694)
1,544
BB+
Nordstrom,
Inc.
.
1.00%
Quarterly
JPHQ
6/20/26
3,300,000
(208,150)
(160,915)
(47,235)
BB+
Royal
Caribbean
Cruises
Ltd.
..
5.00%
Quarterly
BZWS
12/20/25
1,600,000
82,061
(41,814)
123,875
B
United
Airlines
Holdings,
Inc.
.
5.00%
Quarterly
FBCO
12/20/25
131,000
6,866
6,866
B
Traded
Index
(e)
Citibank
Bespoke
Franklin,
Equity
Tranche
0-5%
—%
Quarterly
CITI
12/20/22
2,500,000
(604,703)
(479,041)
(125,662)
Non-
Investment
Grade
(e)
Citibank
Bespoke
Palm
Beach
Index,
Mezzanine
Tranche
5-10%
1.97%
Quarterly
CITI
12/20/22
7,400,000
22,319
22,319
Non-
Investment
Grade
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
48
*Posting
of
collateral
is
required
by
either
the
Fund
or
the
applicable
counterparty
if
the
total
net
exposure
of
all
OTC
derivatives
with
the
applicable
counterparty
exceeds
the
minimum
transfer
amount,
which
typically
ranges
from
$100,000
to
$250,000,
and
can
vary
depending
on
the
counterparty
and
the
type
of
the
agreement.
The
table below
summarizes
the
cash
and/or
securities
held
as
collateral
for
each
applicable
counterparty
at
period
end.
Credit
Default
Swap
Contracts
(continued)
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
OTC
Swap
Contracts
(continued)
Contracts
to
Sell
Protection
(c)(d)
(continued)
Traded
Index
(continued)
(e)
Citibank
Bespoke
Palm
Beach
Index,
Mezzanine
Tranche
5-10%
2.42%
Quarterly
CITI
12/20/22
5,600,000
$
10,991
$
$
10,991
Non-
Investment
Grade
(e)
Citibank
Bespoke
Phoenix
Index,
Mezzanine
Tranche
5-7%
2.90%
Quarterly
CITI
12/20/21
3,500,000
42,626
42,626
Non-
Investment
Grade
MCDX.
NA.MAIN.31
.
1.00%
Quarterly
CITI
12/20/23
12,200,000
154,514
60,014
94,500
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
0-5%
—%
Quarterly
MSCO
12/20/21
8,501,071
1,683,335
1,174,517
508,818
Non-
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
4.10%
Quarterly
MSCO
12/20/21
3,700,000
3,516
3,516
Non-
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
3.98%
Quarterly
MSCO
12/20/21
3,700,000
1,277
1,277
Non-
Investment
Grade
Total
OTC
Swap
Contracts
..............................................
$(385,808)
$(883,059)
$497,251
Total
Credit
Default
Swap
Contracts
....................................
$(24,251)
$
(591,601)
$567,350
Counterparty
Collateral
Pledged
(Received)
CITI
$6,960,000
DBAB
(116,680)
FBCO
30,000
JPHQ
90,000
MSCO
(1,620,000)
Total
collateral
$5,343,320
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
49
At
July
31,
2021,
the
Fund
had
the
following cross-currency
swap
contracts outstanding.
See
Note
3
At
July
31,
2021,
the
Fund
had
the
following inflation index
swap
contracts outstanding.
See
Note
3
See
A
bbreviations
on
page
104
.
(a)
In
U.S.
dollars
unless
otherwise
indicated.
For
contracts
to
sell
protection,
the
notional
amount
is
equal
to
the
maximum
potential
amount
of
the
future
payments
and
no
recourse
provisions
have
been
entered
into
in
association
with
the
contracts.
(b)
Based
on
Standard
and
Poor's
(S&P)
Rating
for
single
name
swaps
and
internal
ratings
for
index
swaps.
Internal
ratings
based
on
mapping
into
equivalent
ratings
from
external
vendors.
(c)
Performance
triggers
for
settlement
of
contract
include
default,
bankruptcy
or
restructuring
for
single
name
swaps,
and
failure
to
pay
or
bankruptcy
of
the
underlying
securities
for
traded
index
swaps.
(d)
The
fund
enters
contracts
to
sell
protection
to
create
a
long
credit
position.
(e)
Represents
a
custom
index
comprised
of
a
basket
of
underlying
instruments.
Cross-Currency
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value/
Unrealized
Appreciation
(Depreciation)
aA
aaa
aaa
aaa
OTC
Swap
Contracts
Receive
Floating
3-month
USD
LIBOR
+
1.175%
.....
Quarterly
25,083,500
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
11/22/21
22,700,000
EUR
$
(1,808,010)
Receive
Floating
3-month
USD
LIBOR
+
1.175%
.....
Quarterly
4,862,000
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
11/22/21
4,400,000
EUR
(350,451)
Receive
Floating
3-month
USD
LIBOR
+
1.174%
.....
Quarterly
30,525,000
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
12/10/21
27,500,000
EUR
(2,066,745)
Receive
Floating
3-month
USD
LIBOR
+
1.318%
.....
Quarterly
13,930,500
USD
Pay
Floating
3-month
EURIBOR
+
1.2%
..........
Quarterly
CITI
12/12/21
12,550,000
EUR
(946,282)
Receive
Floating
3-month
USD
LIBOR
+
0.938%
.....
Quarterly
23,823,800
USD
Pay
Floating
3-month
EURIBOR
+
0.88%
.........
Quarterly
CITI
6/29/22
20,020,000
EUR
88,018
Receive
Floating
3-month
USD
LIBOR
+
0.849%
.....
Quarterly
3,472,000
USD
Pay
Fixed
0.75%
............................
Annual
DBAB
9/14/22
2,800,000
EUR
115,162
Total
Cross
Currency
Swap
Contracts
...........................................................
$(4,968,308)
Inflation
Index
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Centrally
Cleared
Swap
Contracts
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
2.079%
.....
At
Maturity
9/18/24
$
1,770,000
$
75,418
$
$
75,418
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
1.893%
.....
At
Maturity
1/15/27
28,100,000
1,852,445
1,852,445
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
2.313%
.....
At
Maturity
6/01/28
1,400,000
39,018
39,018
Total
Inflation
Index
Swap
Contracts
..................................
$1,966,881
$—
$1,966,881
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Managed
Income
Fund
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
50
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
45.3%
Aerospace
&
Defense
2.6%
Lockheed
Martin
Corp.
.................................
United
States
75,000
$
27,875,250
Northrop
Grumman
Corp.
...............................
United
States
42,900
15,573,558
Raytheon
Technologies
Corp.
............................
United
States
751,972
65,383,965
108,832,773
Air
Freight
&
Logistics
0.8%
United
Parcel
Service,
Inc.,
B
............................
United
States
175,000
33,488,000
Banks
5.3%
Bank
of
America
Corp.
.................................
United
States
2,000,000
76,720,000
Citigroup,
Inc.
........................................
United
States
350,000
23,667,000
JPMorgan
Chase
&
Co.
.................................
United
States
350,000
53,123,000
Truist
Financial
Corp.
..................................
United
States
700,100
38,106,443
US
Bancorp
.........................................
United
States
500,000
27,770,000
219,386,443
Beverages
2.4%
Coca-Cola
Co.
(The)
...................................
United
States
785,000
44,768,550
PepsiCo,
Inc.
........................................
United
States
350,000
54,932,500
99,701,050
Biotechnology
1.3%
AbbVie,
Inc.
.........................................
United
States
475,000
55,242,500
Capital
Markets
0.8%
Morgan
Stanley
.......................................
United
States
350,000
33,593,000
Chemicals
1.0%
Air
Products
and
Chemicals,
Inc.
..........................
United
States
50,000
14,551,500
Huntsman
Corp.
......................................
United
States
1,000,000
26,410,000
40,961,500
Diversified
Telecommunication
Services
3.0%
AT&T,
Inc.
...........................................
United
States
700,000
19,635,000
BCE,
Inc.
...........................................
Canada
450,000
22,453,125
Deutsche
Telekom
AG
..................................
Germany
1,200,000
24,906,058
Verizon
Communications,
Inc.
............................
United
States
1,000,000
55,780,000
122,774,183
Electric
Utilities
2.8%
American
Electric
Power
Co.,
Inc.
.........................
United
States
125,000
11,015,000
Duke
Energy
Corp.
....................................
United
States
450,000
47,299,500
Edison
International
...................................
United
States
500,000
27,250,000
FirstEnergy
Corp.
.....................................
United
States
500,000
19,160,000
Southern
Co.
(The)
....................................
United
States
175,000
11,177,250
115,901,750
Food
Products
0.8%
Nestle
SA
...........................................
Switzerland
250,000
31,723,750
Health
Care
Providers
&
Services
2.4%
CVS
Health
Corp.
.....................................
United
States
520,000
42,827,200
Quest
Diagnostics,
Inc.
.................................
United
States
400,000
56,720,000
99,547,200
Household
Products
2.0%
Procter
&
Gamble
Co.
(The)
.............................
United
States
600,000
85,338,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
51
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Industrial
Conglomerates
1.7%
Honeywell
International,
Inc.
.............................
United
States
300,000
$
70,137,000
Insurance
0.4%
Travelers
Cos.,
Inc.
(The)
...............................
United
States
100,000
14,892,000
IT
Services
1.5%
Fidelity
National
Information
Services,
Inc.
...................
United
States
222,014
33,091,187
International
Business
Machines
Corp.
.....................
United
States
200,000
28,192,000
61,283,187
Multiline
Retail
0.6%
Target
Corp.
.........................................
United
States
100,000
26,105,000
Multi-Utilities
2.9%
Dominion
Energy,
Inc.
..................................
United
States
500,000
37,435,000
DTE
Energy
Co.
......................................
United
States
200,000
23,464,000
Sempra
Energy
.......................................
United
States
448,060
58,539,039
119,438,039
Oil,
Gas
&
Consumable
Fuels
3.1%
BP
plc,
ADR
.........................................
United
Kingdom
500,000
12,090,000
Chevron
Corp.
.......................................
United
States
450,000
45,814,500
a
DT
Midstream,
Inc.
....................................
United
States
100,000
4,240,000
Exxon
Mobil
Corp.
.....................................
United
States
700,000
40,299,000
Royal
Dutch
Shell
plc,
ADR,
A
............................
Netherlands
230,000
9,342,600
TotalEnergies
SE,
ADR
.................................
France
400,000
17,452,000
129,238,100
Personal
Products
0.5%
Unilever
plc
..........................................
United
Kingdom
400,000
23,017,302
Pharmaceuticals
4.4%
AstraZeneca
plc,
ADR
..................................
United
Kingdom
550,000
31,482,000
Bristol-Myers
Squibb
Co.
................................
United
States
600,000
40,722,000
Eli
Lilly
&
Co.
........................................
United
States
90,000
21,915,000
Johnson
&
Johnson
...................................
United
States
250,000
43,050,000
Merck
&
Co.,
Inc.
.....................................
United
States
600,000
46,122,000
a
Organon
&
Co.
.......................................
United
States
60,000
1,740,600
185,031,600
Road
&
Rail
1.1%
Union
Pacific
Corp.
....................................
United
States
205,000
44,845,800
Semiconductors
&
Semiconductor
Equipment
2.4%
Texas
Instruments,
Inc.
.................................
United
States
517,361
98,619,354
Specialty
Retail
1.2%
Home
Depot,
Inc.
(The)
.................................
United
States
150,000
49,228,500
Tobacco
0.3%
Philip
Morris
International,
Inc.
...........................
United
States
129,700
12,981,673
Total
Common
Stocks
(Cost
$1,447,562,592)
....................................
1,881,307,704
Management
Investment
Companies
2.3%
Capital
Markets
2.3%
b
Franklin
FTSE
United
Kingdom
ETF
.......................
United
States
1,250,000
31,175,000
b,c
Franklin
Liberty
Systematic
Style
Premia
ETF
................
United
States
1,175,000
24,087,500
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
52
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Management
Investment
Companies
(continued)
Capital
Markets
(continued)
b
Franklin
Liberty
U.S.
Low
Volatility
ETF
.....................
United
States
860,000
$
41,598,200
96,860,700
Total
Management
Investment
Companies
(Cost
$89,273,888)
....................
96,860,700
Equity-Linked
Securities
13.4%
Banks
0.8%
d,e
Citigroup
Global
Markets
Holdings,
Inc.
into
JPMorgan
Chase
&
Co.,
144A,
8%,
8/15/22
...................................
United
States
230,000
34,793,224
Capital
Markets
0.4%
d
UBS
AG
into
Morgan
Stanley,
144A,
8.5%,
2/11/22
............
United
States
220,000
18,393,175
Chemicals
0.6%
d
National
Bank
of
Canada
into
Air
Products
and
Chemicals,
Inc.,
144A,
8.5%,
4/13/22
.................................
United
States
86,000
24,831,676
Communications
Equipment
1.4%
d
Royal
Bank
of
Canada
into
Cisco
Systems,
Inc.,
144A,
7.5%,
8/04/21
United
States
1,077,000
57,690,940
Energy
Equipment
&
Services
0.6%
d
Royal
Bank
of
Canada
into
Schlumberger
NV,
144A,
10%,
3/01/22
United
States
850,000
24,209,426
Media
0.9%
d
Merrill
Lynch
International
&
Co.
CV
into
Comcast
Corp.,
144A,
7%,
8/09/21
...........................................
United
States
744,000
36,030,435
Multiline
Retail
0.8%
d
Societe
Generale
SA
into
Target
Corp.,
144A,
8%,
12/20/21
......
United
States
168,000
33,534,067
Oil,
Gas
&
Consumable
Fuels
0.8%
d,e
UBS
AG
into
Chevron
Corp.,
144A,
10%,
8/16/22
.............
United
States
310,000
31,413,263
Pharmaceuticals
1.5%
d
Credit
Suisse
AG
into
Pfizer,
Inc.,
144A,
8%,
8/27/21
...........
United
States
1,493,000
63,172,701
Semiconductors
&
Semiconductor
Equipment
3.3%
d
Barclays
Bank
plc
into
Intel
Corp.,
144A,
8%,
8/16/21
..........
United
States
1,054,000
56,473,376
d
National
Bank
of
Canada
into
Microchip
Technology,
Inc.,
144A,
6.5%,
6/01/22
......................................
United
States
284,200
40,978,337
d
Royal
Bank
of
Canada
into
Analog
Devices,
Inc.,
144A,
8%,
2/01/22
United
States
246,000
40,608,379
138,060,092
Software
0.8%
d
Merrill
Lynch
International
&
Co.
CV
into
Oracle
Corp.,
144A,
8%,
11/08/21
..........................................
United
States
470,000
30,942,635
Technology
Hardware,
Storage
&
Peripherals
0.5%
d
BNP
Paribas
Issuance
BV
into
Apple,
Inc.,
144A,
10%,
12/22/21
..
United
States
164,000
22,420,006
Trading
Companies
&
Distributors
1.0%
d
JPMorgan
Chase
Bank
NA
into
Fastenal
Co.,
144A,
7.5%,
12/03/21
United
States
770,000
40,670,408
Total
Equity-Linked
Securities
(Cost
$528,539,471)
..............................
556,162,048
Convertible
Preferred
Stocks
10.4%
Capital
Markets
0.4%
KKR
&
Co.,
Inc.,
6%,
C
.................................
United
States
200,000
16,608,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
53
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Convertible
Preferred
Stocks
(continued)
Chemicals
0.6%
International
Flavors
&
Fragrances,
Inc.,
6%
.................
United
States
500,000
$
25,470,000
Electric
Utilities
3.9%
American
Electric
Power
Co.,
Inc.,
6.125%
..................
United
States
700,000
35,189,000
American
Electric
Power
Co.,
Inc.,
6.125%
..................
United
States
64,500
3,423,015
NextEra
Energy,
Inc.,
5.279%
............................
United
States
1,200,000
61,608,000
Southern
Co.
(The),
6.75%,
2019
.........................
United
States
1,150,000
59,627,500
159,847,515
Health
Care
Equipment
&
Supplies
1.9%
Boston
Scientific
Corp.,
5.5%,
A
..........................
United
States
250,000
30,715,000
c
Danaher
Corp.,
5%,
B
..................................
United
States
30,000
48,078,300
78,793,300
Health
Care
Technology
0.4%
Change
Healthcare,
Inc.,
6%
.............................
United
States
250,000
18,172,500
Multi-Utilities
2.0%
Dominion
Energy,
Inc.,
7.25%,
A
..........................
United
States
450,000
44,878,500
DTE
Energy
Co.,
6.25%
................................
United
States
750,000
38,475,000
83,353,500
Semiconductors
&
Semiconductor
Equipment
1.2%
Broadcom,
Inc.,
8%,
A
..................................
United
States
32,000
49,418,880
Total
Convertible
Preferred
Stocks
(Cost
$352,794,346)
..........................
431,663,695
Principal
Amount
*
Corporate
Bonds
21.6%
Automobiles
0.3%
General
Motors
Co.
,
Senior
Note
,
5.4
%
,
10/02/23
.............
United
States
10,000,000
10,972,807
Banks
1.6%
Bank
of
America
Corp.
,
Senior
Bond,
3.419%
to
12/20/27,
FRN
thereafter,
12/20/28
...
United
States
15,000,000
16,492,825
L,
Sub.
Bond,
4.183%,
11/25/27
........................
United
States
10,000,000
11,275,655
Barclays
plc
,
Senior
Bond
,
3.65
%
,
3/16/25
..................
United
Kingdom
15,000,000
16,314,030
Citigroup,
Inc.
,
Sub.
Bond
,
4.125
%
,
7/25/28
..................
United
States
20,000,000
22,727,779
66,810,289
Capital
Markets
0.8%
Goldman
Sachs
Group,
Inc.
(The)
,
Senior
Bond
,
3.5
%
,
11/16/26
..
United
States
15,000,000
16,395,251
Morgan
Stanley
,
Sub.
Bond
,
4.35
%
,
9/08/26
.................
United
States
15,000,000
17,096,286
33,491,537
Chemicals
0.6%
DuPont
de
Nemours,
Inc.
,
Senior
Note
,
4.493
%
,
11/15/25
.......
United
States
20,000,000
22,775,201
Communications
Equipment
0.4%
d
CommScope
Technologies
LLC
,
Senior
Bond
,
144A,
5
%
,
3/15/27
.
United
States
15,000,000
15,195,750
Consumer
Finance
1.2%
Capital
One
Financial
Corp.
,
Senior
Bond,
3.75%,
3/09/27
...........................
United
States
10,000,000
11,223,723
Sub.
Bond,
3.75%,
7/28/26
............................
United
States
10,000,000
11,083,183
Ford
Motor
Credit
Co.
LLC
,
Senior
Bond
,
5.113
%
,
5/03/29
.......
United
States
25,000,000
28,341,125
50,648,031
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
54
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Containers
&
Packaging
0.2%
d
Ardagh
Metal
Packaging
Finance
USA
LLC
/
Ardagh
Metal
Packaging
Finance
plc
,
Senior
Note
,
144A,
4
%
,
9/01/29
.......
United
States
10,000,000
$
10,037,500
Diversified
Telecommunication
Services
0.6%
d
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp.
,
Senior
Bond
,
144A,
5.125
%
,
5/01/27
................................
United
States
15,000,000
15,712,500
Verizon
Communications,
Inc.
,
Senior
Bond
,
2.55
%
,
3/21/31
.....
United
States
10,000,000
10,405,527
26,118,027
Electric
Utilities
0.5%
d
Vistra
Operations
Co.
LLC
,
Senior
Secured
Bond
,
144A,
4.3
%
,
7/15/29
...........................................
United
States
20,000,000
21,905,387
Equity
Real
Estate
Investment
Trusts
(REITs)
0.4%
American
Tower
Corp.
,
Senior
Bond
,
3.375
%
,
10/15/26
.........
United
States
15,000,000
16,421,326
Food
&
Staples
Retailing
0.5%
Walmart,
Inc.
,
Senior
Bond
,
3.25
%
,
7/08/29
..................
United
States
20,000,000
22,642,220
Food
Products
0.4%
d
Post
Holdings,
Inc.
,
Senior
Bond
,
144A,
4.5
%
,
9/15/31
.........
United
States
15,000,000
15,199,350
Health
Care
Equipment
&
Supplies
0.3%
Edwards
Lifesciences
Corp.
,
Senior
Bond
,
4.3
%
,
6/15/28
.......
United
States
9,700,000
11,337,323
Health
Care
Providers
&
Services
3.6%
d
CHS/Community
Health
Systems,
Inc.
,
Secured
Note,
144A,
6.875%,
4/15/29
....................
United
States
20,000,000
21,116,800
Secured
Note,
144A,
6.125%,
4/01/30
....................
United
States
15,000,000
15,215,625
Senior
Secured
Note,
144A,
6.625%,
2/15/25
..............
United
States
25,000,000
26,246,000
Senior
Secured
Note,
144A,
8%,
3/15/26
..................
United
States
25,000,000
26,834,250
Cigna
Corp.
,
Senior
Note,
3.75%,
7/15/23
...........................
United
States
7,216,000
7,666,842
Senior
Note,
3.4%,
3/01/27
............................
United
States
15,000,000
16,619,732
CVS
Health
Corp.
,
Senior
Bond
,
3.875
%
,
7/20/25
.............
United
States
15,000,000
16,610,767
Tenet
Healthcare
Corp.
,
Senior
Secured
Note
,
4.625
%
,
7/15/24
...
United
States
17,000,000
17,254,745
147,564,761
Hotels,
Restaurants
&
Leisure
0.5%
Las
Vegas
Sands
Corp.
,
Senior
Bond
,
3.9
%
,
8/08/29
...........
United
States
10,000,000
10,655,309
d
Wynn
Las
Vegas
LLC
/
Wynn
Las
Vegas
Capital
Corp.
,
Senior
Bond
,
144A,
5.5
%
,
3/01/25
.................................
United
States
10,000,000
10,587,500
21,242,809
Household
Products
0.1%
d
Kimberly-Clark
de
Mexico
SAB
de
CV
,
Senior
Bond
,
144A,
2.431
%
,
7/01/31
...........................................
Mexico
5,000,000
5,046,675
Insurance
0.4%
d
Liberty
Mutual
Group,
Inc.
,
Senior
Note
,
144A,
4.95
%
,
5/01/22
...
United
States
7,100,000
7,337,524
Prudential
Financial,
Inc.
,
Junior
Sub.
Bond
,
3.7%
to
10/01/30,
FRN
thereafter
,
10/01/50
..................................
United
States
10,000,000
10,593,954
17,931,478
Interactive
Media
&
Services
0.2%
d
Tencent
Holdings
Ltd.
,
Senior
Bond
,
144A,
2.39
%
,
6/03/30
......
China
10,000,000
10,069,249
IT
Services
0.6%
Fiserv,
Inc.
,
Senior
Bond
,
4.2
%
,
10/01/28
...................
United
States
20,000,000
23,214,502
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
55
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Machinery
0.2%
CNH
Industrial
NV
,
Senior
Bond
,
3.85
%
,
11/15/27
.............
United
Kingdom
7,500,000
$
8,421,740
Media
0.3%
DISH
DBS
Corp.
,
Senior
Note
,
5.875
%
,
7/15/22
..............
United
States
12,000,000
12,435,000
Metals
&
Mining
0.6%
d
Cleveland-Cliffs,
Inc.
,
Senior
Secured
Note
,
144A,
9.875
%
,
10/17/25
United
States
6,620,000
7,745,400
d
FMG
Resources
August
2006
Pty.
Ltd.
,
Senior
Bond
,
144A,
4.375
%
,
4/01/31
...........................................
Australia
15,000,000
16,331,775
24,077,175
Oil,
Gas
&
Consumable
Fuels
0.7%
d
Calumet
Specialty
Products
Partners
LP
/
Calumet
Finance
Corp.
,
Senior
Note
,
144A,
11
%
,
4/15/25
........................
United
States
15,000,000
16,605,000
Occidental
Petroleum
Corp.
,
Senior
Note
,
6.375
%
,
9/01/28
......
United
States
10,000,000
11,685,600
28,290,600
Paper
&
Forest
Products
0.4%
Suzano
Austria
GmbH
,
Senior
Bond
,
3.125
%
,
1/15/32
..........
Brazil
15,000,000
14,883,750
Pharmaceuticals
3.0%
d
Bausch
Health
Cos.,
Inc.
,
Senior
Note,
144A,
5%,
2/15/29
........................
United
States
10,000,000
9,462,900
Senior
Secured
Note,
144A,
5.5%,
11/01/25
...............
United
States
10,000,000
10,225,450
d
Bayer
US
Finance
II
LLC
,
Senior
Note
,
144A,
4.25
%
,
12/15/25
...
Germany
15,000,000
16,775,644
Bristol-Myers
Squibb
Co.
,
Senior
Note
,
3.4
%
,
7/26/29
..........
United
States
10,000,000
11,337,717
d
Endo
Luxembourg
Finance
Co.
I
SARL
/
Endo
US,
Inc.
,
Senior
Secured
Note
,
144A,
6.125
%
,
4/01/29
....................
United
States
15,000,000
14,928,675
d
Jazz
Securities
DAC
,
Senior
Secured
Note
,
144A,
4.375
%
,
1/15/29
United
States
25,000,000
26,091,000
Mylan,
Inc.
,
Senior
Note
,
4.55
%
,
4/15/28
....................
United
States
19,000,000
22,078,217
d
Organon
&
Co.
/
Organon
Foreign
Debt
Co-Issuer
BV
,
Senior
Secured
Note
,
144A,
4.125
%
,
4/30/28
....................
United
States
15,000,000
15,400,725
126,300,328
Road
&
Rail
0.5%
d
Ashtead
Capital,
Inc.
,
Senior
Note
,
144A,
4.125
%
,
8/15/25
......
United
Kingdom
21,000,000
21,472,500
Semiconductors
&
Semiconductor
Equipment
0.4%
Microchip
Technology,
Inc.
,
Senior
Secured
Note
,
4.333
%
,
6/01/23
United
States
15,000,000
15,952,665
Tobacco
1.2%
Altria
Group,
Inc.
