|
THE “UNAUDITED EXCHANGE-TRADED FUNDS HOLDINGS”
LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES
ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS
ADVERTISING OR SALES LITERATURE WITH THE GENERAL
PUBLIC. The list is submitted for the general information of the
shareholders of the Fund. It is not authorized for distribution to
prospective investors in the Fund unless preceded or accompanied by a
prospectus. The list has been created from the books and records of
the Fund. Holdings are available 60 days after the fund’s fiscal quarter,
using a trade date accounting convention, by contacting the appropriate
service center. The list is subject to change without notice. The list is
for informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
|
© J.P. Morgan Chase & Co., 2026.
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — 55.6%
|
||
|
FHLMC
|
|
|
|
Pool # 781087, ARM, 5.86%, 12/1/2033 (a)
|
13,196
|
13,475
|
|
Pool # 1B1665, ARM, 5.94%, 4/1/2034 (a)
|
8,653
|
8,801
|
|
Pool # 782979, ARM, 5.87%, 1/1/2035 (a)
|
24,548
|
25,488
|
|
Pool # 1B2844, ARM, 5.80%, 3/1/2035 (a)
|
13,811
|
14,044
|
|
Pool # 1Q0007, ARM, 6.39%, 12/1/2035 (a)
|
5,884
|
5,925
|
|
Pool # 972200, ARM, 6.28%, 3/1/2036 (a)
|
7,476
|
7,634
|
|
Pool # 1J1380, ARM, 6.84%, 3/1/2036 (a)
|
1,448
|
1,502
|
|
Pool # 1H2618, ARM, 6.05%, 5/1/2036 (a)
|
20,410
|
21,261
|
|
Pool # 1G2557, ARM, 6.37%, 6/1/2036 (a)
|
29,876
|
30,802
|
|
Pool # 1A1085, ARM, 5.92%, 8/1/2036 (a)
|
13,368
|
13,639
|
|
Pool # 1Q0105, ARM, 6.42%, 9/1/2036 (a)
|
8,869
|
9,122
|
|
Pool # 1N0249, ARM, 5.70%, 10/1/2036 (a)
|
4,860
|
4,963
|
|
Pool # 1A1096, ARM, 5.78%, 10/1/2036 (a)
|
63,099
|
64,164
|
|
Pool # 1J1348, ARM, 6.69%, 10/1/2036 (a)
|
49,609
|
51,539
|
|
Pool # 1G2671, ARM, 5.96%, 11/1/2036 (a)
|
28,812
|
29,400
|
|
Pool # 1J1378, ARM, 6.01%, 11/1/2036 (a)
|
26,033
|
26,737
|
|
Pool # 782760, ARM, 6.29%, 11/1/2036 (a)
|
28,584
|
29,617
|
|
Pool # 1Q0737, ARM, 6.36%, 11/1/2036 (a)
|
14,912
|
15,295
|
|
Pool # 1G1386, ARM, 6.26%, 12/1/2036 (a)
|
4,413
|
4,540
|
|
Pool # 1J1516, ARM, 5.88%, 2/1/2037 (a)
|
4,024
|
4,129
|
|
Pool # 1G1555, ARM, 6.48%, 2/1/2037 (a)
|
4,551
|
4,699
|
|
Pool # 1Q0739, ARM, 5.95%, 3/1/2037 (a)
|
27,431
|
27,867
|
|
Pool # 1Q0697, ARM, 5.72%, 5/1/2037 (a)
|
30,635
|
31,474
|
|
Pool # 1G2229, ARM, 6.54%, 9/1/2037 (a)
|
8,020
|
8,200
|
|
Pool # 1Q0722, ARM, 6.23%, 4/1/2038 (a)
|
10,897
|
11,209
|
|
Pool # 1Q0789, ARM, 6.15%, 5/1/2038 (a)
|
2,039
|
2,087
|
|
FHLMC Gold Pools, 20 Year
|
|
|
|
Pool # C91042, 5.50%, 5/1/2027
|
23,191
|
23,332
|
|
Pool # C91158, 6.50%, 1/1/2028
|
11,274
|
11,398
|
|
Pool # C91180, 5.50%, 3/1/2028
|
14,460
|
14,547
|
|
Pool # D98938, 4.00%, 2/1/2032
|
220,443
|
216,746
|
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # C18115, 6.00%, 11/1/2028
|
207
|
212
|
|
Pool # C00701, 6.50%, 1/1/2029
|
4,320
|
4,494
|
|
Pool # G03029, 6.00%, 10/1/2029
|
7,358
|
7,526
|
|
Pool # C68485, 7.00%, 7/1/2032
|
4,849
|
5,132
|
|
Pool # G01448, 7.00%, 8/1/2032
|
11,825
|
12,516
|
|
Pool # C75791, 5.50%, 1/1/2033
|
26,791
|
26,955
|
|
Pool # C01735, 4.00%, 10/1/2033
|
19,929
|
19,557
|
|
Pool # A13625, 5.50%, 10/1/2033
|
63,845
|
64,236
|
|
Pool # A16843, 6.00%, 12/1/2033
|
18,520
|
18,943
|
|
Pool # A28796, 6.50%, 11/1/2034
|
1,765
|
1,836
|
|
Pool # A46417, 7.00%, 4/1/2035
|
108,934
|
115,297
|
|
Pool # A46987, 5.50%, 7/1/2035
|
157,336
|
161,820
|
|
Pool # A80290, 5.00%, 11/1/2035
|
230,088
|
231,497
|
|
Pool # G05713, 6.50%, 12/1/2035
|
146,104
|
151,985
|
|
Pool # A54679, 6.50%, 6/1/2036
|
7,252
|
7,544
|
|
Pool # C02637, 7.00%, 10/1/2036
|
69,584
|
73,648
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # C02660, 6.50%, 11/1/2036
|
24,697
|
26,198
|
|
Pool # G04077, 6.50%, 3/1/2038
|
62,456
|
66,405
|
|
Pool # G05190, 7.50%, 9/1/2038
|
10,939
|
11,210
|
|
Pool # C03466, 5.50%, 3/1/2040
|
44,644
|
45,848
|
|
Pool # A93511, 5.00%, 8/1/2040
|
411,332
|
415,778
|
|
Pool # G06493, 4.50%, 5/1/2041
|
675,099
|
669,730
|
|
Pool # G60039, 3.00%, 4/1/2043
|
2,685,170
|
2,454,475
|
|
Pool # G60105, 5.00%, 6/1/2044
|
918,698
|
928,619
|
|
Pool # Q37784, 3.50%, 12/1/2045
|
866,995
|
807,337
|
|
Pool # Q39412, 3.50%, 3/1/2046
|
428,361
|
397,668
|
|
Pool # Q40797, 3.50%, 5/1/2046
|
1,212,455
|
1,126,085
|
|
Pool # Q40922, 3.50%, 6/1/2046
|
331,878
|
308,237
|
|
Pool # Q42079, 3.50%, 7/1/2046
|
471,703
|
438,884
|
|
Pool # V84637, 4.00%, 9/1/2048
|
313,245
|
298,028
|
|
Pool # Q61709, 4.50%, 2/1/2049
|
621,493
|
608,861
|
|
Pool # Q62088, 4.50%, 2/1/2049
|
534,283
|
527,501
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # G20027, 10.00%, 10/1/2030
|
490
|
491
|
|
Pool # B90491, 7.50%, 1/1/2032
|
25,237
|
25,690
|
|
Pool # WA1626, 3.45%, 8/1/2032
|
8,041,843
|
7,587,185
|
|
Pool # WN1179, 3.85%, 9/1/2032
|
4,000,000
|
3,846,398
|
|
Pool # U80047, 4.00%, 9/1/2032
|
108,153
|
105,936
|
|
Pool # U80068, 3.50%, 10/1/2032
|
180,895
|
176,342
|
|
Pool # U80125, 3.50%, 1/1/2033
|
608,679
|
588,447
|
|
Pool # U80173, 3.50%, 1/1/2033
|
369,083
|
359,688
|
|
Pool # U80265, 3.50%, 4/1/2033
|
528,766
|
514,807
|
|
Pool # WN3233, 3.19%, 7/1/2033
|
4,928,331
|
4,527,553
|
|
Pool # L10224, 6.00%, 12/1/2034
|
43,017
|
43,529
|
|
Pool # H00158, 6.00%, 4/1/2036
|
40,606
|
40,107
|
|
Pool # L10291, 6.50%, 11/1/2036
|
78,656
|
80,538
|
|
Pool # P51353, 6.50%, 11/1/2036
|
52,022
|
52,999
|
|
Pool # P50595, 6.50%, 12/1/2036
|
150,003
|
155,969
|
|
Pool # P51361, 6.50%, 12/1/2036
|
37,749
|
38,541
|
|
Pool # G20028, 7.50%, 12/1/2036
|
21,805
|
22,261
|
|
Pool # G80365, 6.50%, 10/17/2038
|
79,016
|
80,769
|
|
Pool # U90690, 3.50%, 6/1/2042
|
1,848,279
|
1,730,488
|
|
Pool # U90975, 4.00%, 6/1/2042
|
1,104,396
|
1,066,068
|
|
Pool # T65101, 4.00%, 10/1/2042
|
189,292
|
179,445
|
|
Pool # U90378, 4.00%, 11/1/2042
|
1,643,176
|
1,586,165
|
|
Pool # U90542, 4.00%, 12/1/2042
|
428,967
|
413,977
|
|
Pool # U91449, 4.00%, 5/1/2043
|
1,533,416
|
1,480,183
|
|
Pool # U99051, 3.50%, 6/1/2043
|
246,812
|
231,082
|
|
Pool # U99134, 4.00%, 1/1/2046
|
1,012,707
|
972,524
|
|
Pool # U69030, 4.50%, 1/1/2046
|
654,097
|
644,443
|
|
Pool # U69039, 4.00%, 2/1/2046
|
1,758,292
|
1,679,805
|
|
FHLMC UMBS, 20 Year Pool # ZT1675, 3.50%, 4/1/2037
|
1,505,685
|
1,453,317
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # RA1617, 3.50%, 8/1/2049
|
397,585
|
365,362
|
|
Pool # RA1623, 4.00%, 9/1/2049
|
1,495,792
|
1,420,408
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # SI2041, 3.00%, 10/1/2049
|
8,853,156
|
7,827,625
|
|
Pool # QA5403, 4.00%, 11/1/2049
|
737,902
|
701,216
|
|
Pool # QA5096, 4.00%, 12/1/2049
|
747,197
|
709,694
|
|
Pool # QA5982, 4.00%, 12/1/2049
|
877,781
|
833,090
|
|
Pool # RA2008, 4.00%, 1/1/2050
|
1,796,768
|
1,704,913
|
|
Pool # QA7351, 3.00%, 2/1/2050
|
251,612
|
222,602
|
|
Pool # RA2272, 3.50%, 2/1/2050
|
13,200,949
|
12,324,350
|
|
Pool # QB0097, 4.00%, 5/1/2050
|
557,348
|
537,968
|
|
Pool # QB0098, 2.50%, 6/1/2050
|
4,613,234
|
3,907,388
|
|
Pool # RA2897, 2.50%, 6/1/2050
|
8,704,924
|
7,368,963
|
|
Pool # SD8089, 2.50%, 7/1/2050
|
7,862,846
|
6,653,705
|
|
Pool # SI2081, 2.00%, 8/1/2050
|
22,534,186
|
18,286,813
|
|
Pool # RA3976, 2.50%, 11/1/2050
|
7,770,602
|
6,667,679
|
|
Pool # RA4515, 4.00%, 2/1/2051
|
3,892,277
|
3,675,501
|
|
Pool # QC2061, 2.00%, 5/1/2051
|
14,267,208
|
11,559,386
|
|
Pool # RA5276, 2.50%, 5/1/2051
|
11,665,156
|
9,902,554
|
|
Pool # QC2209, 3.50%, 5/1/2051
|
1,200,651
|
1,097,754
|
|
Pool # QC3244, 3.00%, 6/1/2051
|
2,984,365
|
2,634,180
|
|
Pool # RA5921, 2.50%, 9/1/2051
|
3,861,273
|
3,305,579
|
|
Pool # QC7968, 2.50%, 10/1/2051
|
987,514
|
846,009
|
|
Pool # RA6135, 2.50%, 10/1/2051
|
18,650,519
|
15,977,940
|
|
Pool # RA6228, 2.50%, 11/1/2051
|
7,094,556
|
6,013,072
|
|
Pool # QD0369, 3.00%, 11/1/2051
|
3,740,178
|
3,297,212
|
|
Pool # SD0781, 3.00%, 11/1/2051
|
4,120,350
|
3,620,871
|
|
Pool # SD5768, 3.00%, 1/1/2052
|
4,213,705
|
3,723,493
|
|
Pool # RA6586, 3.50%, 1/1/2052
|
9,666,135
|
8,815,190
|
|
Pool # RA6817, 2.50%, 2/1/2052
|
3,704,733
|
3,150,564
|
|
Pool # SD4951, 2.50%, 2/1/2052
|
19,173,286
|
16,402,414
|
|
Pool # SD0907, 3.00%, 2/1/2052
|
2,399,971
|
2,101,461
|
|
Pool # SD3952, 2.50%, 3/1/2052
|
4,528,911
|
3,877,638
|
|
Pool # SD7554, 2.50%, 4/1/2052
|
3,570,325
|
3,056,881
|
|
Pool # SL0527, 2.50%, 4/1/2052
|
19,634,861
|
16,666,205
|
|
Pool # QE0399, 3.00%, 4/1/2052
|
7,119,254
|
6,274,602
|
|
Pool # SD8212, 2.50%, 5/1/2052
|
11,044,592
|
9,292,969
|
|
Pool # SD3362, 3.00%, 5/1/2052
|
7,897,568
|
6,972,067
|
|
Pool # SD1840, 3.00%, 6/1/2052
|
9,398,255
|
8,283,203
|
|
Pool # SL0265, 3.00%, 6/1/2052
|
13,804,934
|
12,147,982
|
|
Pool # SD5756, 3.50%, 6/1/2052
|
8,301,542
|
7,586,579
|
|
Pool # QE5028, 5.00%, 6/1/2052
|
734,131
|
729,471
|
|
Pool # QE4140, 5.50%, 6/1/2052
|
4,041,206
|
4,132,521
|
|
Pool # QE8520, 3.50%, 8/1/2052
|
10,334,197
|
9,406,782
|
|
Pool # SD4181, 3.50%, 8/1/2052
|
7,445,682
|
6,822,895
|
|
Pool # SD1713, 5.00%, 10/1/2052
|
8,231,151
|
8,206,808
|
|
Pool # SL1477, 5.00%, 7/1/2053
|
21,043,260
|
20,961,466
|
|
Pool # RA9669, 5.00%, 8/1/2053
|
5,163,464
|
5,103,522
|
|
Pool # RJ1756, 4.50%, 6/1/2054
|
5,105,795
|
4,916,661
|
|
Pool # SL4565, 4.00%, 12/1/2054
|
12,897,694
|
12,128,382
|
|
Pool # RJ3247, 5.00%, 1/1/2055
|
18,358,443
|
18,264,528
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
FNMA
|
|
|
|
Pool # 54844, ARM, 4.17%, 9/1/2027 (a)
|
222
|
221
|
|
Pool # 303532, ARM, 4.36%, 3/1/2029 (a)
|
413
|
410
|
|
Pool # 555258, ARM, 5.65%, 1/1/2033 (a)
|
23,601
|
23,865
|
|
Pool # 746299, ARM, 6.64%, 9/1/2033 (a)
|
17,290
|
17,832
|
|
Pool # 743546, ARM, 5.92%, 11/1/2033 (a)
|
44,894
|
45,493
|
|
Pool # 766610, ARM, 5.91%, 1/1/2034 (a)
|
5,508
|
5,609
|
|
Pool # 735648, ARM, 6.24%, 2/1/2034 (a)
|
10,948
|
11,204
|
|
Pool # 770377, ARM, 5.67%, 4/1/2034 (a)
|
9,353
|
9,492
|
|
Pool # 751531, ARM, 5.83%, 5/1/2034 (a)
|
24,601
|
25,195
|
|
Pool # 778908, ARM, 5.95%, 6/1/2034 (a)
|
8,208
|
8,292
|
|
Pool # 800422, ARM, 5.31%, 8/1/2034 (a)
|
89,130
|
89,841
|
|
Pool # 735332, ARM, 5.81%, 8/1/2034 (a)
|
16,845
|
17,187
|
|
Pool # 790964, ARM, 6.40%, 9/1/2034 (a)
|
9,930
|
10,166
|
|
Pool # 735740, ARM, 5.96%, 10/1/2034 (a)
|
21,935
|
22,349
|
|
Pool # 794797, ARM, 6.02%, 10/1/2034 (a)
|
20,887
|
21,340
|
|
Pool # 803599, ARM, 6.05%, 10/1/2034 (a)
|
20,215
|
20,548
|
|
Pool # 803594, ARM, 6.09%, 10/1/2034 (a)
|
14,678
|
14,978
|
|
Pool # 896463, ARM, 6.41%, 10/1/2034 (a)
|
29,692
|
30,631
|
|
Pool # 810896, ARM, 5.62%, 1/1/2035 (a)
|
124,748
|
129,316
|
|
Pool # 816594, ARM, 5.62%, 2/1/2035 (a)
|
5,544
|
5,666
|
|
Pool # 735539, ARM, 5.80%, 4/1/2035 (a)
|
54,833
|
56,200
|
|
Pool # 745862, ARM, 5.92%, 4/1/2035 (a)
|
27,183
|
27,821
|
|
Pool # 821378, ARM, 5.66%, 5/1/2035 (a)
|
27,924
|
28,142
|
|
Pool # 823660, ARM, 5.84%, 5/1/2035 (a)
|
12,824
|
13,105
|
|
Pool # 821179, ARM, 5.86%, 5/1/2035 (a)
|
3,989
|
4,068
|
|
Pool # 745766, ARM, 6.02%, 6/1/2035 (a)
|
12,258
|
12,458
|
|
Pool # 832801, ARM, 6.46%, 9/1/2035 (a)
|
1,667
|
1,706
|
|
Pool # 849251, ARM, 5.80%, 1/1/2036 (a)
|
16,806
|
17,175
|
|
Pool # 920843, ARM, 6.60%, 3/1/2036 (a)
|
193,915
|
200,879
|
|
Pool # 872825, ARM, 6.42%, 6/1/2036 (a)
|
12,586
|
12,930
|
|
Pool # 892868, ARM, 6.52%, 7/1/2036 (a)
|
15,750
|
16,148
|
|
Pool # 886558, ARM, 6.32%, 8/1/2036 (a)
|
11,810
|
12,083
|
|
Pool # 920547, ARM, 5.60%, 9/1/2036 (a)
|
54,343
|
55,613
|
|
Pool # 894239, ARM, 6.06%, 10/1/2036 (a)
|
6,742
|
6,900
|
|
Pool # 900191, ARM, 6.82%, 10/1/2036 (a)
|
4,911
|
5,078
|
|
Pool # 902818, ARM, 6.32%, 11/1/2036 (a)
|
225
|
232
|
|
Pool # 902955, ARM, 6.01%, 12/1/2036 (a)
|
7,169
|
7,345
|
|
Pool # 995919, ARM, 6.47%, 7/1/2037 (a)
|
17,091
|
17,560
|
|
Pool # 938346, ARM, 6.56%, 7/1/2037 (a)
|
5,622
|
5,784
|
|
Pool # AD0085, ARM, 5.72%, 11/1/2037 (a)
|
11,315
|
11,438
|
|
Pool # AD0179, ARM, 5.78%, 12/1/2037 (a)
|
5,172
|
5,338
|
|
FNMA UMBS, 15 Year Pool # AX7598, 3.00%, 1/1/2030
|
339,391
|
333,119
|
|
FNMA UMBS, 20 Year
|
|
|
|
Pool # 257055, 6.50%, 12/1/2027
|
8,630
|
8,967
|
|
Pool # AE0049, 6.00%, 9/1/2029
|
5,529
|
5,649
|
|
Pool # MA0602, 3.50%, 12/1/2030
|
184,723
|
181,117
|
|
Pool # AP3582, 3.50%, 8/1/2032
|
242,867
|
235,329
|
|
Pool # AB9830, 3.50%, 7/1/2033
|
1,609,468
|
1,564,660
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AL6238, 4.00%, 1/1/2035
|
546,534
|
533,595
|
|
Pool # MA4500, 1.50%, 12/1/2041
|
6,008,582
|
5,020,185
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 689977, 8.00%, 3/1/2027
|
717
|
720
|
|
Pool # 695533, 8.00%, 6/1/2027
|
1,038
|
1,044
|
|
Pool # 527285, 7.00%, 11/1/2028
|
242
|
256
|
|
Pool # 755973, 8.00%, 11/1/2028
|
12,216
|
12,430
|
|
Pool # 455759, 6.00%, 12/1/2028
|
2,266
|
2,316
|
|
Pool # 889020, 6.50%, 11/1/2029
|
13,114
|
13,627
|
|
Pool # 567036, 8.50%, 2/1/2030
|
6,038
|
6,106
|
|
Pool # 598559, 6.50%, 8/1/2031
|
11,150
|
11,586
|
|
Pool # 610591, 7.00%, 1/1/2032
|
21,331
|
22,553
|
|
Pool # 788150, 6.00%, 3/1/2032
|
4,155
|
4,245
|
|
Pool # 682078, 5.50%, 11/1/2032
|
92,244
|
93,772
|
|
Pool # 668562, 6.00%, 12/1/2032
|
7,484
|
7,646
|
|
Pool # 675555, 6.00%, 12/1/2032
|
2,985
|
3,050
|
|
Pool # AL0045, 6.00%, 12/1/2032
|
63,731
|
65,264
|
|
Pool # 357363, 5.50%, 3/1/2033
|
95,816
|
97,214
|
|
Pool # 674349, 6.00%, 3/1/2033
|
891
|
910
|
|
Pool # 688625, 6.00%, 3/1/2033
|
5,806
|
5,932
|
|
Pool # 695584, 6.00%, 3/1/2033
|
2,104
|
2,149
|
|
Pool # 702901, 6.00%, 5/1/2033
|
59,088
|
60,371
|
|
Pool # 695403, 5.00%, 6/1/2033
|
49,511
|
49,737
|
|
Pool # 995656, 7.00%, 6/1/2033
|
41,814
|
44,209
|
|
Pool # 723852, 5.00%, 7/1/2033
|
17,618
|
17,557
|
|
Pool # 729296, 5.00%, 7/1/2033
|
38,489
|
38,364
|
|
Pool # 753696, 4.00%, 8/1/2033
|
7,828
|
7,651
|
|
Pool # 729379, 6.00%, 8/1/2033
|
11,548
|
11,799
|
|
Pool # 737825, 6.00%, 9/1/2033
|
15,575
|
15,913
|
|
Pool # AA7943, 4.00%, 10/1/2033
|
181,773
|
177,124
|
|
Pool # 725017, 5.50%, 12/1/2033
|
99,115
|
100,225
|
|
Pool # 759424, 5.50%, 1/1/2034
|
29,969
|
30,119
|
|
Pool # 751182, 5.50%, 3/1/2034
|
21,851
|
21,976
|
|
Pool # 751341, 5.50%, 3/1/2034
|
7,614
|
7,652
|
|
Pool # 767378, 5.50%, 3/1/2034
|
10,336
|
10,388
|
|
Pool # 776565, 4.00%, 4/1/2034
|
86,247
|
84,044
|
|
Pool # 820347, 5.00%, 9/1/2035
|
19,332
|
19,516
|
|
Pool # 745281, 6.00%, 1/1/2036
|
14,142
|
14,810
|
|
Pool # 888417, 6.50%, 1/1/2036
|
16,399
|
17,040
|
|
Pool # 833629, 7.00%, 3/1/2036
|
15,066
|
15,929
|
|
Pool # 893268, 6.50%, 8/1/2036
|
50,484
|
52,945
|
|
Pool # 833657, 7.50%, 8/1/2036
|
5,046
|
5,149
|
|
Pool # AA0922, 6.00%, 9/1/2036
|
85,411
|
87,855
|
|
Pool # 878225, 6.50%, 10/1/2036
|
25,231
|
26,746
|
|
Pool # 985683, 8.00%, 10/1/2036
|
61,549
|
63,476
|
|
Pool # 888476, 7.50%, 5/1/2037
|
8,313
|
8,523
|
|
Pool # 945870, 6.50%, 8/1/2037
|
33,668
|
35,699
|
|
Pool # 946338, 7.00%, 9/1/2037
|
21,184
|
22,397
|
|
Pool # 888707, 7.50%, 10/1/2037
|
38,494
|
40,227
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 889883, 6.50%, 3/1/2038
|
23,950
|
24,887
|
|
Pool # AC9081, 6.50%, 9/1/2038
|
76,406
|
82,301
|
|
Pool # 909236, 7.00%, 9/1/2038
|
211,373
|
223,480
|
|
Pool # 934591, 7.00%, 10/1/2038
|
20,434
|
21,604
|
|
Pool # AB2869, 6.00%, 11/1/2038
|
124,066
|
126,759
|
|
Pool # 995504, 7.50%, 11/1/2038
|
12,832
|
13,302
|
|
Pool # 257510, 7.00%, 12/1/2038
|
59,609
|
63,024
|
|
Pool # AD0753, 7.00%, 1/1/2039
|
106,832
|
112,951
|
|
Pool # 890661, 7.00%, 2/1/2039
|
365,918
|
386,878
|
|
Pool # AD0780, 7.50%, 4/1/2039
|
239,745
|
254,190
|
|
Pool # AD6377, 5.50%, 5/1/2040
|
30,431
|
31,226
|
|
Pool # AD4951, 5.00%, 7/1/2040
|
900,479
|
909,079
|
|
Pool # BM5364, 4.00%, 4/1/2042
|
993,968
|
966,287
|
|
Pool # AL6839, 5.00%, 4/1/2042
|
559,916
|
566,982
|
|
Pool # AL8256, 3.00%, 8/1/2043
|
1,661,062
|
1,517,030
|
|
Pool # AZ8089, 4.00%, 7/1/2045
|
305,178
|
292,384
|
|
Pool # BA2343, 4.00%, 9/1/2045
|
1,448,220
|
1,382,890
|
|
Pool # BC9441, 3.50%, 4/1/2046
|
141,573
|
131,942
|
|
Pool # BC6982, 4.00%, 4/1/2046
|
997,092
|
952,629
|
|
Pool # BD0299, 3.50%, 5/1/2046
|
208,376
|
193,933
|
|
Pool # BC1249, 3.50%, 6/1/2046
|
72,747
|
67,374
|
|
Pool # BD1243, 3.50%, 6/1/2046
|
341,475
|
316,704
|
|
Pool # BD3066, 3.50%, 7/1/2046
|
492,024
|
456,830
|
|
Pool # BD3088, 3.50%, 7/1/2046
|
195,986
|
181,493
|
|
Pool # BD5248, 3.50%, 8/1/2046
|
1,092,811
|
1,013,720
|
|
Pool # BD7764, 3.50%, 9/1/2046
|
552,570
|
513,477
|
|
Pool # BE5870, 3.50%, 1/1/2047
|
1,399,049
|
1,308,983
|
|
Pool # BH4665, 4.00%, 6/1/2047
|
1,806,698
|
1,719,409
|
|
Pool # BH7626, 4.00%, 8/1/2047
|
749,084
|
711,967
|
|
Pool # BM3500, 4.00%, 9/1/2047
|
1,100,213
|
1,064,815
|
|
Pool # BH7663, 4.00%, 10/1/2047
|
1,718,763
|
1,649,004
|
|
Pool # BJ1778, 4.50%, 10/1/2047
|
440,565
|
431,333
|
|
Pool # BM3044, 4.00%, 11/1/2047
|
1,447,924
|
1,376,175
|
|
Pool # BE8351, 4.00%, 2/1/2048