,
Senior
Bond
,
2.45
%
,
2/04/32
...............
United
States
15,000,000
14,782,278
BAT
Capital
Corp.
,
Senior
Note
,
3.557
%
,
8/15/27
.............
United
Kingdom
15,000,000
16,248,632
Reynolds
American,
Inc.
,
Senior
Bond
,
4.45
%
,
6/12/25
.........
United
Kingdom
15,000,000
16,684,306
47,715,216
Wireless
Telecommunication
Services
1.1%
Sprint
Corp.
,
Senior
Note
,
7.625
%
,
2/15/25
..................
United
States
10,000,000
11,801,050
d
Sprint
Spectrum
Co.
LLC
/
Sprint
Spectrum
Co.
II
LLC
/
Sprint
Spectrum
Co.
III
LLC
,
Senior
Secured
Note
,
144A,
4.738
%
,
9/20/29
...........................................
United
States
7,031,250
7,539,152
T-Mobile
USA,
Inc.
,
Senior
Secured
Note
,
3.875
%
,
4/15/30
......
United
States
25,000,000
28,313,000
47,653,202
Total
Corporate
Bonds
(Cost
$821,814,169)
.....................................
895,826,398
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
56
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
U.S.
Government
and
Agency
Securities
3.1%
U.S.
Treasury
Notes
,
2.75%,
9/15/21
.....................................
United
States
25,000,000
$
25,080,777
2.875%,
10/31/23
....................................
United
States
50,000,000
52,976,563
0.5%,
3/31/25
......................................
United
States
50,000,000
50,035,156
Total
U.S.
Government
and
Agency
Securities
(Cost
$124,851,234)
................
128,092,496
Asset-Backed
Securities
0.5%
Airlines
0.5%
United
Airlines
Pass-Through
Trust
,
2020-1,
A,
5.875%,
10/15/27
...........................
United
States
9,274,750
10,336,696
2020-1,
B,
4.875%,
7/15/27
............................
United
States
11,211,000
11,780,090
22,116,786
a
a
a
a
a
a
Total
Asset-Backed
Securities
(Cost
$20,485,750)
...............................
22,116,786
Mortgage-Backed
Securities
0.8%
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
0.1%
FNMA,
30
Year,
4%,
8/01/49
.............................
United
States
1,755,781
1,915,908
Government
National
Mortgage
Association
(GNMA)
Fixed
Rate
0.7%
GNMA
II,
Single-family,
30
Year,
3%,
1/20/51
.................
United
States
29,138,633
30,513,489
Total
Mortgage-Backed
Securities
(Cost
$32,942,756)
............................
32,429,397
Total
Long
Term
Investments
(Cost
$3,418,264,206)
.............................
4,044,459,224
a
Number
of
Contracts
Notional
Amount
#
a
a
aa
Options
Purchased
0.5%
Puts
-
Exchange-Traded
Equity
Options
Raytheon
Technologies
Corp.,
November
Strike
Price
$80.00,
Expires
11/19/21
....................................
2,000
14,659,024
504,000
SPDR
S&P
500
ETF
Trust,
October
Strike
Price
$440.00,
Expires
10/15/21
..........................................
15,000
657,765,000
19,800,000
Texas
Instruments,
Inc.,
January
Strike
Price
$175.00,
Expires
1/21/22
...........................................
3,000
57,186,000
2,250,000
22,554,000
Total
Options
Purchased
(Cost
$21,900,774)
....................................
22,554,000
Short
Term
Investments
4.2%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
3.3%
b,f
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
135,333,677
135,333,677
Total
Money
Market
Funds
(Cost
$135,333,677)
.................................
135,333,677
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
57
Short
Term
Investments
(continued)
a
a
Country
Shares
a
Value
a
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.9%
a
a
a
a
a
Money
Market
Funds
0.7%
b,f
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
29,920,000
$
29,920,000
Principal
Amount
*
Repurchase
Agreements
0.2%
g
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$7,480,061)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$7,629,636)
........................................
7,480,030
7,480,030
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$37,400,030)
...........................................................
37,400,030
Total
Short
Term
Investments
(Cost
$172,733,707
)
...............................
172,733,707
a
Total
Investments
(Cost
$3,612,898,687)
102.1%
................................
$4,239,746,931
Options
Written
(0.3)%
.......................................................
(14,192,250)
Other
Assets,
less
Liabilities
(1.8)%
...........................................
(74,553,348)
Net
Assets
100.0%
...........................................................
$4,151,001,333
Number
of
Contracts
Notional
Amount
#
Options
Written
(0.3)%
Calls
-
Exchange-Traded
Equity
Options
AbbVie,
Inc.,
January
Strike
Price
$135.00,
Expires
1/21/22
......
4,750
46,567,059
(593,750)
Air
Products
and
Chemicals,
Inc.,
January
Strike
Price
$320.00,
Expires
1/21/22
.....................................
500
14,551,500
(235,000)
American
Electric
Power
Co.,
Inc.,
January
Strike
Price
$95.00,
Expires
1/21/22
.....................................
1,250
11,015,000
(201,250)
AT&T,
Inc.,
September
Strike
Price
$30.00,
Expires
9/17/21
......
7,000
19,635,000
(91,000)
Bank
of
America
Corp.,
January
Strike
Price
$45.00,
Expires
1/21/22
20,000
76,720,000
(1,300,000)
BP
plc,
January
Strike
Price
$30.00,
Expires
1/21/22
...........
5,000
12,090,000
(260,000)
Bristol-Myers
Squibb
Co.,
January
Strike
Price
$80.00,
Expires
1/21/22
...........................................
6,000
40,722,000
(276,000)
Citigroup,
Inc.,
January
Strike
Price
$82.50,
Expires
1/21/22
.....
3,500
23,667,000
(332,500)
Coca-Cola
Co.
(The),
January
Strike
Price
$65.00,
Expires
1/21/22
5,000
28,515,000
(175,000)
CVS
Health
Corp.,
January
Strike
Price
$100.00,
Expires
1/21/22
.
5,000
41,180,000
(335,000)
Eli
Lilly
&
Co.,
September
Strike
Price
$250.00,
Expires
9/17/21
..
900
21,915,000
(622,800)
Fidelity
National
Information
Services,
Inc.,
September
Strike
Price
$150.00,
Expires
9/17/21
..............................
2,220
33,089,100
(1,021,200)
Home
Depot,
Inc.
(The),
September
Strike
Price
$340.00,
Expires
9/17/21
...........................................
750
24,614,250
(362,250)
Home
Depot,
Inc.
(The),
January
Strike
Price
$360.00,
Expires
1/21/22
...........................................
750
24,614,250
(577,500)
Honeywell
International,
Inc.,
September
Strike
Price
$230.00,
Expires
9/17/21
.....................................
1,000
23,379,000
(850,000)
International
Business
Machines
Corp.,
October
Strike
Price
$150.00,
Expires
10/15/21
.............................
1,000
14,096,000
(128,000)
Procter
&
Gamble
Co.
(The),
January
Strike
Price
$160.00,
Expires
1/21/22
...........................................
3,000
42,669,000
(405,000)
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
58
See
Abbreviations
on
page
104
.
a
a
a
Number
of
Contracts
Notional
Amount
#
a
Value
a
a
a
a
a
a
Options
Written
(continued)
Calls
-
Exchange-Traded
(continued)
Equity
Options
(continued)
Quest
Diagnostics,
Inc.,
August
Strike
Price
$140.00,
Expires
8/20/21
...........................................
2,000
23,906,259
$
(672,000)
Union
Pacific
Corp.,
August
Strike
Price
$240.00,
Expires
8/20/21
.
1,000
21,876,000
(9,000)
United
Parcel
Service,
Inc.,
September
Strike
Price
$230.00,
Expires
9/17/21
...........................................
750
14,352,000
(15,000)
(8,462,250)
Puts
-
Exchange-Traded
Equity
Options
SPDR
S&P
500
ETF
Trust,
October
Strike
Price
$390.00,
Expires
10/15/21
..........................................
15,000
657,765,000
(5,730,000)
(5,730,000)
Total
Options
Written
(Premiums
received
$13,322,977)
..........................
$
(14,192,250)
#
Notional
amount
is
the
number
of
units
specified
in
the
contract,
and
can
include
currency
units,
bushels,
shares,
pounds,
barrels
or
other
units.
Currency
units
are
stated
in
U.S.
dollars
unless
otherwise
indicated.
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
a
Non-income
producing.
b
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
c
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
d
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$919,244,379,
representing
22.1%
of
net
assets.
e
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
f
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
g
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Total
Return
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
59
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
0.0%
Energy
Equipment
&
Services
0.0%
a,b
Valaris
Ltd.
..........................................
United
States
2,435
$
65,988
a
Weatherford
International
plc
.............................
United
States
34,108
594,844
660,832
Multiline
Retail
0.0%
a,c,d
K2016470219
South
Africa
Ltd.,
A
.........................
South
Africa
28,762,824
a,c,d
K2016470219
South
Africa
Ltd.,
B
.........................
South
Africa
2,862,311
Oil,
Gas
&
Consumable
Fuels
0.0%
a,c
Riviera
Resources,
Inc.
.................................
United
States
12,605
3,256
Total
Common
Stocks
(Cost
$1,219,500)
.......................................
664,088
Management
Investment
Companies
18.0%
Capital
Markets
18.0%
e
Franklin
Floating
Rate
Income
Fund
.......................
United
States
24,116,234
190,759,408
b,e
Franklin
Liberty
High
Yield
Corporate
ETF
...................
United
States
5,830,000
154,699,050
e
Franklin
Liberty
Investment
Grade
Corporate
ETF
.............
United
States
18,335,000
485,144,100
e
Franklin
Liberty
Senior
Loan
ETF
.........................
United
States
1,737,400
43,229,292
b
Invesco
Senior
Loan
ETF
...............................
United
States
3,570,000
78,647,100
952,478,950
Total
Management
Investment
Companies
(Cost
$926,022,133)
...................
952,478,950
Preferred
Stocks
0.1%
Banks
0.1%
Citigroup
Capital
XIII,
6.499%
............................
United
States
93,000
2,577,960
Total
Preferred
Stocks
(Cost
$2,325,000)
.......................................
2,577,960
Warrants
Warrants
0.0%
Oil,
Gas
&
Consumable
Fuels
0.0%
a,c
Battalion
Oil
Corp.,
A,
10/08/22
...........................
United
States
2,551
603
a,c
Battalion
Oil
Corp.,
B,
10/08/22
...........................
United
States
3,189
416
a,c
Battalion
Oil
Corp.,
C,
10/08/22
...........................
United
States
4,100
240
1,259
Paper
&
Forest
Products
0.0%
a
Verso
Corp.,
7/25/23
...................................
United
States
732
2,855
Total
Warrants
(Cost
$—)
.....................................................
4,114
Principal
Amount
*
Corporate
Bonds
19.5%
Aerospace
&
Defense
0.3%
Boeing
Co.
(The)
,
Senior
Note
,
2.196
%
,
2/04/26
..............
United
States
9,500,000
9,588,084
Northrop
Grumman
Corp.
,
Senior
Bond
,
5.25
%
,
5/01/50
........
United
States
3,500,000
5,046,181
Teledyne
FLIR
LLC
,
Senior
Note
,
2.5
%
,
8/01/30
..............
United
States
3,000,000
3,094,655
17,728,920
Air
Freight
&
Logistics
0.1%
f
DAE
Funding
LLC
,
Senior
Note
,
144A,
1.55
%
,
8/01/24
.........
United
Arab
Emirates
3,300,000
3,304,175
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
60
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Air
Freight
&
Logistics
(continued)
FedEx
Corp.
,
Senior
Bond
,
4.05
%
,
2/15/48
..................
United
States
2,000,000
$
2,337,737
5,641,912
Airlines
0.6%
f
American
Airlines
Inc
/
AAdvantage
Loyalty
IP
Ltd.
,
Senior
Secured
Note
,
144A,
5.75
%
,
4/20/29
............................
United
States
2,600,000
2,807,818
f
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.
,
Senior
Secured
Note
,
144A,
4.5
%
,
10/20/25
.....................................
United
States
10,500,000
11,293,520
f
Hawaiian
Brand
Intellectual
Property
Ltd.
/
HawaiianMiles
Loyalty
Ltd.
,
Senior
Secured
Note
,
144A,
5.75
%
,
1/20/26
............
United
States
12,200,000
12,803,778
f
United
Airlines,
Inc.
,
Senior
Secured
Note
,
144A,
4.375
%
,
4/15/26
.
United
States
2,200,000
2,266,286
29,171,402
Auto
Components
0.1%
f
Allison
Transmission,
Inc.
,
Senior
Bond
,
144A,
5.875
%
,
6/01/29
..
United
States
2,500,000
2,738,737
Banks
1.8%
f
Akbank
TAS
,
Senior
Bond
,
144A,
5.125
%
,
3/31/25
............
Turkey
5,600,000
5,663,280
Banco
Santander
SA
,
Sub.
Bond
,
2.749
%
,
12/03/30
...........
Spain
3,600,000
3,635,930
Bank
of
America
Corp.
,
Senior
Bond,
2.592%
to
4/29/30,
FRN
thereafter,
4/29/31
.....
United
States
6,700,000
6,951,400
Sub.
Bond,
6.11%,
1/29/37
............................
United
States
2,800,000
3,896,161
Citigroup,
Inc.
,
Senior
Bond,
2.572%
to
6/03/30,
FRN
thereafter,
6/03/31
.....
United
States
10,500,000
10,883,865
Senior
Bond,
4.65%,
7/23/48
...........................
United
States
3,700,000
4,914,553
g
Comerica,
Inc.
,
Junior
Sub.
Bond
,
5.625%
to
10/01/25,
FRN
thereafter
,
Perpetual
.................................
United
States
3,800,000
4,237,000
HSBC
Holdings
plc
,
Senior
Bond,
2.848%
to
6/04/30,
FRN
thereafter,
6/04/31
.....
United
Kingdom
10,600,000
11,184,911
Senior
Bond,
2.357%
to
8/18/30,
FRN
thereafter,
8/18/31
.....
United
Kingdom
3,800,000
3,850,035
Senior
Note,
2.013%
to
9/22/27,
FRN
thereafter,
9/22/28
......
United
Kingdom
3,400,000
3,444,520
JPMorgan
Chase
&
Co.
,
Senior
Bond,
4.493%
to
3/24/30,
FRN
thereafter,
3/24/31
.....
United
States
17,100,000
20,469,954
Sub.
Bond,
4.95%,
6/01/45
............................
United
States
1,600,000
2,151,827
f
Societe
Generale
SA
,
Senior
Note
,
144A,
1.792%
to
6/09/26,
FRN
thereafter
,
6/09/27
...................................
France
7,500,000
7,535,041
f
UniCredit
SpA
,
Senior
Note
,
144A,
1.982%
to
6/03/26,
FRN
thereafter
,
6/03/27
...................................
Italy
7,300,000
7,322,300
96,140,777
Beverages
0.1%
Anheuser-Busch
Cos.
LLC
/
Anheuser-Busch
InBev
Worldwide,
Inc.
,
Senior
Bond,
4.7%,
2/01/36
............................
Belgium
1,800,000
2,241,731
Senior
Bond,
4.9%,
2/01/46
............................
Belgium
3,400,000
4,367,076
6,608,807
Biotechnology
0.7%
AbbVie,
Inc.
,
Senior
Bond,
4.7%,
5/14/45
............................
United
States
3,200,000
4,066,236
Senior
Note,
3.2%,
11/21/29
...........................
United
States
18,000,000
19,781,434
Amgen,
Inc.
,
Senior
Bond
,
2.45
%
,
2/21/30
...................
United
States
10,000,000
10,479,238
Regeneron
Pharmaceuticals,
Inc.
,
Senior
Bond
,
1.75
%
,
9/15/30
..
United
States
1,400,000
1,355,126
35,682,034
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
61
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Capital
Markets
0.2%
Goldman
Sachs
Group,
Inc.
(The)
,
Senior
Bond,
1.992%
to
1/27/31,
FRN
thereafter,
1/27/32
.....
United
States
5,000,000
$
4,932,992
Senior
Bond,
6.25%,
2/01/41
...........................
United
States
2,800,000
4,197,497
9,130,489
Chemicals
0.5%
f
Alpek
SAB
de
CV
,
Senior
Bond
,
144A,
3.25
%
,
2/25/31
.........
Mexico
5,800,000
5,900,775
f
Braskem
Netherlands
Finance
BV
,
Senior
Bond
,
144A,
4.5
%
,
1/31/30
...........................................
Brazil
11,800,000
12,471,538
CF
Industries,
Inc.
,
Senior
Bond
,
5.15
%
,
3/15/34
..............
United
States
1,000,000
1,243,115
Westlake
Chemical
Corp.
,
Senior
Bond
,
3.375
%
,
6/15/30
.......
United
States
3,500,000
3,833,957
f
Yara
International
ASA
,
Senior
Bond
,
144A,
3.148
%
,
6/04/30
.....
Brazil
1,700,000
1,848,374
25,297,759
Commercial
Services
&
Supplies
0.1%
f
APCOA
Parking
Holdings
GmbH
,
Senior
Secured
Note
,
144A,
4.625
%
,
1/15/27
.....................................
Germany
2,300,000
EUR
2,752,001
f
Harsco
Corp.
,
Senior
Note
,
144A,
5.75
%
,
7/31/27
.............
United
States
800,000
832,752
f
Nielsen
Finance
LLC
/
Nielsen
Finance
Co.
,
Senior
Bond
,
144A,
4.75
%
,
7/15/31
.....................................
United
States
3,100,000
3,130,628
6,715,381
Communications
Equipment
0.1%
f
CommScope
Technologies
LLC
,
Senior
Bond
,
144A,
5
%
,
3/15/27
.
United
States
3,000,000
3,039,150
Consumer
Finance
0.1%
Capital
One
Financial
Corp.
,
Senior
Bond
,
3.8
%
,
1/31/28
........
United
States
3,700,000
4,184,214
OneMain
Finance
Corp.
,
Senior
Bond
,
5.375
%
,
11/15/29
........
United
States
2,000,000
2,201,140
6,385,354
Containers
&
Packaging
0.3%
Amcor
Flexibles
North
America,
Inc.
,
Senior
Bond
,
2.63
%
,
6/19/30
United
States
2,800,000
2,921,624
f
Mauser
Packaging
Solutions
Holding
Co.
,
Senior
Note
,
144A,
7.25
%
,
4/15/25
...........................................
United
States
3,000,000
2,934,555
f
Plastipak
Holdings,
Inc.
,
Senior
Note
,
144A,
6.25
%
,
10/15/25
....
United
States
3,000,000
3,071,580
f
Reynolds
Group
Issuer,
Inc.
/
Reynolds
Group
Issuer
LLC
/
Reynolds
Group
Issuer
Luxembourg
SA
,
Senior
Secured
Note
,
144A,
4
%
,
10/15/27
..........................................
United
States
2,300,000
2,300,000
WRKCo
,
Inc.
,
Senior
Bond
,
3
%
,
6/15/33
....................
United
States
4,700,000
5,039,849
16,267,608
Diversified
Financial
Services
0.2%
f
EDP
Finance
BV
,
Senior
Note
,
144A,
1.71
%
,
1/24/28
..........
Portugal
10,500,000
10,477,363
Shell
International
Finance
BV
,
Senior
Bond
,
4.55
%
,
8/12/43
.....
Netherlands
1,700,000
2,160,112
12,637,475
Diversified
Telecommunication
Services
0.4%
f
Altice
France
SA
,
Senior
Secured
Note
,
144A,
5.5
%
,
1/15/28
....
France
3,000,000
3,079,095
AT&T,
Inc.
,
Senior
Bond
,
3.5
%
,
6/01/41
.....................
United
States
8,000,000
8,509,688
f
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp.
,
Senior
Bond
,
144A,
5
%
,
2/01/28
...................................
United
States
1,500,000
1,574,625
Orange
SA
,
Senior
Bond
,
8.75
%
,
3/01/31
...................
France
1,300,000
2,065,727
Verizon
Communications,
Inc.
,
Senior
Bond
,
2.55
%
,
3/21/31
.....
United
States
7,500,000
7,804,145
23,033,280
Electric
Utilities
1.4%
Commonwealth
Edison
Co.
,
Senior
Bond
,
6.45
%
,
1/15/38
.......
United
States
700,000
1,049,547
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
62
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Electric
Utilities
(continued)
Duke
Energy
Corp.
,
Senior
Bond
,
3.75
%
,
9/01/46
.............
United
States
2,000,000
$
2,203,228
Duke
Energy
Florida
LLC
,
Senior
Bond
,
6.4
%
,
6/15/38
.........
United
States
1,300,000
1,955,709
f
Enel
Finance
International
NV
,
Senior
Bond
,
144A,
6.8
%
,
9/15/37
.
Italy
3,000,000
4,544,377
Exelon
Corp.
,
Senior
Bond
,
4.05
%
,
4/15/30
..................
United
States
16,900,000
19,547,708
Georgia
Power
Co.
,
Senior
Bond
,
4.3
%
,
3/15/42
..............
United
States
9,000,000
10,791,800
Southern
Co.
(The)
,
Senior
Bond,
4.4%,
7/01/46
............................
United
States
2,000,000
2,415,845
A,
Senior
Bond,
3.7%,
4/30/30
.........................
United
States
13,900,000
15,662,052
f
State
Grid
Overseas
Investment
2016
Ltd.
,
Senior
Bond
,
144A,
3.5
%
,
5/04/27
......................................
China
10,700,000
11,908,454
Virginia
Electric
and
Power
Co.
,
Senior
Bond
,
6.35
%
,
11/30/37
...
United
States
520,000
770,111
f
Vistra
Operations
Co.
LLC
,
Senior
Note
,
144A,
4.375
%
,
5/01/29
..
United
States
3,100,000
3,184,754
74,033,585
Electronic
Equipment,
Instruments
&
Components
0.4%
CDW
LLC
/
CDW
Finance
Corp.
,
Senior
Note
,
3.25
%
,
2/15/29
....
United
States
3,000,000
3,018,300
Flex
Ltd.
,
Senior
Bond
,
4.875
%
,
5/12/30
....................
United
States
16,700,000
19,543,652
22,561,952
Energy
Equipment
&
Services
0.1%
Baker
Hughes
a
GE
Co.
LLC
/
Baker
Hughes
Co-Obligor,
Inc.
,
Senior
Bond,
4.486%,
5/01/30
..........................
United
States
800,000
957,254
Senior
Bond,
4.08%,
12/15/47
..........................
United
States
1,200,000
1,386,387
f
Weatherford
International
Ltd.
,
Senior
Note
,
144A,
11
%
,
12/01/24
.
United
States
1,032,000
1,069,838
3,413,479
Entertainment
0.4%
f
Netflix,
Inc.
,
Senior
Bond,
144A,
5.375%,
11/15/29
....................
United
States
3,000,000
3,710,505
Senior
Bond,
144A,
4.875%,
6/15/30
.....................
United
States
12,800,000
15,438,528
19,149,033
Equity
Real
Estate
Investment
Trusts
(REITs)
0.3%
Equinix
,
Inc.
,
Senior
Bond
,
3.2
%
,
11/18/29
..................
United
States
3,500,000
3,813,950
National
Retail
Properties,
Inc.
,
Senior
Bond
,
4.3
%
,
10/15/28
.....
United
States
9,700,000
11,207,511
15,021,461
Food
&
Staples
Retailing
0.2%
f
Cencosud
SA
,
Senior
Bond
,
144A,
4.375
%
,
7/17/27
...........
Chile
9,700,000
10,642,646
Food
Products
0.3%
B&G
Foods,
Inc.
,
Senior
Note
,
5.25
%
,
9/15/27
...............
United
States
3,000,000
3,127,500
f
Bimbo
Bakeries
USA,
Inc.
,
Senior
Bond
,
144A,
4
%
,
5/17/51
.....
Mexico
2,700,000
3,012,804
f
JBS
Finance
Luxembourg
SARL
,
Senior
Bond
,
144A,
3.625
%
,
1/15/32
...........................................
United
States
2,500,000
2,520,000
Kraft
Heinz
Foods
Co.
,
Senior
Note
,
3
%
,
6/01/26
..............
United
States
3,100,000
3,301,630
f
Post
Holdings,
Inc.
,
Senior
Bond
,
144A,
4.5
%
,
9/15/31
.........
United
States
3,000,000
3,039,870
15,001,804
Health
Care
Equipment
&
Supplies
0.2%
Edwards
Lifesciences
Corp.
,
Senior
Bond
,
4.3
%
,
6/15/28
.......
United
States
1,700,000
1,986,954
STERIS
Irish
FinCo
.
UnLtd
.
Co.
,
Senior
Note
,
2.7
%
,
3/15/31
.....
United
States
5,900,000
6,133,266
8,120,220
Health
Care
Providers
&
Services
1.0%
Anthem,
Inc.
,
Senior
Bond
,
4.65
%
,
1/15/43
..................
United
States
3,100,000
3,961,696
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
63
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Health
Care
Providers
&
Services
(continued)
Centene
Corp.
,
Senior
Bond,
3%,
10/15/30
............................
United
States
12,300,000
$
12,800,118
Senior
Note,
4.25%,
12/15/27
..........................
United
States
2,000,000
2,112,500
f
CHS/Community
Health
Systems,
Inc.
,
Senior
Secured
Note,
144A,
5.625%,
3/15/27
..............
United
States
800,000
848,036
Senior
Secured
Note,
144A,
6%,
1/15/29
..................
United
States
600,000
639,066
CVS
Health
Corp.
,
Senior
Bond
,
4.78
%
,
3/25/38
..............
United
States
3,200,000
4,023,267
f
DaVita,
Inc.
,
Senior
Note
,
144A,
4.625
%
,
6/01/30
.............
United
States
1,900,000
1,966,500
Kaiser
Foundation
Hospitals
,
2019
,
Senior
Bond
,
3.266
%
,
11/01/49
United
States
11,270,000
12,627,168
Orlando
Health
Obligated
Group
,
3.777
%
,
10/01/28
............
United
States
2,810,000
3,183,269
Providence
St
Joseph
Health
Obligated
Group
,
H
,
2.746
%
,
10/01/26
United
States
8,875,000
9,549,446
51,711,066
Hotels,
Restaurants
&
Leisure
0.9%
f
Boyd
Gaming
Corp.
,
Senior
Bond
,
144A,
4.75
%
,
6/15/31
........
United
States
2,400,000
2,486,051
f
Genting
New
York
LLC
/
GENNY
Capital,
Inc.
,
Senior
Note
,
144A,
3.3
%
,
2/15/26
......................................
United
States
2,100,000
2,116,190
Las
Vegas
Sands
Corp.
,
Senior
Bond
,
3.9
%
,
8/08/29
...........
United
States
8,500,000
9,057,013
f
NCL
Corp.
Ltd.
,
Senior
Note
,
144A,
5.875
%
,
3/15/26
...........
United
States
15,300,000
15,433,875
f
Studio
City
Finance
Ltd.
,
Senior
Note
,
144A,
5
%
,
1/15/29
.......
Macau
13,000,000
12,826,580
f
TUI
Cruises
GmbH
,
Senior
Note
,
144A,
6.5
%
,
5/15/26
..........
Germany
2,100,000
EUR
2,558,638
f
Wynn
Macau
Ltd.
,
Senior
Note
,
144A,
5.625
%
,
8/26/28
.........
Macau
1,500,000
1,539,600
46,017,947
Household
Durables
0.3%
f
Ashton
Woods
USA
LLC
/
Ashton
Woods
Finance
Co.
,
Senior
Note,
144A,
6.75%,
8/01/25
......................
United
States
3,000,000
3,101,250
h
Senior
Note,
144A,
4.625%,
8/01/29
.....................
United
States
3,000,000
3,012,060
Mohawk
Industries,
Inc.
,
Senior
Bond
,
3.625
%
,
5/15/30
.........
United
States
10,400,000
11,642,044
17,755,354
Independent
Power
and
Renewable
Electricity
Producers
0.2%
f
Calpine
Corp.
,
Senior
Note
,
144A,
5.125
%
,
3/15/28
............
United
States
2,500,000
2,534,537
f
Colbun
SA
,
Senior
Bond
,
144A,
3.15
%
,
3/06/30
...............
Chile
4,400,000
4,594,634
f
InterGen
NV
,
Senior
Secured
Bond
,
144A,
7
%
,
6/30/23
.........
Netherlands
3,300,000
3,279,095
f
Talen
Energy
Supply
LLC
,
Senior
Secured
Note
,
144A,
7.25
%
,
5/15/27
...........................................
United
States
3,000,000
2,740,740
13,149,006
Insurance
0.4%
f
Liberty
Mutual
Group,
Inc.
,
Senior
Bond
,
144A,
4.569
%
,
2/01/29
..
United
States
12,000,000
14,169,307
f
Metropolitan
Life
Global
Funding
I
,
Senior
Secured
Bond
,
144A,
2.95
%
,
4/09/30
.....................................
United
States
8,200,000
8,913,159
23,082,466
Interactive
Media
&
Services
0.3%
f
Tencent
Holdings
Ltd.
,
Senior
Bond
,
144A,
2.39
%
,
6/03/30
......
China
15,000,000
15,103,874
Internet
&
Direct
Marketing
Retail
0.4%
Alibaba
Group
Holding
Ltd.
,
Senior
Bond,
3.4%,
12/06/27
...........................
China
14,700,000
16,096,265
Senior
Bond,
2.125%,
2/09/31
..........................
China
7,400,000
7,327,842
23,424,107
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
64
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
IT
Services
0.3%
Fiserv,
Inc.
,
Senior
Bond,
3.5%,
7/01/29
............................
United
States
1,800,000
$
2,012,332
Senior
Bond,
2.65%,
6/01/30
...........................
United
States
8,600,000
9,056,386
f
Presidio
Holdings,
Inc.
,
Senior
Note
,
144A,
8.25
%
,
2/01/28
......
United
States
3,000,000
3,270,090
14,338,808
Machinery
0.0%
Westinghouse
Air
Brake
Technologies
Corp.
,
Senior
Note
,
3.2
%
,
6/15/25
...........................................
United
States
2,300,000
2,455,910
Media
0.8%
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
,
Senior
Secured
Bond
,
2.8
%
,
4/01/31
.......
United
States
18,200,000
18,894,679
Comcast
Corp.
,
Senior
Bond,
4.25%,
1/15/33
...........................
United
States
10,000,000
12,063,176
Senior
Bond,
4.2%,
8/15/34
............................
United
States
1,700,000
2,040,892
Senior
Bond,
4.049%,
11/01/52
.........................
United
States
2,000,000
2,424,849
f
Diamond
Sports
Group
LLC
/
Diamond
Sports
Finance
Co.
,
Senior
Secured
Note
,
144A,
5.375
%
,
8/15/26
....................
United
States
3,200,000
1,860,000
Fox
Corp.
,
Senior
Bond
,
5.476
%
,
1/25/39
...................
United
States
3,000,000
3,934,180
f
Univision
Communications,
Inc.
,
Senior
Secured
Note,
144A,
5.125%,
2/15/25
..............
United
States
3,000,000
3,052,320
Senior
Secured
Note,
144A,
4.5%,
5/01/29
................
United
States
400,000
401,488
44,671,584
Metals
&
Mining
0.1%
f
Novelis
Corp.
,
Senior
Bond
,
144A,
4.75
%
,
1/30/30
............
United
States
2,500,000
2,665,388
Multiline
Retail
0.3%
Dollar
Tree,
Inc.
,
Senior
Bond
,
4.2
%
,
5/15/28
.................
United
States
11,700,000
13,427,305
c,f,i
K2016470219
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
3
%
,
12/31/22
.......................................
South
Africa
2,419,520
c,f,i
K2016470260
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
25
%
,
12/31/22
......................................
South
Africa
867,575
13,427,305
Multi-Utilities
0.4%
Berkshire
Hathaway
Energy
Co.
,
Senior
Bond
,
6.125
%
,
4/01/36
..
United
States
2,700,000
3,873,795
Dominion
Energy,
Inc.
,
Senior
Note,
4.25%,
6/01/28
...........................
United
States
10,000,000
11,653,841
C,
Senior
Note,
3.375%,
4/01/30
........................
United
States
4,351,000
4,829,596
20,357,232
Oil,
Gas
&
Consumable
Fuels
2.0%
f
Aker
BP
ASA
,
Senior
Bond
,
144A,
4
%
,
1/15/31
...............
Norway
10,400,000
11,581,770
Cenovus
Energy,
Inc.
,
Senior
Bond
,
6.75
%
,
11/15/39
...........
Canada
1,500,000
2,049,019
Cheniere
Corpus
Christi
Holdings
LLC
,
Senior
Secured
Note
,
5.875
%
,
3/31/25
.....................................
United
States
1,600,000
1,829,687
Cheniere
Energy,
Inc.
,
Senior
Secured
Note
,
4.625
%
,
10/15/28
...
United
States
1,700,000
1,796,917
f
Continental
Resources,
Inc.
,
Senior
Bond
,
144A,
5.75
%
,
1/15/31
..
United
States
15,500,000
18,706,098
f
Crestwood
Midstream
Partners
LP
/
Crestwood
Midstream
Finance
Corp.
,
Senior
Note
,
144A,
6
%
,
2/01/29
....................
United
States
4,000,000
4,165,500
Diamondback
Energy,
Inc.
,
Senior
Note
,
5.375
%
,
5/31/25
.......
United
States
5,500,000
5,651,348
Enable
Midstream
Partners
LP
,
Senior
Bond,
5.25%,
5/15/44
...........................
United
States
1,200,000
1,328,680
Senior
Note,
4.15%,
5/15/24
...........................
United
States
3,600,000
3,847,542
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
65
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Oil,
Gas
&
Consumable
Fuels
(continued)
Energy
Transfer
LP
,
Senior
Bond,
4.75%,
1/15/26
...........................
United
States
4,500,000
$
5,079,432
Senior
Bond,
5.15%,
2/01/43
...........................
United
States
6,000,000
6,974,974
EnLink
Midstream
LLC
,
Senior
Bond
,
5.375
%
,
6/01/29
.........
United
States
400,000
416,604
Enterprise
Products
Operating
LLC
,
Senior
Bond
,
3.125
%
,
7/31/29
United
States
2,000,000
2,182,381
Exxon
Mobil
Corp.
,
Senior
Bond,
2.61%,
10/15/30
..........................
United
States
6,100,000
6,547,423
Senior
Bond,
3.452%,
4/15/51
..........................
United
States
2,000,000
2,240,202
f
Harvest
Operations
Corp.
,
Senior
Note
,
144A,
4.2
%
,
6/01/23
.....
South
Korea
3,800,000
4,039,939
f
Martin
Midstream
Partners
LP
/
Martin
Midstream
Finance
Corp.
,
Secured
Note,
144A,
10%,
2/29/24
......................
United
States
151,936
156,304
Secured
Note,
144A,
11.5%,
2/28/25
.....................
United
States
689,984
715,089
MPLX
LP
,
Senior
Bond,
4.7%,
4/15/48
............................
United
States
2,000,000
2,354,850
Senior
Note,
4.875%,
6/01/25
..........................
United
States
4,500,000
5,099,572
Occidental
Petroleum
Corp.
,
Senior
Bond
,
6.125
%
,
1/01/31
......
United
States
1,800,000
2,128,860
f
Rattler
Midstream
LP
,
Senior
Note
,
144A,
5.625
%
,
7/15/25
......
United
States
900,000
940,608
Sunoco
LP
/
Sunoco
Finance
Corp.
,
Senior
Note
,
4.5
%
,
5/15/29
..
United
States
1,400,000
1,435,000
TotalEnergies
Capital
International
SA
,
Senior
Bond
,
3.455
%
,
2/19/29
...........................................
France
1,800,000
2,031,048
TransCanada
PipeLines
Ltd.
,
Senior
Bond
,
4.25
%
,
5/15/28
......
Canada
3,400,000
3,934,721
f
Tullow
Oil
plc
,
Senior
Note
,
144A,
7
%
,
3/01/25
...............
Ghana
600,000
521,280
f
Venture
Global
Calcasieu
LLC
,
144A,
4.125%,
8/15/31
...............................
United
States
1,000,000
1,036,250
Senior
Secured
Note,
144A,
3.875%,
8/15/29
..............
United
States
1,000,000
1,023,750
Williams
Cos.,
Inc.
(The)
,
Senior
Bond
,
3.5
%
,
11/15/30
.........
United
States
3,200,000
3,539,176
103,354,024
Paper
&
Forest
Products
0.2%
Suzano
Austria
GmbH
,
Senior
Bond,
3.75%,
1/15/31
...........................
Brazil
5,000,000
5,215,250
Senior
Bond,
3.125%,
1/15/32
..........................
Brazil
7,300,000
7,243,425
12,458,675
Personal
Products
0.2%
Avon
Products,
Inc.
,
Senior
Bond
,
6.75
%
,
3/15/23
.............
United
Kingdom
8,800,000
9,383,000
f
Oriflame
Investment
Holding
plc
,
Senior
Secured
Note
,
144A,
5.125
%
,
5/04/26
.....................................
Switzerland
2,600,000
2,676,700
f
Prestige
Brands,
Inc.
,
Senior
Bond
,
144A,
3.75
%
,
4/01/31
.......
United
States
800,000
792,648
12,852,348
Pharmaceuticals
0.4%
f
Endo
Luxembourg
Finance
Co.
I
SARL
/
Endo
US,
Inc.
,
Senior
Secured
Note
,
144A,
6.125
%
,
4/01/29
....................
United
States
4,000,000
3,980,980
f
Organon
&
Co.
/
Organon
Foreign
Debt
Co-Issuer
BV
,
Senior
Bond,
144A,
5.125%,
4/30/31
.....................
United
States
1,500,000
1,546,875
Senior
Secured
Note,
144A,
4.125%,
4/30/28
..............
United
States
2,500,000
2,566,787
Royalty
Pharma
plc
,
Senior
Bond
,
2.15
%
,
9/02/31
.............
United
States
8,000,000
7,889,580
Takeda
Pharmaceutical
Co.
Ltd.
,
Senior
Note
,
2.05
%
,
3/31/30
....
Japan
6,400,000
6,450,336
22,434,558
Real
Estate
Management
&
Development
0.1%
f
Five
Point
Operating
Co.
LP
/
Five
Point
Capital
Corp.
,
Senior
Note
,
144A,
7.875
%
,
11/15/25
...............................
United
States
600,000
629,292
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
66
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Real
Estate
Management
&
Development
(continued)
f
Vivion
Investments
SARL
,
Senior
Note
,
Reg
S,
3
%
,
8/08/24
.....
Luxembourg
1,700,000
EUR
$
2,013,947
2,643,239
Road
&
Rail
0.4%
Burlington
Northern
Santa
Fe
LLC
,
Senior
Bond,
4.9%,
4/01/44
............................
United
States
1,600,000
2,181,907
Senior
Bond,
3.9%,
8/01/46
............................
United
States
5,000,000
5,990,683
f
First
Student
Bidco
,
Inc.
/
First
Transit
Parent,
Inc.
,
Senior
Secured
Note
,
144A,
4
%
,
7/31/29
..............................
United
States
3,100,000
3,107,750
f
Kazakhstan
Temir
Zholy
Finance
BV
,
Senior
Bond
,
144A,
6.95
%
,
7/10/42
...........................................
Kazakhstan
7,500,000
10,462,500
21,742,840
Semiconductors
&
Semiconductor
Equipment
0.3%
f
SK
Hynix,
Inc.
,
Senior
Bond
,
144A,
2.375
%
,
1/19/31
...........
South
Korea
14,800,000
14,703,341
Software
0.0%
Anagram,
Inc.
,
Secured
Note
,
10
%
,
8/15/26
.................
United
States
616,265
578,433
Specialty
Retail
0.1%
AutoNation,
Inc.
,
Senior
Bond
,
4.75
%
,
6/01/30
...............
United
States
2,400,000
2,872,544
Murphy
Oil
USA,
Inc.
,
Senior
Bond
,
4.75
%
,
9/15/29
............
United
States
2,700,000
2,870,653
f
Party
City
Holdings,
Inc.
,
Senior
Secured
Note
,
144A,
5.75
%
,
(
6-month
USD
LIBOR
+
5
%
),
7/15/25
.....................
United
States
1,110,015
1,053,471
6,796,668
Thrifts
&
Mortgage
Finance
0.3%
Radian
Group,
Inc.
,
Senior
Note
,
4.875
%
,
3/15/27
.............
United
States
16,800,000
18,295,620
Tobacco
0.3%
Altria
Group,
Inc.
,
Senior
Bond
,
3.4
%
,
5/06/30
................
United
States
15,100,000
16,272,115
Trading
Companies
&
Distributors
0.1%
f
Ahern
Rentals,
Inc.
,
Secured
Note
,
144A,
7.375
%
,
5/15/23
......
United
States
400,000
363,816
f
WESCO
Distribution,
Inc.
,
Senior
Note,
144A,
7.125%,
6/15/25
.....................
United
States
1,100,000
1,183,869
Senior
Note,
144A,
7.25%,
6/15/28
......................
United
States
1,900,000
2,117,408
3,665,093
Wireless
Telecommunication
Services
0.8%
T-Mobile
USA,
Inc.
,
Senior
Secured
Bond,
4.375%,
4/15/40
...................
United
States
3,400,000
4,033,913
Senior
Secured
Bond,
3.3%,
2/15/51
.....................
United
States
5,700,000
5,820,127
Senior
Secured
Note,
3.875%,
4/15/30
...................
United
States
10,000,000
11,325,200
Vodafone
Group
plc
,
Senior
Bond
,
6.15
%
,
2/27/37
.............
United
Kingdom
16,000,000
22,440,155
43,619,395
Total
Corporate
Bonds
(Cost
$987,564,729)
.....................................
1,031,739,661
a
j
Senior
Floating
Rate
Interests
1.1%
Aerospace
&
Defense
0.2%
Dynasty
Acquisition
Co.,
Inc.
,
2020
Term
Loan,
B1,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
5,151,767
4,990,775
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
67
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Aerospace
&
Defense
(continued)
Dynasty
Acquisition
Co.,
Inc.,
(continued)
2020
Term
Loan,
B2,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
2,769,767
$
2,683,212
7,673,987
a
a
a
a
a
a
Airlines
0.3%
h,k
Air
Canada
,
Term
Loan,
B
,
TBD,
7/27/28
....................
Canada
13,000,000
13,037,960
Diversified
Consumer
Services
0.1%
KUEHG
Corp.
,
Term
Loan,
B3
,
4.75
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
2/21/25
.....................................
United
States
6,592,684
6,469,532
Entertainment
0.2%
Diamond
Sports
Group
LLC
,
Term
Loan
,
3.35
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
8/24/26
..............................
United
States
4,802,248
2,655,427
William
Morris
Endeavor
Entertainment
LLC
(IMG
Worldwide
Holdings
LLC)
,
First
Lien,
Term
Loan,
B1
,
2.85
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
5/18/25
..............................
United
States
6,468,353
6,302,052
8,957,479
a
a
a
a
a
a
Leisure
Products
0.1%
Hercules
Achievement,
Inc.
(Varsity
Brands
Holding
Co.,
Inc.)
,
First
Lien,
Initial
Term
Loan
,
4.5
%
,
(
1-month
USD
LIBOR
+
3.5
%
),
12/16/24
..........................................
United
States
7,570,931
7,383,778
Media
0.1%
h
Cengage
Learning,
Inc.
,
First
Lien,
Term
Loan,
B
,
5.75
%
,
(
3-month
USD
LIBOR
+
4.75
%
),
7/14/26
..........................
United
States
6,074,401
6,080,263
Personal
Products
0.1%
Coty,
Inc.
,
USD
Term
Loan,
B
,
2.352
%
,
(
1-month
USD
LIBOR
+
2.25
%
),
4/07/25
.....................................
United
States
7,425,446
7,153,638
Total
Senior
Floating
Rate
Interests
(Cost
$58,364,943)
..........................
56,756,637
Marketplace
Loans
0.5%
Diversified
Financial
Services
0.5%
c
Freedom
Financial
Asset
Management
LLC,
5.99%
-
26.99%,
3/20/23
-
9/25/26
....................................
United
States
18,316,798
18,187,715
c
Lending
Club
-
LCX
PM,
6.49%
-
21.49%,
10/07/23
-
2/08/26
.....
United
States
3,255,116
3,138,347
c
Lending
Club
-
LCX,
6.46%
-
25.65%,
7/30/22
-
4/14/25
.........
United
States
3,011,519
2,780,031
c
Upgrade,
13.64%
-
30.99%,
10/11/22
-
1/20/25
...............
United
States
1,712,359
1,533,611
c
Upstart
Network,
Inc.,
15.3%
-
30.65%,
7/09/24
-
7/09/26
.......
United
States
199,362
199,269
25,838,973
a
a
a
a
a
a
Total
Marketplace
Loans
(Cost
$26,495,154)
....................................
25,838,973
Foreign
Government
and
Agency
Securities
4.3%
f
African
Export-Import
Bank
(The),
Senior
Bond,
144A,
3.994%,
9/21/29
...........................................
Supranational
l
1,400,000
1,488,550
f
Banque
Centrale
de
Tunisie
,
Senior
Bond,
144A,
5.75%,
1/30/25
..
Tunisia
8,000,000
6,795,240
f
Banque
Ouest
Africaine
de
Developpement
,
Senior
Bond,
144A,
5%,
7/27/27
...........................................
Supranational
l
10,700,000
11,944,538
f
Belarus
Government
Bond,
Senior
Bond,
144A,
7.625%,
6/29/27
..
Belarus
13,300,000
13,093,517
Brazil
Government
Bond,
Senior
Bond,
5.625%,
2/21/47
........
Brazil
6,500,000
7,030,627
Colombia
Government
Bond,
Senior
Bond,
5%,
6/15/45
........
Colombia
8,800,000
9,233,224
f
Dominican
Republic
Government
Bond,
Senior
Note,
144A,
8.9%,
2/15/23
...........................................
Dominican
Republic
610,400,000
DOP
11,299,771
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
68
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Foreign
Government
and
Agency
Securities
(continued)
f
Egypt
Government
Bond,
Senior
Bond,
144A,
8.875%,
5/29/50
...
Egypt
4,500,000
$
4,804,875
f,g
Electricite
de
France
SA,
Junior
Sub.
Bond,
144A,
5.25%
to
1/29/23,
FRN
thereafter,
Perpetual
.............................
France
24,000,000
25,248,000
f
Gabon
Government
Bond,
Senior
Bond,
144A,
6.625%,
2/06/31
..
Gabon
5,000,000
5,026,500
f
Indonesia
Government
Bond,
Senior
Bond,
144A,
4.35%,
1/08/27
.
Indonesia
9,100,000
10,344,688
f
Iraq
Government
Bond,
Senior
Bond,
144A,
5.8%,
1/15/28
......
Iraq
13,243,750
12,701,087
f
Israel
Electric
Corp.
Ltd.,
Senior
Secured
Bond,
144A,
Reg
S,
4.25%,
8/14/28
...........................................
Israel
6,700,000
7,524,435
Mexico
Government
Bond,
Senior
Bond,
4.5%,
4/22/29
.........
Mexico
9,500,000
10,833,373
f
Nigeria
Government
Bond,
Senior
Bond,
144A,
9.248%,
1/21/49
..
Nigeria
3,600,000
4,145,872
f
Panama
Government
Bond,
Senior
Note,
144A,
3.75%,
4/17/26
..
Panama
5,700,000
6,179,940
Peru
Government
Bond
,
Senior
Bond,
2.783%,
1/23/31
..........................
Peru
8,000,000
8,051,120
Senior
Bond,
6.55%,
3/14/37
...........................
Peru
2,900,000
3,952,860
Petroleos
Mexicanos
,
Senior
Bond,
6.625%,
6/15/35
...........
Mexico
6,000,000
5,807,370
f
Russia
Government
Bond,
Senior
Bond,
144A,
4.875%,
9/16/23
..
Russia
11,600,000
12,610,685
b
South
Africa
Government
Bond,
Senior
Bond,
5.875%,
6/22/30
...
South
Africa
9,500,000
10,806,250
Turkey
Government
Bond,
Senior
Bond,
5.25%,
3/13/30
........
Turkey
10,000,000
9,615,750
f
Ukraine
Government
Bond
,
Senior
Note,
144A,
7.75%,
9/01/21
.......................
Ukraine
229,000
230,349
Senior
Note,
144A,
7.75%,
9/01/22
.......................
Ukraine
229,000
239,785
Senior
Note,
144A,
7.75%,
9/01/23
.......................
Ukraine
229,000
245,880
Senior
Note,
144A,
7.75%,
9/01/24
.......................
Ukraine
229,000
249,159
Senior
Note,
144A,
7.75%,
9/01/25
.......................
Ukraine
229,000
249,460
Senior
Bond,
144A,
7.75%,
9/01/26
......................
Ukraine
229,000
251,183
Senior
Bond,
144A,
7.75%,
9/01/27
......................
Ukraine
229,000
251,297
Senior
Bond,
144A,
7.375%,
9/25/32
.....................
Ukraine
12,400,000
12,934,192
m
VRI,
GDP
Linked
Security,
Senior
Bond,
144A,
5/31/40
.......
Ukraine
474,000
553,630
n
Uruguay
Government
Bond,
Index
Linked,
Senior
Bond,
3.7%,
6/26/37
...........................................
Uruguay
449,880,512
UYU
11,569,320
Total
Foreign
Government
and
Agency
Securities
(Cost
$226,219,313)
............
225,312,527
U.S.
Government
and
Agency
Securities
23.7%
U.S.
Treasury
Bonds
,
n
3.625%,
4/15/28
.....................................
United
States
6,000,000
13,740,330
1.125%,
5/15/40
.....................................
United
States
25,000,000
22,344,726
1.125%,
8/15/40
.....................................
United
States
34,000,000
30,283,906
3.125%,
11/15/41
....................................
United
States
14,500,000
17,812,910
2.5%,
5/15/46
......................................
United
States
9,000,000
10,100,391
2.25%,
8/15/46
.....................................
United
States
28,800,000
30,870,000
2.75%,
11/15/47
.....................................
United
States
25,500,000
30,066,094
3.125%,
5/15/48
.....................................
United
States
16,500,000
20,826,094
3%,
8/15/48
........................................
United
States
17,000,000
21,014,922
2.875%,
5/15/49
.....................................
United
States
14,000,000
16,988,672
2.25%,
8/15/49
.....................................
United
States
39,000,000
41,946,328
1.25%,
5/15/50
.....................................
United
States
24,000,000
20,436,562
2.375%,
5/15/51
.....................................
United
States
14,200,000
15,756,453
U.S.
Treasury
Notes
,
0.125%,
8/31/22
.....................................
United
States
25,000,000
25,009,765
0.125%,
11/30/22
....................................
United
States
50,000,000
50,015,625
0.125%,
1/31/23
.....................................
United
States
75,000,000
75,000,000
1.125%,
2/28/25
.....................................
United
States
50,000,000
51,169,922
0.25%,
6/30/25
.....................................
United
States
145,000,000
143,436,719
0.25%,
7/31/25
.....................................
United
States
90,000,000
88,955,860
0.25%,
8/31/25
.....................................
United
States
74,000,000
73,066,328
0.25%,
9/30/25
.....................................
United
States
150,000,000
148,001,953
0.375%,
11/30/25
....................................
United
States
128,000,000
126,795,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
69
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
U.S.
Government
and
Agency
Securities
(continued)
U.S.
Treasury
Notes,
(continued)
0.375%,
12/31/25
....................................
United
States
124,000,000
$
122,716,407
0.75%,
5/31/26
.....................................
United
States
35,000,000
35,123,047
0.375%,
7/31/27
.....................................
United
States
22,200,000
21,583,430
Total
U.S.
Government
and
Agency
Securities
(Cost
$1,248,265,565)
..............