|
407,490
|
387,985
|
|
Pool # BM3455, 4.50%, 2/1/2048
|
900,155
|
880,876
|
|
Pool # BK7006, 4.50%, 6/1/2048
|
369,511
|
360,575
|
|
Pool # BD9084, 4.50%, 7/1/2048
|
937,546
|
916,452
|
|
Pool # BK9303, 4.00%, 8/1/2048
|
1,128,295
|
1,095,144
|
|
Pool # CA4662, 3.50%, 9/1/2048
|
1,777,294
|
1,626,549
|
|
Pool # 890863, 5.00%, 9/1/2048
|
1,262,447
|
1,307,769
|
|
Pool # BN1829, 4.50%, 10/1/2048
|
303,759
|
295,987
|
|
Pool # BN4960, 5.00%, 12/1/2048
|
267,589
|
267,889
|
|
Pool # BM5430, 5.00%, 1/1/2049
|
1,696,151
|
1,701,910
|
|
Pool # BN5013, 5.00%, 1/1/2049
|
1,897,670
|
1,905,409
|
|
Pool # BN6788, 4.50%, 2/1/2049
|
256,502
|
249,396
|
|
Pool # BK0317, 4.00%, 3/1/2049
|
1,086,442
|
1,035,074
|
|
Pool # BO0719, 5.00%, 6/1/2049
|
988,945
|
993,117
|
|
Pool # BO0721, 5.00%, 6/1/2049
|
1,090,007
|
1,097,425
|
|
Pool # BO0722, 5.00%, 6/1/2049
|
91,156
|
91,584
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BO4276, 3.50%, 7/1/2049
|
2,163,245
|
2,035,163
|
|
Pool # BO4277, 3.50%, 7/1/2049
|
2,525,628
|
2,372,441
|
|
Pool # BO4280, 4.00%, 7/1/2049
|
1,397,475
|
1,351,247
|
|
Pool # BN8529, 4.50%, 7/1/2049
|
121,045
|
119,171
|
|
Pool # BO3436, 4.50%, 7/1/2049
|
1,007,307
|
990,526
|
|
Pool # BO0718, 5.00%, 7/1/2049
|
1,100,031
|
1,108,132
|
|
Pool # BO0720, 5.00%, 7/1/2049
|
1,172,764
|
1,178,796
|
|
Pool # BO2496, 5.00%, 7/1/2049
|
1,833,880
|
1,846,265
|
|
Pool # BO2497, 5.00%, 7/1/2049
|
1,820,129
|
1,839,596
|
|
Pool # BO2498, 5.00%, 7/1/2049
|
2,243,985
|
2,272,993
|
|
Pool # BO2499, 5.00%, 7/1/2049
|
421,944
|
437,851
|
|
Pool # BO3408, 5.00%, 7/1/2049
|
552,405
|
553,024
|
|
Pool # BO3749, 4.00%, 8/1/2049
|
1,667,153
|
1,628,500
|
|
Pool # BO3999, 4.00%, 8/1/2049
|
765,721
|
726,974
|
|
Pool # BO2495, 5.00%, 8/1/2049
|
1,823,635
|
1,832,296
|
|
Pool # BK8769, 3.50%, 10/1/2049
|
1,153,258
|
1,060,131
|
|
Pool # CA4363, 4.00%, 10/1/2049
|
956,570
|
908,862
|
|
Pool # BO2888, 4.00%, 11/1/2049
|
1,037,194
|
991,421
|
|
Pool # BO4387, 4.00%, 11/1/2049
|
1,309,417
|
1,249,093
|
|
Pool # FM2526, 4.00%, 12/1/2049
|
1,892,166
|
1,837,061
|
|
Pool # BP1128, 4.00%, 1/1/2050
|
624,714
|
594,724
|
|
Pool # BP1132, 4.00%, 1/1/2050
|
606,268
|
575,762
|
|
Pool # BP1141, 4.00%, 1/1/2050
|
259,943
|
246,849
|
|
Pool # BP1847, 4.50%, 1/1/2050
|
1,355,631
|
1,347,970
|
|
Pool # FM3365, 3.00%, 3/1/2050
|
8,013,083
|
7,091,685
|
|
Pool # BP4626, 2.50%, 4/1/2050
|
3,563,069
|
3,015,306
|
|
Pool # BP6363, 3.00%, 4/1/2050
|
3,784,975
|
3,340,338
|
|
Pool # BP5296, 3.50%, 4/1/2050
|
2,808,851
|
2,585,581
|
|
Pool # BP5302, 4.00%, 4/1/2050
|
1,527,289
|
1,445,043
|
|
Pool # BP8337, 3.00%, 5/1/2050
|
3,501,513
|
3,180,073
|
|
Pool # CA5729, 3.00%, 5/1/2050
|
4,669,351
|
4,119,148
|
|
Pool # CA5731, 3.00%, 5/1/2050
|
11,964,780
|
10,581,550
|
|
Pool # BP5878, 2.50%, 6/1/2050
|
3,993,552
|
3,376,447
|
|
Pool # BP8338, 3.00%, 6/1/2050
|
2,735,022
|
2,480,577
|
|
Pool # BK2693, 3.50%, 6/1/2050
|
697,015
|
639,869
|
|
Pool # BP9337, 3.50%, 6/1/2050
|
2,552,349
|
2,438,524
|
|
Pool # BP9950, 3.50%, 6/1/2050
|
1,814,973
|
1,666,672
|
|
Pool # CA6361, 2.50%, 7/1/2050
|
2,824,248
|
2,419,463
|
|
Pool # CA6430, 3.50%, 7/1/2050
|
4,280,892
|
3,931,802
|
|
Pool # CA8670, 2.50%, 8/1/2050
|
3,946,734
|
3,340,063
|
|
Pool # MA4096, 2.50%, 8/1/2050
|
41,107,038
|
34,783,183
|
|
Pool # BO4410, 3.00%, 8/1/2050
|
3,447,163
|
3,036,864
|
|
Pool # BQ1646, 3.00%, 8/1/2050
|
2,577,721
|
2,257,348
|
|
Pool # FM4311, 3.00%, 8/1/2050
|
2,720,878
|
2,411,474
|
|
Pool # BQ1367, 2.50%, 9/1/2050
|
11,005,560
|
9,415,250
|
|
Pool # BQ4113, 3.00%, 9/1/2050
|
1,372,600
|
1,212,619
|
|
Pool # BQ5586, 3.00%, 10/1/2050
|
2,901,471
|
2,551,642
|
|
Pool # FM5173, 2.50%, 12/1/2050
|
5,644,535
|
4,837,555
|
|
Pool # CA8862, 2.50%, 1/1/2051
|
4,877,085
|
4,187,307
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BQ4516, 2.00%, 2/1/2051
|
12,316,873
|
9,949,405
|
|
Pool # BR4052, 2.00%, 2/1/2051
|
13,073,026
|
10,623,045
|
|
Pool # FM5778, 2.50%, 2/1/2051
|
5,940,301
|
5,094,086
|
|
Pool # BR0870, 3.50%, 2/1/2051
|
508,028
|
466,407
|
|
Pool # FS5380, 2.00%, 5/1/2051
|
18,720,642
|
15,109,498
|
|
Pool # CB0674, 2.50%, 5/1/2051
|
7,632,802
|
6,478,774
|
|
Pool # FM7957, 2.50%, 7/1/2051
|
9,902,209
|
8,481,270
|
|
Pool # FM8179, 2.50%, 7/1/2051
|
16,575,539
|
13,958,037
|
|
Pool # BT6666, 2.00%, 8/1/2051
|
15,232,703
|
12,235,144
|
|
Pool # BT5574, 2.50%, 8/1/2051
|
730,626
|
626,681
|
|
Pool # CB1684, 3.00%, 9/1/2051
|
6,090,621
|
5,374,925
|
|
Pool # MA4415, 3.00%, 9/1/2051
|
12,370,128
|
10,855,272
|
|
Pool # CB1783, 2.50%, 10/1/2051
|
53,348,033
|
45,406,629
|
|
Pool # CB1908, 2.50%, 10/1/2051
|
24,909,639
|
21,210,393
|
|
Pool # FA0352, 2.50%, 10/1/2051
|
9,383,328
|
7,964,650
|
|
Pool # FM9195, 2.50%, 10/1/2051
|
10,036,376
|
8,598,155
|
|
Pool # CB1878, 3.00%, 10/1/2051
|
3,448,963
|
3,065,050
|
|
Pool # MA4466, 2.50%, 11/1/2051
|
7,083,025
|
5,967,580
|
|
Pool # FM9961, 3.00%, 12/1/2051
|
7,872,099
|
6,895,860
|
|
Pool # FS0213, 3.00%, 12/1/2051
|
20,669,212
|
18,217,344
|
|
Pool # FS2559, 3.00%, 12/1/2051
|
3,963,118
|
3,501,053
|
|
Pool # BQ6989, 2.50%, 1/1/2052
|
7,554,953
|
6,354,096
|
|
Pool # BU1451, 2.50%, 1/1/2052
|
3,652,304
|
3,068,330
|
|
Pool # CB2635, 2.50%, 1/1/2052
|
16,388,197
|
13,852,543
|
|
Pool # FA0867, 2.50%, 1/1/2052
|
16,669,562
|
14,149,149
|
|
Pool # FS0454, 3.00%, 1/1/2052
|
13,512,520
|
11,906,508
|
|
Pool # FS8807, 3.00%, 1/1/2052
|
14,025,169
|
12,398,528
|
|
Pool # FS7409, 2.00%, 2/1/2052
|
11,765,733
|
9,602,015
|
|
Pool # BV2188, 2.50%, 2/1/2052
|
7,328,881
|
6,163,799
|
|
Pool # BV3216, 2.50%, 2/1/2052
|
9,046,940
|
7,615,113
|
|
Pool # CB2750, 2.50%, 2/1/2052
|
12,974,786
|
10,957,050
|
|
Pool # CB2869, 2.50%, 2/1/2052
|
21,011,954
|
17,908,616
|
|
Pool # FS4284, 2.50%, 2/1/2052
|
6,361,585
|
5,373,202
|
|
Pool # MA4548, 2.50%, 2/1/2052
|
8,169,098
|
6,877,634
|
|
Pool # BV3570, 3.00%, 2/1/2052
|
964,086
|
851,877
|
|
Pool # FS0488, 3.00%, 2/1/2052
|
4,074,251
|
3,607,887
|
|
Pool # FS0845, 3.00%, 2/1/2052
|
12,563,834
|
11,005,698
|
|
Pool # FS0917, 3.50%, 2/1/2052
|
6,720,115
|
6,155,604
|
|
Pool # BV4119, 2.50%, 3/1/2052
|
13,533,707
|
11,380,732
|
|
Pool # BV4133, 2.50%, 3/1/2052
|
19,088,700
|
16,023,088
|
|
Pool # FS0882, 2.50%, 3/1/2052
|
5,630,669
|
4,831,861
|
|
Pool # FS5446, 2.50%, 3/1/2052
|
7,884,245
|
6,655,398
|
|
Pool # FS7119, 2.50%, 3/1/2052
|
15,350,664
|
12,995,553
|
|
Pool # FS7942, 2.50%, 3/1/2052
|
7,952,911
|
6,796,890
|
|
Pool # BV3283, 3.00%, 3/1/2052
|
6,599,552
|
5,795,693
|
|
Pool # FS0957, 3.00%, 3/1/2052
|
18,364,343
|
16,078,296
|
|
Pool # BV3269, 3.50%, 3/1/2052
|
1,222,466
|
1,116,611
|
|
Pool # BV3276, 3.50%, 3/1/2052
|
2,361,879
|
2,164,307
|
|
Pool # CB3025, 3.50%, 3/1/2052
|
8,242,737
|
7,550,272
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BV5360, 2.50%, 4/1/2052
|
7,552,393
|
6,358,906
|
|
Pool # FA1671, 2.50%, 4/1/2052
|
3,204,435
|
2,737,954
|
|
Pool # CB3361, 3.00%, 4/1/2052
|
15,627,278
|
13,776,046
|
|
Pool # FS6301, 3.00%, 4/1/2052
|
4,016,309
|
3,548,035
|
|
Pool # BV9064, 3.50%, 4/1/2052
|
6,971,132
|
6,344,075
|
|
Pool # CB3273, 4.00%, 4/1/2052
|
9,302,106
|
8,773,166
|
|
Pool # CB3378, 4.00%, 4/1/2052
|
3,257,056
|
3,062,778
|
|
Pool # FS4720, 2.50%, 5/1/2052
|
3,792,940
|
3,254,912
|
|
Pool # FS6790, 2.50%, 5/1/2052
|
8,106,643
|
6,839,538
|
|
Pool # FS7204, 3.00%, 5/1/2052
|
12,059,014
|
10,653,018
|
|
Pool # CB3504, 3.50%, 5/1/2052
|
5,697,564
|
5,208,183
|
|
Pool # FS6323, 3.50%, 5/1/2052
|
16,135,281
|
14,779,803
|
|
Pool # CB3891, 3.00%, 6/1/2052
|
15,505,221
|
13,634,789
|
|
Pool # CB5116, 3.00%, 6/1/2052
|
9,692,995
|
8,496,991
|
|
Pool # BV8244, 4.00%, 6/1/2052
|
2,609,197
|
2,464,946
|
|
Pool # BW5359, 4.00%, 6/1/2052
|
1,679,669
|
1,592,257
|
|
Pool # CB3910, 4.00%, 6/1/2052 (b)
|
1,703,477
|
1,599,347
|
|
Pool # FS1949, 4.00%, 6/1/2052
|
3,064,178
|
2,882,515
|
|
Pool # BW1473, 4.50%, 6/1/2052
|
238,682
|
231,018
|
|
Pool # BW3203, 5.00%, 6/1/2052
|
1,136,466
|
1,141,021
|
|
Pool # BW4016, 5.00%, 6/1/2052
|
1,352,311
|
1,363,564
|
|
Pool # BW4019, 5.00%, 6/1/2052
|
1,723,956
|
1,737,419
|
|
Pool # BW4041, 5.00%, 6/1/2052
|
776,446
|
774,572
|
|
Pool # FA1541, 3.00%, 7/1/2052
|
14,491,278
|
12,801,729
|
|
Pool # FS8820, 3.00%, 7/1/2052
|
12,499,411
|
10,991,686
|
|
Pool # CB4119, 4.00%, 7/1/2052
|
21,358,950
|
20,078,716
|
|
Pool # FS8890, 4.00%, 7/1/2052 (b)
|
7,750,649
|
7,279,764
|
|
Pool # CB4160, 4.50%, 7/1/2052
|
3,204,172
|
3,089,797
|
|
Pool # BV7853, 5.00%, 7/1/2052
|
593,033
|
594,556
|
|
Pool # BW4042, 5.00%, 7/1/2052
|
1,294,937
|
1,289,731
|
|
Pool # BW5398, 5.00%, 7/1/2052
|
647,665
|
647,865
|
|
Pool # CB4608, 4.00%, 9/1/2052
|
7,426,261
|
6,984,631
|
|
Pool # CB4587, 4.50%, 9/1/2052
|
4,386,504
|
4,230,375
|
|
Pool # BW8950, 5.00%, 9/1/2052
|
3,181,681
|
3,148,736
|
|
Pool # CB4625, 5.00%, 9/1/2052
|
3,805,460
|
3,783,932
|
|
Pool # BX2815, 4.50%, 10/1/2052
|
1,452,239
|
1,411,705
|
|
Pool # BW6968, 4.00%, 1/1/2053
|
2,184,226
|
2,048,314
|
|
Pool # BX3284, 5.00%, 2/1/2053
|
3,289,029
|
3,254,402
|
|
Pool # BV6797, 4.00%, 3/1/2053
|
1,086,223
|
1,021,038
|
|
Pool # FA4866, 4.50%, 3/1/2053
|
8,940,465
|
8,619,502
|
|
Pool # FS6260, 4.50%, 3/1/2053 (b)
|
3,692,807
|
3,561,754
|
|
Pool # CB5896, 5.00%, 3/1/2053
|
4,007,177
|
3,962,925
|
|
Pool # BX3824, 5.50%, 3/1/2053
|
6,058,604
|
6,141,196
|
|
Pool # BX4315, 5.00%, 4/1/2053
|
2,386,194
|
2,361,752
|
|
Pool # BU3984, 6.00%, 5/1/2053
|
16,762,362
|
17,218,538
|
|
Pool # BY4776, 5.00%, 7/1/2053
|
9,993,691
|
9,849,330
|
|
Pool # BY4736, 5.50%, 7/1/2053
|
8,982,534
|
9,104,994
|
|
Pool # BV6813, 4.50%, 8/1/2053
|
1,288,320
|
1,247,378
|
|
Pool # BY7027, 5.00%, 8/1/2053
|
7,418,802
|
7,315,904
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # DB4827, 5.00%, 11/1/2054
|
9,650,223
|
9,500,892
|
|
Pool # DB4845, 5.00%, 12/1/2054
|
14,444,409
|
14,336,744
|
|
Pool # CC0694, 5.00%, 7/1/2055
|
14,142,892
|
13,988,919
|
|
FNMA, 30 Year
|
|
|
|
Pool # 252155, 7.00%, 10/1/2028
|
3,143
|
3,179
|
|
Pool # 252334, 6.50%, 2/1/2029
|
12,993
|
13,185
|
|
Pool # 252409, 6.50%, 3/1/2029
|
10,968
|
11,095
|
|
Pool # 653815, 7.00%, 2/1/2033
|
5,676
|
5,682
|
|
Pool # 752786, 6.00%, 9/1/2033
|
14,044
|
14,058
|
|
Pool # 954255, 6.50%, 8/1/2037
|
210,381
|
214,405
|
|
Pool # 931717, 6.50%, 8/1/2039
|
121,262
|
122,716
|
|
Pool # CA3030, 4.50%, 1/1/2049
|
3,885,770
|
3,708,398
|
|
Pool # CA4047, 4.00%, 8/1/2049
|
4,452,857
|
4,142,923
|
|
Pool # CA4520, 3.50%, 11/1/2049
|
3,428,644
|
3,091,893
|
|
Pool # CB4014, 4.50%, 7/1/2052
|
931,609
|
886,677
|
|
FNMA, Other
|
|
|
|
Pool # AM7321, 3.12%, 11/1/2026
|
838,233
|
833,228
|
|
Pool # AN4571, 3.07%, 2/1/2027
|
1,503,607
|
1,492,064
|
|
Pool # AM8987, 2.79%, 6/1/2027
|
771,960
|
761,267
|
|
Pool # AN4154, 3.17%, 1/1/2029
|
6,060,000
|
5,883,458
|
|
Pool # AN4349, 3.35%, 1/1/2029
|
2,569,744
|
2,515,030
|
|
Pool # BS5292, 2.53%, 5/1/2029
|
22,120,932
|
21,035,648
|
|
Pool # BS3673, 1.88%, 6/1/2029
|
6,000,000
|
5,579,187
|
|
Pool # BZ1797, 4.33%, 1/1/2030
|
5,436,000
|
5,438,763
|
|
Pool # AN8154, 3.17%, 2/1/2030
|
5,810,298
|
5,576,036
|
|
Pool # AM7516, 3.55%, 2/1/2030
|
2,000,000
|
1,950,121
|
|
Pool # BS7348, 5.08%, 2/1/2030
|
5,937,190
|
6,040,723
|
|
Pool # BS9093, 5.17%, 2/1/2030
|
1,285,138
|
1,316,140
|
|
Pool # BS8474, 4.84%, 4/1/2030
|
2,095,436
|
2,120,218
|
|
Pool # BS6827, 4.19%, 5/1/2030
|
3,846,465
|
3,818,640
|
|
Pool # BS5224, 2.52%, 7/1/2030
|
5,068,750
|
4,718,896
|
|
Pool # BL8177, 1.10%, 9/1/2030
|
23,660,929
|
20,789,204
|
|
Pool # BS8426, 4.28%, 9/1/2030
|
8,939,408
|
8,896,384
|
|
Pool # BS9203, 4.64%, 10/1/2030
|
2,570,784
|
2,586,445
|
|
Pool # BS5389, 3.03%, 11/1/2030
|
10,962,268
|
10,357,978
|
|
Pool # AN0099, 3.28%, 11/1/2030
|
6,262,313
|
5,972,902
|
|
Pool # BS8033, 4.43%, 11/1/2030
|
5,555,083
|
5,560,515
|
|
Pool # BS8732, 4.61%, 11/1/2030
|
6,132,162
|
6,181,785
|
|
Pool # BS7750, 4.24%, 12/1/2030
|
3,983,871
|
3,956,776
|
|
Pool # BS6828, 4.07%, 1/1/2031
|
4,863,692
|
4,793,055
|
|
Pool # BS7882, 4.56%, 1/1/2031
|
3,563,609
|
3,576,829
|
|
Pool # BS8379, 4.66%, 1/1/2031
|
6,630,000
|
6,673,654
|
|
Pool # BS8200, 4.74%, 1/1/2031
|
3,934,946
|
3,973,667
|
|
Pool # BS9368, 5.15%, 1/1/2031
|
3,427,000
|
3,502,732
|
|
Pool # BS5378, 3.45%, 4/1/2031
|
2,409,737
|
2,306,166
|
|
Pool # BS2915, 1.87%, 5/1/2031
|
7,514,656
|
6,662,693
|
|
Pool # BS7884, 4.03%, 5/1/2031
|
5,355,080
|
5,243,084
|
|
Pool # AI2479, 5.00%, 5/1/2031
|
74,185
|
74,398
|
|
Pool # BZ1868, 4.81%, 6/1/2031
|
1,542,910
|
1,563,674
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BS7362, 5.14%, 6/1/2031
|
4,000,000
|
4,080,721
|
|
Pool # BS2422, 1.67%, 7/1/2031
|
12,000,000
|
10,506,878
|
|
Pool # AN2456, 2.74%, 8/1/2031
|
848,098
|
786,120
|
|
Pool # BS7268, 5.05%, 8/1/2031
|
2,000,000
|
2,050,731
|
|
Pool # BS2898, 1.56%, 9/1/2031
|
20,203,000
|
17,476,326
|
|
Pool # BS4279, 2.00%, 9/1/2031
|
6,405,455
|
5,693,896
|
|
Pool # BS8183, 4.74%, 9/1/2031
|
4,855,900
|
4,899,418
|
|
Pool # BS5371, 3.16%, 10/1/2031
|
5,704,887
|
5,345,836
|
|
Pool # BZ6971, 4.79%, 10/1/2031
|
2,384,000
|
2,407,186
|
|
Pool # BS3637, 1.73%, 11/1/2031
|
5,412,357
|
4,760,158
|
|
Pool # BS6765, 4.24%, 11/1/2031
|
4,238,000
|
4,189,422
|
|
Pool # BZ0801, 4.60%, 11/1/2031
|
3,871,000
|
3,889,228
|
|
Pool # BS4124, 1.94%, 1/1/2032
|
3,627,066
|
3,208,688
|
|
Pool # BS4525, 1.94%, 1/1/2032
|
8,500,000
|
7,442,377
|
|
Pool # BS4030, 1.96%, 1/1/2032
|
9,747,075
|
8,585,852
|
|
Pool # BS4315, 1.98%, 1/1/2032
|
16,418,000
|
14,439,610
|
|
Pool # BS4650, 2.02%, 1/1/2032
|
3,974,840
|
3,515,751
|
|
Pool # BS4142, 2.13%, 1/1/2032
|
7,360,928
|
6,549,611
|
|
Pool # BZ2402, 5.25%, 1/1/2032
|
6,634,000
|
6,829,505
|
|
Pool # AN3104, 2.75%, 2/1/2032
|
8,647,915
|
7,955,220
|
|
Pool # BS4654, 2.39%, 3/1/2032
|
4,591,670
|
4,144,371
|
|
Pool # BS5130, 2.55%, 4/1/2032
|
4,617,291
|
4,187,415
|
|
Pool # BS5193, 2.62%, 4/1/2032
|
8,053,000
|
7,287,019
|
|
Pool # BS5259, 2.84%, 4/1/2032
|
9,830,650
|
9,022,802
|
|
Pool # BS5231, 2.54%, 5/1/2032
|
8,400,000
|
7,591,445
|
|
Pool # BS5452, 3.09%, 5/1/2032
|
9,070,000
|
8,376,912
|
|
Pool # BS5643, 3.62%, 5/1/2032
|
3,356,159
|
3,205,878
|
|
Pool # AN6149, 3.14%, 7/1/2032
|
4,075,000
|
3,773,018
|
|
Pool # BS6091, 3.68%, 7/1/2032
|
2,184,000
|
2,089,470
|
|
Pool # BS4203, 2.36%, 8/1/2032
|
5,948,672
|
5,266,120
|
|
Pool # AN6123, 3.06%, 8/1/2032
|
800,000
|
738,790
|
|
Pool # BS6301, 3.67%, 8/1/2032
|
21,407,000
|
20,404,968
|
|
Pool # BS6611, 3.72%, 8/1/2032
|
8,525,758
|
8,193,360
|
|
Pool # BS6425, 3.88%, 8/1/2032
|
5,876,454
|
5,684,999
|
|
Pool # BS6269, 4.03%, 8/1/2032
|
1,744,609
|
1,696,202
|
|
Pool # BS7247, 5.19%, 8/1/2032
|
4,000,000
|
4,134,380
|
|
Pool # BS6335, 3.75%, 9/1/2032
|
8,022,891
|
7,713,229
|
|
Pool # BS6331, 3.76%, 9/1/2032
|
7,700,000
|
7,391,180
|
|
Pool # BS6339, 3.80%, 9/1/2032
|
11,722,931
|
11,260,037
|
|
Pool # AN6651, 2.94%, 10/1/2032
|
578,310
|
532,706
|
|
Pool # BS6398, 3.87%, 10/1/2032
|
1,232,556
|
1,184,811
|
|
Pool # BS6756, 3.89%, 10/1/2032
|
2,000,000
|
1,915,296
|
|
Pool # BS8968, 4.73%, 10/1/2032
|
5,050,000
|
5,090,258
|
|
Pool # BS6995, 4.18%, 11/1/2032
|
5,080,000
|
4,982,674
|
|
Pool # BS6849, 4.23%, 11/1/2032
|
3,793,481
|
3,733,172
|
|
Pool # BZ5646, 4.48%, 11/1/2032
|
4,472,000
|
4,454,736
|
|
Pool # BS7006, 4.79%, 11/1/2032
|
4,655,000
|
4,717,261
|
|
Pool # BS6994, 4.85%, 11/1/2032
|
2,000,000
|
2,036,301
|
|
Pool # BS7292, 5.60%, 11/1/2032
|
2,506,763
|
2,628,559
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BS7001, 4.36%, 12/1/2032
|
6,105,000
|
6,054,800
|
|
Pool # BS8052, 4.38%, 12/1/2032
|
8,348,765
|
8,232,663
|
|
Pool # BS7090, 4.45%, 12/1/2032
|
6,340,701
|
6,310,644
|
|
Pool # BS7095, 4.80%, 12/1/2032
|
3,880,935
|
3,933,897
|
|
Pool # BS7318, 4.94%, 12/1/2032
|
1,431,014
|
1,459,569
|
|
Pool # BS7182, 5.11%, 12/1/2032
|
6,000,000
|
6,166,056
|
|
Pool # BS7267, 5.18%, 12/1/2032
|
2,380,000
|
2,458,983
|
|
Pool # BS6474, 3.82%, 1/1/2033
|
6,222,403
|
5,964,061
|
|
Pool # BZ5699, 4.47%, 1/1/2033
|
4,992,377
|
4,954,240
|
|
Pool # BZ0743, 5.15%, 1/1/2033
|
3,997,137
|
4,118,779
|
|
Pool # AD8548, 5.50%, 1/1/2033
|
104,933
|
104,934
|
|
Pool # AR7484, 3.50%, 2/1/2033
|
406,269
|
396,641
|
|
Pool # BS8335, 4.62%, 2/1/2033
|
2,995,000
|
2,995,271
|
|
Pool # BM6599, 1.73%, 3/1/2033 (a)
|
5,857,452
|
4,948,362
|
|
Pool # BS8334, 4.71%, 3/1/2033
|
4,907,518
|
4,930,575
|
|
Pool # BS7371, 5.02%, 3/1/2033
|
1,002,373
|
1,021,470
|
|
Pool # BS8288, 4.39%, 4/1/2033
|
4,484,000
|
4,447,489
|
|
Pool # BS8223, 4.50%, 4/1/2033
|
4,030,000
|
4,012,782
|
|
Pool # BS8256, 4.53%, 4/1/2033
|
6,583,000
|
6,531,482
|
|
Pool # BS8147, 4.72%, 4/1/2033
|
3,631,191
|
3,635,423
|
|
Pool # BS2088, 2.02%, 5/1/2033
|