1,253,061,444
Asset-Backed
Securities
11.1%
Airlines
0.0%
United
Airlines
Pass-Through
Trust
,
2020-1
,
B
,
4.875
%
,
7/15/27
..
United
States
1,401,375
1,472,511
Commercial
Services
&
Supplies
0.2%
f,o
Armada
Euro
CLO
IV
DAC
,
4A
,
B
,
144A,
FRN
,
1.7
%
,
7/15/33
....
Ireland
5,100,000
EUR
6,062,230
f,p
LCM
XXII
Ltd.
,
22A,
A2R,
144A,
FRN,
1.584%,
(3-month
USD
LIBOR
+
1.45%),
10/20/28
..........................................
United
States
1,000,000
1,002,019
22A,
CR,
144A,
FRN,
2.934%,
(3-month
USD
LIBOR
+
2.8%),
10/20/28
..........................................
United
States
1,000,000
983,152
8,047,401
a
a
a
a
a
a
Diversified
Financial
Services
10.9%
f,p
Adagio
CLO
VIII
DAC
,
VIII-A
,
B1
,
144A,
FRN
,
1.65
%
,
(
3-month
EURIBOR
+
1.65
%
),
4/15/32
...........................
Ireland
2,050,000
EUR
2,444,323
f,p
AMMC
CLO
15
Ltd.
,
2014-15A
,
BRR
,
144A,
FRN
,
1.926
%
,
(
3-month
USD
LIBOR
+
1.8
%
),
1/15/32
...........................
United
States
922,984
921,636
f,p
AMMC
CLO
21
Ltd.
,
2017-21A
,
C
,
144A,
FRN
,
2.276
%
,
(
3-month
USD
LIBOR
+
2.1
%
),
11/02/30
..........................
United
States
1,000,000
988,469
f,p
AMMC
CLO
XI
Ltd.
,
2012-11A,
BR2,
144A,
FRN,
1.729%,
(3-month
USD
LIBOR
+
1.6%),
4/30/31
......................................
United
States
5,050,000
5,053,152
2012-11A,
CR2,
144A,
FRN,
2.028%,
(3-month
USD
LIBOR
+
1.9%),
4/30/31
......................................
United
States
2,750,000
2,740,985
f,p
Antares
CLO
Ltd.
,
2018-1A
,
B
,
144A,
FRN
,
1.784
%
,
(
3-month
USD
LIBOR
+
1.65
%
),
4/20/31
..............................
United
States
12,900,000
12,722,625
f,p
Ares
European
CLO
VIII
BV
,
8A
,
BR
,
144A,
FRN
,
1.6
%
,
(
3-month
EURIBOR
+
1.6
%
),
4/17/32
............................
Ireland
2,900,000
EUR
3,417,908
f,p
Ares
XLVIII
CLO
Ltd.
,
2018-48A
,
D
,
144A,
FRN
,
2.834
%
,
(
3-month
USD
LIBOR
+
2.7
%
),
7/20/30
...........................
United
States
2,000,000
1,955,447
f,p
Bain
Capital
Credit
CLO
Ltd.
,
2018-1A,
A1,
144A,
FRN,
1.098%,
(3-month
USD
LIBOR
+
0.96%),
4/23/31
.....................................
United
States
12,000,000
12,002,989
2018-1A,
A2,
144A,
FRN,
1.288%,
(3-month
USD
LIBOR
+
1.15%),
4/23/31
.....................................
United
States
5,100,000
5,103,819
2020-4A,
B,
144A,
FRN,
2.084%,
(3-month
USD
LIBOR
+
1.95%),
10/20/33
..........................................
United
States
8,350,000
8,362,183
f,p
BCC
Middle
Market
CLO
LLC
,
2018-1A
,
A2
,
144A,
FRN
,
2.284
%
,
(
3-month
USD
LIBOR
+
2.15
%
),
10/20/30
.................
United
States
5,100,000
5,046,145
f,p
Blackrock
European
CLO
IX
DAC
,
9A,
A,
144A,
FRN,
0.9%,
(3-month
EURIBOR
+
0.9%),
12/15/32
Ireland
17,350,000
EUR
20,602,485
9A,
B,
144A,
FRN,
1.55%,
(3-month
EURIBOR
+
1.55%),
12/15/32
Ireland
5,250,000
EUR
6,237,645
f,p
BlueMountain
CLO
Ltd.
,
2012-2A,
DR2,
144A,
FRN,
3.055%,
(3-month
USD
LIBOR
+
2.9%),
11/20/28
.....................................
United
States
1,753,000
1,732,401
2014-2A,
CR2,
144A,
FRN,
2.334%,
(3-month
USD
LIBOR
+
2.2%),
10/20/30
.....................................
United
States
4,700,000
4,711,312
2016-3A,
CR,
144A,
FRN,
2.356%,
(3-month
USD
LIBOR
+
2.2%),
11/15/30
..........................................
United
States
500,000
501,266
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
70
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
f,p
BlueMountain
CLO
Ltd.,
(continued)
2018-1A,
B,
144A,
FRN,
1.829%,
(3-month
USD
LIBOR
+
1.7%),
7/30/30
...........................................
United
States
272,725
$
273,400
2018-3A,
C,
144A,
FRN,
2.325%,
(3-month
USD
LIBOR
+
2.2%),
10/25/30
..........................................
United
States
1,071,430
1,070,094
f,p
BlueMountain
Fuji
EUR
CLO
V
DAC
,
5A
,
B
,
144A,
FRN
,
1.55
%
,
(
3-month
EURIBOR
+
1.55
%
),
1/15/33
....................
Ireland
6,250,000
EUR
7,425,482
f,p
BlueMountain
Fuji
US
CLO
III
Ltd.
,
2017-3A,
C,
144A,
FRN,
1.826%,
(3-month
USD
LIBOR
+
1.7%),
1/15/30
...........................................
United
States
2,300,000
2,283,564
2017-3A,
D,
144A,
FRN,
2.526%,
(3-month
USD
LIBOR
+
2.4%),
1/15/30
...........................................
United
States
1,600,000
1,502,755
f,p
Burnham
Park
CLO
Ltd.
,
2016-1A
,
BR
,
144A,
FRN
,
1.634
%
,
(
3-month
USD
LIBOR
+
1.5
%
),
10/20/29
..................
United
States
1,488,189
1,484,083
f,p
Buttermilk
Park
CLO
Ltd.
,
2018-1A
,
C
,
144A,
FRN
,
2.226
%
,
(
3-month
USD
LIBOR
+
2.1
%
),
10/15/31
..................
United
States
1,452,380
1,456,444
f,p
Carlyle
Global
Market
Strategies
CLO
Ltd.
,
2014-1A,
A1R2,
144A,
FRN,
1.104%,
(3-month
USD
LIBOR
+
0.97%),
4/17/31
.....................................
United
States
722,802
723,139
2014-1A,
A2R2,
144A,
FRN,
1.264%,
(3-month
USD
LIBOR
+
1.13%),
4/17/31
.....................................
United
States
6,300,000
6,258,908
2014-1A,
DR,
144A,
FRN,
2.734%,
(3-month
USD
LIBOR
+
2.6%),
4/17/31
...........................................
United
States
3,175,000
3,058,273
f,p
Carlyle
GMS
Finance
MM
CLO
LLC
,
2015-1A
,
A2R
,
144A,
FRN
,
2.326
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
10/15/31
............
United
States
10,000,000
9,828,179
f,p
Carlyle
US
CLO
Ltd.
,
2017-4A,
C,
144A,
FRN,
2.926%,
(3-month
USD
LIBOR
+
2.8%),
1/15/30
...........................................
United
States
545,000
525,577
2017-5A,
A2,
144A,
FRN,
1.534%,
(3-month
USD
LIBOR
+
1.4%),
1/20/30
...........................................
United
States
2,740,000
2,735,349
2017-5A,
B,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
1/20/30
...........................................
United
States
7,000,000
6,905,260
f,p
Cent
CLO
21
Ltd.
,
2014-21A
,
CR2
,
144A,
FRN
,
3.329
%
,
(
3-month
USD
LIBOR
+
3.2
%
),
7/27/30
...........................
United
States
3,123,000
3,100,819
f,o
Consumer
Loan
Underlying
Bond
Certificate
Issuer
Trust
I
,
2018-14,
PT,
144A,
FRN,
7.893%,
9/16/41
.................
United
States
138,825
134,241
c
2018-29,
PT,
144A,
FRN,
30.891%,
12/15/43
...............
United
States
579,665
577,701
2019-26,
PT,
144A,
FRN,
20.753%,
8/15/44
................
United
States
2,742,628
2,744,564
2019-31,
PT,
144A,
FRN,
22.416%,
9/15/44
................
United
States
2,451,574
2,433,113
2019-37,
PT,
144A,
FRN,
22.443%,
10/17/44
...............
United
States
2,780,284
2,744,774
2019-42,
PT,
144A,
FRN,
21.204%,
11/15/44
...............
United
States
3,300,028
3,300,828
2019-51,
PT,
144A,
FRN,
17.225%,
1/15/45
................
United
States
4,154,104
4,156,658
2019-52,
PT,
144A,
FRN,
16.627%,
1/15/45
................
United
States
4,180,658
4,215,113
2019-S1,
PT,
144A,
FRN,
18.465%,
4/15/44
................
United
States
1,374,257
1,351,192
2019-S2,
PT,
144A,
FRN,
15.051%,
5/16/44
................
United
States
1,178,723
1,173,621
2019-S3,
PT,
144A,
FRN,
15.166%,
6/15/44
................
United
States
1,740,284
1,733,821
2019-S4,
PT,
144A,
FRN,
14.24%,
8/15/44
.................
United
States
2,028,706
2,030,320
2019-S5,
PT,
144A,
FRN,
13.929%,
9/15/44
................
United
States
2,200,709
2,200,894
2019-S6,
PT,
144A,
FRN,
12.466%,
10/17/44
...............
United
States
2,120,334
2,084,764
2019-S7,
PT,
144A,
FRN,
11.254%,
12/15/44
...............
United
States
2,287,026
2,259,551
2019-S8,
PT,
144A,
FRN,
11.978%,
1/15/45
................
United
States
3,016,386
2,971,232
2020-2,
PT,
144A,
FRN,
17.112%,
3/15/45
.................
United
States
4,130,185
4,144,214
2020-7,
PT,
144A,
FRN,
16.993%,
4/17/45
.................
United
States
2,653,525
2,630,233
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
71
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
f,p
Cook
Park
CLO
Ltd.
,
2018-1A
,
A2
,
144A,
FRN
,
1.254
%
,
(
3-month
USD
LIBOR
+
1.12
%
),
4/17/30
..........................
United
States
6,000,000
$
5,970,279
p
CWABS,
Inc.
,
2004-1
,
M1
,
FRN
,
0.839
%
,
(
1-month
USD
LIBOR
+
0.75
%
),
3/25/34
.....................................
United
States
245,349
244,907
f,p
Dryden
45
Senior
Loan
Fund
,
2016-45A
,
CR
,
144A,
FRN
,
2.326
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
10/15/30
..................
United
States
1,250,000
1,252,068
f,p
Dryden
55
CLO
Ltd.
,
2018-55A
,
D
,
144A,
FRN
,
2.976
%
,
(
3-month
USD
LIBOR
+
2.85
%
),
4/15/31
..........................
United
States
2,000,000
1,980,000
f,p
Ellington
CLO
III
Ltd.
,
2018-3A,
A1,
144A,
FRN,
1.784%,
(3-month
USD
LIBOR
+
1.65%),
7/20/30
.....................................
United
States
5,123,962
5,120,895
2018-3A,
A2R,
144A,
FRN,
1.884%,
(3-month
USD
LIBOR
+
1.75%),
7/20/30
.....................................
United
States
9,488,818
9,483,025
f
FirstKey
Homes
Trust
,
2020-SFR2
,
A
,
144A,
1.266
%
,
10/19/37
...
United
States
11,584,375
11,638,820
f,p
Galaxy
XXVII
CLO
Ltd.
,
2018-27A,
A,
144A,
FRN,
1.176%,
(3-month
USD
LIBOR
+
1.02%),
5/16/31
.....................................
United
States
1,000,000
1,000,200
2018-27A,
C,
144A,
FRN,
1.956%,
(3-month
USD
LIBOR
+
1.8%),
5/16/31
...........................................
United
States
4,000,000
3,999,998
f,p
Gilbert
Park
CLO
Ltd.
,
2017-1A
,
B
,
144A,
FRN
,
1.726
%
,
(
3-month
USD
LIBOR
+
1.6
%
),
10/15/30
..........................
United
States
1,000,000
1,002,302
f,p
Halcyon
Loan
Advisors
Funding
Ltd.
,
2018-1A
,
A2
,
144A,
FRN
,
1.934
%
,
(
3-month
USD
LIBOR
+
1.8
%
),
7/21/31
.............
United
States
4,500,000
4,491,573
f,p
Hayfin
US
XII
Ltd.
,
2018-9A
,
BR
,
144A,
FRN
,
1.932
%
,
(
3-month
USD
LIBOR
+
1.8
%
),
4/28/31
...........................
United
States
14,500,000
14,510,875
f,p
Highbridge
Loan
Management
Ltd.
,
2013-2A
,
BR
,
144A,
FRN
,
2.034
%
,
(
3-month
USD
LIBOR
+
1.9
%
),
10/20/29
............
United
States
700,000
698,950
f,p
Holland
Park
CLO
DAC
,
1A
,
A1RR
,
144A,
FRN
,
0.92
%
,
(
3-month
EURIBOR
+
0.92
%
),
11/14/32
..........................
Ireland
50,450,000
EUR
59,912,372
f,p
HPS
Loan
Management
Ltd.
,
13A-18
,
C
,
144A,
FRN
,
2.276
%
,
(
3-month
USD
LIBOR
+
2.15
%
),
10/15/30
.................
United
States
3,000,000
3,002,537
f,p
LCM
26
Ltd.
,
26A,
B,
144A,
FRN,
1.534%,
(3-month
USD
LIBOR
+
1.4%),
1/20/31
...........................................
United
States
2,000,000
1,995,000
26A,
C,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
1/20/31
...........................................
United
States
9,600,000
9,560,217
26A,
D,
144A,
FRN,
2.634%,
(3-month
USD
LIBOR
+
2.5%),
1/20/31
...........................................
United
States
600,000
561,793
f,p
LCM
XVIII
LP
,
18A,
BR,
144A,
FRN,
1.734%,
(3-month
USD
LIBOR
+
1.6%),
4/20/31
...........................................
United
States
1,090,000
1,084,542
18A,
CR,
144A,
FRN,
1.984%,
(3-month
USD
LIBOR
+
1.85%),
4/20/31
...........................................
United
States
2,000,000
1,981,413
f,p
Logan
CLO
I
Ltd.
,
2021-1A
,
A
,
144A,
FRN
,
1.312
%
,
(
3-month
USD
LIBOR
+
1.16
%
),
7/20/34
..............................
United
States
4,750,000
4,752,964
f,p
Long
Point
Park
CLO
Ltd.
,
2017-1A,
A2,
144A,
FRN,
1.509%,
(3-month
USD
LIBOR
+
1.375%),
1/17/30
....................................
United
States
5,800,000
5,794,361
2017-1A,
B,
144A,
FRN,
1.834%,
(3-month
USD
LIBOR
+
1.7%),
1/17/30
...........................................
United
States
2,700,000
2,686,796
2017-1A,
C,
144A,
FRN,
2.534%,
(3-month
USD
LIBOR
+
2.4%),
1/17/30
...........................................
United
States
3,100,000
3,033,546
f,p
Madison
Park
Euro
Funding
VIII
DAC
,
8A,
ARN,
144A,
FRN,
0.95%,
(3-month
EURIBOR
+
0.95%),
4/15/32
...........................................
Ireland
41,450,000
EUR
49,283,984
8A,
BRN,
144A,
FRN,
1.7%,
(3-month
EURIBOR
+
1.7%),
4/15/32
Ireland
4,600,000
EUR
5,470,324
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
72
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
f,p
Madison
Park
Funding
XIII
Ltd.
,
2014-13A
,
DR2
,
144A,
FRN
,
2.984
%
,
(
3-month
USD
LIBOR
+
2.85
%
),
4/19/30
............
United
States
1,973,000
$
1,955,736
f,p
Madison
Park
Funding
XLII
Ltd.
,
13A,
B,
144A,
FRN,
1.638%,
(3-month
USD
LIBOR
+
1.5%),
11/21/30
..........................................
United
States
2,700,000
2,701,261
13A,
C,
144A,
FRN,
1.938%,
(3-month
USD
LIBOR
+
1.8%),
11/21/30
..........................................
United
States
3,753,500
3,719,841
f,p
Madison
Park
Funding
XXII
Ltd.
,
2016-22A
,
CR
,
144A,
FRN
,
2.126
%
,
(
3-month
USD
LIBOR
+
2
%
),
1/15/33
..............
United
States
7,790,000
7,791,947
f,p
Madison
Park
Funding
XXIX
Ltd.
,
2018-29A
,
C
,
144A,
FRN
,
2.334
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
10/18/30
..................
United
States
1,072,581
1,074,033
f,p
Madison
Park
Funding
XXVII
Ltd.
,
2018-27A
,
C
,
144A,
FRN
,
2.734
%
,
(
3-month
USD
LIBOR
+
2.6
%
),
4/20/30
.............
United
States
2,125,000
2,082,616
f,p
Madison
Park
Funding
XXXI
Ltd.
,
2018-31A,
B,
144A,
FRN,
1.838%,
(3-month
USD
LIBOR
+
1.7%),
1/23/31
...........................................
United
States
1,500,000
1,501,125
2018-31A,
C,
144A,
FRN,
2.288%,
(3-month
USD
LIBOR
+
2.15%),
1/23/31
.....................................
United
States
650,000
651,787
f,p
Magnetite
VII
Ltd.
,
2012-7A
,
CR2
,
144A,
FRN
,
2.176
%
,
(
3-month
USD
LIBOR
+
2.05
%
),
1/15/28
..........................
United
States
2,000,000
1,967,674
f,o
Mill
City
Mortgage
Loan
Trust
,
2018-4
,
A1B
,
144A,
FRN
,
3.5
%
,
4/25/66
...........................................
United
States
10,232,664
10,684,973
f,p
Neuberger
Berman
CLO
XVIII
Ltd.
,
2014-18A
,
A1BR
,
144A,
FRN
,
1.534
%
,
(
3-month
USD
LIBOR
+
1.4
%
),
10/21/30
............
United
States
1,700,000
1,703,134
f,p
Neuberger
Berman
CLO
XVI-S
Ltd.
,
2017-16SA,
CR,
144A,
FRN,
2.026%,
(3-month
USD
LIBOR
+
1.9%),
4/15/34
......................................
United
States
2,350,000
2,350,136
2017-16SA,
DR,
144A,
FRN,
3.026%,
(3-month
USD
LIBOR
+
2.9%),
4/15/34
......................................
United
States
650,000
650,029
f,p
Neuberger
Berman
Loan
Advisers
CLO
27
Ltd.
,
2018-27A
,
C
,
144A,
FRN
,
1.826
%
,
(
3-month
USD
LIBOR
+
1.7
%
),
1/15/30
........
United
States
4,900,000
4,885,249
f,p
Octagon
Investment
Partners
18-R
Ltd.
,
2018-18A
,
C
,
144A,
FRN
,
2.826
%
,
(
3-month
USD
LIBOR
+
2.7
%
),
4/16/31
.............
United
States
9,050,000
8,891,324
f,p
Octagon
Investment
Partners
33
Ltd.
,
2017-1A,
A2,
144A,
FRN,
1.634%,
(3-month
USD
LIBOR
+
1.5%),
1/20/31
...........................................
United
States
400,000
400,722
2017-1A,
C,
144A,
FRN,
2.884%,
(3-month
USD
LIBOR
+
2.75%),
1/20/31
...........................................
United
States
2,800,000
2,781,137
f,p
Octagon
Investment
Partners
35
Ltd.
,
2018-1A,
A1B,
144A,
FRN,
1.234%,
(3-month
USD
LIBOR
+
1.1%),
1/20/31
......................................
United
States
3,325,000
3,306,664
2018-1A,
B,
144A,
FRN,
1.834%,
(3-month
USD
LIBOR
+
1.7%),
1/20/31
...........................................
United
States
450,000
445,902
f,p
Octagon
Investment
Partners
36
Ltd.
,
2018-1A,
A1,
144A,
FRN,
1.096%,
(3-month
USD
LIBOR
+
0.97%),
4/15/31
.....................................
United
States
18,000,000
17,995,985
2018-1A,
A2,
144A,
FRN,
1.326%,
(3-month
USD
LIBOR
+
1.2%),
4/15/31
...........................................
United
States
8,500,000
8,440,192
f,p
Octagon
Investment
Partners
37
Ltd.
,
2018-2A
,
C
,
144A,
FRN
,
2.975
%
,
(
3-month
USD
LIBOR
+
2.85
%
),
7/25/30
............
United
States
2,000,000
1,985,000
f,p
Octagon
Investment
Partners
38
Ltd.
,
2018-1A
,
C
,
144A,
FRN
,
3.084
%
,
(
3-month
USD
LIBOR
+
2.95
%
),
7/20/30
............
United
States
4,000,000
3,900,248
f,p
Octagon
Investment
Partners
XVII
Ltd.
,
2013-1A,
BR2,
144A,
FRN,
1.525%,
(3-month
USD
LIBOR
+
1.4%),
1/25/31
......................................
United
States
4,020,000
4,016,985
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
73
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
f,p
Octagon
Investment
Partners
XVII
Ltd.,
(continued)
2013-1A,
CR2,
144A,
FRN,
1.825%,
(3-month
USD
LIBOR
+
1.7%),
1/25/31
......................................
United
States
5,250,000
$
5,198,308
f,p
Octagon
Loan
Funding
Ltd.
,
2014-1A
,
CRR
,
144A,
FRN
,
2.355
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
11/18/31
..................
United
States
750,000
748,312
f,p
Palmer
Square
CLO
Ltd.
,
2021-2A
,
A
,
144A,
FRN
,
1.256
%
,
(
3-month
USD
LIBOR
+
1.15
%
),
7/15/34
..........................
United
States
1,000,000
1,000,909
f,p
Pikes
Peak
CLO
6
,
2020-6A
,
AR2
,
144A,
FRN
,
1.325
%
,
(
3-month
USD
LIBOR
+
1.17
%
),
5/18/34
..........................
United
States
4,500,000
4,500,047
f,o
Prosper
Pass-Thru
Trust
III
,
2020-PT1,
A,
144A,
FRN,
8.796%,
3/15/26
.................
United
States
2,575,950
2,554,698
2020-PT2,
A,
144A,
FRN,
9.444%,
4/15/26
.................
United
States
3,118,728
3,064,150
2020-PT3,
A,
144A,
FRN,
7.183%,
5/15/26
.................
United
States
1,050,724
1,054,210
f,p
Race
Point
X
CLO
Ltd.
,
2016-10A
,
B1R
,
144A,
FRN
,
1.775
%
,
(
3-month
USD
LIBOR
+
1.65
%
),
7/25/31
..................
United
States
3,600,000
3,595,695
f,p
Sound
Point
CLO
V-R
Ltd.
,
2014-1RA
,
D
,
144A,
FRN
,
3.234
%
,
(
3-month
USD
LIBOR
+
3.1
%
),
7/18/31
...................
United
States
5,780,000
5,565,537
f,p
Strata
CLO
I
Ltd.
,
2018-1A
,
B
,
144A,
FRN
,
2.326
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
1/15/31
...............................
United
States
11,000,000
10,981,203
f,p
TCI-Flatiron
CLO
Ltd.
,
2017-1A,
B,
144A,
FRN,
1.716%,
(3-month
USD
LIBOR
+
1.56%),
11/18/30
..........................................
United
States
3,500,000
3,503,250
2017-1A,
C,
144A,
FRN,
2.006%,
(3-month
USD
LIBOR
+
1.85%),
11/18/30
..........................................
United
States
2,800,000
2,802,194
f,p
TICP
CLO
VI
Ltd.
,
2016-6A
,
AR2
,
144A,
FRN
,
1.246
%
,
(
3-month
USD
LIBOR
+
1.12
%
),
1/15/34
..........................
United
States
9,200,000
9,202,300
f,o
Towd
Point
Mortgage
Trust
,
2017-1,
A1,
144A,
FRN,
2.75%,
10/25/56
..................
United
States
3,470,925
3,524,583
2017-1,
A2,
144A,
FRN,
3.5%,
10/25/56
...................
United
States
8,862,000
9,314,439
2017-2,
A1,
144A,
FRN,
2.75%,
4/25/57
...................
United
States
1,619,567
1,643,103
f,o
Upgrade
Master
Pass-Thru
Trust
,
2019-PT1,
A,
144A,
FRN,
15.567%,
6/15/25
................
United
States
950,053
851,690
2019-PT2,
A,
144A,
FRN,
13.977%,
2/15/26
................
United
States
2,235,692
2,258,787
f,p
Voya
CLO
Ltd.
,
2013-2A,
CR,
144A,
FRN,
2.875%,
(3-month
USD
LIBOR
+
2.75%),
4/25/31
.....................................
United
States
1,650,000
1,604,870
2014-1A,
BR2,
144A,
FRN,
2.034%,
(3-month
USD
LIBOR
+
1.9%),
4/18/31
......................................
United
States
1,000,000
989,724
2014-1A,
CR2,
144A,
FRN,
2.934%,
(3-month
USD
LIBOR
+
2.8%),
4/18/31
......................................
United
States
3,750,000
3,626,955
2016-3A,
CR,
144A,
FRN,
3.384%,
(3-month
USD
LIBOR
+
3.25%),
10/18/31
....................................
United
States
2,547,170
2,467,891
2018-2A,
A2,
144A,
FRN,
1.376%,
(3-month
USD
LIBOR
+
1.25%),
7/15/31
.....................................
United
States
1,500,000
1,493,438
2018-2A,
C1,
144A,
FRN,
1.976%,
(3-month
USD
LIBOR
+
1.85%),
7/15/31
.....................................
United
States
700,000
694,003
f,p
Webster
Park
CLO
Ltd.
,
2015-1A
,
BR
,
144A,
FRN
,
1.934
%
,
(
3-month
USD
LIBOR
+
1.8
%
),
7/20/30
...........................
United
States
2,000,000
1,995,073
576,695,760
a
a
a
a
a
a
Road
&
Rail
0.0%
Union
Pacific
Railroad
Co.
Pass-Through
Trust
,
2005-1
,
5.082
%
,
1/02/29
...........................................
United
States
69,358
77,858
Total
Asset-Backed
Securities
(Cost
$572,574,456)
..............................
586,293,530
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
74
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
0.3%
Diversified
Financial
Services
0.3%
o
Commercial
Mortgage
Trust
,
2006-GG7
,
AJ
,
FRN
,
6.012
%
,
7/10/38
United
States
1,576,925
$
1,419,627
f,p
DBCG
Mortgage
Trust
,
2017-BBG
,
A
,
144A,
FRN
,
0.793
%
,
(
1-month
USD
LIBOR
+
0.7
%
),
6/15/34
...........................
United
States
9,840,000
9,859,790
f,o
Eleven
Madison
Mortgage
Trust
,
2015-11MD
,
A
,
144A,
FRN
,
3.555
%
,
9/10/35
.....................................
United
States
3,255,000
3,551,888
14,831,305
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.0%
p
FNMA
,
2005-122
,
FN
,
FRN
,
0.439
%
,
(
1-month
USD
LIBOR
+
0.35
%
),
1/25/36
.....................................
United
States
380,188
368,046
c
Weyerhaeuser
Mortgage
Co.
of
Texas
,
1984-A
,
7.43
%
,
1/01/24
...
United
States
5,996
5,996
374,042
a
a
a
a
a
a
Total
Commercial
Mortgage-Backed
Securities
(Cost
$15,035,940)
................
15,205,347
Mortgage-Backed
Securities
14.8%
q
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Adjustable
Rate
0.0%
FHLMC,
1.593%,
(COFI
11th
District
+/-
MBS
Margin),
11/01/27
..
United
States
804,724
808,109
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Fixed
Rate
0.2%
FHLMC
Gold
Pools,
15
Year,
5.5%,
11/01/22
.................
United
States
20,069
20,208
FHLMC
Gold
Pools,
15
Year,
6%,
10/01/21
-
9/01/22
...........
United
States
20,494
20,695
FHLMC
Gold
Pools,
30
Year,
4.5%,
3/01/39
..................
United
States
792,723
886,508
FHLMC
Gold
Pools,
30
Year,
5%,
8/01/33
-
2/01/39
............
United
States
5,048,498
5,754,918
FHLMC
Gold
Pools,
30
Year,
5.5%,
1/01/35
-
12/01/37
.........
United
States
421,807
489,424
FHLMC
Gold
Pools,
30
Year,
6%,
5/01/33
-
4/01/38
............
United
States
608,234
717,281
FHLMC
Gold
Pools,
30
Year,
6.5%,
8/01/25
-
3/01/39
..........
United
States
520,119
598,427
FHLMC
Gold
Pools,
30
Year,
7%,
1/01/28
-
7/01/32
............
United
States
38,591
43,511
FHLMC
Gold
Pools,
30
Year,
7.5%,
3/01/32
..................
United
States
8,663
10,318
FHLMC
Gold
Pools,
30
Year,
8%,
2/01/30
...................
United
States
10,552
12,041
FHLMC
Gold
Pools,
30
Year,
8.5%,
10/01/24
-
8/01/30
.........
United
States
2,796
3,089
FHLMC
Pool,
15
Year,
2%,
10/01/35
.......................
United
States
2,290,866
2,379,592
FHLMC
Pool,
30
Year,
2.5%,
3/01/51
.......................
United
States
1,338,749
1,409,911
12,345,923
q
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
0.0%
FNMA,
1.573%,
(6-month
USD
LIBOR
+/-
MBS
Margin),
10/01/32
.
United
States
60,002
60,438
FNMA,
1.654%
-
4.105%,
(COFI
11th
District
+/-
MBS
Margin),
12/01/27
-
9/01/34
...................................
United
States
1,646,188
1,742,121
FNMA,
1.72%
-
2.108%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
2/01/34
-
3/01/37
....................................
United
States
429,898
440,152
FNMA,
2.113%
-
2.998%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
5/01/25
-
10/01/36
...................................
United
States
101,447
103,087
FNMA,
2.62%,
(3-year
CMT
T-Note
+/-
MBS
Margin),
12/01/24
...
United
States
4,074
4,080
2,349,878
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
12.5%
FNMA,
15
Year,
2%,
10/01/35
............................
United
States
2,439,991
2,535,951
FNMA,
15
Year,
2.5%,
10/01/31
...........................
United
States
1,503,199
1,580,236
FNMA,
15
Year,
3%,
1/01/31
-
2/01/35
......................
United
States
10,015,154
10,595,698
FNMA,
15
Year,
5.5%,
12/01/22
-
12/01/23
..................
United
States
23,889
24,399
FNMA,
15
Year,
6%,
9/01/22
.............................
United
States
13,126
13,226
FNMA,
30
Year,
2.5%,
9/01/50
-
5/01/51
....................
United
States
13,047,755
13,663,705
FNMA,
30
Year,
3%,
9/01/48
.............................
United
States
18,001,976
19,071,069
FNMA,
30
Year,
3%,
11/01/48
............................
United
States
44,093,186
46,746,590
FNMA,
30
Year,
3%,
4/01/51
.............................
United
States
26,673,864
28,138,265
FNMA,
30
Year,
4.5%,
5/01/49
...........................
United
States
2,081,824
2,241,471
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
75
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Mortgage-Backed
Securities
(continued)
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
(continued)
FNMA,
30
Year,
5%,
6/01/36
-
5/01/39
......................
United
States
1,030,743
$
1,173,829
FNMA,
30
Year,
5.5%,
6/01/33
-
8/01/37
....................
United
States
3,398,979
3,886,781
FNMA,
30
Year,
6%,
9/01/32
-
9/01/38
......................
United
States
3,695,193
4,373,634
FNMA,
30
Year,
6.5%,
8/01/28
-
5/01/37
....................
United
States
122,007
139,503
FNMA,
30
Year,
7%,
11/01/25
............................
United
States
2,052
2,059
FNMA,
30
Year,
7.5%,
1/01/30
...........................
United
States
6,962
8,218
FNMA,
30
Year,
8.5%,
4/01/30
-
5/01/32
....................
United
States
34,918
41,319
FNMA,
30
Year,
9%,
5/01/27
.............................
United
States
6,524
6,549
r
FNMA,
Single-family,
15
Year,
2%,
8/25/36
..................
United
States
145,190,000
150,685,669
r
FNMA,
Single-family,
30
Year,
2.5%,
8/25/51
.................
United
States
357,349,000
372,271,108
657,199,279
q
Government
National
Mortgage
Association
(GNMA)
Adjustable
Rate
0.0%
GNMA
II,
2%
-
2.125%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
1/20/23
-
10/20/26
...................................
United
States
14,139
14,515
14,515
Government
National
Mortgage
Association
(GNMA)
Fixed
Rate
2.1%
GNMA
I,
30
Year,
7%,
10/15/27
-
6/15/31
....................
United
States
12,410
14,707
GNMA
I,
Single-family,
30
Year,
6%,
1/15/39
.................
United
States
70,602
82,783
GNMA
I,
Single-family,
30
Year,
6.5%,
10/15/31
-
7/15/38
........
United
States
14,493
16,340
GNMA
I,
Single-family,
30
Year,
7%,
3/15/28
-
4/15/28
..........
United
States
5,907
6,067
GNMA
I,
Single-family,
30
Year,
7.5%,
2/15/22
-
2/15/26
........
United
States
11,059
11,434
GNMA
I,
Single-family,
30
Year,
9%,
9/15/25
.................
United
States
27
27
GNMA
II,
Single-family,
30
Year,
2%,
3/20/51
.................
United
States
2,499,951
2,562,848
GNMA
II,
Single-family,
30
Year,
2%,
6/20/51
.................
United
States
47,051,799
48,252,654
GNMA
II,
Single-family,
30
Year,
2.5%,
2/20/51
-
5/20/51
........
United
States
9,762,941
10,161,704
GNMA
II,
Single-family,
30
Year,
2.5%,
6/20/51
...............
United
States
45,560,451
47,387,308
GNMA
II,
Single-family,
30
Year,
3%,
2/20/51
.................
United
States
769,910
806,727
GNMA
II,
Single-family,
30
Year,
6%,
5/20/31
.................
United
States
1,935
2,196
GNMA
II,
Single-family,
30
Year,
6.5%,
3/20/28
-
7/20/38
........
United
States
214,361
259,257
GNMA
II,
Single-family,
30
Year,
7.5%,
8/20/30
-
1/20/33
........
United
States
26,050
29,765
109,593,817
Total
Mortgage-Backed
Securities
(Cost
$771,854,573)
...........................
782,311,521
Municipal
Bonds
4.8%
California
1.9%
California
Health
Facilities
Financing
Authority
,
State
of
California
Personal
Income
Tax,
Revenue,
Senior
Lien,
2019,
2.934%,
6/01/32
..............................
United
States
6,810,000
7,411,167
State
of
California
Personal
Income
Tax,
Revenue,
Senior
Lien,
2019,
2.984%,
6/01/33
..............................
United
States
5,870,000
6,371,617
State
of
California
Personal
Income
Tax,
Revenue,
Senior
Lien,
2019,
3.034%,
6/01/34
..............................
United
States
4,445,000
4,818,952
California
Municipal
Finance
Authority
,
United
States
General
Services
Administration
,
Revenue
,
2020
,
2.519
%
,
10/01/35
....
United
States
9,935,000
9,934,691
California
State
University
,
Revenue
,
2021
B
,
Refunding
,
2.719
%
,
11/01/52
..........................................
United
States
7,185,000
7,203,205
Foothill-Eastern
Transportation
Corridor
Agency
,
Revenue
,
2019
A
,
Refunding
,
4.094
%
,
1/15/49
............................
United
States
3,470,000
3,716,838
Gilroy
Unified
School
District
,
GO
,
2019
,
Refunding
,
3.364
%
,
8/01/47
United
States
7,220,000
7,538,718
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
76
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Municipal
Bonds
(continued)
California
(continued)
h
San
Bernardino
Community
College
District
,
GO,
2021,
Refunding,
2.686%,
8/01/41
...................
United
States
19,690,000
$
19,818,050
GO,
2021,
Refunding,
2.856%,
8/01/49
...................
United
States
11,465,000
11,521,891
San
Jose
Redevelopment
Agency
Successor
Agency
,
Tax
Allocation,
Senior
Lien
,
2017
A-T
,
Refunding
,
3.226
%
,
8/01/27
..........
United
States
6,150,000
6,862,743
University
of
California
,
Revenue
,
2015
J
,
Refunding
,
4.131
%
,
5/15/45
...........................................
United
States
10,750,000
13,102,277
98,300,149
Florida
0.1%
County
of
Broward
,
Airport
System
,
Revenue
,
2019
C
,
Refunding
,
3.477
%
,
10/01/43
....................................
United
States
7,145,000
7,592,569
Illinois
0.2%
Chicago
Transit
Authority
Sales
&
Transfer
Tax
Receipts
,
Revenue
,
2008
A
,
6.899
%
,
12/01/40
.............................
United
States
800,000
1,161,884
State
of
Illinois
,
GO
,
2003
,
5.1
%
,
6/01/33
...................
United
States
8,900,000
10,682,152
11,844,036
Louisiana
0.0%
City
of
New
Orleans
,
Sewerage
Service,
Revenue,
2021,
Refunding,
AGMC
Insured,
1.791%,
6/01/30
...................................
United
States
1,300,000
1,302,522
Water
System,
Revenue,
2021,
Refunding,
AGMC
Insured,
1.841%,
12/01/30
..................................
United
States
1,400,000
1,397,801
2,700,323
Massachusetts
0.3%
Massachusetts
School
Building
Authority
,
Revenue
,
2019
B
,
Refunding
,
3.395
%
,
10/15/40
...........................
United
States
6,760,000
7,351,248
Massachusetts
State
College
Building
Authority
,
Revenue
,
2019
C
,
Refunding
,
3.373
%
,
5/01/43
............................
United
States
5,900,000
6,238,943
13,590,191
Minnesota
0.1%
State
of
Minnesota
,
GO
,
2013
F
,
Refunding
,
4
%
,
10/01/24
.......
United
States
5,760,000
6,241,594
New
Jersey
0.1%
New
Jersey
Transportation
Trust
Fund
Authority
,
Revenue
,
2019
B
,
Refunding
,
4.131
%
,
6/15/42
............................
United
States
4,060,000
4,720,647
New
York
0.5%
Metropolitan
Transportation
Authority
,
Revenue
,
2020
E
,
Refunding
,
4
%
,
11/15/45
.......................................
United
States
6,715,000
7,878,601
New
York
State
Dormitory
Authority
,
State
University
of
New
York
,
Revenue
,
2019
B
,
Refunding
,
3.142
%
,
7/01/43
..............
United
States
3,605,000
3,823,299
Port
Authority
of
New
York
&
New
Jersey
,
Revenue,
191,
4.823%,
6/01/45
.........................
United
States
4,570,000
5,219,992
Revenue,
192,
4.81%,
10/15/65
.........................
United
States
5,000,000
7,151,555
24,073,447
Ohio
0.4%
Greenville
City
School
District
,
GO
,
2019
,
Refunding
,
3.541
%
,
1/01/51
...........................................
United
States
16,585,000
17,215,001
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
77
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Municipal
Bonds
(continued)
Ohio
(continued)
State
of
Ohio
,
Cleveland
Clinic
Health
System
Obligated
Group
,
Revenue
,
2019
G
,
Refunding
,
3.276
%
,
1/01/42
.............
United
States
2,265,000
$
2,521,382
19,736,383
Pennsylvania
0.6%
Commonwealth
Financing
Authority
,
Revenue
,
2021
A
,
2.991
%
,
6/01/42
...........................................
United
States
25,050,000
26,325,734
University
of
Pittsburgh-of
the
Commonwealth
System
of
Higher
Education
,
Revenue
,
2017
C
,
Refunding
,
3.005
%
,
9/15/41
.....
United
States
6,315,000
6,798,382
33,124,116
Texas
0.4%
City
of
Austin
,
Electric
Utility
,
Revenue
,
2008
,
Refunding
,
AGMC
Insured
,
6.262
%
,
11/15/32
.............................
United
States
12,790,000
16,212,252
Texas
State
University
System
,
Revenue,
2019
B,
Refunding,
2.938%,
3/15/33
..............
United
States
2,655,000
2,866,293
Revenue,
2019
B,
Refunding,
3.289%,
3/15/40
..............
United
States
2,255,000
2,378,100
21,456,645
Utah
0.2%
Salt
Lake
City
Corp.
,
Revenue
,
2019
B
,
Refunding
,
3.102
%
,
4/01/38
United
States
3,155,000
3,376,459
Utah
Transit
Authority
,
Revenue,
Senior
Lien
,
2019
B
,
Refunding
,
3.443
%
,
12/15/42
....................................
United
States
4,510,000
4,821,532
8,197,991
Total
Municipal
Bonds
(Cost
$234,669,093)
.....................................
251,578,091
Residential
Mortgage-Backed
Securities
8.0%
Capital
Markets
0.0%
p
Merrill
Lynch
Mortgage
Investors
Trust
,
2003-A
,
1A
,
FRN
,
0.829
%
,
(
1-month
USD
LIBOR
+
0.74
%
),
3/25/28
..................
United
States
348,926
349,949
Diversified
Financial
Services
0.7%
f
BRAVO
Residential
Funding
Trust
,
2019-1,
A1C,
144A,
3.5%,
3/25/58
.......................
United
States
6,696,909
6,861,740
o
2019-2,
A3,
144A,
FRN,
3.5%,
10/25/44
...................
United
States
7,417,798
7,748,114
f,o
CIM
Trust
,
2018-INV1,
A4,
144A,
FRN,
4%,
8/25/48
..................
United
States
2,904,870
2,962,680
2019-INV1,
A1,
144A,
FRN,
4%,
2/25/49
..................
United
States
2,599,437
2,640,717
2019-INV2,
A3,
144A,
FRN,
4%,
5/25/49
..................
United
States
5,274,639
5,379,609
f,o
Citigroup
Mortgage
Loan
Trust
,
2013-A
,
A
,
144A,
FRN
,
3
%
,
5/25/42
United
States
268,037
268,767
Credit
Suisse
First
Boston
Mortgage
Securities
Corp.
,
2004-6
,
3A1
,
5
%
,
6
/25/
37
........................................
United
States
112,412
96,598
f,p
FHLMC
STACR
REMIC
Trust
,
2020-DNA1
,
M2
,
144A,
FRN
,
1.789
%
,
(
1-month
USD
LIBOR
+
1.7
%
),
1/25/50
...................
United
States
6,553,297
6,579,647
f,o
Provident
Funding
Mortgage
Trust
,
2019-1,
A2,
144A,
FRN,
3%,
12/25/49
....................
United
States
2,960,528
2,996,762
2020-1,
A3,
144A,
FRN,
3%,
2/25/50
.....................
United
States
1,355,135
1,358,585
36,893,219
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
7.3%
p
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
2014-DN3,
M3,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
8/25/24
...........................................
United
States
5,467,050
5,580,627
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
78
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
p
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes,
(continued)
2014-DN4,
M3,
FRN,
4.639%,
(1-month
USD
LIBOR
+
4.55%),
10/25/24
..........................................
United
States
2,702,891
$
2,743,781
2014-HQ1,
M3,
FRN,
4.189%,
(1-month
USD
LIBOR
+
4.1%),
8/25/24
...........................................
United
States
471,819
475,118
2015-DNA2,
M3,
FRN,
3.989%,
(1-month
USD
LIBOR
+
3.9%),
12/25/27
..........................................
United
States
13,826,025
13,992,305
2015-DNA3,
M3,
FRN,
4.789%,
(1-month
USD
LIBOR
+
4.7%),
4/25/28
...........................................
United
States
2,676,050
2,769,843
2015-HQ2,
M3,
FRN,
3.339%,
(1-month
USD
LIBOR
+
3.25%),
5/25/25
...........................................
United
States
2,467,433
2,505,616
2016-DNA1,
M3,
FRN,
5.639%,
(1-month
USD
LIBOR
+
5.55%),
7/25/28
...........................................
United
States
16,466,753
17,255,580
2016-DNA2,
M3,
FRN,
4.739%,
(1-month
USD
LIBOR
+
4.65%),
10/25/28
..........................................
United
States
20,399,077
21,321,915
2016-DNA4,
M3,
FRN,
3.889%,
(1-month
USD
LIBOR
+
3.8%),
3/25/29
...........................................
United
States
8,869,074
9,192,022
2016-HQA2,
M3,
FRN,
5.239%,
(1-month
USD
LIBOR
+
5.15%),
11/25/28
..........................................
United
States
22,610,908
23,452,758
2016-HQA3,
M2,
FRN,
1.439%,
(1-month
USD
LIBOR
+
1.35%),
3/25/29
...........................................
United
States
85,104
85,079
2017-DNA1,
M2,
FRN,
3.339%,
(1-month
USD
LIBOR
+
3.25%),
7/25/29
...........................................
United
States
13,867,525
14,253,866
2017-DNA2,
M2,
FRN,
3.539%,
(1-month
USD
LIBOR
+
3.45%),
10/25/29
..........................................
United
States
26,327,007
27,303,133
2017-DNA3,
M2,
FRN,
2.589%,
(1-month
USD
LIBOR
+
2.5%),
3/25/30
...........................................
United
States
13,500,000
13,805,255
2017-HQA1,
M2,
FRN,
3.639%,
(1-month
USD
LIBOR
+
3.55%),
8/25/29
...........................................
United
States
23,557,779
24,360,301
2017-HQA2,
M2,
FRN,
2.739%,
(1-month
USD
LIBOR
+
2.65%),
12/25/29
..........................................
United
States
7,046,788
7,166,665
2017-HQA3,
M2,
FRN,
2.439%,
(1-month
USD
LIBOR
+
2.35%),
4/25/30
...........................................
United
States
7,085,853
7,259,090
p
FNMA
Connecticut
Avenue
Securities
,
2013-C01,
M2,
FRN,
5.339%,
(1-month
USD
LIBOR
+
5.25%),
10/25/23
..........................................
United
States
4,595,862
4,804,964
2014-C02,
1M2,
FRN,
2.689%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
...........................................
United
States
12,081,711
12,170,927
2014-C02,
2M2,
FRN,
2.689%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
...........................................
United
States
3,469,826
3,506,226
2014-C03,
1M2,
FRN,
3.089%,
(1-month
USD
LIBOR
+
3%),
7/25/24
...........................................
United
States
13,965,993
14,082,349
2014-C03,
2M2,
FRN,
2.989%,
(1-month
USD
LIBOR
+
2.9%),
7/25/24
...........................................
United
States
1,119,199
1,134,641
2014-C04,
1M2,
FRN,
4.989%,
(1-month
USD
LIBOR
+
4.9%),
11/25/24
..........................................
United
States
10,304,045
10,659,401
2014-C04,
2M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
11/25/24
..........................................
United
States
1,137,904
1,166,934
2015-C01,
1M2,
FRN,
4.389%,
(1-month
USD
LIBOR
+
4.3%),
2/25/25
...........................................
United
States
1,214,643
1,244,494
2015-C01,
2M2,
FRN,
4.639%,
(1-month
USD
LIBOR
+
4.55%),
2/25/25
...........................................
United
States
345,586
346,193
2015-C02,
1M2,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
6,233,963
6,362,389
2015-C02,
2M2,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
685,327
691,770
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
79
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
p
FNMA
Connecticut
Avenue
Securities,
(continued)
2015-C03,
1M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
7/25/25
...........................................
United
States
4,258,442
$
4,374,184
2015-C03,
2M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
7/25/25
...........................................
United
States
732,266
741,197
2016-C02,
1M2,
FRN,
6.089%,
(1-month
USD
LIBOR
+
6%),
9/25/28
...........................................
United
States
10,692,277
11,242,313
2016-C03,
1M2,
FRN,
5.389%,
(1-month
USD
LIBOR
+
5.3%),
10/25/28
..........................................
United
States
4,619,043
4,855,324
2016-C04,
1M2,
FRN,
4.339%,
(1-month
USD
LIBOR
+
4.25%),
1/25/29
...........................................
United
States
20,974,007
21,933,457
2016-C05,
2M2,
FRN,
4.539%,
(1-month
USD
LIBOR
+
4.45%),
1/25/29
...........................................
United
States
10,691,386
11,203,309
2016-C07,
2M2,
FRN,
4.439%,
(1-month
USD
LIBOR
+
4.35%),
5/25/29
...........................................
United
States
7,687,723
8,064,978
2017-C01,
1M2,
FRN,
3.639%,
(1-month
USD
LIBOR
+
3.55%),
7/25/29
...........................................
United
States
11,265,325
11,674,108
2017-C02,
2M2,
FRN,
3.739%,
(1-month
USD
LIBOR
+
3.65%),
9/25/29
...........................................
United
States
7,854,153
8,117,100
2017-C03,
1M2,
FRN,
3.089%,
(1-month
USD
LIBOR
+
3%),
10/25/29
..........................................
United
States
24,584,892
25,278,727
2017-C04,
2M2,
FRN,
2.939%,
(1-month
USD
LIBOR
+
2.85%),
11/25/29
..........................................
United
States
5,183,113
5,317,985
2017-C05,
1M2,
FRN,
2.289%,
(1-month
USD
LIBOR
+
2.2%),
1/25/30
...........................................
United
States
20,224,897
20,657,754
383,153,678
a
a
a
a
a
a
Total
Residential
Mortgage-Backed
Securities
(Cost
$433,763,460)
................
420,396,846
Shares
Escrows
and
Litigation
Trusts
0.0%
a
Mesquite
Energy,
Inc.,
Escrow
Account
.....................
United
States
3,000,000
82,500
a,c
Millennium
Corporate
Claim
Trust,
Escrow
Account
............
United
States
73,753
a,c
Millennium
Lender
Claim
Trust,
Escrow
Account
..............
United
States
73,753
Total
Escrows
and
Litigation
Trusts
(Cost
$2,814,453)
...........................
82,500
Total
Long
Term
Investments
(Cost
$5,507,188,312)
.............................
5,604,302,189
a
Number
of
Contracts
Notional
Amount
#
a
a
aa
Options
Purchased
0.0%
Calls
-
Over-the-Counter
Interest
Rate
Swaptions
0.0%
Receive
Fixed
0.9%,
Pay
Floating
3-month
USD
LIBOR,
Counterparty
CITI,
Expires
9/16/21
.......................
1
385,900,000
2,496,789
Puts
-
Over-the-Counter
Interest
Rate
Swaptions
0.0%
Receive
Floating
3-month
USD
LIBOR,
Pay
Fixed
1.94%,
Counterparty
CITI,
Expires
9/03/21
.......................
1
129,100,000
13,081
Receive
Floating
3-month
USD
LIBOR,
Pay
Fixed
2.09%,
Counterparty
DBAB,
Expires
9/27/21
.....................
1
129,100,000
34,557
Total
Options
Purchased
(Cost
$4,953,283)
.....................................
2,544,427
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
80
Short
Term
Investments
4.6%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
4.3%
e,s
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
229,501,774
$
229,501,774
Total
Money
Market
Funds
(Cost
$229,501,774)
.................................
229,501,774
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.3%
a
a
a
a
a
Money
Market
Funds
0.2%
e,s
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
12,280,000
12,280,000
Principal
Amount
*
Repurchase
Agreements
0.1%
t
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$3,070,142)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$3,131,534)
........................................
3,070,129
3,070,129
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$15,350,129)
...........................................................
15,350,129
Total
Short
Term
Investments
(Cost
$244,851,903
)
...............................
244,851,903
a
Total
Investments
(Cost
$5,756,993,498)
110.8%
.................................