5,877,139
|
5,034,789
|
|
Pool # BS8185, 4.17%, 5/1/2033
|
5,000,000
|
4,882,372
|
|
Pool # BS8238, 4.19%, 5/1/2033
|
1,703,985
|
1,659,264
|
|
Pool # BS8213, 4.22%, 5/1/2033
|
9,680,146
|
9,500,178
|
|
Pool # BS8203, 4.24%, 5/1/2033
|
3,150,000
|
3,098,094
|
|
Pool # BS8284, 4.43%, 5/1/2033
|
10,005,000
|
9,917,037
|
|
Pool # BS8152, 4.55%, 5/1/2033
|
1,987,000
|
1,982,232
|
|
Pool # AT7117, 3.50%, 6/1/2033
|
416,821
|
405,083
|
|
Pool # BS8280, 4.30%, 6/1/2033
|
4,500,000
|
4,421,051
|
|
Pool # BS8703, 4.48%, 6/1/2033
|
5,000,000
|
4,974,627
|
|
Pool # BS8204, 4.67%, 6/1/2033
|
7,296,000
|
7,355,124
|
|
Pool # AN9700, 3.67%, 7/1/2033
|
3,500,000
|
3,324,702
|
|
Pool # BS8883, 4.58%, 7/1/2033
|
4,095,000
|
4,066,422
|
|
Pool # BS2933, 1.82%, 9/1/2033
|
9,632,000
|
8,001,932
|
|
Pool # BS9351, 4.70%, 9/1/2033
|
4,102,711
|
4,107,555
|
|
Pool # 754922, 5.50%, 9/1/2033
|
16,902
|
16,895
|
|
Pool # BS3445, 1.88%, 10/1/2033
|
9,069,346
|
7,677,699
|
|
Pool # BL0466, 3.69%, 10/1/2033
|
2,973,208
|
2,821,107
|
|
Pool # 109738, 3.78%, 10/1/2033
|
4,825,000
|
4,612,151
|
|
Pool # 762520, 4.00%, 11/1/2033
|
73,633
|
72,075
|
|
Pool # BS4163, 2.04%, 1/1/2034
|
9,088,898
|
7,728,140
|
|
Pool # BS4484, 2.16%, 1/1/2034
|
5,384,977
|
4,578,335
|
|
Pool # BS4911, 2.49%, 4/1/2034
|
3,678,499
|
3,197,114
|
|
Pool # BS4985, 2.61%, 4/1/2034
|
5,200,000
|
4,546,242
|
|
Pool # BS5184, 2.67%, 4/1/2034
|
3,288,000
|
2,873,052
|
|
Pool # BS5237, 2.86%, 4/1/2034
|
8,851,225
|
7,819,299
|
|
Pool # BS7836, 4.75%, 4/1/2034
|
3,373,000
|
3,380,801
|
|
Pool # BZ0565, 5.04%, 5/1/2034
|
684,000
|
696,613
|
|
Pool # AM6492, 3.76%, 8/1/2034
|
1,550,227
|
1,478,056
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BS8440, 4.39%, 8/1/2034
|
6,274,635
|
6,138,545
|
|
Pool # BS5314, 3.29%, 9/1/2034
|
5,401,000
|
4,872,804
|
|
Pool # BS6427, 3.75%, 9/1/2034
|
9,130,000
|
8,568,152
|
|
Pool # BS7816, 4.45%, 9/1/2034
|
3,698,000
|
3,631,469
|
|
Pool # BS8685, 4.72%, 2/1/2035
|
5,235,818
|
5,228,314
|
|
Pool # BS8567, 4.47%, 5/1/2035
|
2,488,371
|
2,456,946
|
|
Pool # BZ4986, 4.49%, 9/1/2035
|
1,439,000
|
1,418,355
|
|
Pool # BS5018, 2.88%, 10/1/2035
|
4,358,000
|
3,731,407
|
|
Pool # 847108, 6.50%, 10/1/2035
|
42,399
|
42,834
|
|
Pool # BZ4027, 5.33%, 11/1/2035
|
3,150,000
|
3,279,052
|
|
Pool # 881628, 5.00%, 1/1/2036
|
5,851
|
5,785
|
|
Pool # 256128, 6.00%, 2/1/2036
|
5,439
|
5,582
|
|
Pool # BS7254, 5.42%, 3/1/2036
|
1,915,050
|
1,982,943
|
|
Pool # BZ0417, 5.20%, 10/1/2036
|
5,205,859
|
5,340,892
|
|
Pool # BS4039, 2.37%, 12/1/2036
|
10,000,000
|
8,022,114
|
|
Pool # BS4040, 2.37%, 12/1/2036
|
11,965,000
|
9,555,553
|
|
Pool # 256651, 6.00%, 3/1/2037
|
11,570
|
11,935
|
|
Pool # 888408, 6.00%, 3/1/2037
|
11,909
|
11,932
|
|
Pool # 888373, 7.00%, 3/1/2037
|
26,741
|
27,841
|
|
Pool # 888796, 6.00%, 9/1/2037
|
72,703
|
73,313
|
|
Pool # 888698, 7.00%, 10/1/2037
|
30,345
|
31,244
|
|
Pool # AN7345, 3.21%, 11/1/2037
|
7,468,348
|
6,641,663
|
|
Pool # AN0304, 3.44%, 11/1/2037
|
1,334,453
|
1,243,435
|
|
Pool # BS6588, 4.18%, 4/1/2038
|
2,096,000
|
1,939,907
|
|
Pool # 257172, 5.50%, 4/1/2038
|
7,229
|
7,195
|
|
Pool # AD0810, 6.00%, 11/1/2039
|
77
|
76
|
|
Pool # AB1830, 3.50%, 11/1/2040
|
64,155
|
60,437
|
|
Pool # AL2606, 4.00%, 3/1/2042
|
103,441
|
98,198
|
|
Pool # AO6757, 4.00%, 6/1/2042
|
646,719
|
622,166
|
|
Pool # AO7225, 4.00%, 7/1/2042
|
470,612
|
453,714
|
|
Pool # AO9352, 4.00%, 7/1/2042
|
345,519
|
333,114
|
|
Pool # AO9353, 4.00%, 7/1/2042
|
419,305
|
404,108
|
|
Pool # AP0838, 4.00%, 7/1/2042
|
2,504,709
|
2,414,767
|
|
Pool # MA1125, 4.00%, 7/1/2042
|
161,245
|
155,457
|
|
Pool # MA1177, 3.50%, 9/1/2042
|
238,796
|
223,299
|
|
Pool # MA1178, 4.00%, 9/1/2042
|
471,705
|
454,772
|
|
Pool # MA1213, 3.50%, 10/1/2042
|
1,164,460
|
1,088,891
|
|
Pool # AR1397, 3.00%, 1/1/2043
|
571,191
|
520,578
|
|
Pool # AB8517, 3.00%, 2/1/2043
|
247,198
|
225,290
|
|
Pool # MA1373, 3.50%, 3/1/2043
|
1,301,628
|
1,221,205
|
|
Pool # MA1437, 3.50%, 5/1/2043
|
364,832
|
341,149
|
|
Pool # MA1442, 4.00%, 5/1/2043
|
836,906
|
806,852
|
|
Pool # MA1463, 3.50%, 6/1/2043
|
631,349
|
590,362
|
|
Pool # MA1552, 3.00%, 8/1/2043
|
439,325
|
400,414
|
|
Pool # MA1582, 3.50%, 9/1/2043
|
84,300
|
78,828
|
|
Pool # MA2434, 3.50%, 9/1/2045
|
540,899
|
502,741
|
|
Pool # MA2493, 3.50%, 12/1/2045
|
102,363
|
95,144
|
|
Pool # BC1157, 3.50%, 1/1/2046
|
252,112
|
234,358
|
|
Pool # MA2545, 3.50%, 2/1/2046
|
139,747
|
129,891
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AS6970, 3.50%, 4/1/2046
|
992,468
|
922,450
|
|
Pool # BC8400, 3.50%, 5/1/2046
|
317,418
|
295,023
|
|
Pool # AS7424, 3.50%, 6/1/2046
|
743,997
|
691,513
|
|
Pool # MA2658, 3.50%, 6/1/2046
|
2,769,544
|
2,574,204
|
|
Pool # BF0491, 3.50%, 12/1/2054
|
11,643,570
|
10,792,313
|
|
Pool # BF0557, 2.50%, 12/1/2055
|
5,486,682
|
4,636,591
|
|
Pool # BF0125, 4.00%, 7/1/2056
|
8,440,255
|
7,922,456
|
|
Pool # BF0141, 5.50%, 9/1/2056
|
6,179,680
|
6,270,579
|
|
Pool # BF0230, 5.50%, 1/1/2058
|
5,357,572
|
5,551,085
|
|
Pool # BF0271, 5.50%, 5/1/2058
|
5,695,637
|
5,869,848
|
|
Pool # BF0300, 4.00%, 8/1/2058
|
13,811,252
|
13,040,638
|
|
Pool # BF0340, 5.00%, 1/1/2059
|
5,483,170
|
5,451,038
|
|
Pool # BM7404, 4.00%, 8/1/2059
|
10,526,241
|
9,815,174
|
|
Pool # BF0464, 3.50%, 3/1/2060
|
3,881,646
|
3,496,932
|
|
Pool # BF0507, 3.00%, 9/1/2060
|
2,386,661
|
2,074,281
|
|
Pool # BM7075, 3.00%, 3/1/2061
|
3,240,286
|
2,783,875
|
|
Pool # BF0560, 2.50%, 9/1/2061
|
8,137,815
|
6,659,357
|
|
Pool # BF0562, 3.50%, 9/1/2061
|
6,859,622
|
6,159,654
|
|
Pool # BF0577, 2.50%, 12/1/2061
|
3,986,778
|
3,309,407
|
|
Pool # BF0582, 4.00%, 12/1/2061
|
8,666,573
|
8,187,984
|
|
Pool # BF0583, 4.00%, 12/1/2061
|
3,535,080
|
3,268,822
|
|
Pool # BF0586, 5.00%, 12/1/2061
|
2,477,718
|
2,450,297
|
|
Pool # BF0617, 2.50%, 3/1/2062
|
10,271,960
|
8,405,761
|
|
Pool # BF0604, 3.50%, 3/1/2062
|
3,113,124
|
2,795,444
|
|
Pool # BF0674, 2.50%, 4/1/2062
|
11,452,731
|
9,371,864
|
|
Pool # BF0673, 2.50%, 6/1/2062
|
22,846,784
|
18,695,828
|
|
Pool # BF0654, 3.00%, 6/1/2062
|
6,129,566
|
5,251,068
|
|
Pool # BF0655, 3.50%, 6/1/2062
|
6,112,510
|
5,488,783
|
|
Pool # BF0694, 2.50%, 12/1/2062
|
7,152,920
|
5,987,050
|
|
Pool # BF0701, 3.50%, 12/1/2062
|
8,560,965
|
7,687,251
|
|
Pool # BF0732, 2.50%, 6/1/2063
|
6,432,278
|
5,291,452
|
|
Pool # BF0733, 3.00%, 6/1/2063
|
13,089,178
|
11,213,095
|
|
Pool # BF0767, 4.00%, 9/1/2063
|
7,733,951
|
7,151,385
|
|
Pool # BF0802, 2.50%, 4/1/2064
|
14,304,408
|
11,767,364
|
|
Pool # BF0804, 3.00%, 4/1/2064
|
5,707,589
|
4,931,924
|
|
Pool # BF0809, 4.00%, 4/1/2064
|
2,961,184
|
2,763,801
|
|
FNMA/FHLMC UMBS, Single Family, 30 Year
|
|
|
|
TBA, 2.50%, 6/25/2056 (b)
|
106,100,000
|
88,763,497
|
|
TBA, 5.00%, 6/25/2056 (b)
|
152,585,000
|
150,104,081
|
|
GNMA Pool # DR2663, 4.50%, 1/20/2066
|
233,724
|
224,181
|
|
GNMA I, 30 Year
|
|
|
|
Pool # 780653, 6.50%, 10/15/2027
|
5,152
|
5,181
|
|
Pool # 450038, 7.50%, 7/15/2028
|
1,601
|
1,620
|
|
Pool # 486537, 7.50%, 9/15/2028
|
572
|
581
|
|
Pool # 486631, 6.50%, 10/15/2028
|
216
|
218
|
|
Pool # 556255, 6.50%, 10/15/2031
|
19,963
|
20,514
|
|
Pool # 569568, 6.50%, 1/15/2032
|
55,179
|
56,563
|
|
Pool # 611453, 7.00%, 4/15/2032
|
5,240
|
5,367
|
|
Pool # 569423, 7.00%, 5/15/2032
|
15,245
|
15,622
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 591882, 6.50%, 7/15/2032
|
10,392
|
10,512
|
|
Pool # 552665, 7.00%, 7/15/2032
|
10,178
|
10,408
|
|
Pool # 782032, 7.00%, 10/15/2032
|
22,821
|
23,469
|
|
Pool # 591420, 7.50%, 1/15/2033
|
12,074
|
12,426
|
|
Pool # 607645, 6.50%, 2/15/2033
|
9,297
|
9,502
|
|
Pool # 604168, 6.50%, 4/15/2033
|
4,881
|
4,975
|
|
Pool # 781614, 7.00%, 6/15/2033
|
14,015
|
14,588
|
|
Pool # 638733, 7.00%, 3/15/2037
|
30,317
|
32,078
|
|
Pool # 759537, 3.49%, 1/15/2041
|
787,137
|
745,207
|
|
Pool # 759561, 3.49%, 1/15/2041
|
129,091
|
122,190
|
|
Pool # 759374, 3.49%, 2/15/2041
|
758,881
|
718,865
|
|
Pool # 762703, 3.49%, 2/15/2041
|
256,794
|
242,979
|
|
Pool # 762954, 2.99%, 3/15/2041
|
174,100
|
166,357
|
|
Pool # 763239, 2.99%, 3/15/2041
|
85,262
|
82,442
|
|
Pool # 762751, 3.49%, 3/15/2041
|
1,021,275
|
966,866
|
|
Pool # 762953, 3.49%, 3/15/2041
|
579,669
|
547,383
|
|
Pool # 762973, 3.49%, 3/15/2041
|
88,518
|
83,615
|
|
Pool # 763140, 3.13%, 4/15/2041
|
101,773
|
97,720
|
|
Pool # 763021, 3.49%, 4/15/2041
|
121,747
|
114,489
|
|
Pool # 763180, 3.49%, 4/15/2041
|
54,932
|
51,695
|
|
Pool # 380437, 3.13%, 5/15/2041
|
91,274
|
88,433
|
|
Pool # 770881, 3.13%, 5/15/2041
|
99,698
|
95,758
|
|
Pool # 763366, 3.49%, 5/15/2041
|
48,955
|
46,188
|
|
Pool # 770909, 2.99%, 6/15/2041
|
223,493
|
210,792
|
|
Pool # 380436, 3.38%, 6/15/2041
|
271,069
|
259,548
|
|
Pool # 770754, 3.38%, 6/15/2041
|
288,806
|
277,847
|
|
Pool # AT7652, 4.00%, 8/15/2046
|
842,646
|
797,156
|
|
Pool # 784450, 4.00%, 2/15/2048
|
3,289,695
|
3,102,647
|
|
Pool # BI6468, 5.00%, 12/15/2048
|
2,003,832
|
1,991,299
|
|
Pool # BM1750, 5.00%, 4/15/2049
|
1,232,037
|
1,224,332
|
|
Pool # BM4206, 5.00%, 4/15/2049
|
1,154,592
|
1,153,594
|
|
Pool # BM4207, 5.00%, 4/15/2049
|
662,018
|
659,916
|
|
Pool # BM4208, 5.00%, 4/15/2049
|
2,614,523
|
2,609,396
|
|
Pool # BM1957, 5.00%, 5/15/2049
|
1,492,404
|
1,483,070
|
|
Pool # BN4051, 5.00%, 6/15/2049
|
2,400,948
|
2,398,873
|
|
Pool # BN4052, 5.00%, 6/15/2049
|
2,337,060
|
2,329,641
|
|
Pool # BN4053, 5.00%, 6/15/2049
|
3,274,669
|
3,280,156
|
|
Pool # BM9691, 4.50%, 7/15/2049
|
2,174,365
|
2,113,906
|
|
Pool # BM2141, 5.00%, 7/15/2049
|
1,023,027
|
1,030,970
|
|
Pool # BM2163, 5.00%, 7/15/2049
|
2,191,582
|
2,211,379
|
|
Pool # BM2281, 5.00%, 7/15/2049
|
2,282,325
|
2,259,260
|
|
Pool # BM2305, 5.00%, 8/15/2049
|
1,405,226
|
1,410,426
|
|
Pool # BV2390, 3.50%, 7/15/2050
|
1,065,216
|
1,001,500
|
|
Pool # BW7021, 3.50%, 8/15/2050
|
2,968,316
|
2,790,765
|
|
Pool # BW7044, 3.50%, 9/15/2050
|
2,743,787
|
2,579,665
|
|
Pool # BW7064, 3.50%, 10/15/2050
|
860,287
|
808,827
|
|
Pool # BY7857, 3.50%, 11/15/2050
|
635,707
|
597,681
|
|
Pool # BY7874, 3.50%, 12/15/2050
|
681,972
|
641,178
|
|
Pool # CA3251, 3.50%, 12/15/2050
|
1,082,001
|
1,017,951
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BY7887, 3.50%, 1/15/2051
|
2,094,867
|
1,969,557
|
|
Pool # CA3320, 3.50%, 1/15/2051
|
1,467,111
|
1,380,264
|
|
Pool # CA3304, 3.50%, 2/15/2051
|
748,250
|
703,956
|
|
Pool # CE2513, 3.50%, 5/15/2051
|
850,505
|
769,440
|
|
Pool # CO1898, 5.50%, 7/15/2052
|
4,393,195
|
4,643,837
|
|
Pool # CO1926, 5.00%, 10/15/2052
|
3,911,071
|
4,035,454
|
|
Pool # CR2385, 5.50%, 4/15/2053
|
3,498,288
|
3,697,964
|
|
Pool # CU0301, 6.50%, 5/15/2053
|
8,862,937
|
9,316,232
|
|
GNMA I, Other Pool # BX7719, 1.97%, 9/15/2041
|
2,551,714
|
2,069,424
|
|
GNMA II
|
|
|
|
Pool # CG8187, ARM, 5.32%, 8/20/2071 (a)
|
8,556,750
|
8,890,565
|
|
Pool # CH2658, ARM, 5.39%, 9/20/2071 (a)
|
5,005,814
|
5,193,175
|
|
Pool # CH4939, ARM, 5.33%, 10/20/2071 (a)
|
3,436,988
|
3,557,410
|
|
Pool # CJ6767, ARM, 5.27%, 11/20/2071 (a)
|
9,425,552
|
9,756,315
|
|
Pool # CJ7141, ARM, 5.35%, 11/20/2071 (a)
|
4,058,920
|
4,218,661
|
|
Pool # CJ9640, ARM, 5.45%, 11/20/2071 (a)
|
9,273,416
|
9,648,161
|
|
Pool # CE5557, ARM, 5.54%, 11/20/2071 (a)
|
10,594,834
|
11,070,652
|
|
Pool # CK2767, ARM, 5.55%, 12/20/2071 (a)
|
9,012,184
|
9,424,091
|
|
Pool # CJ7149, ARM, 5.60%, 12/20/2071 (a)
|
6,180,731
|
6,464,539
|
|
GNMA II, 30 Year
|
|
|
|
Pool # 2270, 8.00%, 8/20/2026
|
7
|
7
|
|
Pool # 2324, 8.00%, 11/20/2026
|
7
|
7
|
|
Pool # 2499, 8.00%, 10/20/2027
|
295
|
298
|
|
Pool # 2549, 7.50%, 2/20/2028
|
72
|
72
|
|
Pool # 2646, 7.50%, 9/20/2028
|
489
|
496
|
|
Pool # 737076, 6.50%, 10/20/2033
|
62,490
|
63,198
|
|
Pool # 748766, 6.50%, 1/20/2039
|
28,683
|
29,108
|
|
Pool # 752496, 6.50%, 1/20/2039
|
49,918
|
53,006
|
|
Pool # 783389, 6.00%, 8/20/2039
|
245,395
|
254,022
|
|
Pool # 783444, 5.50%, 9/20/2039
|
58,913
|
59,768
|
|
Pool # 742853, 3.88%, 4/20/2040
|
858,632
|
796,220
|
|
Pool # 742810, 3.88%, 6/20/2040
|
846,434
|
785,415
|
|
Pool # 742801, 3.88%, 8/20/2040
|
308,060
|
285,809
|
|
Pool # 742876, 3.25%, 11/20/2040
|
750,007
|
677,114
|
|
Pool # 742878, 3.88%, 11/20/2040
|
3,103,011
|
2,877,352
|
|
Pool # BZ8504, 2.50%, 12/20/2040
|
748,798
|
678,709
|
|
Pool # 742883, 3.25%, 2/20/2041
|
1,349,967
|
1,240,458
|
|
Pool # 742885, 3.75%, 2/20/2041
|
30,173
|
27,899
|
|
Pool # 742884, 3.88%, 2/20/2041
|
1,417,446
|
1,315,231
|
|
Pool # 751810, 3.50%, 3/20/2041
|
556,832
|
504,514
|
|
Pool # BZ1781, 4.50%, 5/20/2041
|
472,464
|
461,401
|
|
Pool # BZ1778, 4.00%, 10/20/2041
|
403,232
|
383,794
|
|
Pool # BZ1774, 3.50%, 12/20/2041
|
894,678
|
810,273
|
|
Pool # BZ1664, 4.00%, 12/20/2042
|
633,970
|
603,808
|
|
Pool # BZ1780, 4.50%, 10/20/2043
|
571,722
|
556,957
|
|
Pool # AE8053, 4.00%, 12/20/2043
|
361,856
|
342,359
|
|
Pool # BZ1770, 3.00%, 6/20/2044
|
1,610,572
|
1,433,283
|
|
Pool # BZ1661, 3.50%, 8/20/2044
|
688,271
|
623,899
|
|
Pool # BZ1773, 3.50%, 9/20/2044
|
1,923,865
|
1,749,335
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AJ9020, 4.50%, 10/20/2044
|
124,023
|
119,737
|
|
Pool # 783967, 4.25%, 12/20/2044
|
1,289,706
|
1,210,710
|
|
Pool # BZ1777, 4.00%, 3/20/2045
|
337,796
|
319,883
|
|
Pool # BY6444, 2.50%, 11/20/2045
|
429,554
|
366,844
|
|
Pool # BZ8502, 2.50%, 12/20/2045
|
1,348,087
|
1,150,500
|
|
Pool # BZ8503, 2.50%, 12/20/2045
|
794,857
|
677,841
|
|
Pool # AK8803, 4.00%, 3/20/2046
|
752,769
|
703,885
|
|
Pool # BZ1663, 4.00%, 7/20/2046
|
1,047,952
|
990,813
|
|
Pool # AS8110, 3.75%, 8/20/2046
|
1,480,285
|
1,367,294
|
|
Pool # AY2378, 3.25%, 2/20/2047
|
249,104
|
225,900
|
|
Pool # AY2381, 4.25%, 7/20/2047
|
768,545
|
730,484
|
|
Pool # BZ1769, 3.00%, 8/20/2047
|
1,343,599
|
1,195,561
|
|
Pool # BZ1654, 3.00%, 9/20/2047
|
640,955
|
572,714
|
|
Pool # AY2388, 4.25%, 9/20/2047
|
2,693,627
|
2,560,231
|
|
Pool # BD3185, 4.00%, 10/20/2047
|
7,758,768
|
7,245,622
|
|
Pool # BZ1660, 3.50%, 11/20/2047
|
1,126,493
|
1,022,828
|
|
Pool # BZ1772, 3.50%, 11/20/2047
|
3,134,145
|
2,826,392
|
|
Pool # BZ1776, 4.00%, 11/20/2047
|
1,369,610
|
1,283,252
|
|
Pool # AY2392, 4.25%, 11/20/2047
|
2,910,519
|
2,762,792
|
|
Pool # BE4662, 4.00%, 12/20/2047
|
10,193,466
|
9,654,459
|
|
Pool # BB8795, 4.00%, 1/20/2048
|
1,955,587
|
1,820,244
|
|
Pool # AY2395, 4.25%, 1/20/2048
|
1,842,233
|
1,752,153
|
|
Pool # AY2404, 4.25%, 5/20/2048
|
2,912,158
|
2,767,952
|
|
Pool # BG6360, 5.00%, 5/20/2048
|
1,619,380
|
1,642,692
|
|
Pool # BF2645, 5.50%, 5/20/2048
|
310,937
|
317,284
|
|
Pool # AY2405, 4.25%, 6/20/2048
|
3,535,370
|
3,362,482
|
|
Pool # BD0531, 5.00%, 6/20/2048
|
411,862
|
413,213
|
|
Pool # BD0532, 5.00%, 6/20/2048
|
481,795
|
477,959
|
|
Pool # BF2971, 5.00%, 6/20/2048
|
807,974
|
805,029
|
|
Pool # AY2407, 4.25%, 7/20/2048
|
1,432,380
|
1,361,449
|
|
Pool # AY2408, 4.50%, 7/20/2048
|
658,214
|
637,378
|
|
Pool # BG7397, 4.50%, 7/20/2048
|
732,768
|
714,603
|
|
Pool # BF3017, 5.00%, 7/20/2048
|
789,189
|
787,897
|
|
Pool # AY2409, 4.25%, 8/20/2048
|
1,296,735
|
1,230,921
|
|
Pool # AY2410, 4.50%, 8/20/2048
|
771,527
|
747,105
|
|
Pool # BD0550, 5.00%, 8/20/2048
|
635,895
|
636,839
|
|
Pool # BG7389, 5.00%, 8/20/2048
|
851,642
|
848,537
|
|
Pool # BG7391, 5.00%, 8/20/2048
|
641,595
|
644,854
|
|
Pool # AY2412, 4.50%, 9/20/2048
|
3,775,615
|
3,656,099
|
|
Pool # 784626, 4.50%, 10/20/2048
|
425,643
|
412,694
|
|
Pool # BI4488, 4.50%, 11/20/2048
|
671,998
|
651,762
|
|
Pool # BK2585, 5.00%, 11/20/2048
|
329,471
|
332,005
|
|
Pool # BK2586, 5.00%, 11/20/2048
|
391,371
|
393,324
|
|
Pool # BI6431, 4.50%, 12/20/2048
|
1,021,819
|
1,000,420
|
|
Pool # BI6669, 4.50%, 12/20/2048
|
927,672
|
911,393
|
|
Pool # BH3133, 5.00%, 12/20/2048
|
1,668,006
|
1,660,485
|
|
Pool # BJ7083, 5.00%, 12/20/2048
|
140,344
|
139,643
|
|
Pool # BJ7084, 5.00%, 12/20/2048
|
869,325
|
874,709
|
|
Pool # BK7169, 5.00%, 12/20/2048
|
640,607
|
642,812
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BJ1334, 5.00%, 1/20/2049
|
1,566,257
|
1,559,036
|
|
Pool # BJ9641, 5.00%, 1/20/2049
|
995,924
|
1,015,415
|
|
Pool # BJ9642, 5.00%, 1/20/2049
|
888,203
|
907,121
|
|
Pool # BJ9824, 4.50%, 2/20/2049
|
1,823,384
|
1,765,653
|
|
Pool # BJ9825, 4.50%, 2/20/2049
|
792,564
|
767,469
|
|
Pool # BK7188, 4.50%, 2/20/2049
|
811,352
|
790,475
|
|
Pool # BJ9630, 5.00%, 2/20/2049
|
302,299
|
302,233
|
|
Pool # BJ9633, 5.00%, 2/20/2049
|
411,684
|
411,504
|
|
Pool # BK7189, 5.00%, 2/20/2049
|
875,540
|
882,033
|
|
Pool # BK7198, 4.50%, 3/20/2049
|
670,283
|
646,164
|
|
Pool # BL6765, 5.50%, 5/20/2049
|
1,246,466
|
1,273,847
|
|
Pool # BN0907, 4.50%, 6/20/2049
|
702,648
|
680,400
|
|
Pool # BN1498, 5.00%, 6/20/2049
|
974,790
|
970,061
|
|
Pool # BN1499, 5.00%, 6/20/2049
|
1,773,338
|
1,770,674
|
|
Pool # BN1500, 5.50%, 6/20/2049
|