$5,851,698,519
Options
Written
(0.0)%
......................................................
(64,714)
Other
Assets,
less
Liabilities
(10.8)%
..........................................
(573,888,712)
Net
Assets
100.0%
...........................................................
$5,277,745,093
Number
of
Contracts
Notional
Amount
#
Options
Written
(0.0)%
Puts
-
Over-the-Counter
Interest
Rate
Swaptions
(0.0)%
Receive
Floating
3-month
USD
LIBOR,
Pay
Fixed
1.39%,
Counterparty
CITI,
Expires
9/16/21
.......................
1
(385,900,000)
(64,714)
(64,714)
Total
Options
Written
(Premiums
received
$1,997,033)
...........................
$
(64,714)
#
Notional
amount
is
the
number
of
units
specified
in
the
contract,
and
can
include
currency
units,
bushels,
shares,
pounds,
barrels
or
other
units.
Currency
units
are
stated
in
U.S.
dollars
unless
otherwise
indicated.
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
Rounds
to
less
than
0.1%
of
net
assets.
a
Non-income
producing.
b
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
c
Fair
valued
using
significant
unobservable
inputs.
See
Note
10
regarding
fair
value
measurements.
d
See
Note
6
regarding
restricted
securities.
e
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
f
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$1,150,536,783,
representing
21.8%
of
net
assets.
g
Perpetual
security
with
no
stated
maturity
date.
h
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
81
i
Income
may
be
received
in
additional
securities
and/or
cash.
j
The
coupon
rate
shown
represents
the
rate
at
period
end.
k
A
portion
or
all
of
the
security
represents
an
unsettled
loan
commitment.
The
coupon
rate
is
to-be
determined
(TBD)
at
the
time
of
the
settlement
and
will
be
based
upon
a
reference
index/floor
plus
a
spread.
l
A
supranational
organization
is
an
entity
formed
by
two
or
more
central
governments
through
international
treaties.
m
The
principal
represents
the
notional
amount.
See
Note
3
regarding
value
recovery
instruments.
n
Principal
amount
of
security
is
adjusted
for
inflation.
o
Adjustable
rate
security
with
an
interest
rate
that
is
not
based
on
a
published
reference
index
and
spread.  The
rate
is
based
on
the
structure
of
the
agreement
and
current
market
conditions.
The
coupon
rate
shown
represents
the
rate
at
period
end.
p
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
q
Adjustable
Rate
Mortgage-Backed
Security
(ARM);
the
rate
shown
is
the
effective
rate
at
period
end.
ARM
rates
are
not
based
on
a
published
reference
rate
and
spread,
but
instead
pass-through
weighted
average
interest
income
inclusive
of
any
caps
or
floors,
if
applicable,
from
the
underlying
mortgage
loans
in
which
the
majority
of
mortgages
pay
interest
based
on
the
index
shown
at
their
designated
reset
dates
plus
a
spread,
less
the
applicable
servicing
and
guaranty
fee
(MBS
margin).
r
Security
purchased
on
a
to-be-announced
(TBA)
basis.
s
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
t
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
82
At
July
31,
2021,
the
Fund
had
the
following futures
contracts
outstanding.
See
Note
3. 
At
July
31,
2021,
the
Fund
had
the
following
forward
exchange
contracts
outstanding.
See
Note
3
Futures
Contracts
Description
Type
Number
of
Contracts
Notional
Amount
*
Expiration
Date
Value/
Unrealized
Appreciation
(Depreciation)
Interest
rate
contracts
U.S.
Treasury
10
Year
Notes
....................
Short
1,196
$
160,805,938
9/21/21
$
(963,741)
U.S.
Treasury
10
Year
Ultra
Notes
................
Short
375
56,343,750
9/21/21
(1,855,792)
U.S.
Treasury
2
Year
Notes
.....................
Long
1,321
291,486,906
9/30/21
(53,212)
U.S.
Treasury
5
Year
Notes
.....................
Long
4,536
564,483,940
9/30/21
2,848,509
U.S.
Treasury
Long
Bonds
.....................
Short
375
61,769,531
9/21/21
(82,564)
U.S.
Treasury
Ultra
Bonds
......................
Long
650
129,695,312
9/21/21
9,222,036
Total
Futures
Contracts
......................................................................
$9,115,236
*
As
of
period
end.
Forward
Exchange
Contracts
Currency
Counter-
party
a
Type
Quantity
Contract
Amount
*
Settlement
Date
Unrealized
Appreciation
Unrealized
Depreciation
a
a
a
a
a
a
a
a
OTC
Forward
Exchange
Contracts
Chinese
Yuan
......
JPHQ
Buy
84,000,000
12,750,842
9/17/21
$
191,377
$
Turkish
Lira
........
JPHQ
Buy
76,280,000
8,037,934
9/28/21
746,140
Indonesian
Rupiah
..
DBAB
Buy
97,144,100,000
6,660,549
11/17/21
(16,475)
Indonesian
Rupiah
..
JPHQ
Buy
92,000,000,000
6,309,581
11/17/21
(17,333)
Euro
.............
JPHQ
Sell
13,100,000
15,585,284
12/14/21
30,097
(28,257)
Canadian
Dollar
....
JPHQ
Sell
16,300,000
13,233,259
12/16/21
170,739
Japanese
Yen
......
JPHQ
Buy
1,981,000,000
17,865,920
12/29/21
218,124
Australian
Dollar
....
JPHQ
Buy
17,000,000
12,547,972
1/19/22
(63,124)
Singapore
Dollar
....
JPHQ
Buy
17,500,000
12,869,256
1/19/22
44,287
South
Korean
Won
..
JPHQ
Buy
14,600,000,000
12,630,195
1/19/22
5,507
Total
Forward
Exchange
Contracts
...................................................
$1,406,271
$(125,189)
Net
unrealized
appreciation
(depreciation)
............................................
$1,281,082
*
In
U.S.
dollars
unless
otherwise
indicated.
a
May
be
comprised
of
multiple
contracts
with
the
same
counterparty,
currency
and
settlement
date.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
83
At
July
31,
2021,
the
Fund
had
the
following credit
default
swap
contracts outstanding.
See
Note
3. 
Credit
Default
Swap
Contracts
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
OTC
Swap
Contracts
Contracts
to
Buy
Protection
(c)
Single
Name
Avon
Products,
Inc.
.......
(5.00)%
Quarterly
CITI
3/20/23
8,800,000
$
(586,972)
$
(418,347)
$
(168,625)
Nabors
Industries,
Inc.
.......
(1.00)%
Quarterly
CITI
12/20/21
10,225,000
140,098
57,530
82,568
Contracts
to
Sell
Protection
(c)(d)
Single
Name
Air
France-KLM
.
5.00%
Quarterly
BOFA
6/20/26
1,170,000
EUR
56,967
22,976
33,991
NR
Air
France-KLM
.
5.00%
Quarterly
JPHQ
6/20/26
2,780,000
EUR
135,357
47,691
87,666
NR
Air
France-KLM
.
5.00%
Quarterly
MSCO
12/20/25
6,430,000
EUR
310,296
6,758
303,538
NR
American
Airlines
Group,
Inc.
..
5.00%
Quarterly
CITI
12/20/21
7,800,000
170,265
(202,063)
372,328
CCC
American
Airlines
Group,
Inc.
..
5.00%
Quarterly
GSCO
6/20/22
5,200,000
88,633
(43,239)
131,872
CCC
Carnival
Corp.
..
1.00%
Quarterly
CITI
12/20/25
7,800,000
(999,075)
(1,070,178)
71,103
B-
Macy's
Retail
Holdings
LLC
.
1.00%
Quarterly
JPHQ
12/20/25
7,800,000
(660,256)
(1,274,714)
614,458
B
Nabors
Industries,
Inc.
.......
1.00%
Quarterly
CITI
12/20/23
10,225,000
(1,428,781)
(730,406)
(698,375)
CCC-
Nordstrom,
Inc.
.
1.00%
Quarterly
BNDP
6/20/26
6,300,000
(397,377)
(400,324)
2,947
BB+
Nordstrom,
Inc.
.
1.00%
Quarterly
JPHQ
6/20/26
6,300,000
(397,377)
(307,202)
(90,175)
BB+
Royal
Caribbean
Cruises
Ltd.
..
5.00%
Quarterly
BZWS
12/20/25
7,800,000
400,046
(203,843)
603,889
B
United
Airlines
Holdings,
Inc.
.
5.00%
Quarterly
FBCO
12/20/25
650,000
34,067
34,067
B
Traded
Index
(e)
Citibank
Bespoke
Franklin,
Equity
Tranche
0-5%
—%
Quarterly
CITI
12/20/22
12,600,000
(3,047,702)
(2,414,367)
(633,335)
Non-
Investment
Grade
(e)
Citibank
Bespoke
Palm
Beach
Index,
Mezzanine
Tranche
5-10%
1.97%
Quarterly
CITI
12/20/22
14,000,000
42,226
42,226
Non-
Investment
Grade
(e)
Citibank
Bespoke
Palm
Beach
Index,
Mezzanine
Tranche
5-10%
2.42%
Quarterly
CITI
12/20/22
10,500,000
20,609
20,609
Non-
Investment
Grade
(e)
Citibank
Bespoke
Phoenix
Index,
Mezzanine
Tranche
3.97-
5.99%
.....
3.35%
Quarterly
CITI
12/20/21
1,100,000
15,922
15,922
Non-
Investment
Grade
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
84
*Posting
of
collateral
is
required
by
either
the
Fund
or
the
applicable
counterparty
if
the
total
net
exposure
of
all
OTC
derivatives
with
the
applicable
counterparty
exceeds
the
minimum
transfer
amount,
which
typically
ranges
from
$100,000
to
$250,000,
and
can
vary
depending
on
the
counterparty
and
the
type
of
the
agreement.
The
table below
summarizes
the
cash
and/or
securities
held
as
collateral
for
each
applicable
counterparty
at
period
end.
Credit
Default
Swap
Contracts
(continued)
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
OTC
Swap
Contracts
(continued)
Contracts
to
Sell
Protection
(c)(d)
(continued)
Traded
Index
(continued)
(e)
Citibank
Bespoke
Phoenix
Index,
Mezzanine
Tranche
5-7%
2.90%
Quarterly
CITI
12/20/21
7,800,000
$
94,994
$
$
94,994
Non-
Investment
Grade
(e)
Citibank
Bespoke
Portsmouth,
Mezzanine
Tranche
5-10%
2.15%
Quarterly
CITI
6/20/22
30,000,000
410,046
410,046
Non-
Investment
Grade
MCDX.
NA.MAIN.31
.
1.00%
Quarterly
CITI
12/20/23
2,325,000
29,446
11,232
18,214
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
0-5%
—%
Quarterly
MSCO
12/20/21
35,331,906
6,996,230
4,881,495
2,114,735
Non-
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
4.10%
Quarterly
MSCO
12/20/21
8,300,000
7,888
7,888
Non-
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
3.98%
Quarterly
MSCO
12/20/21
8,300,000
2,864
2,864
Non-
Investment
Grade
Total
OTC
Swap
Contracts
..............................................
$1,438,414
$(2,037,001)
$3,475,415
Total
Credit
Default
Swap
Contracts
....................................
$1,438,414
$
(2,037,001)
$3,475,415
Counterparty
Collateral
Pledged
(Received)
BNDP
$400,000
BZWS
(322,970)
CITI
13,190,000
FBCO
(50,000)
JPHQ
(614,690)
MSCO
(7,190,000)
Total
collateral
$5,412,340
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
85
At
July
31,
2021,
the
Fund
had
the
following cross-currency
swap
contracts outstanding.
See
Note
3
At
July
31,
2021,
the
Fund
had
the
following inflation index
swap
contracts outstanding.
See
Note
3
See
A
bbreviations
on
page
104
.
(a)
In
U.S.
dollars
unless
otherwise
indicated.
For
contracts
to
sell
protection,
the
notional
amount
is
equal
to
the
maximum
potential
amount
of
the
future
payments
and
no
recourse
provisions
have
been
entered
into
in
association
with
the
contracts.
(b)
Based
on
Standard
and
Poor's
(S&P)
Rating
for
single
name
swaps
and
internal
ratings
for
index
swaps.
Internal
ratings
based
on
mapping
into
equivalent
ratings
from
external
vendors.
(c)
Performance
triggers
for
settlement
of
contract
include
default,
bankruptcy
or
restructuring
for
single
name
swaps,
and
failure
to
pay
or
bankruptcy
of
the
underlying
securities
for
traded
index
swaps.
(d)
The
fund
enters
contracts
to
sell
protection
to
create
a
long
credit
position.
(e)
Represents
a
custom
index
comprised
of
a
basket
of
underlying
instruments.
Cross-Currency
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value/
Unrealized
Appreciation
(Depreciation)
aA
aaa
aaa
aaa
OTC
Swap
Contracts
Receive
Floating
3-month
USD
LIBOR
+
1.23%
.....
Quarterly
2,830,500
USD
Pay
Floating
3-month
EURIBOR
+
1.07%
.........
Quarterly
CITI
9/17/21
2,550,000
EUR
$
(191,603)
Receive
Floating
3-month
USD
LIBOR
+
1.87%
.....
Quarterly
6,160,000
USD
Pay
Floating
3-month
EURIBOR
+
1.7%
..........
Quarterly
CITI
10/15/21
5,600,000
EUR
(481,262)
Receive
Floating
3-month
USD
LIBOR
+
1.175%
.....
Quarterly
55,747,250
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
11/22/21
50,450,000
EUR
(4,018,242)
Receive
Floating
3-month
USD
LIBOR
+
1.174%
.....
Quarterly
51,115,500
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
12/10/21
46,050,000
EUR
(3,460,858)
Receive
Floating
3-month
USD
LIBOR
+
1.318%
.....
Quarterly
26,862,000
USD
Pay
Floating
3-month
EURIBOR
+
1.2%
..........
Quarterly
CITI
12/12/21
24,200,000
EUR
(1,824,706)
Total
Cross
Currency
Swap
Contracts
...........................................................
$(9,976,671)
Inflation
Index
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Centrally
Cleared
Swap
Contracts
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
1.913%
.....
At
Maturity
1/14/29
$
37,900,000
$
2,864,485
$
$
2,864,485
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
1.943%
.....
At
Maturity
1/15/29
45,100,000
3,277,288
3,277,288
Total
Inflation
Index
Swap
Contracts
..................................
$6,141,773
$—
$6,141,773
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
86
Quarterly
Statement
of
Investments
1.
Organization
Franklin
Investors
Securities
Trust (Trust)
is
registered
under
the
Investment
Company
Act
of
1940
(1940
Act)
as
an
open-end
management
investment
company,
consisting
of
seven
separate
funds, and
applies
the
specialized
accounting
and
reporting
guidance
in
U.S.
Generally
Accepted
Accounting
Principles
(U.S.
GAAP). 
2. Financial
Instrument
Valuation
The
Funds’
investments
in
financial
instruments
are
carried
at
fair
value
daily.
Fair
value
is
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
on
the
measurement
date.
The
Funds
calculate
the
net
asset
value
(NAV)
per
share
each
business
day
as
of
4
p.m.
Eastern
time
or
the
regularly
scheduled
close
of
the
New
York
Stock
Exchange
(NYSE),
whichever
is
earlier.
Under
compliance
policies
and
procedures
approved
by
the
Trust’s
Board
of
Trustees
(the
Board),
the
Funds’
administrator
has
responsibility
for
oversight
of
valuation,
including
leading
the
cross-functional
Valuation
Committee
(VC).
The
Funds
may
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers,
and
other
market
sources
to
determine
fair
value. 
Equity
securities,
exchange
traded
funds,
and
derivative
financial
instruments
listed
on
an
exchange
or
on
the
NASDAQ
National
Market
System
are
valued
at
the
last
quoted
sale
price
or
the
official
closing
price
of
the
day,
respectively.
Foreign
equity
securities
are
valued
as
of
the
close
of
trading
on
the
foreign
stock
exchange
on
which
the
security
is
primarily
traded
or
as
of
4
p.m.
Eastern
time.
The
value
is
then
converted
into
its
U.S.
dollar
equivalent
at
the
foreign
exchange
rate
in
effect
at
4
p.m. Eastern
time
on
the
day
that
the
value
of
the
security
is
determined.
Over-the-counter
(OTC)
securities
are
valued
within
the
range
of
the
most
recent
quoted
bid
and
ask
prices.
Securities
that
trade
in
multiple
markets
or
on
multiple
exchanges
are
valued
according
to
the
broadest
and
most
representative
market.
Certain
equity
securities
are
valued
based
upon
fundamental
characteristics
or
relationships
to
similar
securities. 
Debt
securities
generally
trade
in
the
over-the-counter
(OTC)
market
rather
than
on
a
securities
exchange.
The
Funds’
pricing
services
use
multiple
valuation
techniques
to
determine
fair
value.
In
instances
where
sufficient
market
activity
exists,
the
pricing
services
may
utilize
a
market-based
approach
through
which
quotes
from
market
makers
are
used
to
determine
fair
value.
In
instances
where
sufficient
market
activity
may
not
exist
or
is
limited,
the
pricing
services
also
utilize
proprietary
valuation
models
which
may
consider
market
characteristics
such
as
benchmark
yield
curves,
credit
spreads,
estimated
default
rates,
anticipated
market
interest
rate
volatility,
coupon
rates,
anticipated
timing
of
principal
repayments,
underlying
collateral,
and
other
unique
security
features
in
order
to
estimate
the
relevant
cash
flows,
which
are
then
discounted
to
calculate
the
fair
value.
Securities
denominated
in
a
foreign
currency
are
converted
into
their
U.S.
dollar
equivalent
at
the
foreign
exchange
rate
in
effect
at
4
p.m.
Eastern
time
on
the
date
that
the
values
of
the
foreign
debt
securities
are
determined.
Investments
in
open-end
mutual
funds
are
valued
at
the
closing
NAV.
Investments
in
repurchase
agreements
are
valued
at
cost,
which
approximates
fair
value.
Certain
derivative
financial
instruments
are
centrally
cleared
or
trade
in
the
OTC
market.
The
Funds’
pricing
services
use
various
techniques
including
industry
standard
option
pricing
models
and
proprietary
discounted
cash
flow
models
to
determine
the
fair
value
of
those
instruments.
The
Funds’ net
benefit
or
obligation
under
the
derivative
contract,
as
measured
by
the
fair
value
of
the
contract,
is
included
in
net
assets. 
The
Funds
have procedures
to
determine
the
fair
value
of
financial
instruments
for
which
market
prices
are
not
reliable
or
readily
available.
Under
these
procedures,
the
Funds
primarily employ
a
market-based
approach
which
may
use
related
or
comparable
assets
or
liabilities,
recent
transactions,
market
multiples,
book
values,
and
other
relevant
information
for
the
investment
to
determine
the
fair
value
of
the
investment.
An
income-based
valuation
approach
may
also
be
used
in
which
the
anticipated
future
cash
flows
of
the
investment
are
discounted
to
calculate
fair
value.
Discounts
may
also
be
applied
due
to
the
nature
or
duration
of
any
restrictions
on
the
disposition
of
the
investments.
Due
to
the
inherent
uncertainty
of
valuations
of
such
investments,
the
fair
values
may
differ
significantly
from
the
values
that
would
have
been
used
had
an
active
market
existed. 
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
87
Quarterly
Statement
of
Investments
Trading
in
securities
on
foreign
securities
stock
exchanges
and
OTC
markets
may
be
completed
before
4
p.m.
Eastern
time.
In
addition,
trading
in
certain
foreign
markets
may
not
take
place
on
every
Funds’ business
day.
Events
can
occur
between
the
time
at
which
trading
in
a
foreign
security
is
completed
and
4
p.m.
Eastern
time
that
might
call
into
question
the
reliability
of
the
value
of
a
portfolio
security
held
by
the
Fund.
As
a
result,
differences
may
arise
between
the
value
of
the
Funds’
portfolio
securities
as
determined
at
the
foreign
market
close
and
the
latest
indications
of
value
at
4
p.m.
Eastern
time.
In
order
to
minimize
the
potential
for
these
differences,
an
independent
pricing
service
may
be
used
to
adjust
the
value
of
the
Funds'
portfolio
securities
to
the
latest
indications
of
fair
value
at 4
p.m.
Eastern
time.
At
July
31,
2021,
certain
securities
may
have
been
fair
valued
using
these
procedures,
in
which
case
the
securities
were
categorized
as
Level
2
inputs
within
the
fair
value
hierarchy
(referred
to
as
"market
level
fair
value").
See
the
Fair
Value
Measurements
note
for
more
information.
When
the
last
day
of
the
reporting
period
is
a
non-business
day,
certain
foreign
markets
may
be
open
on
those
days
that
the
Funds’
NAV
is
not
calculated,
which
could
result
in
differences
between
the
value
of
the
Funds’
portfolio securities
on
the
last
business
day
and
the
last
calendar
day
of
the
reporting
period.
Any
security
valuation
changes
due
to
an
open
foreign
market
are
adjusted
and
reflected
by
the
Funds for
financial
reporting
purposes.
3.
Derivative
Financial
Instruments
Certain
or
all
Funds
invested
in
derivative
financial
instruments
in
order
to
manage
risk
or
gain
exposure
to
various
other
investments
or
markets.
Derivatives
are
financial
contracts
based
on
an
underlying
or
notional
amount,
require
no
initial
investment
or
an
initial
net
investment
that
is
smaller
than
would
normally
be
required
to
have
a
similar
response
to
changes
in
market
factors,
and
require
or
permit
net
settlement.
Derivatives
contain
various
risks
including
the
potential
inability
of
the
counterparty
to
fulfill
their
obligations
under
the
terms
of
the
contract,
the
potential
for
an
illiquid
secondary
market,
and/or
the
potential
for
market
movements.
Derivative
counterparty
credit
risk
is
managed
through
a
formal
evaluation
of
the
creditworthiness
of
all
potential
counterparties.
Certain
or
all
Funds
attempt
to
reduce
their
exposure
to
counterparty
credit
risk
on
OTC
derivatives,
whenever
possible,
by
entering
into
International
Swaps
and
Derivatives
Association
(ISDA)
master
agreements
with
certain
counterparties.
These
agreements
contain
various
provisions,
including
but
not
limited
to
collateral
requirements,
events
of
default,
or
early
termination.
Termination
events
applicable
to
the
counterparty
include
certain
deteriorations
in
the
credit
quality
of
the
counterparty.
Termination
events
applicable
to
the
Funds include
failure
of
the
Funds
to
maintain
certain
net
asset
levels
and/or
limit
the
decline
in
net
assets
over
various
periods
of
time.
In
the
event
of
default
or
early
termination,
the
ISDA
master
agreement
gives
the
non-defaulting
party
the
right
to
net
and
close-out
all
transactions
traded,
whether
or
not
arising
under
the
ISDA
agreement,
to
one
net
amount
payable
by
one
counterparty
to
the
other.
Early
termination
by
the
counterparty
may
result
in
an
immediate
payment
by
the
Funds
of
any
net
liability
owed
to
that
counterparty
under
the
ISDA
agreement. 
Collateral
requirements
differ
by
type
of
derivative.
Collateral
or
initial
margin
requirements
are
set
by
the
broker
or
exchange
clearing
house
for
exchange
traded
and
centrally
cleared
derivatives.
Initial
margin
deposited
is
held
at
the
exchange
and
can
be
in
the
form
of
cash
and/or
securities.
For
OTC
derivatives
traded
under
an
ISDA
master
agreement,
posting
of
collateral
is
required
by
either
the
Fund
or
the
applicable
counterparty
if
the
total
net
exposure
of
all
OTC
derivatives
with
the
applicable
counterparty
exceeds
the
minimum
transfer
amount,
which
typically
ranges
from
$100,000
to
$250,000,
and
can
vary
depending
on
the
counterparty
and
the
type
of
the
agreement.
Generally,
collateral
is
determined
at
the
close
of
Fund
business
each
day
and
any
additional
collateral
required
due
to
changes
in
derivative
values
may
be
delivered
by
the
Fund
or
the
counterparty
the
next
business
day,
or
within
a
few
business
days.
Collateral
pledged
and/or
received
by
the
Fund
for
OTC
derivatives,
if
any,
is
held
in
segregated
accounts
with
the
Fund’s
custodian/counterparty
broker
and
can
be
in
the
form
of
cash
and/or
securities.
Unrestricted
cash
may
be
invested
according
to
the
Funds’ investment
objectives.
To
the
extent
that
the
amounts
due
to
the
Fund
from
its
counterparties
are
not
subject
to
collateralization
or
are
not
fully
collateralized,
the
Fund
bears
the
risk
of
loss
from
counterparty
non-performance.
2. Financial
Instrument
Valuation
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
88
Quarterly
Statement
of
Investments
At
July
31,
2021,
the
Funds received
U.S.
Treasury
Bills,
Bonds
and
Notes
as
collateral
for
derivatives,
as
follows:
Franklin Low
Duration
Total
Return
Fund
-
$116,680
Franklin
Total
Return
Fund
- $937,660
Certain
or
all
Funds entered
into
exchange
traded
futures
contracts
primarily
to
manage
and/or
gain
exposure
to
interest
rate
risk.
A
futures
contract
is
an
agreement
between
the
Fund
and
a
counterparty
to
buy
or
sell
an
asset
at
a
specified
price
on
a
future
date.
Required
initial
margins
are
pledged
by
the
Fund,
and
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable. 
Certain
or
all
Funds
entered
into
OTC
forward
exchange
contracts
primarily
to
manage
and/or
gain
exposure
to
certain
foreign
currencies.
A
forward
exchange
contract
is
an
agreement
between
the
Fund
and
a
counterparty
to
buy
or
sell
a
foreign
currency at
a
specific
exchange
rate
on
a
future
date.
Certain
or
all
Funds
entered
into
credit
default
swap
contracts
primarily
to
manage
and/or
gain
exposure
to
credit
risk.
A
credit
default
swap
is
an
agreement
between
the
Fund
and
a
counterparty
whereby
the
buyer
of
the
contract
receives
credit
protection
and
the
seller
of
the
contract
guarantees
the
credit
worthiness
of
a
referenced
debt
obligation.
These
agreements
may
be
privately
negotiated
in
the
over-the-counter
market
(OTC
credit
default
swaps)
or
may
be
executed
in
a
multilateral
trade
facility
platform,
such
as
a
registered
exchange
(centrally
cleared
credit
default
swaps).
The
underlying
referenced
debt
obligation
may
be
a
single
issuer
of
corporate
or
sovereign
debt,
a
credit
index,
a
basket
of
issuers
or
indices,
or
a
tranche
of
a
credit
index
or
basket
of
issuers
or
indices.
In
the
event
of
a
default
of
the
underlying
referenced
debt
obligation,
the
buyer
is
entitled
to
receive
the
notional
amount
of
the
credit
default
swap
contract
from
the
seller
in
exchange
for
the
referenced
debt
obligation,
a
net
settlement
amount
equal
to
the
notional
amount
of
the
credit
default
swap
less
the
recovery
value
of
the
referenced
debt
obligation,
or
other
agreed
upon
amount.
For
centrally
cleared
credit
default
swaps,
required
initial
margins
are
pledged
by
the
Fund,
and
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable.
Over
the
term
of
the
contract,
the
buyer
pays
the
seller
a
periodic
stream
of
payments,
provided
that
no
event
of
default
has
occurred.
Such
periodic
payments
are
accrued
daily
as
an
unrealized
appreciation
or
depreciation
until
the
payments
are
made,
at
which
time
they
are
realized.
Upfront
payments
and
receipts
represent
compensating
factors
between
stated
terms
of
the
credit
default
swap
agreement
and
prevailing
market
conditions
(credit
spreads
and
other
relevant
factors).
These
upfront
payments
and
receipts
are
amortized
over
the
term
of
the
contract
as
a
realized
gain
or
loss.
Certain
or
all
Funds
entered
into
OTC
cross
currency
swap
contracts
primarily
to
manage
and/or
gain
exposure
to
certain
foreign
currencies.
A
cross
currency
swap
is
an
agreement
between
the
Fund
and
a
counterparty
to
exchange
cash
flows
(determined
using
either
a
fixed
or
floating
rate)
based
on
the
notional
amounts
of
two
different
currencies.
The
notional
amounts
are
typically
determined
based
on
the
spot
exchange
rates
at
the
opening
of
the
contract.
Cross
currency
swaps
may
require
the
exchange
of
notional
amounts
at
the
opening
and/or
closing
of
the
contract.
Over
the
term
of
the
contract,
contractually
required
payments
to
be
paid
and
to
be
received
are
accrued
daily
and
recorded
as
unrealized
depreciation
and
appreciation
until
the
payments
are
made,
at
which
time
they
are
realized.
Upfront
payments
and
receipts
represent
compensating
factors
between
stated
terms
of
the
cross
currency
swap
contract
and
prevailing
market
conditions
(interest
rate
spreads
and
other
relevant
factors).
These
upfront
payments
and
receipts
are
amortized
over
the
term
of
the
contract
as
a
realized
gain
or
loss.
Certain
or
all
Funds
entered
into
inflation
index
swap
contracts
primarily
to
manage
and/or
gain
exposure
to
inflation
risk.
An
inflation
index
swap
is
an
agreement
between
the
Fund
and
a
counterparty
to
exchange
cash
flows
whereby
one
party
makes
payments
based
on
the
percentage
change
in
an
index
that
serves
as
a
measure
of
inflation
and
the
other
party
makes
a
regular
payment
based
on
a
compounded
fixed
rate,
applied
to
a
notional
amount.
These
agreements
may
be
privately
negotiated
in
the
over-the-counter
market
(OTC
inflation
index
swap)
or
may
be
executed
on
a
registered
exchange
(centrally
cleared
inflation
index
swap).
For
centrally
cleared
inflation
index
swaps,
required
initial
margins
are
pledged
by
the
Fund,
3.
Derivative
Financial
Instruments
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
89
Quarterly
Statement
of
Investments
and
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable.
Over
the
term
of
the
contract,
contractually
required
payments
to
be
paid
and
to
be
received
are
accrued
daily
and
recorded
as
unrealized
depreciation
and
appreciation
until
the
payments
are
made,
at
which
time
they
are
realized.
Typically,
an
inflation
index
swap
has
payment
obligations
netted
and
exchanged
upon
maturity. 
Certain
or
all
Funds
entered
into
interest
rate
swap
contracts
primarily
to
manage
interest
rate
risk.
An
interest
rate
swap
is
an
agreement
between
the
Fund
and
a
counterparty
to
exchange
cash
flows
based
on
the
difference
between
two
interest
rates,
applied
to
a
notional
amount.
These
agreements
may
be
privately
negotiated
in
the
over-the-counter
market
(OTC
interest
rate
swaps)
or
may
be
executed
on
a
registered
exchange
(centrally
cleared
interest
rate
swaps).
For
centrally
cleared
interest
rate
swaps,
required
initial
margins
are
pledged
by
the
Fund,
and
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable.
Over
the
term
of
the
contract,
contractually
required
payments
to
be
paid
and
to
be
received
are
accrued
daily
and
recorded
as
unrealized
depreciation
and
appreciation
until
the
payments
are
made,
at
which
time
they
are
realized. 
Certain
or
all
Funds
entered
into
OTC
total
return
swap
contracts
primarily
to
manage
and/or
gain
exposure
to
credit
and
other
markets
risk(s)
of
an
underlying
instrument
such
as
a
stock,
bond,
index
or
basket
of
securities
or
indices.
A
total
return
swap
is
an
agreement
between
the
Fund
and
a
counterparty
to
exchange
a
return
linked
to
an
underlying
instrument
for
a
floating
or
fixed
rate
payment,
both
based
upon
a
notional
amount.
Over
the
term
of
the
contract,
contractually
required
payments
to
be
paid
or
received
are
accrued
daily
and
recorded
as
unrealized
appreciation
or
depreciation
until
the
payments
are
made,
at
which
time
they
are
recognized
as
realized
gain
or
loss. 
Certain
or
all
Funds purchased
or
wrote
exchange
traded
and/or
OTC
option
contracts
primarily
to
manage
and/or
gain
exposure
to
interest
rate
risk.
An
option
is
a
contract
entitling
the
holder
to
purchase
or
sell
a
specific
amount
of
shares
or
units
of
an
asset
or
notional
amount
of
a
swap
(swaption),
at
a
specified
price.
When
an
option
is
purchased
or
written,
an
amount
equal
to
the
premium
paid
or
received
is
recorded
as
an
asset
or
liability,
respectively.
Upon
exercise
of
an
option,
the
acquisition
cost
or
sales
proceeds
of
the
underlying
investment
is
adjusted
by
any
premium
received
or
paid.
Upon
expiration
of
an
option,
any
premium
received
or
paid
is
recorded
as
a
realized
gain
or
loss.
Upon
closing
an
option
other
than
through
expiration
or
exercise,
the
difference
between
the
premium
received
or
paid
and
the
cost
to
close
the
position
is
recorded
as
a
realized
gain
or
loss. 
Certain
or
all
Funds
invest in
value
recovery
instruments
(VRI)
primarily
to
gain
exposure
to
economic
growth.
Periodic
payments
from
VRI
are
dependent
on
established
benchmarks
for
underlying
variables.
VRI
has
a
notional
amount,
which
is
used
to
calculate
amounts
of
payments
to
holders.
Payments
are
recorded
upon
receipt
as
realized
gains.
The
risks
of
investing
in
VRI
include
growth
risk,
liquidity,
and
the
potential
loss
of
investment.
The
following
Funds
have
invested
in
derivatives
during
the
period. 
Franklin Low
Duration
Total
Return
Fund
-
Futures,
forwards
and
swaps
Franklin
Managed
Income Fund
-
Options
Franklin
Total
Return
Fund
- Futures,
forwards,
options,
swaps
and
VRI
4.
Mortgage
Dollar
Rolls 
Franklin
Low
Duration
Total
Return
Fund
and
Franklin
Total
Return
Fund
enter
into
mortgage
dollar
rolls,
typically
on
a
to-be-announced
basis.
Mortgage
dollar
rolls
are
agreements
between
the
Fund
and
a
financial
institution
where
the
Fund
sells
(or
buys)
mortgage-backed
securities
for
delivery
on
a
specified
date
and
simultaneously
contracts
to
repurchase
(or
sell)
substantially
similar
(same
type,
coupon,
and
maturity)
securities
at
a
future
date
and
at
a
predetermined
price.
Gains
3.
Derivative
Financial
Instruments
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
90
Quarterly
Statement
of
Investments
or
losses
are
realized
on
the
initial
sale,
and
the
difference
between
the
repurchase
price
and
the
sale
price
is
recorded
as
an
unrealized
gain
or
loss
to
the
Fund
upon
entering
into
the
mortgage
dollar
roll.
In
addition,
the
Fund
may
invest
the
cash
proceeds
that
are
received
from
the
initial
sale.
During
the
period
between
the
sale
and
repurchase,
the
Fund
is
not
entitled
to
principal
and
interest
paid
on
the
mortgage
backed
securities.
Transactions
in
mortgage
dollar
rolls
are
accounted
for
as
purchases
and
sales
and
may
result
in
an
increase
to
the
Fund’s
portfolio
turnover
rate.
The
risks
of
mortgage
dollar
roll
transactions
include
the
potential
inability
of
the
counterparty
to
fulfill
its
obligations.
5.
Novel
Coronavirus
Pandemic 
The
global
outbreak
of
the
novel
coronavirus
disease,
known
as
COVID-19,
has
caused
adverse
effects
on
many
companies,
sectors,
nations,
regions
and
the
markets
in
general,
and
may
continue
for
an
unpredictable
duration.
The
effects
of
this
pandemic
may
materially
impact
the
value
and
performance
of
the
Funds,
their
ability
to
buy
and
sell
fund
investments
at
appropriate
valuations
and
their
ability
to
achieve
their
investment
objectives.
6. Restricted
Securities 
At
July
31,
2021,
investments
in
restricted
securities,
excluding
securities
exempt
from
registration
under
the
Securities
Act
of
1933,
were
as
follows:
7.
Unfunded
Loan
Commitments  
Certain
or
all
Funds
enter
into
certain
credit
agreements,
all
or
a
portion
of
which
may
be
unfunded.
The
Funds
are
obligated
to
fund
these
loan
commitments
at
the
borrowers’
discretion.
Unfunded
loan
commitments
and
funded
portions
of
credit
agreements
are
marked
to
market
daily.
Funded
portions
of
credit
agreements
are
presented
in
the
Statements
of
Investments.
Shares
Issuer
Acquisition
Date
Cost
Value
Franklin
Floating
Rate
Daily
Access
Fund
1,219,956
Appvion
Operations,
Inc.
......................
6/14/18
-
4/12/19
$
12,791,766
$
29,876,200
Total
Restricted
Securities
(Value
is
2.4%
of
Net
Assets)
..............
$12,791,766
$29,876,200
Shares
Issuer
Acquisition
Date
Cost
Value
Franklin
Low
Duration
Total
Return
Fund
12,326,925
a
K2016470219
South
Africa
Ltd.,
A
...............
4/15/13
-
2/01/17
$
92,077
$
1,226,701
a
K2016470219
South
Africa
Ltd.,
B
...............
2/01/17
911
Total
Restricted
Securities
(Value
is
—%
of
Net
Assets)
..............
$92,988
$—
Shares
Issuer
Acquisition
Date
Cost
Value
Franklin
Total
Return
Fund
28,762,824
a
K2016470219
South
Africa
Ltd.,
A
...............
4/15/13
-
2/01/17
$
221,469
$
2,862,311
a
K2016470219
South
Africa
Ltd.,
B
...............
2/01/17
2,125
Total
Restricted
Securities
(Value
is
—%
of
Net
Assets)
..............
$223,594
$—
a
The
Fund
also
invests
in
unrestricted
securities
of
the
issuer,
valued
at
$-
as
of
July
31,
2021.
4.
Mortgage
Dollar
Rolls 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
91
Quarterly
Statement
of
Investments
At
July
31,
2021,
unfunded
commitments
were
as
follows:
8.
Holding
of
5%
Voting
Securities
of
Portfolio
Companies 
The
1940
Act
defines
"affiliated
companies"
to
include
investments
in
portfolio
companies
in
which
a
fund
owns
5%
or
more
of
the
outstanding
voting
securities.
Additionally,
as
defined
in
the
1940
Act,
an
investment
is
deemed
to
be
a
“Controlled
Affiliate”
of
a
fund
when
a
fund
owns,
either
directly
or
indirectly,
25%
or
more
of
the
affiliated
companies’
outstanding
shares
or
has
the
power
to
exercise
control
over
management
or
policies
of
such
company.
During
the
period
ended
July
31,
2021,
investments
in
“affiliated
companies”
were
as
follows: 
Borrower
Unfunded
Commitment
Franklin
Floating
Rate
Daily
Access
Fund
Fieldwood
Energy
LLC
$6,781,487
AI
Aqua
Merger
Sub,
Inc.
595,890
Aveanna
Healthcare
LLC
589,706
National
Mentor
Holdings
Inc.
452,795
Sovos Compliance, LLC, Term Loan
217,428
Total
$8,637,306
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares/Principal
Amount
Held
at
End
of
Period
Investment
Income
Franklin
Floating
Rate
Daily
Access
Fund
Non-Controlled
Affiliates
Dividends
Appvion
Operations,
Inc.
$
18,106,975
$
$
$
$
11,769,225
$
29,876,200
1,219,956
$
Remington
Outdoor
Co.,
Inc.
............
(73,081,001)
73,081,001
a
Remington
Outdoor
Co.,
Inc.,
Litigation
Units
.
b
Interest
Appvion
Operations,
Inc.,
Term
Loan,
7%,
(3-month
USD
LIBOR
+
6%),
6/12/26
......
28,599,539
(29,102,436)
59,911
442,986
a
888,285
c
Total
Affiliated
Securities
(Value
is
2.4%
of
Net
Assets)
..........
$46,706,514
$—
$(29,102,436)
$(73,021,090)
$85,293,212
$29,876,200
$888,285
a
As
of
July
31,
2021,
no
longer
held
by
the
fund.
b
As
of
July
31,
2021,
no
longer
an
affiliate.
c
Includes
non-cash
dividend/interest
received.
7.
Unfunded
Loan
Commitments  
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
92
Quarterly
Statement
of
Investments
9.
Investments
in
Affiliated
Management
Investment
Companies 
Certain
or
all
Funds
invest
in
one
or
more
affiliated
management
investment
companies.
As
defined
in
the
1940
Act,
an
investment
is
deemed
to
be
a
“Controlled
Affiliate”
of
a
fund
when
a
fund
owns,
either
directly
or
indirectly,
25%
or
more
of
the
affiliated
fund’s
outstanding
shares
or
has
the
power
to
exercise
control
over
management
or
policies
of
such
fund.
The
Funds
do
not
invest
for
purposes
of
exercising
a
controlling
influence
over
the
management
or
policies.
During
the
period
ended
July
31,
2021,
investments
in
affiliated
management
investment
companies
were
as
follows: 
    aa
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares
Held
at
End
of
Period
Investment
Income
a      
a  
a  
a  
a  
a  
a  
a  
Franklin
Adjustable
U.S.
Government
Securities
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$37,053,731
$7,431,768
$(10,550,889)
$—
$—
$33,934,610
33,934,610
$1,452
Total
Affiliated
Securities
....
$37,053,731
$7,431,768
$(10,550,889)
$—
$—
$33,934,610
$1,452
Franklin
Convertible
Securities
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$211,356,904
$771,643,715
$(766,048,414)
$—
$—
$216,952,205
216,952,205
$6,614
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$6,200,000
$132,671,000
$(118,941,000)
$
$
$19,930,000
19,930,000
$951
Total
Affiliated
Securities
....
$217,556,904
$904,314,715
$(884,989,414)
$—
$—
$236,882,205
$7,565
Franklin
Equity
Income
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$13,813,242
$461,626,461
$(414,174,403)
$—
$—
$61,265,300
61,265,300
$1,726
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$14,180,000
$84,111,000
$(92,326,000)
$
$
$5,965,000
5,965,000
$372
Total
Affiliated
Securities
....
$27,993,242
$545,737,461
$(506,500,403)
$—
$—
$67,230,300
$2,098
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
93
Quarterly
Statement
of
Investments
    aa
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares
Held
at
End
of
Period
Investment
Income
a      
a  
a  
a  
a  
a  
a  
a  
Franklin
Floating
Rate
Daily
Access
Fund
Non-Controlled
Affiliates
Dividends
Franklin
Floating
Rate
Income
Fund
...................
$37,437,554
$—
$(4,000,005)
$(1,176,106)
$4,362,757
$36,624,200
4,630,114
$1,224,725
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
69,832,875
96,591,368
(104,389,998)
62,034,245
62,034,245
2,513
Total
Non-Controlled
Affiliates
$107,270,429
$96,591,368
$(108,390,003)
$
(1,176,106)
$
4,362,757
$98,658,445
$
1,227,238
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$—
$9,169,000
$(4,627,000)
$
$
$4,542,000
4,542,000
$13
Total
Affiliated
Securities
....
$107,270,429
$105,760,368
$(113,017,003)
$(1,176,106)
$4,362,757
$103,200,445
$1,227,251
Franklin
Low
Duration
Total
Return
Fund
Non-Controlled
Affiliates
Dividends
Franklin
Floating
Rate
Income
Fund
...................
$17,370,266
$103,515,968
$—
$—
$(3,536,876)
$117,349,358
14,835,570
$1,662,640
Franklin
Liberty
High
Yield
Corporate
ETF
............
6,912,430
(26,597)
6,885,833
259,500
210,505
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
197,465,127
242,791,064
(384,194,564)
56,061,627
56,061,627
3,306
Total
Non-Controlled
Affiliates
$214,835,393
$353,219,462
$(384,194,564)
$—
$(3,563,473)
$180,296,818
$1,876,451
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$—
$5,233,000
$(5,233,000)
$—
$
$—
a
$7
Total
Affiliated
Securities
....
$214,835,393
$358,452,462
$(389,427,564)
$—
$(3,563,473)
$180,296,818
$1,876,458
Franklin
Managed
Income
Fund
Controlled
Affiliates
Dividends
Franklin
Liberty
Systematic
Style
Premia
ETF
..............
$25,719,105
$—
$—
$
$
(1,631,605)
$
24,087,500
1,175,000
$
2,086,048
Franklin
Liberty
U.S.
Low
Volatility
ETF
....................
37,699,500
(6,721,716)
1,596,666
9,023,750
41,598,200
860,000
497,366
Total
Controlled
Affiliates
....
$63,418,605
$—
$(6,721,716)
$
1,596,666
$
7,392,145
$65,685,700
$
2,583,414
9.
Investments
in
Affiliated
Management
Investment
Companies 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
94
Quarterly
Statement
of
Investments
    aa
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares
Held
at
End
of
Period
Investment
Income
Franklin
Managed
Income
Fund
(continued)
Non-Controlled
Affiliates
Dividends
Franklin
FTSE
United
Kingdom
ETF
....................
$27,669,150
$—
$(6,195,618)
$326,243
$9,375,225
$31,175,000
1,250,000
$1,051,847
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
28,554,890
938,095,774
(831,316,987)
135,333,677
135,333,677
3,525
Total
Non-Controlled
Affiliates
$56,224,040
$938,095,774
$(837,512,605)
$
326,243
$
9,375,225
$166,508,677
$
$1,055,372
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$2,956,000
$92,189,000
$(65,225,000)
$
$
$29,920,000
29,920,000
$405
Total
Affiliated
Securities
....
$122,598,645
$1,030,284,774
$(909,459,321)
$1,922,909
$16,767,370
$262,114,377
$3,639,191
Franklin
Total
Return
Fund
Controlled
Affiliates
Dividends
Franklin
Floating
Rate
Income
Fund
...................
$11,263,485
$177,153,326
$—
$—
$2,342,59
7
$
$190,759,40
8
24,116,234
$2,648,856
Franklin
Liberty
High
Yield
Corporate
ETF
............
147,928,671
6,770,379
154,699,050
5,830,000
5,642,361
Franklin
Liberty
Investment
Grade
Corporate
ETF
............
487,160,950
(2,016,850)
485,144,100
18,335,000
14,455,113
b
Total
Controlled
Affiliates
....
$646,353,106
$177,153,326
$—
$—
$7,096,12
6
$830,602,558
$22,746,330
Non-Controlled
Affiliates
Dividends
Franklin
Liberty
Senior
Loan
ETF
$21,950,830
$20,560,444
$—
$—
$718,018
$43,229,292
1,737,400
$817,069
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
226,741,557
988,748,543
(985,988,326)
229,501,774
229,501,774
4,439
Total
Non-Controlled
Affiliates
$248,692,387
$1,009,308,987
$(985,988,326)
$—
$718,018
$272,731,066
$821,508
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$—
$36,709,000
$(24,429,000)
$—
$—
$12,280,000
12,280,000
$172
Total
Affiliated
Securities
....
$895,045,493
$1,223,171,313
$(1,010,417,326)
$—
$7,814,144
$1,115,613,624
$23,568,010
a
As
of
July
31,
2021,
no
longer
held
by
the
fund.
b
Dividend
income
includes
any
capital
gain
distributions
received
from
underlying
funds.
9.
Investments
in
Affiliated
Management
Investment
Companies 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
95
Quarterly
Statement
of
Investments
10. Fair
Value
Measurements 
The
Funds
follow
a
fair
value
hierarchy
that
distinguishes
between
market
data
obtained
from
independent
sources
(observable
inputs)
and
the
Funds'
own
market
assumptions
(unobservable
inputs).
These
inputs
are
used
in
determining
the
value
of
the
Funds’
financial
instruments
and
are
summarized
in
the
following
fair
value
hierarchy:
• Level
1
quoted
prices
in
active
markets
for
identical
financial
instruments
• Level
2
other
significant
observable
inputs
(including
quoted
prices
for
similar
financial
instruments,
interest
rates,
prepayment
speed,
credit
risk,
etc.)
• Level
3
significant
unobservable
inputs
(including
the
Funds'
own
assumptions
in
determining
the
fair
value
of
financial
instruments)
The
input
levels
are
not
necessarily
an
indication
of
the
risk
or
liquidity
associated
with
financial
instruments
at
that
level. 
A
summary
of
inputs
used
as
of
July
31,
2021,
in
valuing
the
Funds’
assets
and
liabilities carried
at
fair
value,
is
as
follows:  
Level
1
Level
2
Level
3
Total
Franklin
Adjustable
U.S.
Government
Securities
Fund
Assets:
Investments
in
Securities:
a
Commercial
Mortgage-Backed
Securities
......
$
$
64,406,947
$
$
64,406,947
Mortgage-Backed
Securities
................
559,563,242
559,563,242
Short
Term
Investments
...................
33,934,610
17,998,636
51,933,246
Total
Investments
in
Securities
...........
$33,934,610
$641,968,825
$—
$675,903,435
Franklin
Convertible
Securities
Fund
Assets:
Investments
in
Securities:
Common
Stocks
........................
172,245,849
172,245,849
Convertible
Preferred
Stocks
:
Auto
Components
......................
99,512,800
99,512,800
Capital
Markets
........................
112,934,400
112,934,400
Chemicals
...........................
60,732,808
60,732,808
Electric
Utilities
........................
177,832,900
177,832,900
Food
Products
........................
74,365,200
74,365,200
Health
Care
Equipment
&
Supplies
.........
130,117,157
130,117,157
Health
Care
Technology
.................
21,807,000
21,807,000
Life
Sciences
Tools
&
Services
............
94,833,000
94,833,000
Multi-Utilities
..........................
88,470,000
88,470,000
Semiconductors
&
Semiconductor
Equipment
.
109,802,574
109,802,574
Water
Utilities
.........................
46,700,500
46,700,500
Wireless
Telecommunication
Services
.......
60,285,120
60,285,120
Convertible
Bonds
.......................
3,745,407,645
3,745,407,645
Short
Term
Investments
...................
236,882,205
4,209,339
241,091,544
Total
Investments
in
Securities
...........
$1,426,236,393
$3,809,902,104
$—
$5,236,138,497
Franklin
Equity
Income
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
...................
128,600,015
128,600,015
Air
Freight
&
Logistics
...................
86,112,000
86,112,000
Banks
...............................
341,319,350
341,319,350
Beverages
...........................
126,481,100
126,481,100
Capital
Markets
........................
291,159,906
291,159,906
Chemicals
...........................
97,248,850
27,896,552
125,145,402
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
96
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Equity
Income
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Common
Stocks:
Commercial
Services
&
Supplies
...........
$
55,274,120
$
$
$
55,274,120
Communications
Equipment
..............
20,763,750
20,763,750
Diversified
Telecommunication
Services
.....
48,625,974
48,625,974
Electric
Utilities
........................
210,230,060
210,230,060
Electrical
Equipment
....................
85,535,775
85,535,775
Equity
Real
Estate
Investment
Trusts
(REITs)
.
44,478,720
44,478,720
Food
&
Staples
Retailing
.................
42,836,275
42,836,275
Health
Care
Equipment
&
Supplies
.........
98,942,085
98,942,085
Health
Care
Providers
&
Services
..........
88,358,300
88,358,300
Hotels,
Restaurants
&
Leisure
.............
54,124,330
54,124,330
Household
Products
....................
84,626,850
84,626,850
Insurance
............................
18,319,265
18,319,265
IT
Services
...........................
44,462,650
44,462,650
Life
Sciences
Tools
&
Services
............
18,360,340
18,360,340
Machinery
............................
74,499,956
74,499,956
Media
...............................
66,183,750
66,183,750
Multiline
Retail
........................
97,241,125
97,241,125
Oil,
Gas
&
Consumable
Fuels
.............
167,074,770
167,074,770
Pharmaceuticals
.......................
171,297,000
171,297,000
Road
&
Rail
..........................
49,580,709
49,580,709
Semiconductors
&
Semiconductor
Equipment
.