542,382
|
554,745
|
|
Pool # BN2627, 4.00%, 7/20/2049
|
1,649,901
|
1,543,838
|
|
Pool # BN2628, 4.00%, 7/20/2049
|
1,728,133
|
1,615,975
|
|
Pool # BO0521, 4.00%, 7/20/2049
|
310,115
|
292,442
|
|
Pool # BM9692, 4.50%, 7/20/2049
|
493,858
|
476,872
|
|
Pool # BN0879, 5.00%, 7/20/2049
|
165,460
|
165,612
|
|
Pool # BO3160, 5.00%, 7/20/2049
|
660,218
|
668,554
|
|
Pool # BP4237, 5.00%, 7/20/2049
|
673,513
|
680,124
|
|
Pool # BP4238, 5.00%, 7/20/2049
|
217,270
|
221,445
|
|
Pool # BP4240, 5.00%, 7/20/2049
|
636,017
|
649,968
|
|
Pool # BP4241, 5.00%, 7/20/2049
|
805,697
|
822,509
|
|
Pool # BP4242, 5.00%, 7/20/2049
|
317,167
|
327,623
|
|
Pool # BL9354, 4.00%, 8/20/2049
|
1,158,967
|
1,083,099
|
|
Pool # BM2327, 4.00%, 8/20/2049
|
515,019
|
474,032
|
|
Pool # BM2418, 4.00%, 8/20/2049
|
999,752
|
948,434
|
|
Pool # BN0884, 4.00%, 8/20/2049
|
287,709
|
269,182
|
|
Pool # BN0889, 4.50%, 8/20/2049
|
201,490
|
195,110
|
|
Pool # BN7048, 4.50%, 8/20/2049
|
1,978,732
|
1,915,773
|
|
Pool # BN7049, 4.50%, 8/20/2049
|
2,846,590
|
2,776,652
|
|
Pool # BN0890, 5.00%, 8/20/2049
|
253,655
|
255,372
|
|
Pool # BN0891, 5.00%, 8/20/2049
|
339,990
|
340,906
|
|
Pool # BN0893, 5.00%, 8/20/2049
|
364,128
|
365,110
|
|
Pool # BO3257, 5.00%, 8/20/2049
|
558,169
|
563,711
|
|
Pool # BP4290, 5.00%, 8/20/2049
|
529,821
|
529,410
|
|
Pool # BP4291, 5.00%, 8/20/2049
|
448,690
|
448,343
|
|
Pool # BP4292, 5.00%, 8/20/2049
|
1,392,907
|
1,395,458
|
|
Pool # BP4293, 5.00%, 8/20/2049
|
1,126,843
|
1,130,356
|
|
Pool # BP4294, 5.00%, 8/20/2049
|
636,673
|
646,337
|
|
Pool # BN0896, 4.00%, 9/20/2049
|
1,139,155
|
1,063,830
|
|
Pool # BI0930, 4.50%, 9/20/2049
|
1,295,251
|
1,296,590
|
|
Pool # BM9714, 4.50%, 9/20/2049
|
118,686
|
117,381
|
|
Pool # 784810, 5.00%, 9/20/2049
|
2,904,069
|
2,880,932
|
|
Pool # AC2995, 5.00%, 9/20/2049
|
1,669,411
|
1,707,147
|
|
Pool # BP2853, 5.00%, 9/20/2049
|
841,057
|
843,699
|
|
Pool # BP8644, 5.00%, 9/20/2049
|
852,662
|
855,339
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BP8645, 5.00%, 9/20/2049
|
511,336
|
512,715
|
|
Pool # BQ3138, 4.00%, 10/20/2049
|
704,197
|
658,495
|
|
Pool # AC2994, 4.50%, 10/20/2049
|
462,098
|
455,721
|
|
Pool # BQ9513, 3.50%, 11/20/2049
|
986,468
|
900,247
|
|
Pool # BQ3791, 4.00%, 11/20/2049
|
1,156,358
|
1,076,309
|
|
Pool # BR2638, 4.00%, 11/20/2049
|
265,637
|
248,520
|
|
Pool # 784847, 4.50%, 11/20/2049
|
2,788,760
|
2,684,972
|
|
Pool # BP2896, 4.50%, 11/20/2049
|
902,368
|
877,691
|
|
Pool # BP7772, 4.50%, 11/20/2049
|
311,250
|
308,477
|
|
Pool # BP8665, 4.50%, 11/20/2049
|
330,000
|
319,498
|
|
Pool # BP8666, 4.50%, 11/20/2049
|
1,149,230
|
1,112,840
|
|
Pool # BP8667, 5.00%, 11/20/2049
|
579,515
|
581,078
|
|
Pool # BP8668, 5.00%, 11/20/2049
|
344,475
|
345,404
|
|
Pool # BR1542, 5.00%, 11/20/2049
|
755,953
|
754,110
|
|
Pool # BP8669, 5.50%, 11/20/2049
|
227,185
|
231,649
|
|
Pool # BP7668, 3.50%, 12/20/2049
|
5,006,443
|
4,584,327
|
|
Pool # BP7795, 3.50%, 12/20/2049
|
1,502,864
|
1,372,384
|
|
Pool # BP8670, 3.50%, 12/20/2049
|
639,546
|
581,878
|
|
Pool # BL9372, 4.00%, 12/20/2049
|
577,556
|
538,098
|
|
Pool # BP5516, 4.00%, 12/20/2049
|
589,774
|
561,045
|
|
Pool # BP8672, 4.00%, 12/20/2049
|
543,730
|
509,020
|
|
Pool # BP8673, 4.00%, 12/20/2049
|
718,568
|
672,382
|
|
Pool # BP8674, 4.00%, 12/20/2049
|
907,669
|
848,203
|
|
Pool # BQ3790, 4.00%, 12/20/2049
|
3,341,483
|
3,081,928
|
|
Pool # BJ9866, 4.50%, 12/20/2049
|
2,259,347
|
2,187,802
|
|
Pool # BL9374, 4.50%, 12/20/2049
|
134,143
|
133,309
|
|
Pool # BP8676, 4.50%, 12/20/2049
|
499,937
|
484,023
|
|
Pool # BP8677, 4.50%, 12/20/2049
|
1,403,692
|
1,359,246
|
|
Pool # BP8678, 5.00%, 12/20/2049
|
704,910
|
707,124
|
|
Pool # BP8679, 5.50%, 12/20/2049
|
735,232
|
751,838
|
|
Pool # BP8021, 3.50%, 1/20/2050
|
1,444,067
|
1,344,343
|
|
Pool # BP8681, 3.50%, 1/20/2050
|
1,161,493
|
1,047,380
|
|
Pool # BL9379, 4.00%, 1/20/2050
|
2,138,863
|
1,990,725
|
|
Pool # BP8682, 4.00%, 1/20/2050
|
1,009,567
|
945,262
|
|
Pool # BP8683, 4.00%, 1/20/2050
|
845,630
|
791,237
|
|
Pool # BT0281, 4.00%, 1/20/2050
|
2,829,123
|
2,725,727
|
|
Pool # BP8688, 4.50%, 1/20/2050
|
1,629,413
|
1,577,789
|
|
Pool # BR0539, 4.50%, 1/20/2050
|
1,504,001
|
1,462,846
|
|
Pool # BP8020, 3.50%, 2/20/2050
|
677,259
|
630,990
|
|
Pool # BP8022, 3.50%, 2/20/2050
|
1,063,258
|
984,058
|
|
Pool # BQ1338, 4.00%, 2/20/2050
|
2,501,450
|
2,328,205
|
|
Pool # BQ7054, 4.00%, 2/20/2050
|
1,787,012
|
1,670,949
|
|
Pool # BQ7057, 4.25%, 2/20/2050
|
798,395
|
749,663
|
|
Pool # BS8384, 5.00%, 2/20/2050
|
1,076,244
|
1,085,772
|
|
Pool # BS8400, 3.00%, 3/20/2050
|
3,900,369
|
3,470,325
|
|
Pool # BT0397, 3.00%, 3/20/2050
|
508,214
|
452,180
|
|
Pool # BQ4110, 3.50%, 3/20/2050
|
4,212,732
|
3,949,659
|
|
Pool # BS5879, 3.50%, 3/20/2050
|
616,679
|
559,969
|
|
Pool # BS8411, 3.50%, 3/20/2050
|
2,636,273
|
2,390,254
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BT0399, 3.50%, 3/20/2050
|
936,184
|
844,190
|
|
Pool # BT3628, 3.50%, 3/20/2050
|
1,645,623
|
1,551,800
|
|
Pool # BT3629, 3.50%, 3/20/2050
|
703,456
|
659,525
|
|
Pool # BT8043, 3.50%, 3/20/2050
|
1,011,250
|
926,997
|
|
Pool # BT8044, 3.50%, 3/20/2050
|
2,577,890
|
2,356,384
|
|
Pool # BT8045, 3.50%, 3/20/2050
|
3,180,768
|
2,893,757
|
|
Pool # BT8046, 3.50%, 3/20/2050
|
3,910,871
|
3,562,422
|
|
Pool # BT8047, 3.50%, 3/20/2050
|
2,763,870
|
2,562,264
|
|
Pool # BT8048, 3.50%, 3/20/2050
|
2,809,488
|
2,636,635
|
|
Pool # BS5873, 4.00%, 3/20/2050
|
429,494
|
400,132
|
|
Pool # BS5874, 4.00%, 3/20/2050
|
1,877,705
|
1,753,451
|
|
Pool # BQ7064, 3.50%, 4/20/2050
|
570,910
|
518,575
|
|
Pool # BT3736, 3.50%, 4/20/2050
|
1,560,435
|
1,418,673
|
|
Pool # BU3072, 5.00%, 4/20/2050
|
677,678
|
691,191
|
|
Pool # BQ4098, 3.00%, 5/20/2050
|
4,864,991
|
4,334,605
|
|
Pool # BR3899, 3.00%, 5/20/2050
|
737,568
|
656,247
|
|
Pool # BT4019, 3.00%, 5/20/2050
|
3,113,449
|
2,770,190
|
|
Pool # BQ7069, 3.25%, 5/20/2050
|
1,291,033
|
1,156,452
|
|
Pool # BQ7083, 3.25%, 5/20/2050
|
142,474
|
127,250
|
|
Pool # BS7609, 3.50%, 5/20/2050
|
2,391,191
|
2,156,247
|
|
Pool # BT3843, 3.50%, 5/20/2050
|
1,367,888
|
1,256,824
|
|
Pool # BV2935, 4.50%, 5/20/2050
|
554,258
|
556,201
|
|
Pool # BV6609, 4.50%, 5/20/2050
|
194,440
|
193,321
|
|
Pool # BV6631, 4.50%, 5/20/2050
|
1,167,396
|
1,152,839
|
|
Pool # BV6670, 4.50%, 5/20/2050
|
386,841
|
382,208
|
|
Pool # MA6661, 5.50%, 5/20/2050
|
63,589
|
65,358
|
|
Pool # BT4096, 3.00%, 6/20/2050
|
3,696,138
|
3,270,355
|
|
Pool # BU7682, 3.00%, 6/20/2050
|
3,207,297
|
2,885,344
|
|
Pool # BQ7084, 3.25%, 6/20/2050
|
2,018,525
|
1,808,090
|
|
Pool # BV8680, 3.50%, 6/20/2050
|
1,297,575
|
1,180,524
|
|
Pool # BV8683, 3.50%, 6/20/2050
|
821,133
|
746,541
|
|
Pool # BV8684, 3.50%, 6/20/2050
|
1,130,317
|
1,026,944
|
|
Pool # BV8685, 3.50%, 6/20/2050
|
1,180,096
|
1,064,147
|
|
Pool # BQ7086, 4.00%, 6/20/2050
|
2,165,601
|
2,023,613
|
|
Pool # BQ7092, 4.00%, 6/20/2050
|
1,728,748
|
1,625,744
|
|
Pool # BR3901, 4.00%, 6/20/2050
|
738,410
|
687,263
|
|
Pool # BT4070, 4.00%, 6/20/2050
|
482,730
|
458,582
|
|
Pool # BV8688, 4.00%, 6/20/2050
|
1,219,284
|
1,138,593
|
|
Pool # BQ7087, 4.25%, 6/20/2050
|
555,791
|
528,518
|
|
Pool # BV2372, 4.50%, 6/20/2050
|
716,134
|
696,537
|
|
Pool # BV6632, 4.50%, 6/20/2050
|
1,938,707
|
1,925,155
|
|
Pool # BQ7088, 5.00%, 6/20/2050
|
756,540
|
754,248
|
|
Pool # BV8696, 3.00%, 7/20/2050
|
2,457,443
|
2,186,517
|
|
Pool # BV8711, 3.00%, 7/20/2050
|
2,391,687
|
2,128,020
|
|
Pool # BV8727, 3.00%, 7/20/2050
|
1,431,033
|
1,280,380
|
|
Pool # BW0561, 3.00%, 7/20/2050
|
1,057,381
|
925,788
|
|
Pool # BQ7085, 3.25%, 7/20/2050
|
3,908,235
|
3,500,785
|
|
Pool # BV8699, 3.50%, 7/20/2050
|
1,435,711
|
1,306,203
|
|
Pool # BV8700, 3.50%, 7/20/2050
|
1,279,831
|
1,154,100
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BV8716, 3.50%, 7/20/2050
|
1,823,643
|
1,644,455
|
|
Pool # BQ7097, 4.00%, 7/20/2050
|
2,761,886
|
2,575,690
|
|
Pool # BU7564, 4.00%, 7/20/2050
|
1,618,233
|
1,506,144
|
|
Pool # BV8702, 4.00%, 7/20/2050
|
662,254
|
618,835
|
|
Pool # BW5975, 4.00%, 7/20/2050
|
532,504
|
495,618
|
|
Pool # BW5994, 4.00%, 7/20/2050
|
710,348
|
682,854
|
|
Pool # BV2395, 4.50%, 7/20/2050
|
798,602
|
779,363
|
|
Pool # BV8722, 2.50%, 8/20/2050
|
2,493,724
|
2,127,128
|
|
Pool # BV8726, 3.00%, 8/20/2050
|
619,432
|
551,152
|
|
Pool # BX4922, 3.00%, 8/20/2050
|
161,829
|
144,049
|
|
Pool # BX4923, 3.00%, 8/20/2050
|
2,048,382
|
1,822,583
|
|
Pool # BW1746, 3.25%, 8/20/2050
|
3,123,504
|
2,797,875
|
|
Pool # BR3911, 3.50%, 8/20/2050
|
3,229,494
|
2,912,159
|
|
Pool # BV2402, 3.50%, 8/20/2050
|
4,436,176
|
4,000,284
|
|
Pool # BX4927, 3.50%, 8/20/2050
|
530,013
|
481,441
|
|
Pool # BX4928, 3.50%, 8/20/2050
|
1,579,151
|
1,424,015
|
|
Pool # BX4939, 3.50%, 8/20/2050
|
2,228,726
|
2,026,250
|
|
Pool # BW1747, 4.00%, 8/20/2050
|
569,063
|
530,700
|
|
Pool # BW7383, 4.00%, 8/20/2050
|
2,898,927
|
2,734,460
|
|
Pool # BX6092, 4.00%, 8/20/2050
|
2,024,676
|
1,909,804
|
|
Pool # BX6093, 4.00%, 8/20/2050
|
4,668,133
|
4,362,089
|
|
Pool # BW0559, 4.50%, 8/20/2050
|
605,710
|
583,946
|
|
Pool # BW7033, 4.50%, 8/20/2050
|
301,851
|
293,501
|
|
Pool # BZ1653, 3.00%, 9/20/2050
|
282,914
|
252,092
|
|
Pool # BW1757, 3.25%, 9/20/2050
|
3,147,421
|
2,819,306
|
|
Pool # BR3917, 3.50%, 9/20/2050
|
6,432,856
|
5,800,751
|
|
Pool # BU7559, 3.50%, 9/20/2050
|
4,070,175
|
3,670,204
|
|
Pool # BW1718, 3.50%, 9/20/2050
|
2,678,520
|
2,431,856
|
|
Pool # BW1758, 3.50%, 9/20/2050
|
1,753,524
|
1,593,121
|
|
Pool # BX4956, 3.50%, 9/20/2050
|
1,891,132
|
1,720,503
|
|
Pool # BY3407, 3.50%, 9/20/2050
|
2,600,998
|
2,366,310
|
|
Pool # BY3408, 3.50%, 9/20/2050
|
852,225
|
774,801
|
|
Pool # BY3432, 3.50%, 9/20/2050
|
2,579,805
|
2,326,318
|
|
Pool # BR3918, 4.00%, 9/20/2050
|
514,030
|
478,429
|
|
Pool # BW1759, 4.00%, 9/20/2050
|
1,181,396
|
1,103,205
|
|
Pool # BX3717, 4.00%, 9/20/2050
|
454,823
|
424,974
|
|
Pool # BX3718, 4.00%, 9/20/2050
|
617,968
|
577,337
|
|
Pool # BW7043, 4.50%, 9/20/2050
|
946,633
|
920,727
|
|
Pool # BW1760, 4.75%, 9/20/2050
|
954,102
|
936,069
|
|
Pool # BX4971, 2.50%, 10/20/2050
|
1,185,860
|
1,011,871
|
|
Pool # BY6410, 2.50%, 10/20/2050
|
874,316
|
745,757
|
|
Pool # BW1771, 3.00%, 10/20/2050
|
1,255,887
|
1,117,403
|
|
Pool # BW1772, 3.25%, 10/20/2050
|
1,253,657
|
1,122,950
|
|
Pool # BU7550, 3.50%, 10/20/2050
|
4,950,989
|
4,464,473
|
|
Pool # BW1773, 3.50%, 10/20/2050
|
1,173,132
|
1,066,538
|
|
Pool # BY6416, 3.50%, 10/20/2050
|
1,437,982
|
1,308,239
|
|
Pool # BZ1658, 3.50%, 10/20/2050
|
586,932
|
533,835
|
|
Pool # BY6421, 4.00%, 10/20/2050
|
770,094
|
716,750
|
|
Pool # BZ1662, 4.00%, 10/20/2050
|
638,993
|
598,688
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BW1774, 4.25%, 10/20/2050
|
978,649
|
928,948
|
|
Pool # BY6440, 2.50%, 11/20/2050
|
1,719,268
|
1,467,066
|
|
Pool # BY6441, 2.50%, 11/20/2050
|
1,657,174
|
1,413,058
|
|
Pool # BY6443, 2.50%, 11/20/2050
|
1,566,831
|
1,333,358
|
|
Pool # BY6445, 2.50%, 11/20/2050
|
1,701,294
|
1,451,182
|
|
Pool # BY6447, 3.00%, 11/20/2050
|
2,570,027
|
2,289,894
|
|
Pool # BZ2574, 3.00%, 11/20/2050
|
738,501
|
657,064
|
|
Pool # BZ3559, 3.00%, 11/20/2050
|
702,510
|
625,043
|
|
Pool # BZ2575, 3.25%, 11/20/2050
|
2,525,213
|
2,261,934
|
|
Pool # BY6453, 3.50%, 11/20/2050
|
728,397
|
664,023
|
|
Pool # BY6454, 3.50%, 11/20/2050
|
1,575,341
|
1,434,163
|
|
Pool # BY6455, 3.50%, 11/20/2050
|
1,234,286
|
1,122,926
|
|
Pool # BY6456, 3.50%, 11/20/2050
|
624,622
|
573,735
|
|
Pool # BZ1771, 3.50%, 11/20/2050
|
1,535,329
|
1,384,494
|
|
Pool # BZ3527, 3.50%, 11/20/2050
|
3,833,906
|
3,480,859
|
|
Pool # BZ3560, 3.50%, 11/20/2050
|
539,096
|
486,123
|
|
Pool # BY5559, 4.00%, 11/20/2050
|
3,272,308
|
3,045,623
|
|
Pool # BY6457, 4.00%, 11/20/2050
|
513,023
|
481,944
|
|
Pool # BY6458, 4.00%, 11/20/2050
|
480,008
|
448,573
|
|
Pool # BZ2576, 4.00%, 11/20/2050
|
2,432,127
|
2,268,163
|
|
Pool # BY7851, 4.50%, 11/20/2050
|
1,376,413
|
1,338,745
|
|
Pool # BZ1779, 4.50%, 11/20/2050
|
714,681
|
694,244
|
|
Pool # BS8546, 2.50%, 12/20/2050
|
4,276,873
|
3,626,940
|
|
Pool # BZ8499, 2.50%, 12/20/2050
|
1,309,955
|
1,121,010
|
|
Pool # BZ8500, 2.50%, 12/20/2050
|
1,619,312
|
1,384,239
|
|
Pool # BZ8501, 2.50%, 12/20/2050
|
1,879,522
|
1,603,764
|
|
Pool # BZ8505, 2.50%, 12/20/2050
|
959,079
|
817,811
|
|
Pool # BZ8507, 2.50%, 12/20/2050
|
2,418,873
|
2,063,194
|
|
Pool # BZ2590, 3.25%, 12/20/2050
|
2,095,632
|
1,877,146
|
|
Pool # BZ2591, 3.50%, 12/20/2050
|
897,848
|
817,373
|
|
Pool # BZ2592, 3.50%, 12/20/2050
|
1,184,466
|
1,076,842
|
|
Pool # BZ8515, 3.50%, 12/20/2050
|
1,389,322
|
1,264,843
|
|
Pool # BZ8516, 3.50%, 12/20/2050
|
571,498
|
519,800
|
|
Pool # BZ1775, 4.00%, 12/20/2050
|
1,328,042
|
1,246,709
|
|
Pool # BZ6501, 4.00%, 12/20/2050
|
3,324,414
|
3,094,118
|
|
Pool # BZ8495, 4.00%, 12/20/2050
|
1,077,962
|
1,003,295
|
|
Pool # BY7873, 4.50%, 12/20/2050
|
598,214
|
581,665
|
|
Pool # CB4508, 5.00%, 12/20/2050
|
506,528
|
507,886
|
|
Pool # BZ8530, 2.50%, 1/20/2051
|
921,890
|
781,793
|
|
Pool # CB4502, 3.00%, 1/20/2051
|
1,000,131
|
889,845
|
|
Pool # CB4503, 3.00%, 1/20/2051
|
1,049,867
|
934,086
|
|
Pool # BZ2606, 3.25%, 1/20/2051
|
1,704,579
|
1,526,832
|
|
Pool # 785294, 3.50%, 1/20/2051
|
8,580,056
|
7,626,029
|
|
Pool # BY7890, 3.50%, 1/20/2051
|
8,330,640
|
7,512,308
|
|
Pool # BZ8541, 3.50%, 1/20/2051
|
729,544
|
662,839
|
|
Pool # BZ8542, 3.50%, 1/20/2051
|
429,971
|
386,770
|
|
Pool # CB1505, 3.50%, 1/20/2051
|
9,266,593
|
8,413,499
|
|
Pool # CB4504, 3.50%, 1/20/2051
|
1,229,925
|
1,118,975
|
|
Pool # BZ2614, 4.00%, 1/20/2051
|
493,407
|
459,254
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BZ8544, 4.00%, 1/20/2051
|
659,588
|
617,190
|
|
Pool # CB2357, 4.00%, 1/20/2051
|
1,085,518
|
1,030,638
|
|
Pool # CB4506, 4.00%, 1/20/2051
|
823,849
|
788,272
|
|
Pool # CB1543, 3.00%, 2/20/2051
|
4,967,586
|
4,419,766
|
|
Pool # CB3225, 3.25%, 2/20/2051
|
754,643
|
675,953
|
|
Pool # CA9001, 3.50%, 2/20/2051
|
6,325,919
|
5,704,501
|
|
Pool # CB3226, 3.50%, 2/20/2051
|
654,793
|
596,120
|
|
Pool # CB4521, 3.50%, 2/20/2051
|
1,077,872
|
987,959
|
|
Pool # CB4522, 3.50%, 2/20/2051
|
798,281
|
744,502
|
|
Pool # CB4524, 4.00%, 2/20/2051
|
980,400
|
917,006
|
|
Pool # CA8994, 4.50%, 2/20/2051
|
1,085,628
|
1,055,960
|
|
Pool # CB4433, 3.00%, 3/20/2051
|
2,795,098
|
2,447,193
|
|
Pool # CB3240, 3.25%, 3/20/2051
|
688,644
|
614,387
|
|
Pool # CB3242, 3.50%, 3/20/2051
|
1,639,839
|
1,488,851
|
|
Pool # CB4538, 3.50%, 3/20/2051
|
961,472
|
874,739
|
|
Pool # CB3253, 3.25%, 4/20/2051
|
922,324
|
826,146
|
|
Pool # CB3254, 3.50%, 4/20/2051
|
1,470,901
|
1,339,108
|
|
Pool # CB3255, 3.50%, 4/20/2051
|
1,465,215
|
1,333,021
|
|
Pool # CB3256, 3.50%, 4/20/2051
|
2,084,048
|
1,892,155
|
|
Pool # CC9816, 3.00%, 5/20/2051
|
2,070,423
|
1,854,913
|
|
Pool # CD0432, 3.50%, 5/20/2051
|
1,529,886
|
1,392,800
|
|
Pool # CD0433, 3.50%, 5/20/2051
|
1,562,071
|
1,421,137
|
|
Pool # CD0434, 3.50%, 5/20/2051
|
1,866,178
|
1,694,348
|
|
Pool # CC9825, 2.50%, 6/20/2051
|
1,265,901
|
1,080,137
|
|
Pool # CC9826, 2.50%, 6/20/2051
|
1,694,212
|
1,444,559
|
|
Pool # CC9831, 3.00%, 6/20/2051
|
1,477,347
|
1,314,471
|
|
Pool # CD0442, 3.50%, 6/20/2051
|
1,554,178
|
1,414,910
|
|
Pool # CD0443, 3.50%, 6/20/2051
|
1,012,766
|
921,391
|
|
Pool # CD0444, 3.50%, 6/20/2051
|
913,714
|
830,147
|
|
Pool # CC9835, 4.00%, 6/20/2051
|
846,120
|
792,252
|
|
Pool # CC9836, 4.00%, 6/20/2051
|
591,875
|
553,262
|
|
Pool # CC9837, 4.00%, 6/20/2051
|
516,348
|
481,264
|
|
Pool # CD0454, 3.50%, 7/20/2051
|
1,999,199
|
1,802,791
|
|
Pool # CE9918, 3.50%, 7/20/2051
|
1,734,860
|
1,578,359
|
|
Pool # CE9919, 3.50%, 7/20/2051
|
841,763
|
765,306
|
|
Pool # CE9920, 3.50%, 7/20/2051
|
582,634
|
531,174
|
|
Pool # CE9923, 4.00%, 7/20/2051
|
943,544
|
879,981
|
|
Pool # CE9932, 3.00%, 8/20/2051
|
1,784,164
|
1,596,403
|
|
Pool # CD0461, 3.50%, 8/20/2051
|
934,815
|
850,476
|
|
Pool # CE9935, 3.50%, 8/20/2051
|
863,161
|
785,307
|
|
Pool # CE9936, 3.50%, 8/20/2051
|
1,016,643
|
921,475
|
|
Pool # CE9937, 3.50%, 8/20/2051
|
590,001
|
538,255
|
|
Pool # CE9939, 4.00%, 8/20/2051
|
532,448
|
497,587
|
|
Pool # CD0469, 3.50%, 9/20/2051
|
1,673,051
|
1,517,968
|
|
Pool # CG4129, 3.50%, 9/20/2051
|
2,188,570
|
1,984,144
|
|
Pool # CG4130, 3.50%, 9/20/2051
|
2,388,784
|
2,155,519
|
|
Pool # CH0092, 3.50%, 9/20/2051
|
4,924,915
|
4,444,975
|
|
Pool # 786522, 3.50%, 10/20/2051
|
16,666,599
|
14,962,627
|
|
Pool # CD0476, 3.50%, 10/20/2051
|
1,040,636
|
943,609
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CD0477, 3.50%, 10/20/2051
|
1,612,247
|
1,460,056
|
|
Pool # CH0834, 3.50%, 10/20/2051
|
675,753
|
613,014
|
|
Pool # CH0835, 3.50%, 10/20/2051
|
910,930
|
826,010
|
|