65,529,360
65,529,360
Software
.............................
71,701,835
71,701,835
Specialty
Retail
........................
86,706,100
86,706,100
Technology
Hardware,
Storage
&
Peripherals
.
19,399,380
19,399,380
Equity-Linked
Securities
...................
294,461,565
294,461,565
Convertible
Preferred
Stocks
...............
207,357,656
207,357,656
Short
Term
Investments
...................
67,230,300
1,492,188
68,722,488
Total
Investments
in
Securities
...........
$3,129,661,656
$323,850,305
b
$—
$3,453,511,961
Franklin
Floating
Rate
Daily
Access
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Hotels,
Restaurants
&
Leisure
.............
671,651
671,651
Machinery
............................
11,498,960
11,498,960
Paper
&
Forest
Products
.................
29,876,200
29,876,200
Road
&
Rail
..........................
c
Management
Investment
Companies
.........
42,801,765
42,801,765
Preferred
Stocks
........................
2,045,055
2,045,055
Rights
................................
1,456,552
1,456,552
Warrants
..............................
1,099
1,099
Corporate
Bonds
:
Airlines
..............................
13,131,566
13,131,566
Chemicals
...........................
3,906,396
3,906,396
Construction
Materials
..................
4,251,728
4,251,728
Containers
&
Packaging
.................
2,500,000
2,500,000
Diversified
Telecommunication
Services
.....
2,017,320
2,017,320
Hotels,
Restaurants
&
Leisure
.............
534,390
534,390
Independent
Power
and
Renewable
Electricity
Producers
..........................
1,384,895
1,384,895
Media
...............................
6,509,473
6,509,473
Oil,
Gas
&
Consumable
Fuels
.............
2,536,824
2,536,824
Road
&
Rail
..........................
501,250
19,870,734
20,371,984
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
97
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Corporate
Bonds:
Wireless
Telecommunication
Services
.......
$
$
1,419,389
$
$
1,419,389
Senior
Floating
Rate
Interests
...............
1,023,999,995
6,420,436
1,030,420,431
Asset-Backed
Securities
..................
9,467,728
9,467,728
Escrows
and
Litigation
Trusts
...............
2,359,375
c
2,359,375
Short
Term
Investments
...................
66,576,245
84,223,005
150,799,250
Total
Investments
in
Securities
...........
$109,378,010
$1,172,959,000
$57,625,021
$1,339,962,031
Other
Financial
Instruments:
Unfunded
Loan
Commitments
..............
$
$
463,697
$
$
463,697
Total
Other
Financial
Instruments
.........
$—
$463,697
$—
$463,697
Franklin
Low
Duration
Total
Return
Fund
Assets:
Investments
in
Securities:
Common
Stocks
........................
732
c
732
Management
Investment
Companies
.........
134,038,541
134,038,541
Warrants
:
Oil,
Gas
&
Consumable
Fuels
.............
540
540
Paper
&
Forest
Products
.................
569
569
Corporate
Bonds
:
Aerospace
&
Defense
...................
16,417,401
16,417,401
Air
Freight
&
Logistics
...................
1,702,150
1,702,150
Airlines
..............................
8,822,355
8,822,355
Auto
Components
......................
976,004
976,004
Banks
...............................
118,458,064
118,458,064
Beverages
...........................
13,286,944
13,286,944
Biotechnology
.........................
6,131,412
6,131,412
Capital
Markets
........................
37,129,482
37,129,482
Chemicals
...........................
14,087,041
14,087,041
Commercial
Services
&
Supplies
...........
1,435,827
1,435,827
Communications
Equipment
..............
1,524,375
1,524,375
Consumer
Finance
.....................
20,481,682
20,481,682
Containers
&
Packaging
.................
2,076,125
2,076,125
Diversified
Financial
Services
.............
8,251,999
8,251,999
Diversified
Telecommunication
Services
.....
25,522,385
25,522,385
Electric
Utilities
........................
29,028,781
29,028,781
Energy
Equipment
&
Services
.............
9,080,581
9,080,581
Entertainment
.........................
19,316,720
19,316,720
Equity
Real
Estate
Investment
Trusts
(REITs)
.
3,061,815
3,061,815
Food
&
Staples
Retailing
.................
3,181,822
3,181,822
Health
Care
Equipment
&
Supplies
.........
350,639
350,639
Health
Care
Providers
&
Services
..........
24,072,206
24,072,206
Hotels,
Restaurants
&
Leisure
.............
10,288,122
10,288,122
Independent
Power
and
Renewable
Electricity
Producers
..........................
2,392,381
2,392,381
Interactive
Media
&
Services
..............
19,623,169
19,623,169
Internet
&
Direct
Marketing
Retail
..........
15,694,180
15,694,180
IT
Services
...........................
5,449,303
5,449,303
Machinery
............................
1,299,300
1,299,300
Media
...............................
17,161,271
17,161,271
Metals
&
Mining
.......................
1,016,285
1,016,285
Multiline
Retail
........................
c
Multi-Utilities
..........................
7,464,832
7,464,832
Oil,
Gas
&
Consumable
Fuels
.............
56,382,596
56,382,596
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
98
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Low
Duration
Total
Return
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Corporate
Bonds:
Personal
Products
.....................
$
$
6,839,269
$
$
6,839,269
Pharmaceuticals
.......................
21,013,602
21,013,602
Real
Estate
Management
&
Development
....
829,272
829,272
Semiconductors
&
Semiconductor
Equipment
.
10,735,608
10,735,608
Specialty
Retail
........................
537,064
537,064
Thrifts
&
Mortgage
Finance
...............
10,676,489
10,676,489
Tobacco
.............................
9,218,629
9,218,629
Trading
Companies
&
Distributors
..........
1,506,743
1,506,743
Wireless
Telecommunication
Services
.......
3,998,931
3,998,931
Senior
Floating
Rate
Interests
...............
24,209,890
24,209,890
Marketplace
Loans
......................
26,775,088
26,775,088
Foreign
Government
and
Agency
Securities
....
146,407,880
146,407,880
U.S.
Government
and
Agency
Securities
.......
979,328,192
979,328,192
Asset-Backed
Securities
:
Airlines
..............................
482,016
482,016
Commercial
Services
&
Supplies
...........
14,739,540
14,739,540
Consumer
Finance
.....................
13,610,009
13,610,009
Diversified
Financial
Services
.............
379,891,398
234,691
380,126,089
Thrifts
&
Mortgage
Finance
...............
405,460
405,460
Commercial
Mortgage-Backed
Securities
......
59,901,960
59,901,960
Mortgage-Backed
Securities
................
72,479,431
72,479,431
Municipal
Bonds
.........................
32,530,477
32,530,477
Residential
Mortgage-Backed
Securities
......
185,610,240
185,610,240
Escrows
and
Litigation
Trusts
...............
52,250
c
52,250
Short
Term
Investments
...................
56,061,627
164,049,874
220,111,501
Total
Investments
in
Securities
...........
$190,100,737
$2,640,221,473
$27,011,051
$2,857,333,261
Other
Financial
Instruments:
Forward
exchange
contracts
...............
254,390
254,390
Swap
contracts
.........................
3,473,443
3,473,443
Total
Other
Financial
Instruments
.........
$—
$3,727,833
$—
$3,727,833
Liabilities:
Other
Financial
Instruments:
Forward
exchange
contracts
................
$
$
87,730
$
$
87,730
Futures
contracts
........................
3,295,317
3,295,317
Swap
contracts
..........................
5,907,519
5,907,519
Total
Other
Financial
Instruments
.........
$3,295,317
$5,995,249
$—
$9,290,566
Franklin
Managed
Income
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
...................
108,832,773
108,832,773
Air
Freight
&
Logistics
...................
33,488,000
33,488,000
Banks
...............................
219,386,443
219,386,443
Beverages
...........................
99,701,050
99,701,050
Biotechnology
.........................
55,242,500
55,242,500
Capital
Markets
........................
33,593,000
33,593,000
Chemicals
...........................
40,961,500
40,961,500
Diversified
Telecommunication
Services
.....
97,868,125
24,906,058
122,774,183
Electric
Utilities
........................
115,901,750
115,901,750
Food
Products
........................
31,723,750
31,723,750
Health
Care
Providers
&
Services
..........
99,547,200
99,547,200
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
99
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Managed
Income
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Common
Stocks:
Household
Products
....................
$
85,338,000
$
$
$
85,338,000
Industrial
Conglomerates
................
70,137,000
70,137,000
Insurance
............................
14,892,000
14,892,000
IT
Services
...........................
61,283,187
61,283,187
Multiline
Retail
........................
26,105,000
26,105,000
Multi-Utilities
..........................
119,438,039
119,438,039
Oil,
Gas
&
Consumable
Fuels
.............
129,238,100
129,238,100
Personal
Products
.....................
23,017,302
23,017,302
Pharmaceuticals
.......................
185,031,600
185,031,600
Road
&
Rail
..........................
44,845,800
44,845,800
Semiconductors
&
Semiconductor
Equipment
.
98,619,354
98,619,354
Specialty
Retail
........................
49,228,500
49,228,500
Tobacco
.............................
12,981,673
12,981,673
Management
Investment
Companies
.........
96,860,700
96,860,700
Equity-Linked
Securities
...................
556,162,048
556,162,048
Convertible
Preferred
Stocks
...............
431,663,695
431,663,695
Corporate
Bonds
........................
895,826,398
895,826,398
U.S.
Government
and
Agency
Securities
.......
128,092,496
128,092,496
Asset-Backed
Securities
..................
22,116,786
22,116,786
Mortgage-Backed
Securities
................
32,429,397
32,429,397
Options
purchased
.......................
22,554,000
22,554,000
Short
Term
Investments
...................
165,253,677
7,480,030
172,733,707
Total
Investments
in
Securities
...........
$2,549,716,416
$1,690,030,515
d
$—
$4,239,746,931
Liabilities:
Other
Financial
Instruments:
Options
written
..........................
$
14,192,250
$
$
$
14,192,250
Franklin
Total
Return
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Energy
Equipment
&
Services
.............
660,832
660,832
Multiline
Retail
........................
c
Oil,
Gas
&
Consumable
Fuels
.............
3,256
3,256
Management
Investment
Companies
.........
952,478,950
952,478,950
Preferred
Stocks
........................
2,577,960
2,577,960
Warrants
:
Oil,
Gas
&
Consumable
Fuels
.............
1,259
1,259
Paper
&
Forest
Products
.................
2,855
2,855
Corporate
Bonds
:
Aerospace
&
Defense
...................
17,728,920
17,728,920
Air
Freight
&
Logistics
...................
5,641,912
5,641,912
Airlines
..............................
29,171,402
29,171,402
Auto
Components
......................
2,738,737
2,738,737
Banks
...............................
96,140,777
96,140,777
Beverages
...........................
6,608,807
6,608,807
Biotechnology
.........................
35,682,034
35,682,034
Capital
Markets
........................
9,130,489
9,130,489
Chemicals
...........................
25,297,759
25,297,759
Commercial
Services
&
Supplies
...........
6,715,381
6,715,381
Communications
Equipment
..............
3,039,150
3,039,150
Consumer
Finance
.....................
6,385,354
6,385,354
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
100
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Total
Return
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Corporate
Bonds:
Containers
&
Packaging
.................
$
$
16,267,608
$
$
16,267,608
Diversified
Financial
Services
.............
12,637,475
12,637,475
Diversified
Telecommunication
Services
.....
23,033,280
23,033,280
Electric
Utilities
........................
74,033,585
74,033,585
Electronic
Equipment,
Instruments
&
Components
........................
22,561,952
22,561,952
Energy
Equipment
&
Services
.............
3,413,479
3,413,479
Entertainment
.........................
19,149,033
19,149,033
Equity
Real
Estate
Investment
Trusts
(REITs)
.
15,021,461
15,021,461
Food
&
Staples
Retailing
.................
10,642,646
10,642,646
Food
Products
........................
15,001,804
15,001,804
Health
Care
Equipment
&
Supplies
.........
8,120,220
8,120,220
Health
Care
Providers
&
Services
..........
51,711,066
51,711,066
Hotels,
Restaurants
&
Leisure
.............
46,017,947
46,017,947
Household
Durables
....................
17,755,354
17,755,354
Independent
Power
and
Renewable
Electricity
Producers
..........................
13,149,006
13,149,006
Insurance
............................
23,082,466
23,082,466
Interactive
Media
&
Services
..............
15,103,874
15,103,874
Internet
&
Direct
Marketing
Retail
..........
23,424,107
23,424,107
IT
Services
...........................
14,338,808
14,338,808
Machinery
............................
2,455,910
2,455,910
Media
...............................
44,671,584
44,671,584
Metals
&
Mining
.......................
2,665,388
2,665,388
Multiline
Retail
........................
13,427,305
c
13,427,305
Multi-Utilities
..........................
20,357,232
20,357,232
Oil,
Gas
&
Consumable
Fuels
.............
103,354,024
103,354,024
Paper
&
Forest
Products
.................
12,458,675
12,458,675
Personal
Products
.....................
12,852,348
12,852,348
Pharmaceuticals
.......................
22,434,558
22,434,558
Real
Estate
Management
&
Development
....
2,643,239
2,643,239
Road
&
Rail
..........................
21,742,840
21,742,840
Semiconductors
&
Semiconductor
Equipment
.
14,703,341
14,703,341
Software
.............................
578,433
578,433
Specialty
Retail
........................
6,796,668
6,796,668
Thrifts
&
Mortgage
Finance
...............
18,295,620
18,295,620
Tobacco
.............................
16,272,115
16,272,115
Trading
Companies
&
Distributors
..........
3,665,093
3,665,093
Wireless
Telecommunication
Services
.......
43,619,395
43,619,395
Senior
Floating
Rate
Interests
...............
56,756,637
56,756,637
Marketplace
Loans
......................
25,838,973
25,838,973
Foreign
Government
and
Agency
Securities
....
225,312,527
225,312,527
U.S.
Government
and
Agency
Securities
.......
1,253,061,444
1,253,061,444
Asset-Backed
Securities
:
Airlines
..............................
1,472,511
1,472,511
Commercial
Services
&
Supplies
...........
8,047,401
8,047,401
Diversified
Financial
Services
.............
576,118,059
577,701
576,695,760
Road
&
Rail
..........................
77,858
77,858
Commercial
Mortgage-Backed
Securities
:
Diversified
Financial
Services
.............
14,831,305
14,831,305
Thrifts
&
Mortgage
Finance
...............
368,046
5,996
374,042
Mortgage-Backed
Securities
................
782,311,521
782,311,521
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
101
Quarterly
Statement
of
Investments
A
reconciliation
of
assets
in
which
Level
3
inputs
are
used
in
determining
fair
value
is
presented
when
there
are
significant
Level
3
financial
instruments
at
the
beginning
and/or
end
of
the
period.
The
reconciliation
for
the
nine
months
ended
July
31,
2021,
is
as
follows:
Level
1
Level
2
Level
3
Total
Franklin
Total
Return
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Commercial
Mortgage-Backed
Securities:
Municipal
Bonds
.........................
$
$
251,578,091
$
$
251,578,091
Residential
Mortgage-Backed
Securities
......
420,396,846
420,396,846
Escrows
and
Litigation
Trusts
...............
82,500
c
82,500
Options
purchased
.......................
2,544,427
2,544,427
Short
Term
Investments
...................
241,781,774
3,070,129
244,851,903
Total
Investments
in
Securities
...........
$1,197,502,371
$4,627,768,963
$26,427,185
$5,851,698,519
Other
Financial
Instruments:
Forward
exchange
contracts
...............
1,406,271
1,406,271
Futures
contracts
........................
12,070,545
12,070,545
Swap
contracts
.........................
11,207,698
11,207,698
Total
Other
Financial
Instruments
.........
$12,070,545
$12,613,969
$—
$24,684,514
Liabilities:
Other
Financial
Instruments:
Options
written
..........................
64,714
64,714
Forward
exchange
contracts
................
125,189
125,189
Futures
contracts
........................
2,955,309
2,955,309
Swap
contracts
..........................
11,567,181
11,567,181
Total
Other
Financial
Instruments
.........
$2,955,309
$11,757,084
$—
$14,712,393
a
For
detailed
categories,
see
the
accompanying
Statement
of
Investments.
b
Includes
foreign
securities
valued
at
$27,896,552,
which
were
categorized
as
Level
2
as
a
result
of
the
application
of
market
level
fair
value
procedures.
See
the
Financial
Instrument
Valuation
note
for
more
information.
c
Includes
securities
determined
to
have
no
value
at
July
31,
2021.
d
Includes
foreign
securities
valued
at
$47,923,360,
which
were
categorized
as
Level
2
as
a
result
of
the
application
of
market
level
fair
value
procedures.
See
the
Financial
Instrument
Valuation
note
for
more
information.
Balance
at
Beginning
of
Period
Purchases
a
Sales
b
Transfer
Into
Level
3
c
Transfer
Out
of
Level
3
Net
Accretion
(
Amortiza
-
tion
)
Net
Realized
Gain
(Loss)
Net
Unr
ealized
Appreciatio
n
(
Depreciation
)
Balance
at
End
of
Period
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Assets
Held
at
Period
End
a
a
a
a
a
a
a
a
a
a
a
Franklin
Floating
Rate
Daily
Access
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
.
$
d
$
$
d
$
$
$
$
(73,081,001)
$
73,081,001
$
$
Oil,
Gas
&
Consumable
Fuels
..........
1,460,626
(2,592,340)
731,395
400,319
Paper
&
Forest
Products
18,106,975
11,769,225
29,876,200
11,769,225
Road
&
Rail
.......
d
d
Rights
:
Energy
Equipment
&
Services
........
1,456,589
(37)
1,456,552
(37)
Warrants
:
Machinery
.........
d
1,099
1,099
1,099
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
102
Quarterly
Statement
of
Investments
Balance
at
Beginning
of
Period
Purchases
a
Sales
b
Transfer
Into
Level
3
c
Transfer
Out
of
Level
3
Net
Accretion
(Amortiza-
tion)
Net
Realized
Gain
(Loss)
Net
Unrealized
Appreciation
(Depreciation)
Balance
at
End
of
Period
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Assets
Held
at
Period
End
a
a
a
a
a
a
a
a
a
a
a
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Assets:
Investments
in
Securities:
Corporate
Bonds
:
Road
&
Rail
.......
$
18,585,180
$
$
$
$
$
1,440,775
$
$
(155,221)
$
19,870,734
$
(155,221)
Senior
Floating
Rate
Interests
:
Household
Products
..
45,517,441
(23,129,450)
8,862
95,091
(16,071,508)
6,420,436
(19,364,107)
Road
&
Rail
.......
14,180,644
(15,430,072)
(166,143)
(509,085)
1,924,656
Escrows
and
Litigation
Trusts
...........
d
(289,347)
289,347
d
Total
Investments
in
Securities
............
$97,850,866
$1,456,589
$(41,441,209)
$—
$—
$1,283,494
$(72,474,253)
$70,949,534
$57,625,021
$(7,749,041)
Franklin
Low
Duration
Total
Return
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
.
d
(3,690,418)
e
3,690,418
Multiline
Retail
......
d
e
d
Oil,
Gas
&
Consumable
Fuels
..........
(3,827)
e
863
3,696
732
3,696
Paper
&
Forest
Products
367,190
(334,607)
e
(32,583)
Road
&
Rail
.......
d
e
Warrants
:
Oil,
Gas
&
Consumable
Fuels
..........
15
525
540
525
Corporate
Bonds
:
Multiline
Retail
......
1,469
184
(32,225)
30,572
d
30,572
Road
&
Rail
.......
306,219
(341,063)
e
13,291
432
21,121
Senior
Floating
Rate
Interests
:
Household
Products
..
2,874,048
(3,243,529)
e
476
6,810
362,195
Road
&
Rail
.......
233,647
(252,634)
e
326
(37)
18,698
Marketplace
Loans
:
Diversified
Financial
Services
........
27,612,358
16,064,100
(17,731,920)
(1,431,196)
2,261,746
26,775,088
498,818
Asset-Backed
Securities
:
Diversified
Financial
Services
........
(134,141)
e
329,683
(4,593)
43,742
234,691
43,742
Escrows
and
Litigation
Trusts
...........
d
e
d
Total
Investments
in
Securities
............
$31,394,946
$16,064,284
$(25,732,139)
$330,546
$—
$(18,132)
$(1,428,584)
$6,400,130
$27,011,051
$577,353
a
Purchases
include
all
purchases
of
securities
and
securities
received
in
corporate
actions.
b
Sales
include
all
sales
of
securities,
maturities,
paydowns
and
securities
tendered
in
corporate
actions.
c
Transferred
into
level
3
as
a
result
of
the
unavailability
of
a
quoted
market
price
in
an
active
market
for
identical
securities
or
as
a
result
of
the
unreliability
of
the
foreign
exchange
rate
and
other
significant
observable
valuation
inputs.
May
include
amounts
related
to
a
corporate
action.
d
Includes
securities
determined
to
have
no
value.
e
Includes
securities
delivered
as
a
result
of
an
in-kind
transfer.
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
103
Quarterly
Statement
of
Investments
Significant
unobservable
valuation
inputs
for
material
Level
3
assets
and/or
liabilities
and
impact
to
fair
value
as
a
result
of
changes
in
unobservable
valuation
inputs
as
of
July
31,
2021,
are
as
follows:
Description
Fair
Value
at
End
of
Period
Valuation
Technique
Unobservable
Inputs
Amount
/
Range
(Weighted
Average)
a
Impact
to
Fair
Value
if
Input
Increases
b
Franklin
Floating
Rate
Daily
Access
Fund
Assets:
Investments
in
Securities:
Common
Stocks:
Paper
&
Forest
Products
....
$29,876,200
Discounted
cash
flow
Weighted
average
cost
of
capital
21.3%
Decrease
c
Free
cash
flow
$138.7
mil
Increase
c
Discount
for
lack
of
marketability
6.1%
Decrease
c
Long
term
growth
2.5%
Increase
Corporate
Bonds:
Road
&
Rail
..............
19,870,734
Discounted
cash
flow
Discount
rate
15.5%
Decrease
Free
cash
flow
$19.9
mil
Increase
Senior
Floating
Rate
Interests:
Household
Products
........
6,420,436
Recovery
value
Asset
value
estimate
$14.4
mil
Increase
c
All
other
Investments
..........
1,457,651
d,e
Total
.......................
$57,625,021
Franklin
Low
Duration
Total
Return
Fund
Assets:
Investments
in
Securities:
Marketplace
Loans:
Lending
Club
.............
$9,344,004
Discounted
cash
flow
Loss-Adjusted
Discount
rate
7.2%
Decrease
Projected
Loss
rate
17.6%
Decrease
Lending
Club
LCX
.........
2,872,618
Discounted
cash
flow
Loss-Adjusted
Discount
rate
9.0%
Decrease
Projected
Loss
rate
17.6%
Decrease
Square
Capital
............
13,266,653
Discounted
cash
flow
Loss-Adjusted
Discount
rate
11.1%
Decrease
Projected
Loss
rate
5.3%
Decrease
All
other
investments
..........
1,527,776
d,e
Total
.......................
$27,011,051
a
Weighted
based
on
the
relative
fair
value
of
the
financial
instruments.
b
Represents
the
directional
change
in
the
fair
value
that
would
result
from
a
significant
and
reasonable
increase
in
the
corresponding
input.
A
significant
and
reasonable
decrease
in
the
input
would
have
the
opposite
effect.
Significant
impacts,
if
any,
to
fair
value
and/or
net
assets
have
been
indicated.
c
Represents
a
significant
impact
to
fair
value
and
net
assets.
d
Includes
fair
value
of
immaterial
assets
and/or
liabilities
developed
using
various
valuation
techniques
and
unobservable
inputs.
May
also
include
values
derived
using
private
transaction
prices
or
non-public
third
party
pricing
information
which
is
unobservable.
e
Includes
securities
determined
to
have
no
value
at
July
31,
2021.
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
104
Quarterly
Statement
of
Investments
11.
Subsequent
Events
The
Funds
have evaluated
subsequent
events
through
the
issuance
of
the
Statements of
Investments
and
determined
that
no
events
have
occurred
that
require
disclosure. 
Abbreviations
Counterparty
BNDP
BNP
Paribas
SA
BOFA
Bank
of
America,
N.A.
BZWS
Barclays
Bank
plc
CITI
Citibank
NA
DBAB
Deutsche
Bank
AG
FBCO
Credit
Suisse
Group
AG
GSCO
Goldman
Sachs
Group,
Inc.
JPHQ
JPMorgan
Chase
Bank
NA
MSCO
Morgan
Stanley
Currency
BRL
Brazilian
Real
DOP
Dominican
Peso
EUR
Euro
USD
United
States
Dollar
UYU
Uruguayan
Peso
Index
MCDX.
NA.Series
number
MCDX
North
America
Index
Selected
Portfolio
ADR
American
Depositary
Receipt
AGMC
Assured
Guaranty
Municipal
Corp.
BZDIOVRA
Brazil
Inter-Bank
Deposit
Rate
CLO
Collateralized
Loan
Obligation
CMT
Constant
Monthly
U.S.
Treasury
Securities
Yield
Curve
Rate
Index
COFI
Cost
of
Funds
Index
ETF
Exchange-Traded
Fund
EURIBOR
Euro
Inter-Bank
Offer
Rate
FHLMC
Federal
Home
Loan
Mortgage
Corp.
FNMA
Federal
National
Mortgage
Association
FRN
Floating
Rate
Note
GDP
Gross
Domestic
Product
GNMA
Government
National
Mortgage
Association
GO
General
Obligation
H15BDI
U.S.
Treasury
Bill
Auction
High
Discount
Rate
LIBOR
London
Inter-Bank
Offered
Rate
MBS
Mortgage-Backed
Security
PIK
Payment-In-Kind
TBA
To-Be-Announced
TBD
To
Be
Determined
T-Note
Treasury
Note
VRI
Value
Recovery
Instrument
For
additional
information
on
the
Funds'
significant
accounting
policies,
please
refer
to
the Funds'
most
recent
semiannual
or
annual
shareholder
report.