Pool # CH0836, 3.50%, 10/20/2051
|
1,149,530
|
1,045,121
|
|
Pool # CH0837, 3.50%, 10/20/2051
|
778,228
|
705,078
|
|
Pool # CH0838, 3.50%, 10/20/2051
|
892,450
|
804,772
|
|
Pool # CH1339, 3.50%, 10/20/2051
|
2,658,446
|
2,465,379
|
|
Pool # CH2907, 3.50%, 10/20/2051
|
3,887,140
|
3,567,634
|
|
Pool # CH0840, 4.00%, 10/20/2051
|
1,157,280
|
1,083,420
|
|
Pool # CH0841, 4.00%, 10/20/2051
|
1,174,410
|
1,094,476
|
|
Pool # CH0848, 3.00%, 11/20/2051
|
1,273,507
|
1,134,635
|
|
Pool # CH0849, 3.00%, 11/20/2051
|
2,300,455
|
2,046,798
|
|
Pool # CH0850, 3.00%, 11/20/2051
|
1,366,552
|
1,215,837
|
|
Pool # CH0851, 3.00%, 11/20/2051
|
1,279,145
|
1,138,084
|
|
Pool # CH0852, 3.00%, 11/20/2051
|
2,143,595
|
1,920,425
|
|
Pool # CI0076, 3.00%, 11/20/2051
|
894,838
|
796,143
|
|
Pool # 787205, 3.50%, 11/20/2051
|
12,881,446
|
11,672,462
|
|
Pool # CI0077, 3.50%, 11/20/2051
|
696,443
|
631,775
|
|
Pool # CI0078, 3.50%, 11/20/2051
|
1,655,396
|
1,499,137
|
|
Pool # CI9257, 3.50%, 11/20/2051
|
3,578,245
|
3,226,700
|
|
Pool # 787112, 2.50%, 12/20/2051
|
11,761,038
|
10,055,956
|
|
Pool # CH0860, 3.00%, 12/20/2051
|
594,490
|
529,850
|
|
Pool # CH0861, 3.00%, 12/20/2051
|
2,443,826
|
2,174,299
|
|
Pool # CH0862, 3.00%, 12/20/2051
|
1,165,160
|
1,036,653
|
|
Pool # CH0864, 3.00%, 12/20/2051
|
1,010,936
|
899,442
|
|
Pool # CH0868, 3.50%, 12/20/2051
|
1,433,448
|
1,302,389
|
|
Pool # CH7863, 3.50%, 12/20/2051
|
2,159,018
|
1,957,574
|
|
Pool # CH0871, 4.00%, 12/20/2051
|
905,638
|
846,441
|
|
Pool # CI0090, 2.50%, 1/20/2052
|
1,007,659
|
860,914
|
|
Pool # CI0092, 3.00%, 1/20/2052
|
1,457,261
|
1,296,501
|
|
Pool # CJ3916, 3.00%, 1/20/2052
|
7,414,822
|
6,757,118
|
|
Pool # CK4908, 3.00%, 1/20/2052
|
2,816,040
|
2,505,426
|
|
Pool # CK4909, 3.00%, 1/20/2052
|
1,755,263
|
1,561,635
|
|
Pool # CK4916, 3.00%, 1/20/2052
|
3,583,649
|
3,188,331
|
|
Pool # CI0093, 3.50%, 1/20/2052
|
1,039,534
|
942,617
|
|
Pool # CI0094, 3.50%, 1/20/2052
|
2,126,290
|
1,917,381
|
|
Pool # CK1583, 3.50%, 1/20/2052
|
3,234,433
|
2,932,896
|
|
Pool # CK4918, 3.50%, 1/20/2052
|
1,245,226
|
1,129,150
|
|
Pool # CK7137, 4.00%, 1/20/2052
|
6,921,652
|
6,358,343
|
|
Pool # CK2667, 3.00%, 2/20/2052
|
5,095,963
|
4,533,819
|
|
Pool # CM2170, 3.00%, 3/20/2052
|
8,233,185
|
7,309,455
|
|
Pool # CI0110, 3.50%, 3/20/2052
|
1,224,973
|
1,104,627
|
|
Pool # CL1777, 3.50%, 3/20/2052
|
2,414,564
|
2,198,798
|
|
Pool # CL1778, 3.50%, 3/20/2052
|
1,371,089
|
1,242,722
|
|
Pool # CL1827, 3.50%, 3/20/2052
|
5,369,113
|
4,868,552
|
|
Pool # CL1828, 3.50%, 3/20/2052
|
6,134,424
|
5,557,783
|
|
Pool # CL1829, 3.50%, 3/20/2052
|
2,938,272
|
2,649,600
|
|
Pool # CM1692, 3.50%, 3/20/2052
|
4,860,099
|
4,323,117
|
|
Pool # CM2218, 3.50%, 3/20/2052
|
1,735,784
|
1,573,954
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CM2221, 3.50%, 3/20/2052
|
4,082,008
|
3,720,031
|
|
Pool # CI0111, 4.00%, 3/20/2052
|
1,187,332
|
1,105,161
|
|
Pool # 788236, 4.50%, 3/20/2052
|
12,580,527
|
12,103,494
|
|
Pool # 787010, 3.50%, 4/20/2052
|
17,311,709
|
15,722,502
|
|
Pool # CN3435, 4.50%, 4/20/2052
|
929,315
|
897,644
|
|
Pool # CN3436, 4.50%, 4/20/2052
|
4,998,693
|
4,812,942
|
|
Pool # CO4826, 5.00%, 6/20/2052
|
4,149,540
|
4,116,563
|
|
Pool # CO5339, 5.00%, 6/20/2052
|
4,108,942
|
4,076,287
|
|
Pool # CU7301, 2.50%, 7/20/2052
|
7,525,642
|
6,378,519
|
|
Pool # MA8148, 3.00%, 7/20/2052
|
7,020,140
|
6,253,669
|
|
Pool # MA8263, 2.00%, 9/20/2052
|
12,110,863
|
9,962,280
|
|
Pool # MA8342, 2.00%, 10/20/2052
|
2,056,546
|
1,689,493
|
|
Pool # MA8343, 2.50%, 10/20/2052
|
11,460,721
|
9,822,269
|
|
Pool # MA8346, 4.00%, 10/20/2052
|
18,762,176
|
17,646,937
|
|
Pool # MA8422, 2.00%, 11/20/2052
|
2,726,231
|
2,240,247
|
|
Pool # MA8423, 2.50%, 11/20/2052
|
10,141,463
|
8,695,553
|
|
Pool # MA8563, 2.00%, 1/20/2053
|
1,911,146
|
1,579,336
|
|
Pool # MA8564, 2.50%, 1/20/2053
|
37,997,715
|
32,567,916
|
|
Pool # CQ8079, 5.50%, 1/20/2053
|
1,723,543
|
1,756,799
|
|
Pool # CS4546, 5.00%, 2/20/2053
|
1,691,547
|
1,681,226
|
|
Pool # CR2499, 5.50%, 2/20/2053
|
2,540,857
|
2,572,024
|
|
Pool # CS4547, 5.50%, 2/20/2053
|
789,325
|
805,760
|
|
Pool # MA8720, 2.50%, 3/20/2053
|
1,058,895
|
906,660
|
|
Pool # MA8721, 3.00%, 3/20/2053
|
11,354,502
|
10,136,079
|
|
Pool # CS4560, 5.50%, 3/20/2053
|
2,018,127
|
2,052,133
|
|
Pool # CS4561, 6.00%, 3/20/2053
|
763,217
|
794,794
|
|
Pool # MA8795, 2.50%, 4/20/2053
|
1,727,281
|
1,482,156
|
|
Pool # 786842, 4.00%, 4/20/2053
|
13,241,024
|
12,463,457
|
|
Pool # CM6940, 5.50%, 4/20/2053
|
3,200,828
|
3,243,026
|
|
Pool # CS4573, 5.50%, 4/20/2053
|
651,118
|
662,090
|
|
Pool # CT3981, 5.50%, 4/20/2053
|
813,035
|
830,710
|
|
Pool # CT3982, 5.50%, 4/20/2053
|
872,871
|
891,047
|
|
Pool # CT3983, 5.50%, 4/20/2053
|
1,122,388
|
1,138,557
|
|
Pool # MA8873, 2.50%, 5/20/2053
|
17,493,293
|
14,995,553
|
|
Pool # CS4586, 5.50%, 5/20/2053
|
2,194,460
|
2,231,436
|
|
Pool # CU6671, 5.50%, 6/20/2053
|
2,505,799
|
2,548,024
|
|
Pool # MA9011, 2.50%, 7/20/2053
|
8,521,678
|
7,307,530
|
|
Pool # CU6685, 5.50%, 7/20/2053
|
1,583,838
|
1,610,526
|
|
Pool # CV6856, 5.50%, 7/20/2053
|
1,195,012
|
1,210,767
|
|
Pool # CU6686, 6.00%, 7/20/2053
|
1,435,972
|
1,481,464
|
|
Pool # CU6687, 6.50%, 7/20/2053
|
3,005,996
|
3,174,085
|
|
Pool # CV0173, 6.50%, 7/20/2053
|
1,136,858
|
1,208,947
|
|
Pool # MA9102, 3.50%, 8/20/2053
|
7,672,606
|
7,008,479
|
|
Pool # CU6696, 6.00%, 8/20/2053
|
1,166,879
|
1,203,844
|
|
Pool # CU6697, 6.50%, 8/20/2053
|
1,921,041
|
2,028,464
|
|
Pool # CU6708, 5.50%, 9/20/2053
|
1,169,667
|
1,189,377
|
|
Pool # MA9299, 2.50%, 10/20/2053
|
3,760,755
|
3,225,940
|
|
Pool # MA9419, 3.50%, 1/20/2054
|
2,876,087
|
2,658,394
|
|
Pool # MA9483, 3.00%, 2/20/2054
|
11,204,290
|
10,038,381
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # MA9484, 3.50%, 2/20/2054
|
2,324,586
|
2,116,107
|
|
Pool # CX5712, 6.50%, 2/20/2054
|
3,374,839
|
3,620,541
|
|
Pool # CX5713, 7.00%, 2/20/2054
|
4,214,125
|
4,473,728
|
|
Pool # DC4164, 4.50%, 5/20/2054
|
8,955,242
|
8,382,611
|
|
Pool # MA9719, 2.50%, 6/20/2054
|
3,045,318
|
2,612,992
|
|
Pool # MA9774, 3.00%, 7/20/2054
|
10,000,497
|
8,943,946
|
|
Pool # DA2547, 6.50%, 7/20/2054
|
815,068
|
854,779
|
|
Pool # DD0108, 6.50%, 7/20/2054
|
4,228,250
|
4,536,128
|
|
Pool # DA2550, 7.00%, 7/20/2054
|
1,347,808
|
1,406,456
|
|
Pool # DD0109, 7.00%, 7/20/2054
|
1,258,407
|
1,335,931
|
|
Pool # MA9846, 3.00%, 8/20/2054
|
5,176,088
|
4,626,020
|
|
Pool # DD0096, 6.50%, 8/20/2054
|
3,871,705
|
4,153,624
|
|
Pool # DD0094, 7.00%, 8/20/2054
|
4,424,439
|
4,697,010
|
|
Pool # DE2909, 6.00%, 9/20/2054
|
1,122,505
|
1,159,940
|
|
Pool # DD0079, 7.00%, 9/20/2054
|
3,441,497
|
3,653,513
|
|
Pool # DD0080, 7.50%, 9/20/2054
|
2,442,373
|
2,607,084
|
|
Pool # DC3332, 6.50%, 11/20/2054
|
3,356,172
|
3,574,229
|
|
Pool # DF2930, 7.50%, 12/20/2054
|
3,499,152
|
3,735,135
|
|
Pool # DI1018, 6.00%, 7/20/2055
|
3,196,767
|
3,292,246
|
|
Pool # DJ6140, 6.50%, 7/20/2055
|
1,621,714
|
1,739,807
|
|
Pool # DL3308, 6.50%, 8/20/2055
|
1,983,713
|
2,104,233
|
|
Pool # DL8783, 6.50%, 8/20/2055
|
4,464,824
|
4,736,084
|
|
Pool # DL2983, 6.00%, 9/20/2055
|
2,518,242
|
2,613,298
|
|
Pool # DM2061, 6.00%, 9/20/2055
|
5,038,614
|
5,147,878
|
|
Pool # DL2982, 6.50%, 9/20/2055
|
6,636,615
|
7,119,873
|
|
Pool # DM6293, 6.50%, 9/20/2055
|
5,188,082
|
5,567,384
|
|
Pool # MB0680, 2.50%, 10/20/2055
|
15,848,876
|
13,579,912
|
|
Pool # DM2069, 6.00%, 10/20/2055
|
1,044,231
|
1,086,178
|
|
Pool # DN6001, 6.50%, 10/20/2055
|
4,967,097
|
5,223,927
|
|
Pool # DM2075, 5.50%, 11/20/2055
|
6,066,151
|
6,141,504
|
|
Pool # MB0808, 2.50%, 12/20/2055
|
4,379,810
|
3,756,402
|
|
Pool # MB0866, 2.50%, 1/20/2056
|
5,367,966
|
4,597,750
|
|
Pool # 788620, 2.50%, 3/20/2056
|
23,745,390
|
20,394,598
|
|
Pool # MB1065, 2.50%, 4/20/2056
|
5,592,728
|
4,788,945
|
|
Pool # MB1137, 2.50%, 5/20/2056
|
10,867,907
|
9,321,010
|
|
GNMA II, Other
|
|
|
|
Pool # AD0018, 3.75%, 12/20/2032
|
405,944
|
396,821
|
|
Pool # AH5895, 4.00%, 6/20/2034
|
156,228
|
152,517
|
|
Pool # 4285, 6.00%, 11/20/2038
|
13,759
|
13,856
|
|
Pool # BO1377, 3.75%, 2/20/2040
|
608,542
|
579,786
|
|
Pool # BO1378, 4.00%, 1/20/2041
|
842,625
|
810,940
|
|
Pool # CD7341, 3.50%, 7/20/2047
|
3,190,048
|
2,884,828
|
|
Pool # BS0536, 3.00%, 3/20/2048
|
2,188,656
|
1,936,653
|
|
Pool # BS0538, 4.00%, 12/20/2048
|
375,479
|
352,283
|
|
Pool # BS0539, 4.50%, 1/20/2049
|
261,489
|
252,249
|
|
Pool # MA6145, 3.50%, 9/20/2049
|
320,981
|
285,765
|
|
Pool # CE3912, 5.00%, 9/20/2049
|
3,532,205
|
3,497,632
|
|
Pool # BS0537, 3.50%, 12/20/2049
|
496,676
|
446,806
|
|
Pool # CI8475, 5.00%, 5/20/2050
|
4,780,903
|
4,751,743
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # DR2401, 2.50%, 4/20/2059
|
331,415
|
273,905
|
|
Pool # CX4040, 5.00%, 7/20/2063
|
615,162
|
610,011
|
|
Pool # CX7714, 5.00%, 9/20/2063
|
231,683
|
229,743
|
|
Pool # CX4106, 5.00%, 10/20/2063
|
169,917
|
168,494
|
|
Pool # CX4111, 5.00%, 10/20/2063
|
184,968
|
183,419
|
|
Pool # CX7719, 5.00%, 10/20/2063
|
551,337
|
546,720
|
|
Pool # CY0098, 5.00%, 10/20/2063
|
790,405
|
783,786
|
|
Pool # CY0134, 5.00%, 10/20/2063
|
916,108
|
908,436
|
|
Pool # 787496, 6.00%, 7/20/2064
|
4,364,098
|
4,462,753
|
|
Pool # 788087, 3.50%, 7/20/2065
|
16,174,110
|
14,714,132
|
|
Pool # 788066, 4.00%, 7/20/2065
|
17,349,091
|
16,254,623
|
|
Pool # 788557, 3.50%, 8/20/2065
|
10,300,327
|
9,232,071
|
|
Pool # DO5103, 4.50%, 9/20/2065
|
174,187
|
167,075
|
|
Pool # 788558, 4.00%, 11/20/2065
|
10,215,063
|
9,558,170
|
|
Pool # DR1780, 3.50%, 1/20/2066
|
163,950
|
146,946
|
|
Pool # DO6416, 4.50%, 1/20/2066
|
163,995
|
157,299
|
|
Pool # DR5682, 4.00%, 3/20/2066
|
125,976
|
117,875
|
|
Pool # DR2581, 4.50%, 3/20/2066
|
508,556
|
487,792
|
|
Pool # 788564, 3.50%, 4/20/2066
|
4,837,709
|
4,335,960
|
|
Pool # DR2580, 3.50%, 4/20/2066
|
1,777,819
|
1,593,429
|
|
Pool # DR5634, 4.00%, 4/20/2066
|
1,136,146
|
1,063,080
|
|
Pool # DR7905, 4.00%, 4/20/2066
|
371,920
|
345,936
|
|
Pool # 788583, 4.50%, 4/20/2066
|
5,995,281
|
5,750,488
|
|
Pool # DR1779, 4.50%, 4/20/2066
|
226,885
|
217,621
|
|
Pool # DR7388, 4.50%, 4/20/2066
|
171,830
|
164,814
|
|
Pool # DS4408, 4.50%, 4/20/2066
|
444,227
|
426,088
|
|
Pool # DR5681, 3.50%, 5/20/2066
|
3,093,247
|
2,772,433
|
|
Pool # DR8356, 3.50%, 5/20/2066
|
1,974,173
|
1,769,418
|
|
Pool # DR5683, 4.50%, 5/20/2066
|
839,217
|
804,951
|
|
Pool # DR8358, 4.50%, 5/20/2066
|
194,232
|
186,301
|
|
Pool # 785863, 3.10%, 12/20/2071 (a)
|
12,078,339
|
10,894,861
|
|
Pool # CL8137, 3.17%, 3/20/2072 (a)
|
3,236,421
|
2,920,156
|
|
Pool # 786556, 4.65%, 1/20/2073 (a)
|
7,172,086
|
6,997,946
|
|
Total Mortgage-Backed Securities
(Cost $3,991,579,957)
|
|
3,844,017,164
|
|
Collateralized Mortgage Obligations — 15.1%
|
||
|
Acrc Series 2026-1B, 0.00%, 11/15/2026 ‡ (c)
|
6,000,000
|
5,820,000
|
|
Ajax Mortgage Loan Trust Series 2022-A, Class A1, 3.50%, 10/25/2061 (c) (d)
|
1,548,670
|
1,504,017
|
|
Alternative Loan Trust
|
|
|
|
Series 2004-J3, Class 4A1, 4.75%, 4/25/2019
|
6,596
|
6,672
|
|
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034
|
232,870
|
236,751
|
|
Series 2005-1CB, Class 1A6, IF, IO, 3.40%, 3/25/2035 (a)
|
136,871
|
14,064
|
|
Series 2005-22T1, Class A2, IF, IO, 1.37%, 6/25/2035 (a)
|
1,245,392
|
80,038
|
|
Series 2005-20CB, Class 3A8, IF, IO, 1.05%, 7/25/2035 (a)
|
1,015,304
|
38,068
|
|
Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035
|
49,581
|
17,797
|
|
Series 2005-37T1, Class A2, IF, IO, 1.35%, 9/25/2035 (a)
|
1,991,625
|
116,466
|
|
Series 2005-54CB, Class 1A2, IF, IO, 1.15%, 11/25/2035 (a)
|
963,711
|
40,444
|
|
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035
|
161,532
|
121,042
|
|
Series 2005-54CB, Class 1A7, 5.50%, 11/25/2035
|
5,414
|
3,955
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2005-57CB, Class 3A2, IF, IO, 1.40%, 12/25/2035 (a)
|
136,218
|
8,855
|
|
Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035
|
81,463
|
71,642
|
|
Series 2005-86CB, Class A11, 5.50%, 2/25/2036
|
173,172
|
93,647
|
|
Series 2006-7CB, Class 1A2, IF, IO, 1.60%, 5/25/2036 (a)
|
6,831,739
|
545,190
|
|
Series 2006-26CB, Class A9, 6.50%, 9/25/2036
|
285,446
|
128,627
|
|
American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (a) (c)
|
333
|
334
|
|
Anchor Mortgage Trust
|
|
|
|
8.23%, 3/25/2031 ‡ (a)
|
10,305,581
|
10,331,683
|
|
Series 2025-RTL1, Class A1, 5.72%, 5/25/2040 (c) (d)
|
8,890,000
|
8,885,759
|
|
Series 2025-RTL1, Class A2, 6.36%, 5/25/2040 (c) (d)
|
3,580,000
|
3,561,075
|
|
Archwest Mortgage Trust Series 2026-RTL1, Class A1, 5.43%, 4/25/2041 (c) (d)
|
10,608,000
|
10,605,103
|
|
ASG Resecuritization Trust Series 2011-1, Class 2A35, 6.00%, 9/28/2036 (a) (c)
|
28,399
|
7,545
|
|
Banc of America Funding Trust
|
|
|
|
Series 2004-1, PO, 3/25/2034
|
17,803
|
12,651
|
|
Series 2004-3, Class 1A1, 5.50%, 10/25/2034
|
39,974
|
40,030
|
|
Series 2005-1, Class 30, IO, 5.50%, 2/25/2035
|
25,362
|
3,501
|
|
Series 2005-4, Class 30, PO, 8/25/2035
|
18,998
|
13,024
|
|
Series 2005-6, Class 2A7, 5.50%, 10/25/2035
|
65,030
|
58,980
|
|
Series 2005-7, Class 30, PO, 11/25/2035
|
5,423
|
5,545
|
|
Series 2005-8, Class 30, PO, 1/25/2036
|
22,613
|
12,804
|
|
Banc of America Mortgage Trust Series 2003-C, Class 3A1, 6.25%, 4/25/2033 (a)
|
8,733
|
8,113
|
|
Baring Frn Series 2026-1B, Class PA, 0.00%, 6/25/2027 ‡
|
659,620
|
659,620
|
|
Bear Stearns ARM Trust
|
|
|
|
Series 2003-4, Class 3A1, 5.84%, 7/25/2033 (a)
|
27,192
|
26,097
|
|
Series 2003-7, Class 3A, 6.25%, 10/25/2033 (a)
|
8,858
|
8,931
|
|
Series 2004-1, Class 12A1, 4.92%, 4/25/2034 (a)
|
80,928
|
72,280
|
|
Series 2004-2, Class 14A, 4.24%, 5/25/2034 (a)
|
35,435
|
33,253
|
|
Series 2006-1, Class A1, 5.95%, 2/25/2036 (a)
|
103,876
|
101,022
|
|
Bear Stearns Asset-Backed Securities Trust Series 2003-AC5, Class A1, 5.75%, 10/25/2033 (d)
|
23,103
|
29,083
|
|
Brean Asset-Backed Securities Trust
|
|
|
|
Series 2024-RM8, Class A1, 4.50%, 5/25/2064 ‡ (c)
|
4,429,795
|
4,360,608
|
|
Series 2025-RM10, Class A1, 5.00%, 1/25/2065 ‡ (c)
|
10,356,469
|
10,324,437
|
|
Series 2025-RM11, Class A1, 4.75%, 5/25/2065 ‡ (a) (c)
|
8,518,671
|
8,395,414
|
|
Series 2025-RM12, Class A1, 4.50%, 7/25/2065 ‡ (c)
|
9,182,934
|
8,980,902
|
|
Series 2025-RM13, Class A1, 4.25%, 10/25/2065 ‡ (c)
|
9,229,109
|
8,894,337
|
|
Series 2026-RM14, Class A1, 4.25%, 1/25/2066 ‡ (c)
|
16,000,000
|
15,458,541
|
|
Series 2026-RM15, Class A1, 4.25%, 4/25/2066 ‡ (c)
|
10,806,000
|
10,372,025
|
|
BVRT LLC Series 2025-1, Class A, 3.64%, 5/10/2033 ‡ (a) (c)
|
3,153,360
|
3,098,728
|
|
CAFL Issuer LP
|
|
|
|
Series 2025-RRTL1, Class A1, 5.68%, 5/28/2040 (c) (d)
|
9,180,000
|
9,207,456
|
|
Series 2025-RRTL2, Class A1, 5.18%, 11/28/2040 (c) (d)
|
9,730,000
|
9,661,741
|
|
Cascade Funding Mortgage Trust Series 2025-HB16, Class M1, 3.00%, 3/25/2035 ‡ (a) (c)
|
3,300,000
|
3,206,176
|
|
Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates Series 2003-9, Class
1P, PO, 11/25/2033
|
2,682
|
2,088
|
|
Center Street Lending Resi-Investor ABS Mortgage Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.89%, 10/25/2029 ‡ (c) (d)
|
11,540,000
|
11,523,671
|
|
Series 2026-RTL1, Class A1, 5.38%, 12/25/2030 (c) (d)
|
9,804,000
|
9,762,883
|
|
CFMT LLC
|
|
|
|
Series 2024-HB14, Class M1, 3.00%, 6/25/2034 ‡ (a) (c)
|
5,430,000
|
5,300,192
|
|
Series 2024-HB14, Class M2, 3.00%, 6/25/2034 ‡ (a) (c)
|
3,735,000
|
3,638,971
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2024-HB15, Class M2, 4.00%, 8/25/2034 ‡ (a) (c)
|
1,915,000
|
1,877,201
|
|
Chase Mortgage Finance Trust
|
|
|
|
Series 2007-A2, Class 2A1, 6.14%, 6/25/2035 (a)
|
50,766
|
51,176
|
|
Series 2007-A1, Class 2A1, 5.71%, 2/25/2037 (a)
|
15,155
|
14,684
|
|
Series 2007-A1, Class 9A1, 5.86%, 2/25/2037 (a)
|
48,201
|
47,894
|
|
Series 2007-A1, Class 7A1, 6.28%, 2/25/2037 (a)
|
2,682
|
2,695
|
|
Series 2007-A1, Class 1A3, 6.33%, 2/25/2037 (a)
|
89,788
|
90,435
|
|
CHL Mortgage Pass-Through Trust
|
|
|
|
Series 2004-3, PO, 4/25/2034
|
4,475
|
3,115
|
|
Series 2004-3, Class A26, 5.50%, 4/25/2034
|
51,072
|
50,614
|
|
Series 2004-HYB1, Class 2A, 4.82%, 5/20/2034 (a)
|
22,442
|
21,709
|
|
Series 2004-HYB3, Class 2A, 4.24%, 6/20/2034 (a)
|
86,659
|
83,066
|
|
Series 2004-7, Class 2A1, 4.77%, 6/25/2034 (a)
|
16,323
|
15,282
|
|
Series 2004-5, Class 1A4, 5.50%, 6/25/2034
|
121,148
|
119,679
|
|
Series 2004-13, Class 1A4, 5.50%, 8/25/2034
|
96,034
|
96,177
|
|
Series 2004-HYB6, Class A3, 5.23%, 11/20/2034 (a)
|
72,383
|
70,229
|
|
Series 2005-16, Class A23, 5.50%, 9/25/2035
|
50,588
|
29,966
|
|
Series 2005-22, Class 2A1, 4.78%, 11/25/2035 (a)
|
230,562
|
190,567
|
|
Series 2007-4, Class 1A52, IF, IO, 1.70%, 5/25/2037 (a)
|
1,315,044
|
87,817
|
|
Citigroup Global Markets Mortgage Securities VII, Inc.
|
|
|
|
Series 2003-UP2, Class 1, PO, 6/25/2033
|
431
|
429
|
|
Series 2003-HYB1, Class A, 6.74%, 9/25/2033 (a)
|
19,719
|
18,683
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
Series 2009-10, Class 1A1, 5.28%, 9/25/2033 (a) (c)
|
16,392
|
16,340
|
|
Series 2004-UST1, Class A6, 6.23%, 8/25/2034 (a)
|
9,890
|
9,539
|
|
Series 2004-UST1, Class A3, 6.41%, 8/25/2034 (a)
|
25,001
|
24,797
|
|
Series 2015-A, Class B2, 4.50%, 6/25/2058 (a) (c)
|
106,229
|
105,354
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
Series 2003-1, Class W2, PO, 6/25/2031
|
11
|
10
|
|
Series 2003-1, Class WA2, 6.50%, 6/25/2031
|
253
|
253
|
|
Series 2003-1, Class 3, PO, 9/25/2033
|
6,147
|
4,508
|
|
Series 2003-1, Class 2A5, 5.25%, 10/25/2033
|
5,987
|
5,788
|
|
Series 2005-1, Class 2A1A, 3.11%, 2/25/2035 (a)
|
72,489
|
64,381
|
|
Series 2005-2, Class 2A11, 5.50%, 5/25/2035
|
89,076
|
88,840
|
|
Series 2005-5, Class 1A2, 4.11%, 8/25/2035 (a)
|
199,317
|
170,102
|
|
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland)
|
|
|
|
Series 2003-1, Class DB1, 6.68%, 2/25/2033 (a)
|
181,600
|
186,174
|
|
Series 2003-AR15, Class 3A1, 6.56%, 6/25/2033 (a)
|
27,674
|
28,375
|
|
Series 2003-21, Class 1A4, 5.25%, 9/25/2033
|
30,199
|
30,133
|
|
CSFB Mortgage-Backed Pass-Through Certificates
|
|
|
|
Series 2003-29, Class 1A1, 6.50%, 12/25/2033
|
56,275
|
56,862
|
|
Series 2003-29, Class 5A1, 7.00%, 12/25/2033
|
17,238
|
17,797
|
|
Series 2004-4, Class 2A4, 5.50%, 9/25/2034
|
53,729
|
53,104
|
|
Series 2004-8, Class 1A4, 5.50%, 12/25/2034
|
109,514
|
111,283
|
|
Series 2005-4, Class 2X, IO, 5.50%, 6/25/2035 (a)
|
255,971
|
36,374
|
|
Series 2005-9, Class DX, IO, 5.50%, 10/25/2035
|
207,193
|
33,990
|
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.49%,
2/25/2020 (a)
|
7,539
|
7,341
|
|
FARM Mortgage Trust Series 2023-1, Class A, 2.63%, 1/25/2052 (a) (c)
|
7,596,794
|
6,420,666
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2018-1, Class M60C, 3.50%, 5/25/2057
|
9,432,169
|
8,780,313
|
|
Series 2017-4, Class M60C, 3.50%, 6/25/2057
|
12,817,191
|
11,913,669
|
|
Series 2017-4, Class MT, 3.50%, 6/25/2057
|
1,988,717
|
1,809,495
|
|
Series 2018-3, Class MA, 3.50%, 8/25/2057 (a)
|
11,137,955
|
10,822,673
|
|
Series 2018-3, Class M55D, 4.00%, 8/25/2057 (a)
|
6,426,151
|
5,997,058
|
|
Series 2018-2, Class M55D, 4.00%, 11/25/2057
|
7,772,023
|
7,338,265
|
|
Series 2019-1, Class MT, 3.50%, 7/25/2058
|
2,057,001
|
1,846,675
|
|
Series 2019-1, Class M55D, 4.00%, 7/25/2058
|
2,288,127
|
2,162,045
|
|
Series 2019-3, Class M55D, 4.00%, 10/25/2058
|
4,829,827
|
4,529,672
|
|
Series 2019-4, Class M55D, 4.00%, 2/25/2059
|
1,817,422
|
1,695,773
|
|
Series 2020-1, Class MT, 2.50%, 8/25/2059
|
3,325,592
|
2,698,626
|
|
Series 2020-1, Class M55G, 3.00%, 8/25/2059
|
3,093,467
|
2,776,064
|
|
Series 2020-2, Class MB, 2.00%, 11/25/2059
|
3,836,404
|
2,669,254
|
|
Series 2020-3, Class MTU, 2.50%, 5/25/2060
|
10,588,441
|
8,767,130
|
|
Series 2020-3, Class M5TW, 3.00%, 5/25/2060
|
4,791,552
|
4,229,650
|
|
Series 2021-3, Class MBU, 2.50%, 3/25/2061
|
2,048,128
|
1,349,421
|
|
Series 2022-1, Class MBU, 3.25%, 11/25/2061
|
10,135,661
|
7,362,359
|
|
Series 2022-1, Class MTU, 3.25%, 11/25/2061
|
7,372,857
|
6,373,907
|
|
Series 2023-1, Class MT, 3.00%, 10/25/2062
|
12,698,553
|
10,633,068
|
|
Series 2024-1, Class MT, 3.00%, 11/25/2063
|
11,831,378
|
9,964,143
|
|
Series 2024-2, Class MT, 3.50%, 5/25/2064
|
10,392,382
|
9,103,989
|
|
FHLMC, REMIC
|
|
|
|
Series 1899, Class ZE, 8.00%, 9/15/2026
|
175
|
176
|
|
Series 1963, Class Z, 7.50%, 1/15/2027
|
379
|
380
|
|
Series 2470, Class SL, IF, 9.00%, 1/15/2027 (a)
|
5
|
5
|
|
Series 1985, Class PR, IO, 8.00%, 7/15/2027
|
402
|
11
|
|
Series 2065, Class PX, IO, 0.75%, 8/17/2027
|
1,308
|
3
|
|
Series 1987, Class PE, 7.50%, 9/15/2027
|
689
|
693
|
|
Series 2038, Class PN, IO, 7.00%, 3/15/2028
|
402
|
15
|
|
Series 2042, Class T, 7.00%, 3/15/2028
|
162
|
163
|
|
Series 2040, Class PE, 7.50%, 3/15/2028
|
2,637
|
2,667
|
|
Series 2060, Class Z, 6.50%, 5/15/2028
|
1,299
|
1,312
|
|
Series 2061, Class DC, IO, 6.50%, 6/15/2028
|
3,993
|
150
|
|
Series 2075, Class PH, 6.50%, 8/15/2028
|
10,835
|
10,961
|
|
Series 2086, Class GB, 6.00%, 9/15/2028
|
1,294
|
1,310
|
|
Series 2089, Class PJ, IO, 7.00%, 10/15/2028
|
875
|
37
|
|
Series 2111, Class SB, IF, IO, 3.74%, 1/15/2029 (a)
|
3,074
|
62
|
|
Series 2110, Class PG, 6.00%, 1/15/2029
|
7,295
|
7,342
|
|
Series 2125, Class JZ, 6.00%, 2/15/2029
|
3,736
|
3,785
|
|
Series 2130, Class QS, 6.00%, 3/15/2029
|
606
|
613
|
|
Series 2132, Class ZL, 6.50%, 3/15/2029
|
1,833
|
1,848
|
|
Series 2132, Class SB, IF, 14.24%, 3/15/2029 (a)
|
1,230
|
1,346
|
|
Series 2141, IO, 7.00%, 4/15/2029
|
171
|
6
|
|
Series 2303, Class ZN, 8.50%, 4/15/2029
|
20,320
|
20,931
|
|
Series 2163, Class PC, IO, 7.50%, 6/15/2029
|
640
|
29
|
|
Series 2178, Class PB, 7.00%, 8/15/2029
|
1,628
|
1,660
|
|
Series 2201, Class C, 8.00%, 11/15/2029
|
1,207
|
1,228
|
|
Series 2204, Class GB, 8.00%, 12/20/2029 (a)
|
503
|
47
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2209, Class TC, 8.00%, 1/15/2030
|
11,983
|
12,377
|
|
Series 2210, Class Z, 8.00%, 1/15/2030
|
8,754
|
9,045
|
|
Series 2224, Class CB, 8.00%, 3/15/2030
|
2,885
|
2,973
|
|
Series 2247, Class Z, 7.50%, 8/15/2030
|
3,068
|
3,163
|
|
Series 2256, Class MC, 7.25%, 9/15/2030
|
6,300
|
6,501
|
|
Series 2254, Class Z, 9.00%, 9/15/2030
|
24,872
|
26,695
|
|
Series 2259, Class ZM, 7.00%, 10/15/2030
|
14,681
|
15,053
|
|
Series 2271, Class PC, 7.25%, 12/15/2030
|
16,569
|
17,097
|
|
Series 2296, Class PD, 7.00%, 3/15/2031
|
5,697
|
5,868
|
|
Series 2303, Class ZD, 7.00%, 4/15/2031
|
77,778
|
80,590
|
|
Series 2359, Class ZB, 8.50%, 6/15/2031
|
10,830
|
11,486
|
|
Series 2388, Class UZ, 8.50%, 6/15/2031
|
3,792
|
3,939
|
|
Series 2344, Class ZD, 6.50%, 8/15/2031
|
30,100
|
31,066
|
|
Series 2344, Class ZJ, 6.50%, 8/15/2031
|
4,722
|
4,881
|
|
Series 2345, Class NE, 6.50%, 8/15/2031
|
3,476
|
3,595
|
|
Series 2372, Class F, 4.26%, 10/15/2031 (a)
|
1,067
|
1,067
|
|
Series 2367, Class ZK, 6.00%, 10/15/2031
|
31,909
|
32,618
|
|
Series 2368, Class AS, IF, 11.16%, 10/15/2031 (a)
|
1,877
|
1,917
|
|
Series 2383, Class FD, 4.26%, 11/15/2031 (a)
|
1,121
|
1,121
|
|
Series 2399, Class TH, 6.50%, 1/15/2032
|
41,463
|
42,905
|
|
Series 2494, Class SX, IF, IO, 3.24%, 2/15/2032 (a)
|
101,275
|
7,069
|
|
Series 2410, Class QX, IF, IO, 4.89%, 2/15/2032 (a)
|
5,356
|
365
|
|
Series 2410, Class QS, IF, 9.73%, 2/15/2032 (a)
|
10,322
|
10,828
|
|
Series 2433, Class SA, IF, 11.16%, 2/15/2032 (a)
|
19,159
|
20,393
|
|
Series 2444, Class ES, IF, IO, 4.19%, 3/15/2032 (a)
|
7,875
|
591
|
|
Series 2450, Class SW, IF, IO, 4.24%, 3/15/2032 (a)
|
8,925
|
712
|
|
Series 2431, Class F, 4.26%, 3/15/2032 (a)
|
30,235
|
30,227
|
|
Series 2464, Class FE, 4.76%, 3/15/2032 (a)
|
29,979
|
30,258
|
|
Series 2423, Class MC, 7.00%, 3/15/2032
|
10,435
|
10,779
|
|
Series 2423, Class MT, 7.00%, 3/15/2032
|
11,534
|
11,970
|
|
Series 2434, Class TC, 7.00%, 4/15/2032
|
13,908
|
14,417
|
|
Series 2436, Class MC, 7.00%, 4/15/2032
|
8,488
|
8,627
|
|
Series 2450, Class GZ, 7.00%, 5/15/2032
|
13,434
|
14,045
|
|
Series 3393, Class JO, PO, 9/15/2032
|
40,349
|
36,736
|
|
Series 2513, Class ZC, 5.50%, 10/15/2032
|
30,407
|
30,977
|
|
Series 2517, Class Z, 5.50%, 10/15/2032
|
13,313
|
13,529
|
|
Series 2835, Class QO, PO, 12/15/2032
|
12,504
|
11,215
|
|
Series 2552, Class FP, 4.76%, 1/15/2033 (a)
|
147,162
|
148,687
|
|
Series 2557, Class HL, 5.30%, 1/15/2033
|
113,607
|
113,979
|
|
Series 2586, Class WI, IO, 6.50%, 3/15/2033
|
32,524
|
4,009
|
|
Series 2611, Class SQ, IF, 5.49%, 5/15/2033 (a)
|
11,925
|
11,924
|
|
Series 2631, Class SA, IF, 7.96%, 6/15/2033 (a)
|
5,655
|
5,796
|
|
Series 2692, Class SC, IF, 5.77%, 7/15/2033 (a)
|
29,479
|
30,687
|
|
Series 2671, Class S, IF, 7.87%, 9/15/2033 (a)
|
10,296
|
11,073
|
|
Series 2722, Class PF, 4.36%, 12/15/2033 (a)
|
259,013
|
259,212
|
|
Series 2763, Class ZA, 6.00%, 3/15/2034
|
988,327
|
1,023,428
|
|
Series 2779, Class ZC, 6.00%, 4/15/2034
|
654,997
|
679,620
|
|
Series 2802, Class ZY, 6.00%, 5/15/2034
|
168,955
|
173,744
|
|
Series 3318, Class BT, IF, 7.00%, 5/15/2034 (a)
|
329,644
|
329,531
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 3611, PO, 7/15/2034
|
56,790
|
50,488
|
|
Series 3305, Class MB, IF, 6.24%, 7/15/2034 (a)
|
19,916
|
19,947
|
|
Series 2990, Class WP, IF, 7.33%, 6/15/2035 (a)
|
219
|
220
|
|
Series 3035, Class Z, 5.85%, 9/15/2035
|
336,201
|
347,762
|
|
Series 3117, Class EO, PO, 2/15/2036
|
36,150
|
32,241
|
|
Series 3117, Class OG, PO, 2/15/2036
|
16,925
|
14,956
|
|
Series 3117, Class OK, PO, 2/15/2036
|
39,648
|
34,673
|
|
Series 3143, Class BC, 5.50%, 2/15/2036
|
76,152
|
77,740
|
|
Series 3122, Class OH, PO, 3/15/2036
|
3,039
|
2,645
|
|
Series 3134, PO, 3/15/2036
|
5,710
|
4,760
|
|
Series 3152, Class MO, PO, 3/15/2036
|
69,320
|
61,107
|
|
Series 3122, Class ZB, 6.00%, 3/15/2036
|
36,363
|
37,513
|
|
Series 3138, PO, 4/15/2036
|
25,648
|
22,378
|
|
Series 3607, Class AO, PO, 4/15/2036
|
51,263
|
43,929
|
|
Series 3607, Class BO, PO, 4/15/2036
|
51,263
|
44,787
|
|
Series 3137, Class XP, 6.00%, 4/15/2036
|
249,298
|
258,877
|
|
Series 3219, Class DI, IO, 6.00%, 4/15/2036
|
32,984
|
5,532
|
|
Series 3149, Class SO, PO, 5/15/2036
|
25,371
|
20,435
|
|
Series 3151, PO, 5/15/2036
|
73,656
|
62,515
|
|
Series 3153, Class EO, PO, 5/15/2036
|
32,819
|
28,507
|
|
Series 3604, PO, 5/15/2036
|
50,569
|
42,841
|
|
Series 3171, Class MO, PO, 6/15/2036
|
17,940
|
16,245
|
|
Series 3179, Class OA, PO, 7/15/2036
|
24,231
|
21,016
|
|
Series 3194, Class SA, IF, IO, 3.34%, 7/15/2036 (a)
|
21,731
|
1,933
|
|
Series 3200, PO, 8/15/2036
|
51,803
|
44,408
|
|
Series 3232, Class ST, IF, IO, 2.94%, 10/15/2036 (a)
|
71,898
|
4,649
|
|
Series 3237, Class AO, PO, 11/15/2036
|
31,100
|
25,857
|
|
Series 3704, Class DT, 7.50%, 11/15/2036
|
274,791
|
291,750
|
|
Series 3704, Class ET, 7.50%, 12/15/2036
|
202,440
|
219,046
|
|
Series 3260, Class CS, IF, IO, 2.38%, 1/15/2037 (a)
|
39,392
|
3,013
|
|
Series 3262, Class SG, IF, IO, 2.64%, 1/15/2037 (a)
|
5,027
|
279
|
|
Series 3274, Class JO, PO, 2/15/2037
|
13,670
|
11,917
|
|
Series 3274, Class MO, PO, 2/15/2037
|
20,546
|
17,888
|
|
Series 3275, Class FL, 4.20%, 2/15/2037 (a)
|
10,005
|
9,910
|
|
Series 3290, Class SB, IF, IO, 2.69%, 3/15/2037 (a)
|
119,966
|
8,486
|
|
Series 3288, Class GS, IF, 5.98%, 3/15/2037 (a)
|
6,006
|
6,152
|
|
Series 3373, Class TO, PO, 4/15/2037
|
45,986
|
39,805
|
|
Series 3316, Class JO, PO, 5/15/2037
|
7,013
|
5,817
|
|
Series 3607, PO, 5/15/2037
|
137,110
|
113,938
|
|
Series 3322, Class NS, IF, 7.00%, 5/15/2037 (a)
|
254,596
|
250,843
|
|
Series 3371, Class FA, 4.36%, 9/15/2037 (a)
|
16,289
|
16,249
|
|
Series 3385, Class SN, IF, IO, 2.24%, 11/15/2037 (a)
|
33,894
|
1,977
|
|
Series 3387, Class SA, IF, IO, 2.66%, 11/15/2037 (a)
|
86,378
|
5,771
|
|
Series 3422, Class AI, IO, 0.25%, 1/15/2038 (d)
|
188,976
|
1,362
|
|
Series 3404, Class SC, IF, IO, 2.24%, 1/15/2038 (a)
|
103,462
|
8,361
|
|
Series 3451, Class SA, IF, IO, 2.29%, 5/15/2038 (a)
|
7,174
|
416
|
|
Series 3537, Class MI, IO, 5.00%, 6/15/2038
|
131,739
|
14,370
|
|
Series 3461, Class LZ, 6.00%, 6/15/2038
|
48,308
|
50,245
|
|
Series 3481, Class SJ, IF, IO, 2.09%, 8/15/2038 (a)
|
119,598
|
9,447
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 3895, Class WA, 5.60%, 10/15/2038 (a)
|
59,078
|
60,574
|
|
Series 3511, Class SA, IF, IO, 2.24%, 2/15/2039 (a)
|
30,974
|
2,041
|
|
Series 3546, Class A, 5.87%, 2/15/2039 (a)
|
17,441
|
17,598
|
|
Series 3531, Class SA, IF, IO, 2.54%, 5/15/2039 (a)
|
115,004
|
8,803
|
|
Series 3549, Class FA, 4.96%, 7/15/2039 (a)
|
8,116
|
8,272
|
|
Series 4580, Class PT, 6.56%, 8/15/2039 (a)
|
257,258
|
262,787
|
|
Series 3572, Class JS, IF, IO, 3.04%, 9/15/2039 (a)
|
43,760
|
1,857
|
|
Series 3621, PO, 1/15/2040
|
98,349
|
81,689
|
|
Series 3621, Class BO, PO, 1/15/2040
|
70,288
|
60,974
|
|
Series 3623, Class LO, PO, 1/15/2040
|
81,342
|
67,656
|
|
Series 3632, Class BS, IF, 4.98%, 2/15/2040 (a)
|
217,556
|
208,198
|
|
Series 3714, Class IP, IO, 5.00%, 8/15/2040
|
110,388
|
4,620
|
|
Series 3740, Class SC, IF, IO, 2.24%, 10/15/2040 (a)
|
147,624
|
13,793
|
|
Series 3747, Class PY, 4.00%, 10/15/2040
|
692,145
|
673,035
|
|
Series 3747, Class CY, 4.50%, 10/15/2040
|
1,084,986
|
1,076,637
|
|
Series 3753, PO, 11/15/2040
|
483,409
|
384,077
|
|
Series 3860, Class PZ, 5.00%, 5/15/2041
|
2,168,323
|
2,180,648
|
|
Series 3852, Class QN, IF, 5.50%, 5/15/2041 (a)
|
29,925
|
28,343
|
|
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (a)
|
55,722
|
54,212
|
|
Series 3966, Class NA, 4.00%, 12/15/2041
|
520,406
|
505,440
|
|
Series 4015, Class MY, 3.50%, 3/15/2042
|
672,581
|
632,684
|
|
Series 4136, Class HS, IF, 0.24%, 11/15/2042 (a)
|
351,634
|
223,199
|
|
Series 4177, Class MQ, 2.50%, 3/15/2043
|
991,089
|
897,731
|
|
Series 4274, Class EM, 4.00%, 11/15/2043
|
1,000,000
|
920,405
|
|
Series 4280, Class EO, PO, 12/15/2043
|
357,836
|
273,917
|
|
Series 4281, Class OB, PO, 12/15/2043
|
350,937
|
268,992
|
|
Series 4377, Class JP, 3.00%, 8/15/2044
|
1,508,491
|
1,432,881
|
|
Series 4456, Class SA, IF, IO, 2.39%, 3/15/2045 (a)
|
2,308,780
|
238,847
|
|
Series 4480, Class SE, IF, IO, 2.42%, 6/15/2045 (a)
|
2,344,189
|
294,428
|
|
Series 4888, Class AZ, 4.00%, 12/15/2048
|
3,062,437
|
2,871,438
|
|
Series 4848, Class QY, 4.50%, 12/15/2048
|
550,097
|
536,109
|
|
Series 4903, Class SN, IF, IO, 2.37%, 8/25/2049 (a)
|
6,524,049
|
644,365
|
|
Series 4936, Class YZ, 2.50%, 12/25/2049
|
2,015,213
|
1,721,986
|
|
Series 4982, Class JA, 1.50%, 3/25/2050
|
5,170,481
|
4,119,533
|
|
Series 5028, Class JG, 1.50%, 8/25/2050
|
5,783,312
|
4,609,833
|
|
Series 5036, Class NA, 0.50%, 11/25/2050
|
6,653,544
|
4,811,496
|
|
Series 5048, Class TI, IO, 3.00%, 11/25/2050
|
16,833,011
|
2,487,793
|
|
Series 5054, Class DZ, 2.00%, 12/25/2050
|
14,804,061
|
7,835,570
|
|
Series 5648, Class KD, 2.50%, 8/25/2051
|
3,724,613
|
3,279,779
|
|
Series 5156, Class DC, 2.00%, 9/25/2051
|
13,677,403
|
11,856,448
|
|
Series 5190, Class PH, 2.50%, 2/25/2052
|
2,940,885
|
2,701,996
|
|
Series 5250, PO, 8/25/2052
|
10,021,204
|
3,264,176
|
|
Series 5438, PO, 9/25/2053
|
4,450,425
|
3,531,390
|
|
Series 5337, Class SB, IF, 7.80%, 9/25/2053 (a)
|
3,581,251
|
3,524,618
|
|
Series 5358, Class SB, IF, 8.36%, 11/25/2053 (a)
|
2,938,508
|
2,961,805
|
|
Series 5650, Class BS, IF, 4.68%, 4/25/2056 (a)
|
16,721,362
|
14,830,343
|
|
Series 5674, Class AO, PO, 7/25/2056
|
13,000,000
|
10,261,875
|
|
Series 4862, Class NO, PO, 8/15/2057
|
13,602,181
|
8,384,298
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FHLMC, STRIPS
|
|
|
|
Series 191, IO, 8.00%, 1/1/2028
|
25,250
|
941
|
|
Series 197, PO, 4/1/2028
|
16,666
|
16,147
|
|
Series 233, Class 11, IO, 5.00%, 9/15/2035
|
76,694
|
11,739
|
|
Series 233, Class 12, IO, 5.00%, 9/15/2035
|
44,056
|
5,861
|
|
Series 233, Class 13, IO, 5.00%, 9/15/2035
|
101,000
|
14,106
|
|
Series 239, Class S30, IF, IO, 3.94%, 8/15/2036 (a)
|
155,894
|
17,422
|
|
Series 262, Class 35, 3.50%, 7/15/2042
|
4,442,545
|
4,137,391
|
|
Series 299, Class 300, 3.00%, 1/15/2043
|
155,435
|
141,715
|
|
Series 310, PO, 9/15/2043
|
629,654
|
485,218
|
|
Series 406, PO, 10/25/2053
|
5,153,215
|
4,395,984
|
|
FHLMC, Structured Pass-Through Certificates, Whole Loan
|
|
|
|
Series T-41, Class 3A, 4.44%, 7/25/2032 (a)
|
96,658
|
88,382
|
|
Series T-76, Class 2A, 2.11%, 10/25/2037 (a)
|
1,258,732
|
1,148,846
|
|
Series T-42, Class A5, 7.50%, 2/25/2042
|
334,912
|
355,198
|
|
Series T-51, Class 2A, 7.50%, 8/25/2042 (a)
|
35,689
|
35,198
|
|
Series T-54, Class 2A, 6.50%, 2/25/2043
|
763,733
|
799,991
|
|
Series T-54, Class 3A, 7.00%, 2/25/2043
|
354,069
|
362,117
|
|
Series T-56, Class A5, 5.23%, 5/25/2043
|
582,524
|
547,267
|
|
Series T-58, Class A, PO, 9/25/2043
|
32,798
|
27,082
|
|
Series T-51, Class 1A, 6.50%, 9/25/2043 (a)
|
30,159
|
30,653
|
|
Series T-59, Class 1AP, PO, 10/25/2043
|
35,712
|
17,946
|
|
Series T-62, Class 1A1, 4.97%, 10/25/2044 (a)
|
341,767
|
316,934
|
|
First Horizon Alternative Mortgage Securities Trust
|
|
|
|
Series 2004-AA4, Class A1, 4.70%, 10/25/2034 (a)
|
49,773
|
49,241
|
|
Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035
|
121,394
|
50,512
|
|
Series 2007-FA4, Class 1A2, IF, IO, 1.95%, 8/25/2037 (a)
|
2,354,060
|
156,654
|
|
FNMA REMIC Trust Series 2006-72, Class GO, PO, 8/25/2036
|
35,582
|
31,475
|
|
FNMA Trust, Whole Loan
|
|
|
|
Series 2003-W17, Class 1A7, 5.75%, 8/25/2033
|
1,319,309
|
1,324,417
|
|
Series 2004-W1, Class 2A2, 7.00%, 12/25/2033
|
95,530
|
99,144
|
|
Series 2003-W8, Class 3F1, 4.13%, 5/25/2042 (a)
|
59,368
|
59,226
|
|
Series 2003-W2, Class 1A1, 6.50%, 7/25/2042
|
89,647
|
92,649
|
|
Series 2003-W8, Class 2A, 7.00%, 10/25/2042
|
52,458
|
53,520
|
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044
|
43,112
|
44,332
|
|
Series 2005-W3, Class 2AF, 3.95%, 3/25/2045 (a)
|
107,521
|
106,649
|
|
Series 2005-W4, Class 3A, 5.56%, 6/25/2045 (a)
|
215,286
|
219,236
|
|
Series 2005-W4, Class 1A1, 6.00%, 8/25/2045
|
33,627
|
34,125
|
|
Series 2006-W2, Class 1AF1, 3.95%, 2/25/2046 (a)
|
54,276
|
53,737
|
|
FNMA, Grantor Trust, Whole Loan
|
|
|
|
Series 2001-T7, Class A1, 7.50%, 2/25/2041
|
171,610
|
173,859
|
|
Series 2001-T12, Class A1, 6.50%, 8/25/2041
|
1,484,223
|
1,493,991
|
|
Series 2001-T12, Class A2, 7.50%, 8/25/2041
|
75,996
|
76,523
|
|
Series 2001-T10, PO, 12/25/2041
|
4,878
|
4,447
|
|
Series 2002-T4, Class A2, 7.00%, 12/25/2041
|
62,382
|
64,521
|
|
Series 2002-T4, Class A3, 7.50%, 12/25/2041
|
149,823
|
158,622
|
|
Series 2002-T16, Class A2, 7.00%, 7/25/2042
|
64,611
|
67,777
|
|
Series 2002-T19, Class A2, 7.00%, 7/25/2042
|
146,995
|
153,885
|
|
Series 2004-T1, Class 1A1, 6.00%, 1/25/2044
|
95,001
|
97,679
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2004-T3, Class PT1, 8.78%, 1/25/2044 (a)
|
76,375
|
80,468
|
|
FNMA, REMIC
|
|
|
|
Series 2006-72, Class HO, PO, 8/25/2026
|
136
|
136
|
|
Series 2006-94, Class GI, IF, IO, 2.92%, 10/25/2026 (a)
|
15
|
—
|
|
Series G97-2, Class ZA, 8.50%, 2/17/2027
|
775
|
779
|
|
Series 1997-27, Class J, 7.50%, 4/18/2027
|
140
|
141
|
|
Series 1997-24, Class Z, 8.00%, 4/18/2027
|
32
|
32
|
|
Series 1997-46, Class Z, 7.50%, 6/17/2027
|
3,999
|
4,005
|
|
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027
|
252
|
7
|
|
Series 1998-30, Class ZA, 6.50%, 5/20/2028
|
25,728
|
26,016
|
|
Series 1998-36, Class ZB, 6.00%, 7/18/2028
|
3,252
|
3,270
|
|
Series 2002-7, Class FD, 4.43%, 4/25/2029 (a)
|
10,601
|
10,622
|
|
Series 1999-62, Class PB, 7.50%, 12/18/2029
|
1,741
|
1,758
|
|
Series 2000-52, IO, 8.50%, 1/25/2031
|
1,198
|
126
|
|
Series 2002-60, Class FA, 4.48%, 2/25/2031 (a)
|
30,952
|
31,032
|
|
Series 2002-60, Class FB, 4.48%, 2/25/2031 (a)
|
30,952
|
31,032
|
|
Series 2001-4, Class ZA, 6.50%, 3/25/2031
|
38,747
|
39,287
|
|
Series 2001-7, Class PF, 7.00%, 3/25/2031
|
1,849
|
1,908
|
|
Series 2002-50, Class ZA, 6.00%, 5/25/2031
|
63,575
|
64,985
|
|
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031
|
7,768
|
743
|
|
Series 2001-49, Class LZ, 8.50%, 7/25/2031
|
13,832
|
14,208
|
|
Series 2001-38, Class FB, 4.23%, 8/25/2031 (a)
|
1,453
|
1,452
|
|
Series 2001-36, Class DE, 7.00%, 8/25/2031
|
12,673
|
13,033
|
|
Series 2001-44, Class PD, 7.00%, 9/25/2031
|
3,241
|
3,340
|
|
Series 2001-44, Class PU, 7.00%, 9/25/2031
|
10,498
|
10,895
|
|
Series 2001-53, Class FX, 4.08%, 10/25/2031 (a)
|
55,534
|
55,389
|
|
Series 2003-52, Class SX, IF, 11.77%, 10/25/2031 (a)
|
2,655
|
2,922
|
|
Series 2001-61, Class Z, 7.00%, 11/25/2031
|
31,282
|
32,165
|
|
Series 2001-72, Class SX, IF, 8.79%, 12/25/2031 (a)
|
1,585
|
1,656
|
|
Series 2002-1, Class SA, IF, 13.08%, 2/25/2032 (a)
|
2,347
|
2,681
|
|
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (a)
|
16,517
|
218
|
|
Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (a)
|
1,047
|
1,088
|
|
Series 2002-30, Class Z, 6.00%, 5/25/2032
|
51,256
|
52,607
|
|
Series 2002-37, Class Z, 6.50%, 6/25/2032
|
3,728
|
3,818
|
|
Series 2006-130, Class GI, IO, 6.50%, 7/25/2032
|
39,024
|
1,978
|
|
Series 2004-61, Class FH, 4.53%, 11/25/2032 (a)
|
273,198
|
274,622
|
|
Series 2011-39, Class ZA, 6.00%, 11/25/2032
|
361,872
|
372,331
|
|
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (a)
|
10,906
|
11,266
|
|
Series 2004-59, Class BG, PO, 12/25/2032
|
18,114
|
16,212
|
|
Series 2002-77, Class S, IF, 7.65%, 12/25/2032 (a)
|
8,560
|
8,644
|
|
Series 2003-2, Class F, 4.48%, 2/25/2033 (a)
|
123,390
|
123,946
|
|
Series 2003-14, Class TI, IO, 5.00%, 3/25/2033
|
3,714
|
2
|
|
Series 2003-22, Class UD, 4.00%, 4/25/2033
|
120,608
|
118,347
|
|
Series 2003-39, IO, 6.00%, 5/25/2033 (a)
|
5,582
|
751
|
|
Series 2003-33, Class IA, IO, 6.50%, 5/25/2033
|
122,926
|
15,240
|
|
Series 2003-44, Class IU, IO, 7.00%, 6/25/2033
|
167,104
|
18,795
|
|
Series 2003-132, Class OA, PO, 8/25/2033
|
535
|
527
|
|
Series 2003-74, Class SH, IF, 3.46%, 8/25/2033 (a)
|
12,018
|
11,229
|
|
Series 2003-132, Class PI, IO, 5.50%, 8/25/2033
|
2,967
|
32
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2003-72, Class IE, IO, 5.50%, 8/25/2033
|
73,108
|
8,035
|
|
Series 2003-86, Class ZA, 5.50%, 9/25/2033
|
76,903
|
78,286
|
|
Series 2003-91, Class SD, IF, 6.29%, 9/25/2033 (a)
|
9,013
|
9,248
|
|
Series 2003-105, Class AZ, 5.50%, 10/25/2033
|
348,660
|
357,737
|
|
Series 2003-116, Class SB, IF, IO, 3.87%, 11/25/2033 (a)
|
57,719
|
4,414
|
|
Series 2006-44, Class P, PO, 12/25/2033
|
156,363
|
137,401
|
|
Series 2003-122, Class ZJ, 6.00%, 12/25/2033
|
378,606
|
390,805
|
|
Series 2004-87, Class F, 4.48%, 1/25/2034 (a)
|
53,353
|
53,601
|
|
Series 2003-130, Class SX, IF, 5.93%, 1/25/2034 (a)
|
1,055
|
1,062
|
|
Series 2004-17, Class H, 5.50%, 4/25/2034
|
118,364
|
120,757
|
|
Series 2004-25, Class SA, IF, 9.28%, 4/25/2034 (a)
|
15,256
|
16,086
|
|
Series 2004-46, Class SK, IF, 6.25%, 5/25/2034 (a)
|
5,590
|
5,888
|
|
Series 2004-46, Class QB, IF, 9.09%, 5/25/2034 (a)
|
17,752
|
18,455
|
|
Series 2004-36, Class SA, IF, 9.28%, 5/25/2034 (a)
|
35,819
|
38,465
|
|
Series 2004-50, Class VZ, 5.50%, 7/25/2034
|
561,116
|
576,897
|
|
Series 2004-51, Class SY, IF, 6.79%, 7/25/2034 (a)
|
5,389
|
5,487
|
|
Series 2014-44, Class B, 2.50%, 8/25/2034
|
501,008
|
473,676
|
|
Series 2005-7, Class LO, PO, 2/25/2035
|
102,105
|
93,936
|
|
Series 2005-15, Class MO, PO, 3/25/2035
|
53,564
|
45,732
|
|
Series 2005-13, Class FL, 4.13%, 3/25/2035 (a)
|
25,466
|
25,271
|
|
Series 2005-56, Class S, IF, IO, 2.98%, 7/25/2035 (a)
|
87,423
|
5,613
|
|
Series 2005-66, Class SV, IF, IO, 3.02%, 7/25/2035 (a)
|
38,346
|
2,525
|
|
Series 2005-103, Class SC, IF, 4.27%, 7/25/2035 (a)
|
109,530
|
102,687
|
|
Series 2005-66, Class SG, IF, 8.06%, 7/25/2035 (a)
|
36,490
|
38,990
|
|
Series 2005-68, Class PG, 5.50%, 8/25/2035
|
56,171
|
57,094
|
|
Series 2005-73, Class PS, IF, 7.38%, 8/25/2035 (a)
|
15,711
|
15,763
|
|
Series 2005-90, Class AO, PO, 10/25/2035
|
4,090
|
3,694
|
|
Series 2010-39, Class OT, PO, 10/25/2035
|
42,333
|
37,107
|
|
Series 2005-84, Class XM, 5.75%, 10/25/2035
|
24,634
|
25,120
|
|
Series 2005-90, Class ES, IF, 7.56%, 10/25/2035 (a)
|
47,009
|
48,421
|
|
Series 2005-106, Class US, IF, 10.90%, 11/25/2035 (a)
|
15,164
|
15,778
|
|
Series 2006-8, Class WQ, PO, 3/25/2036
|
148,252
|
124,028
|
|
Series 2006-8, Class WN, IF, IO, 2.97%, 3/25/2036 (a)
|
543,592
|
45,437
|
|
Series 2006-16, Class HZ, 5.50%, 3/25/2036
|
40,947
|
41,835
|
|
Series 2006-23, Class KO, PO, 4/25/2036
|
12,033
|
10,320
|
|
Series 2006-27, Class OH, PO, 4/25/2036
|
21,674
|
19,021
|
|
Series 2006-44, Class GO, PO, 6/25/2036
|
57,842
|
51,191
|
|
Series 2006-50, Class JO, PO, 6/25/2036
|
31,797
|
27,649
|
|
Series 2006-50, Class PS, PO, 6/25/2036
|
47,623
|
42,965
|
|
Series 2006-53, Class US, IF, IO, 2.85%, 6/25/2036 (a)
|
87,257
|
5,974
|
|
Series 2006-58, PO, 7/25/2036
|
60,521
|
52,726
|
|
Series 2006-58, Class AP, PO, 7/25/2036
|
22,732
|
18,531
|
|
Series 2006-65, Class QO, PO, 7/25/2036
|
23,020
|
19,797
|
|
Series 2006-56, Class FT, 4.48%, 7/25/2036 (a)
|
189,965
|
190,836
|
|
Series 2006-63, Class ZH, 6.50%, 7/25/2036
|
73,298
|
77,561
|
|
Series 2006-72, Class TO, PO, 8/25/2036
|
24,646
|
20,494
|
|
Series 2006-79, Class DO, PO, 8/25/2036
|
33,977
|
28,946
|
|
Series 2007-7, Class SG, IF, IO, 2.77%, 8/25/2036 (a)
|
241,496
|
21,196
|
|
Series 2006-77, Class PC, 6.50%, 8/25/2036
|
91,130
|
93,264
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2006-78, Class BZ, 6.50%, 8/25/2036
|
50,057
|
52,617
|
|
Series 2006-86, Class OB, PO, 9/25/2036
|
53,796
|
46,177
|
|
Series 2006-90, Class AO, PO, 9/25/2036
|
23,100
|
20,853
|
|
Series 2009-19, Class IP, IO, 5.50%, 10/25/2036
|
278,189
|
43,929
|
|
Series 2006-110, PO, 11/25/2036
|
27,363
|
23,807
|
|
Series 2006-111, Class EO, PO, 11/25/2036
|
19,681
|
15,914
|
|
Series 2006-105, Class ME, 5.50%, 11/25/2036
|
276,981
|
281,986
|
|
Series 2006-115, Class OK, PO, 12/25/2036
|
56,728
|
45,787
|
|
Series 2006-119, PO, 12/25/2036
|
23,307
|
20,729
|
|
Series 2006-117, Class GS, IF, IO, 2.92%, 12/25/2036 (a)
|
77,383
|
6,505
|
|
Series 2006-118, Class A2, 3.82%, 12/25/2036 (a)
|
34,980
|
34,366
|
|
Series 2006-120, Class PF, 3.98%, 12/25/2036 (a)
|
17,343
|
17,191
|
|
Series 2006-120, IO, 6.50%, 12/25/2036
|
107,627
|
14,507
|
|
Series 2015-91, Class AC, 7.50%, 12/25/2036
|
925,743
|
966,154
|
|
Series 2006-126, Class AO, PO, 1/25/2037
|
106,476
|
92,084
|
|
Series 2007-1, Class SD, IF, 16.64%, 2/25/2037 (a)
|
32,521
|
50,825
|
|
Series 2007-14, Class OP, PO, 3/25/2037
|
35,202
|
30,792
|
|
Series 2007-22, Class SC, IF, IO, 2.35%, 3/25/2037 (a)
|
3,605
|
104
|
|
Series 2007-14, Class ES, IF, IO, 2.71%, 3/25/2037 (a)
|
1,329,915
|
122,043
|
|
Series 2007-16, Class FC, 4.48%, 3/25/2037 (a)
|
15,103
|
15,111
|
|
Series 2009-63, Class P, 5.00%, 3/25/2037
|
5,872
|
5,717
|
|
Series 2007-18, Class MZ, 6.00%, 3/25/2037
|
142,657
|
148,272
|
|
Series 2007-39, Class EF, 3.98%, 5/25/2037 (a)
|
12,911
|
12,724
|
|
Series 2007-46, Class ZK, 5.50%, 5/25/2037
|
55,932
|
57,297
|
|
Series 2007-54, Class WI, IF, IO, 2.37%, 6/25/2037 (a)
|
102,027
|
7,796
|
|
Series 2007-72, Class EK, IF, IO, 2.67%, 7/25/2037 (a)
|
372,073
|
34,876
|
|
Series 2007-65, Class KI, IF, IO, 2.89%, 7/25/2037 (a)
|
75,008
|
6,399
|
|
Series 2007-60, Class AX, IF, IO, 3.42%, 7/25/2037 (a)
|
111,429
|
13,402
|
|
Series 2007-76, Class ZG, 6.00%, 8/25/2037
|
74,155
|
75,204
|
|
Series 2007-78, Class CB, 6.00%, 8/25/2037
|
33,484
|
34,769
|
|
Series 2007-79, Class SB, IF, 10.35%, 8/25/2037 (a)
|
8,973
|
10,131
|
|
Series 2007-88, Class VI, IF, IO, 2.81%, 9/25/2037 (a)
|
52,331
|
3,789
|
|
Series 2009-86, Class OT, PO, 10/25/2037
|
164,556
|
140,658
|
|
Series 2007-100, Class SM, IF, IO, 2.72%, 10/25/2037 (a)
|
109,925
|
10,077
|
|
Series 2007-91, Class ES, IF, IO, 2.73%, 10/25/2037 (a)
|
178,535
|
16,028
|
|
Series 2007-112, Class SA, IF, IO, 2.72%, 12/25/2037 (a)
|
330,172
|
35,890
|
|
Series 2007-116, Class HI, IO, 1.83%, 1/25/2038 (a)
|
217,687
|
14,664
|
|
Series 2008-1, Class BI, IF, IO, 2.18%, 2/25/2038 (a)
|
97,951
|
6,685
|
|
Series 2008-12, Class CO, PO, 3/25/2038
|
173,718
|
153,426
|
|
Series 2008-16, Class IS, IF, IO, 2.47%, 3/25/2038 (a)
|
70,377
|
4,560
|
|
Series 2008-10, Class XI, IF, IO, 2.50%, 3/25/2038 (a)
|
59,433
|
4,380
|
|
Series 2008-20, Class SA, IF, IO, 3.26%, 3/25/2038 (a)
|
66,866
|
6,378
|
|
Series 2009-79, Class UA, 7.00%, 3/25/2038
|
5,217
|
5,333
|
|
Series 2008-32, Class SA, IF, IO, 3.12%, 4/25/2038 (a)
|
14,540
|
1,094
|
|
Series 2008-27, Class SN, IF, IO, 3.17%, 4/25/2038 (a)
|
32,634
|
2,910
|
|
Series 2008-44, PO, 5/25/2038
|
8,210
|
7,325
|
|
Series 2008-53, Class CI, IF, IO, 3.47%, 7/25/2038 (a)
|
33,114
|
2,970
|
|
Series 2011-47, Class ZA, 5.50%, 7/25/2038
|
159,431
|
161,581
|
|
Series 2008-80, Class SA, IF, IO, 2.12%, 9/25/2038 (a)
|
76,304
|
5,608
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2008-81, Class SB, IF, IO, 2.12%, 9/25/2038 (a)
|
75,085
|
4,559
|
|
Series 2008-80, Class GP, 6.25%, 9/25/2038
|
7,077
|
7,355
|
|
Series 2009-6, Class GS, IF, IO, 2.82%, 2/25/2039 (a)
|
34,083
|
2,451
|
|
Series 2009-4, Class BD, 4.50%, 2/25/2039
|
1,803
|
1,625
|
|
Series 2009-17, Class QS, IF, IO, 2.92%, 3/25/2039 (a)
|
35,834
|
2,809
|
|
Series 2009-52, Class PI, IO, 5.00%, 7/25/2039
|
96,818
|
13,688
|
|
Series 2009-47, Class MT, 7.00%, 7/25/2039
|
6,295
|
6,437
|
|
Series 2009-69, PO, 9/25/2039
|
41,300
|
33,465
|
|
Series 2009-84, Class WS, IF, IO, 2.17%, 10/25/2039 (a)
|
36,529
|
2,486
|
|
Series 2009-86, Class IP, IO, 5.50%, 10/25/2039
|
72,424
|
11,855
|
|
Series 2009-92, Class AD, 6.00%, 11/25/2039
|
2,681
|
2,675
|
|
Series 2009-99, Class SC, IF, IO, 2.45%, 12/25/2039 (a)
|
28,570
|
1,874
|
|
Series 2009-103, Class MB, 6.06%, 12/25/2039 (a)
|
208,288
|
209,953
|
|
Series 2009-99, Class WA, 6.33%, 12/25/2039 (a)
|
80,259
|
81,636
|
|
Series 2009-112, Class ST, IF, IO, 2.52%, 1/25/2040 (a)
|
88,606
|
8,048
|
|
Series 2009-113, Class FB, 4.28%, 1/25/2040 (a)
|
93,669
|
93,406
|
|
Series 2010-23, Class KS, IF, IO, 3.37%, 2/25/2040 (a)
|
43,399
|
3,216
|
|
Series 2010-1, Class WA, 6.30%, 2/25/2040 (a)
|
188,190
|
189,864
|
|
Series 2010-49, Class SC, IF, 5.21%, 3/25/2040 (a)
|
89,971
|
87,097
|
|
Series 2010-16, Class WB, 6.08%, 3/25/2040 (a)
|
437,815
|
440,122
|
|
Series 2010-16, Class WA, 6.45%, 3/25/2040 (a)
|
126,827
|
128,938
|
|
Series 2010-35, Class SB, IF, IO, 2.69%, 4/25/2040 (a)
|
62,800
|
3,710
|
|
Series 2010-40, Class FJ, 4.33%, 4/25/2040 (a)
|
5,094
|
5,094
|
|
Series 2010-42, Class S, IF, IO, 2.67%, 5/25/2040 (a)
|
29,732
|
2,063
|
|
Series 2010-43, Class FD, 4.33%, 5/25/2040 (a)
|
92,362
|
92,090
|
|
Series 2010-61, Class WA, 6.06%, 6/25/2040 (a)
|
59,436
|
59,904
|
|
Series 2010-68, Class SA, IF, IO, 1.27%, 7/25/2040 (a)
|
222,275
|
9,375
|
|
Series 2010-103, Class ME, 4.00%, 9/25/2040
|
261,419
|
252,707
|
|
Series 2010-111, Class AM, 5.50%, 10/25/2040
|
285,853
|
293,035
|
|
Series 2010-125, Class SA, IF, IO, 0.71%, 11/25/2040 (a)
|
229,133
|
6,781
|
|
Series 2010-123, Class FL, 4.16%, 11/25/2040 (a)
|
24,025
|
23,844
|
|
Series 2010-130, Class CY, 4.50%, 11/25/2040
|
1,093,151
|
1,077,917
|
|
Series 2010-147, Class SA, IF, IO, 2.80%, 1/25/2041 (a)
|
832,127
|
82,433
|
|
Series 2011-20, Class MW, 5.00%, 3/25/2041
|
1,486,056
|
1,494,210
|
|
Series 2011-30, Class LS, IO, 1.87%, 4/25/2041 (a)
|
136,374
|
10,352
|
|
Series 2011-75, Class FA, 4.28%, 8/25/2041 (a)
|
15,257
|
15,216
|
|
Series 2011-118, Class LB, 7.00%, 11/25/2041
|
217,940
|
229,828
|
|
Series 2011-118, Class MT, 7.00%, 11/25/2041
|
380,172
|
398,372
|
|
Series 2011-118, Class NT, 7.00%, 11/25/2041
|
392,127
|
413,774
|
|
Series 2013-2, Class LZ, 3.00%, 2/25/2043
|
35,274
|
25,050
|
|
Series 2013-4, Class AJ, 3.50%, 2/25/2043
|
741,261
|
695,353
|
|
Series 2013-92, PO, 9/25/2043
|
591,610
|
453,237
|
|
Series 2013-101, Class DO, PO, 10/25/2043
|
694,741
|
505,139
|
|
Series 2024-6, Class AL, 2.00%, 3/25/2044
|
13,198,709
|
10,249,549
|
|
Series 2018-11, Class LA, 3.50%, 7/25/2045
|
713,342
|
703,960
|
|
Series 2018-63, Class DA, 3.50%, 9/25/2048
|
387,113
|
354,795
|
|
Series 2018-68, Class DZ, 4.00%, 9/25/2048
|
903,791
|
845,761
|
|
Series 2019-20, Class H, 3.50%, 5/25/2049
|
1,310,538
|
1,188,647
|
|
Series 2019-32, Class SD, IF, IO, 2.32%, 6/25/2049 (a)
|
6,249,478
|
603,851
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2021-91, Class GB, 1.75%, 7/25/2049
|
16,668,406
|
13,981,051
|
|
Series 2010-103, Class SB, IF, IO, 2.37%, 11/25/2049 (a)
|
329,936
|
24,766
|
|
Series 2020-11, Class JW, 3.00%, 3/25/2050
|
3,056,000
|
2,307,933
|
|
Series 2020-36, Class SH, IF, IO, 2.32%, 6/25/2050 (a)
|
9,377,086
|
960,728
|
|
Series 2020-45, Class KG, 2.00%, 7/25/2050
|
3,372,487
|
2,806,135
|
|
Series 2020-61, Class SB, IF, IO, 0.47%, 9/25/2050 (a)
|
5,620,909
|
143,358
|
|
Series 2011-2, Class WA, 5.79%, 2/25/2051 (a)
|
38,798
|
39,885
|
|
Series 2011-43, Class WA, 5.71%, 5/25/2051 (a)
|
53,219
|
54,770
|
|
Series 2011-58, Class WA, 5.51%, 7/25/2051 (a)
|
324,366
|
314,789
|
|
Series 2022-1, Class CZ, 3.00%, 12/25/2051
|
2,798,413
|
1,680,893
|
|
Series 2012-21, Class WA, 5.63%, 3/25/2052 (a)
|
396,164
|
407,440
|
|
Series 2025-18, Class MA, 0.50%, 9/25/2054
|
25,937,713
|
21,966,727
|
|
Series 2025-29, Class LA, 2.00%, 5/25/2055
|
8,577,796
|
7,575,062
|
|
Series 2026-40, Class DT, 0.25%, 6/25/2056
|
10,000,000
|
8,048,033
|
|
FNMA, REMIC Trust Series 2001-W4, Class AF6, 5.11%, 1/25/2032 (d)
|
732
|
732
|
|
FNMA, REMIC Trust, Whole Loan
|
|
|
|
Series 2004-W4, Class A7, 5.50%, 6/25/2034
|
232,910
|
237,059
|
|
Series 2007-W2, Class 1A1, 4.05%, 3/25/2037 (a)
|
117,273
|
115,728
|
|
Series 2007-W3, Class 1A3, 6.75%, 4/25/2037
|
47,194
|
47,318
|
|
Series 2007-W7, Class 1A4, IF, 16.82%, 7/25/2037 (a)
|
6,059
|
7,817
|
|
Series 2001-W3, Class A, 7.00%, 9/25/2041 (a)
|
154,305
|
154,539
|
|
Series 2002-W10, IO, 0.91%, 8/25/2042 (a)
|
677,088
|
27,639
|
|
Series 2003-W4, Class 2A, 4.96%, 10/25/2042 (a)
|
11,348
|
11,358
|
|
Series 2003-W1, Class 1A1, 4.67%, 12/25/2042 (a)
|
83,704
|
83,142
|
|
Series 2003-W1, Class 2A, 5.03%, 12/25/2042 (a)
|
58,967
|
58,659
|
|
Series 2004-W11, Class 1A1, 6.00%, 5/25/2044
|
206,884
|
213,562
|
|
Series 2006-W3, Class 2A, 6.00%, 9/25/2046
|
44,216
|
44,970
|
|
Series 2006-W3, Class 1AF1, 3.97%, 10/25/2046 (a)
|
29,497
|
29,212
|
|
Series 2009-W1, Class A, 6.00%, 12/25/2049
|
158,158
|
162,326
|
|
FNMA, REMIC, Whole Loan
|
|
|
|
Series 2007-101, Class A2, 4.59%, 6/27/2036 (a)
|
112,049
|
113,011
|
|
Series 2007-54, Class FA, 4.13%, 6/25/2037 (a)
|
47,249
|
46,800
|
|
Series 2007-64, Class FB, 4.10%, 7/25/2037 (a)
|
65,842
|
65,390
|
|
Series 2007-106, Class A7, 6.05%, 10/25/2037 (a)
|
19,487
|
19,502
|
|
Series 2003-7, Class A1, 6.50%, 12/25/2042
|
109,469
|
110,048
|
|
FNMA, STRIPS
|
|
|
|
Series 331, Class 13, IO, 7.00%, 11/25/2032
|
38,368
|
4,047
|
|
Series 345, Class 6, IO, 5.00%, 12/25/2033 (a)
|
18,126
|
1,939
|
|
Series 351, Class 7, IO, 5.00%, 4/25/2034 (a)
|
42,086
|
4,267
|
|
Series 356, Class 3, IO, 5.00%, 1/25/2035
|
54,969
|
6,294
|
|
Series 365, Class 8, IO, 5.50%, 5/25/2036
|
74,379
|
12,733
|
|
Series 373, Class 1, PO, 7/25/2036
|
454,269
|
396,198
|
|
Series 374, Class 5, IO, 5.50%, 8/25/2036
|
26,507
|
3,932
|
|
Series 393, Class 6, IO, 5.50%, 4/25/2037
|
9,332
|
762
|
|
Series 383, Class 32, IO, 6.00%, 1/25/2038
|
68,279
|
11,798
|
|
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 4.03%, 6/19/2035 (a)
|
95,625
|
93,730
|
|
GNMA
|
|
|
|
Series 2001-35, Class SA, IF, IO, 4.51%, 8/16/2031 (a)
|
11,016
|
28
|
|
Series 2003-41, Class ID, IO, 5.50%, 5/20/2033
|
68,335
|
628
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2010-41, Class WA, 5.79%, 10/20/2033 (a)
|
206,074
|
209,519
|
|
Series 2003-112, Class SA, IF, IO, 2.81%, 12/16/2033 (a)
|
93,221
|
539
|
|
Series 2004-28, Class S, IF, 9.38%, 4/16/2034 (a)
|
19,752
|
21,117
|
|
Series 2004-46, Class AO, PO, 6/20/2034
|
34,143
|
28,618
|
|
Series 2010-103, Class WA, 5.65%, 8/20/2034 (a)
|
113,729
|
115,256
|
|
Series 2004-73, Class JL, IF, IO, 2.81%, 9/16/2034 (a)
|
331,023
|
25,350
|
|
Series 2004-71, Class ST, IF, 7.00%, 9/20/2034 (a)
|
7,515
|
7,533
|
|
Series 2004-90, Class SI, IF, IO, 2.38%, 10/20/2034 (a)
|
98,414
|
2,625
|
|
Series 2005-68, Class DP, IF, 7.42%, 6/17/2035 (a)
|
15,601
|
16,776
|
|
Series 2010-14, Class CO, PO, 8/20/2035
|
225,834
|
190,437
|
|
Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (a)
|
296,971
|
22,673
|
|
Series 2005-68, Class KI, IF, IO, 2.58%, 9/20/2035 (a)
|
193,228
|
13,293
|
|
Series 2005-72, Class AZ, 5.50%, 9/20/2035
|
122,422
|
123,991
|
|
Series 2005-85, IO, 5.50%, 11/16/2035
|
73,048
|
667
|
|
Series 2010-14, Class BO, PO, 11/20/2035
|
39,011
|
32,951
|
|
Series 2006-16, Class OP, PO, 3/20/2036
|
35,861
|
29,951
|
|
Series 2006-22, Class AO, PO, 5/20/2036
|
25,395
|
21,142
|
|
Series 2006-34, PO, 7/20/2036
|
20,410
|
16,951
|
|
Series 2006-59, Class SD, IF, IO, 2.98%, 10/20/2036 (a)
|
35,966
|
1,765
|
|
Series 2011-22, Class WA, 5.75%, 2/20/2037 (a)
|
378,829
|
384,629
|
|
Series 2007-17, Class JO, PO, 4/16/2037
|
29,330
|
23,918
|
|
Series 2007-17, Class JI, IF, IO, 3.07%, 4/16/2037 (a)
|
213,303
|
13,144
|
|
Series 2010-129, Class AW, 5.80%, 4/20/2037 (a)
|
129,134
|
131,382
|
|
Series 2007-31, Class AO, PO, 5/16/2037
|
195,875
|
157,694
|
|
Series 2007-25, Class FN, 4.04%, 5/16/2037 (a)
|
25,005
|
24,656
|
|
Series 2007-28, Class BO, PO, 5/20/2037
|
4,696
|
3,825
|
|
Series 2007-26, Class SC, IF, IO, 2.48%, 5/20/2037 (a)
|
95,334
|
519
|
|
Series 2007-36, Class HO, PO, 6/16/2037
|
4,530
|
3,636
|
|
Series 2007-36, Class SE, IF, IO, 2.73%, 6/16/2037 (a)
|
90,609
|
522
|
|
Series 2007-36, Class SG, IF, IO, 2.75%, 6/20/2037 (a)
|
143,990
|
881
|
|
Series 2007-45, Class QA, IF, IO, 2.92%, 7/20/2037 (a)
|
43,930
|
2,387
|
|
Series 2007-40, Class SD, IF, IO, 3.03%, 7/20/2037 (a)
|
108,701
|
1,818
|
|
Series 2007-42, Class SB, IF, IO, 3.03%, 7/20/2037 (a)
|
108,107
|
2,229
|
|
Series 2007-53, Class SW, IF, 9.05%, 9/20/2037 (a)
|
13,835
|
14,682
|
|
Series 2009-79, Class OK, PO, 11/16/2037
|
62,720
|
52,061
|
|
Series 2007-74, Class SL, IF, IO, 2.80%, 11/16/2037 (a)
|
340,929
|
1,881
|
|
Series 2007-76, Class SA, IF, IO, 2.81%, 11/20/2037 (a)
|
90,521
|
560
|
|
Series 2007-79, Class SY, IF, IO, 2.83%, 12/20/2037 (a)
|
118,158
|
435
|
|
Series 2008-2, Class MS, IF, IO, 3.42%, 1/16/2038 (a)
|
74,538
|
4,637
|
|
Series 2008-1, PO, 1/20/2038
|
14,977
|
12,117
|
|
Series 2015-137, Class WA, 5.55%, 1/20/2038 (a)
|
128,257
|
131,319
|
|
Series 2008-13, Class PI, IO, 5.50%, 2/16/2038
|
159,902
|
9,942
|
|
Series 2008-10, Class S, IF, IO, 2.11%, 2/20/2038 (a)
|
48,919
|
231
|
|
Series 2009-106, Class ST, IF, IO, 2.28%, 2/20/2038 (a)
|
264,236
|
2,798
|
|
Series 2008-33, Class XS, IF, IO, 3.96%, 4/16/2038 (a)
|
52,928
|
1,492
|
|
Series 2008-36, Class SH, IF, IO, 2.58%, 4/20/2038 (a)
|
109,750
|
618
|
|
Series 2012-52, Class WA, 6.19%, 4/20/2038 (a)
|
1,013,894
|
1,037,701
|
|
Series 2008-40, Class SA, IF, IO, 2.66%, 5/16/2038 (a)
|
287,355
|
11,037
|
|
Series 2008-55, Class SA, IF, IO, 2.48%, 6/20/2038 (a)
|
55,193
|
236
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2008-62, Class SA, IF, IO, 2.43%, 7/20/2038 (a)
|
265,653
|
1,425
|
|
Series 2008-71, Class SC, IF, IO, 2.28%, 8/20/2038 (a)
|
18,600
|
95
|
|
Series 2012-59, Class WA, 5.58%, 8/20/2038 (a)
|
203,777
|
207,369
|
|
Series 2009-25, Class SE, IF, IO, 3.88%, 9/20/2038 (a)
|
51,563
|
461
|
|
Series 2011-97, Class WA, 6.07%, 11/20/2038 (a)
|
321,429
|
324,721
|
|
Series 2008-93, Class AS, IF, IO, 1.98%, 12/20/2038 (a)
|
87,346
|
3,814
|
|
Series 2008-96, Class SL, IF, IO, 2.28%, 12/20/2038 (a)
|
61,065
|
302
|
|
Series 2008-95, Class DS, IF, IO, 3.58%, 12/20/2038 (a)
|
205,435
|
1,623
|
|
Series 2011-163, Class WA, 5.83%, 12/20/2038 (a)
|
437,674
|
447,991
|
|
Series 2009-6, Class SA, IF, IO, 2.36%, 2/16/2039 (a)
|
64,443
|
311
|
|
Series 2009-10, Class SA, IF, IO, 2.23%, 2/20/2039 (a)
|
110,134
|
6,664
|
|
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039
|
343,606
|
3,151
|
|
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039
|
76,780
|
3,389
|
|
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039
|
87,927
|
3,929
|
|
Series 2009-33, Class CI, IO, 5.50%, 5/20/2039
|
25,399
|
1,288
|
|
Series 2009-33, Class TI, IO, 6.00%, 5/20/2039
|
58,859
|
3,291
|
|
Series 2009-43, Class SA, IF, IO, 2.23%, 6/20/2039 (a)
|
72,257
|
2,622
|
|
Series 2009-42, Class SC, IF, IO, 2.36%, 6/20/2039 (a)
|
137,496
|
9,115
|
|
Series 2009-64, Class SN, IF, IO, 2.36%, 7/16/2039 (a)
|
73,929
|
2,900
|
|
Series 2009-54, Class JZ, 5.50%, 7/20/2039
|
585,649
|
607,731
|
|
Series 2009-67, Class SA, IF, IO, 2.31%, 8/16/2039 (a)
|
100,446
|
6,730
|
|
Series 2009-72, Class SM, IF, IO, 2.51%, 8/16/2039 (a)
|
172,136
|
10,590
|
|
Series 2009-106, Class AS, IF, IO, 2.66%, 11/16/2039 (a)
|
252,102
|
20,630
|
|
Series 2015-91, Class W, 5.28%, 5/20/2040 (a)
|
422,453
|
431,842
|
|
Series 2013-75, Class WA, 5.06%, 6/20/2040 (a)
|
190,952
|
193,421
|
|
Series 2011-137, Class WA, 5.58%, 7/20/2040 (a)
|
742,337
|
760,718
|
|
Series 2010-130, Class CP, 7.00%, 10/16/2040
|
125,723
|
131,920
|
|
Series 2010-157, Class OP, PO, 12/20/2040
|
369,783
|
318,542
|
|
Series 2020-187, Class WA, 3.76%, 7/16/2041 (a)
|
3,439,113
|
3,257,805
|
|
Series 2011-100, Class MY, 4.00%, 7/20/2041
|
647,149
|
630,037
|
|
Series 2012-24, Class WA, 5.55%, 7/20/2041 (a)
|
887,955
|
906,545
|
|
Series 2013-26, Class AK, 4.70%, 9/20/2041 (a)
|
448,980
|
448,259
|
|
Series 2014-188, Class W, 4.54%, 10/20/2041 (a)
|
458,656
|
457,673
|
|
Series 2012-141, Class WA, 4.52%, 11/16/2041 (a)
|
1,767,540
|
1,731,310
|
|
Series 2012-141, Class WC, 3.74%, 1/20/2042 (a)
|
882,892
|
833,496
|
|
Series 2012-141, Class WB, 4.00%, 9/16/2042 (a)
|
1,407,136
|
1,331,576
|
|
Series 2012-138, Class PT, 3.99%, 11/16/2042 (a)
|
1,452,352
|
1,393,800
|
|
Series 2013-54, Class WA, 4.89%, 11/20/2042 (a)
|
872,148
|
883,436
|
|
Series 2017-99, Class PT, 5.97%, 8/20/2044 (a)
|
460,311
|
475,173
|
|
Series 2021-103, Class WA, 4.20%, 6/20/2045 (a)
|
2,750,725
|
2,648,602
|
|
Series 2019-31, Class HC, 3.50%, 5/20/2046
|
1,108,452
|
1,077,130
|
|
Series 2018-160, Class PA, 3.50%, 7/20/2046
|
507,820
|
502,147
|
|
Series 2016-90, Class LI, IO, 4.00%, 7/20/2046
|
1,115,548
|
195,833
|
|
Series 2019-31, Class TS, IF, IO, 2.33%, 3/20/2049 (a)
|
13,017,031
|
987,359
|
|
Series 2019-111, IO, 5.00%, 4/20/2049
|
4,474,660
|
681,870
|
|
Series 2019-65, Class ST, IF, IO, 2.33%, 5/20/2049 (a)
|
6,324,558
|
551,345
|
|
Series 2020-133, Class IH, IO, 5.00%, 6/20/2049
|
2,781,044
|
304,137
|
|
Series 2019-112, Class GS, IF, IO, 2.35%, 9/20/2049 (a)
|
1,487,845
|
161,629
|
|
Series 2019-112, Class SG, IF, IO, 2.38%, 9/20/2049 (a)
|
2,028,057
|
173,893
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2023-43, Class B, 4.00%, 12/20/2049
|
13,893,355
|
12,923,571
|
|
Series 2020-47, Class AI, IO, 4.50%, 4/16/2050
|
3,969,800
|
756,133
|
|
Series 2020-85, Class IA, IO, 4.50%, 6/20/2050
|
16,087,974
|
2,479,636
|
|
Series 2020-95, Class HI, IO, 4.00%, 7/20/2050
|
7,728,490
|
1,343,044
|
|
Series 2020-97, Class AI, IO, 4.75%, 7/20/2050
|
8,406,748
|
1,519,020
|
|
Series 2020-97, Class IA, IO, 5.00%, 7/20/2050
|
10,859,090
|
1,929,452
|
|
Series 2020-133, Class KB, 1.00%, 8/20/2050
|
7,411,481
|
5,961,922
|
|
Series 2020-122, Class HI, IO, 3.00%, 8/20/2050
|
17,561,646
|
3,040,681
|
|
Series 2020-112, Class GI, IO, 4.50%, 8/20/2050
|
9,091,072
|
1,960,890
|
|
Series 2022-64, Class ZY, 2.50%, 9/20/2050
|
4,565,839
|
3,155,307
|
|
Series 2020-133, Class EI, IO, 3.00%, 9/20/2050
|
12,847,148
|
2,033,434
|
|
Series 2020-134, Class IH, IO, 3.00%, 9/20/2050
|
18,891,665
|
3,133,462
|
|
Series 2020-149, Class SH, IF, IO, 3.06%, 10/20/2050 (a)
|
16,143,473
|
223,011
|
|
Series 2020-149, Class TS, IF, IO, 3.06%, 10/20/2050 (a)
|
14,464,846
|
170,708
|
|
Series 2021-16, Class JI, IO, 3.00%, 12/20/2050
|
18,228,929
|
3,106,171
|
|
Series 2020-189, Class JI, IO, 3.50%, 12/20/2050
|
10,226,848
|
1,930,195
|
|
Series 2021-15, Class EI, IO, 2.50%, 1/20/2051
|
16,414,527
|
2,280,406
|
|
Series 2021-27, Class TI, IO, 3.00%, 2/20/2051
|
11,902,748
|
1,735,629
|
|
Series 2021-69, Class CI, IO, 3.50%, 4/20/2051
|
8,196,581
|
1,498,010
|
|
Series 2024-197, Class BN, 3.00%, 5/20/2051
|
15,789,580
|
14,574,068
|
|
Series 2021-226, Class ZH, 3.00%, 12/20/2051
|
1,308,507
|
777,775
|
|
Series 2022-87, Class JT, IF, 5.77%, 5/20/2052 (a)
|
11,295,838
|
10,725,442
|
|
Series 2022-172, Class DS, IF, 6.37%, 10/20/2052 (a)
|
3,476,481
|
3,303,380
|
|
Series 2022-179, Class WE, IF, 6.44%, 10/20/2052 (a)
|
3,703,472
|
3,527,430
|
|
Series 2022-190, Class LS, IF, 4.94%, 11/20/2052 (a)
|
7,372,066
|
6,718,407
|
|
Series 2023-55, Class MT, 4.50%, 4/20/2053
|
3,618,137
|
3,515,103
|
|
Series 2023-53, Class SL, IF, 5.25%, 4/20/2053 (a)
|
7,034,947
|
6,514,309
|
|
Series 2023-65, Class KS, IF, 4.95%, 5/20/2053 (a)
|
6,678,915
|
6,100,131
|
|
Series 2023-66, Class MP, IF, 5.05%, 5/20/2053 (a)
|
2,880,222
|
2,720,780
|
|
Series 2023-69, Class S, IF, 5.61%, 5/20/2053 (a)
|
4,514,483
|
4,279,229
|
|
Series 2023-63, Class SY, IF, 9.07%, 5/20/2053 (a)
|
5,523,590
|
5,776,106
|
|
Series 2023-89, Class BS, IF, 5.01%, 6/20/2053 (a)
|
6,285,797
|
5,735,893
|
|
Series 2023-89, Class SC, IF, 7.04%, 6/20/2053 (a)
|
6,333,837
|
6,281,310
|
|
Series 2023-89, Class QS, IF, 7.29%, 6/20/2053 (a)
|
7,789,669
|
7,736,720
|
|
Series 2023-115, Class TS, IF, 7.91%, 6/20/2053 (a)
|
3,190,281
|
3,170,150
|
|
Series 2023-101, Class S, IF, 4.65%, 7/20/2053 (a)
|
1,486,716
|
1,305,036
|
|
Series 2023-128, Class SL, IF, 7.54%, 8/20/2053 (a)
|
6,921,252
|
6,854,250
|
|
Series 2023-146, Class GO, PO, 10/20/2053
|
11,471,918
|
8,925,259
|
|
Series 2024-164, Class LO, PO, 6/20/2054
|
5,735,212
|
4,487,100
|
|
Series 2024-164, Class SM, IF, IO, 1.87%, 10/20/2054 (a)
|
33,084,136
|
1,947,855
|
|
Series 2025-105, Class SM, IF, 5.49%, 6/20/2055 (a)
|
12,614,475
|
11,646,420
|
|
Series 2012-H24, Class FG, 4.21%, 4/20/2060 (a)
|
1,625
|
1,622
|
|
Series 2013-H03, Class FA, 4.08%, 8/20/2060 (a)
|
240
|
240
|
|
Series 2013-H05, Class FB, 4.16%, 2/20/2062 (a)
|
3,825
|
3,817
|
|
Series 2013-H07, Class MA, 4.33%, 4/20/2062 (a)
|
324
|
325
|
|
Series 2013-H02, Class HF, 4.08%, 11/20/2062 (a)
|
242
|
241
|
|
Series 2013-H01, Class JA, 4.10%, 1/20/2063 (a)
|
303,803
|
302,839
|
|
Series 2013-H04, Class SA, 4.20%, 2/20/2063 (a)
|
454,304
|
453,099
|
|
Series 2013-H08, Class BF, 4.18%, 3/20/2063 (a)
|
179,928
|
179,004
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2013-H07, Class HA, 4.19%, 3/20/2063 (a)
|
318,452
|
317,687
|
|
Series 2013-H09, Class HA, 1.65%, 4/20/2063
|
29,923
|
28,699
|
|
Series 2024-64, Class EO, PO, 4/20/2064
|
11,032,698
|
9,498,114
|
|
Series 2016-H13, Class FD, 4.24%, 5/20/2066 (a)
|
145,358
|
145,385
|
|
Series 2016-H13, Class FT, 4.36%, 5/20/2066 (a)
|
10,484
|
10,485
|
|
Series 2016-H11, Class FD, 4.82%, 5/20/2066 (a)
|
220,302
|
221,773
|
|
Series 2016-H26, Class FC, 4.78%, 12/20/2066 (a)
|
231,679
|
233,509
|
|
Series 2017-H05, Class FC, 4.53%, 2/20/2067 (a)
|
329,672
|
330,949
|
|
Series 2017-H08, Class XI, IO, 2.20%, 3/20/2067 (a)
|
1,186,628
|
49,766
|
|
Series 2017-H11, Class XI, IO, 1.76%, 5/20/2067 (a)
|
3,855,961
|
133,711
|
|
Series 2017-H14, Class XI, IO, 1.85%, 6/20/2067 (a)
|
1,936,672
|
48,458
|
|
Series 2017-H14, Class AI, IO, 2.26%, 6/20/2067 (a)
|
1,227,273
|
50,360
|
|
Series 2020-H11, Class GI, IO, 3.23%, 7/20/2067 (a)
|
252,367
|
1,537
|
|
Series 2017-H16, Class F, 4.63%, 8/20/2067 (a)
|
684,366
|
685,923
|
|
Series 2017-H17, Class FQ, 5.05%, 9/20/2067 (a)
|
1,218,164
|
1,225,520
|
|
Series 2017-H25, Class HI, IO, 2.09%, 10/20/2067 (a)
|
1,310,262
|
46,684
|
|
Series 2018-H04, Class FE, 4.26%, 2/20/2068 (a)
|
527,716
|
527,789
|
|
Series 2018-H18, Class AI, IO, 1.82%, 9/20/2068 (a)
|
42,829,504
|
2,622,336
|
|
Series 2019-H14, Class IE, IO, 0.68%, 5/20/2069 (a)
|
1,635,908
|
40,258
|
|
Series 2019-H15, Class IJ, IO, 2.15%, 8/20/2069 (a)
|
2,321,994
|
47,159
|
|
Series 2019-H18, Class CI, IO, 1.66%, 10/20/2069 (a)
|
20,016,743
|
1,079,029
|
|
Series 2019-H18, Class KI, IO, 2.35%, 11/20/2069 (a)
|
231,523
|
768
|
|
Series 2020-H02, Class DI, IO, 2.23%, 12/20/2069 (a)
|
1,174,138
|
5,230
|
|
Series 2020-H05, IO, 1.30%, 3/20/2070 (a)
|
18,781,650
|
1,082,725
|
|
Series 2020-H07, Class DI, IO, 1.46%, 4/20/2070 (a)
|
22,238,438
|
1,206,102
|
|
Series 2020-H09, Class IE, IO, 2.17%, 5/20/2070 (a)
|
3,918,015
|
158,343
|
|
Series 2020-H17, Class IJ, IO, 1.71%, 10/20/2070 (a)
|
9,536,347
|
454,706
|
|
Series 2020-H17, Class IK, IO, 1.94%, 10/20/2070 (a)
|
40,296,398
|
2,388,344
|
|
Series 2021-H01, Class AI, IO, 1.89%, 11/20/2070 (a)
|
74,505,290
|
3,948,453
|
|
Series 2020-H22, Class JI, IO, 1.30%, 12/20/2070 (a)
|
108,191,946
|
5,633,001
|
|
Series 2020-H22, Class IH, IO, 1.40%, 12/20/2070 (a)
|
10,713,588
|
555,235
|
|
Series 2021-H01, Class DI, IO, 2.23%, 12/20/2070 (a)
|
23,859,431
|
1,765,239
|
|
Series 2021-H02, Class JI, IO, 0.71%, 1/20/2071 (a)
|
24,736,757
|
1,161,289
|
|
Series 2021-H02, Class IH, IO, 0.82%, 1/20/2071 (a)
|
16,790,423
|
840,804
|
|
Series 2021-H02, Class IJ, IO, 1.29%, 1/20/2071 (a)
|
107,059,183
|
5,503,062
|
|
Series 2021-H02, Class HI, IO, 1.52%, 1/20/2071 (a)
|
19,625,170
|
521,873
|
|
Series 2021-H03, Class IE, IO, 0.58%, 2/20/2071 (a)
|
7,123,934
|
283,571
|
|
Series 2021-H03, Class IN, IO, 0.68%, 2/20/2071 (a)
|
50,198,951
|
2,520,791
|
|
Series 2021-H03, Class NI, IO, 0.82%, 2/20/2071 (a)
|
27,954,952
|
1,387,182
|
|
Series 2021-H03, Class TI, IO, 0.84%, 2/20/2071 (a)
|
53,753,748
|
2,564,581
|
|
Series 2021-H05, Class IQ, IO, 1.09%, 2/20/2071 (a)
|
73,122,355
|
3,029,949
|
|
Series 2021-H03, Class IP, IO, 1.20%, 2/20/2071 (a)
|
38,624,287
|
1,869,892
|
|
Series 2021-H03, Class PI, IO, 1.21%, 2/20/2071 (a)
|
30,802,297
|
1,505,455
|
|
Series 2021-H05, Class QI, IO, 0.44%, 3/20/2071 (a)
|
107,087,198
|
3,932,681
|
|
Series 2021-H06, Class IA, IO, 0.50%, 3/20/2071 (a)
|
17,046,868
|
542,269
|
|
Series 2023-H06, Class EI, IO, 0.73%, 3/20/2071 (a)
|
40,938,029
|
1,057,152
|
|
Series 2021-H06, Class QI, IO, 0.35%, 4/20/2071 (a)
|
41,741,908
|
1,411,515
|
|
Series 2021-H06, IO, 0.81%, 4/20/2071 (a)
|
70,264,757
|
2,968,925
|
|
Series 2021-H14, Class IY, IO, 0.10%, 9/20/2071 (a)
|
75,558,804
|
1,892,772
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
GS Mortgage-Backed Securities Trust
|
|
|
|
Series 2024-RPL2, Class A1, 3.75%, 7/25/2061 (a) (c)
|
5,755,038
|
5,617,121
|
|
Series 2024-RPL4, Class A1, 3.90%, 9/25/2061 (c) (d)
|
6,837,711
|
6,675,185
|
|
GSMPS Mortgage Loan Trust
|
|
|
|
Series 2001-2, Class A, 7.50%, 6/19/2032 (a) (c)
|
97,205
|
96,104
|
|
Series 2004-4, Class 1AF, 4.10%, 6/25/2034 (a) (c)
|
63,333
|
57,816
|
|
Series 2005-RP2, Class 1AF, 4.05%, 3/25/2035 (a) (c)
|
121,873
|
114,834
|
|
Series 2005-RP3, Class 1AS, IO, 0.43%, 9/25/2035 (a) (c)
|
389,462
|
2,570
|
|
Series 2005-RP3, Class 1AF, 4.05%, 9/25/2035 (a) (c)
|
856,814
|
742,422
|
|
Series 2006-RP2, Class 1AS2, IF, IO, 0.40%, 4/25/2036 (a) (c)
|
691,045
|
36,904
|
|
GSR Mortgage Loan Trust
|
|
|
|
Series 2003-7F, Class 1A4, 5.25%, 6/25/2033
|
69,561
|
69,566
|
|
Series 2003-13, Class 1A1, 5.56%, 10/25/2033 (a)
|
18,028
|
18,172
|
|
Series 2004-3F, Class 3A8, 13.50%, 2/25/2034
|
2,633
|
2,437
|
|
Series 2004-6F, Class 2A4, 5.50%, 5/25/2034
|
73,001
|
72,329
|
|
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034
|
69,336
|
69,756
|
|
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034
|
28,393
|
28,488
|
|
Series 2005-5F, Class 8A3, 4.20%, 6/25/2035 (a)
|
15,697
|
15,279
|
|
Series 2005-7F, Class 3A9, 6.00%, 9/25/2035
|
181,674
|
181,297
|
|
Series 2006-1F, Class 1AP, PO, 2/25/2036
|
43,920
|
25,376
|
|
Series 2006-1F, Class 2A4, 6.00%, 2/25/2036
|
1,078,918
|
409,546
|
|
Homeward Opportunities Fund Trust Series 2025-RRTL2, Class A1, 5.24%, 9/25/2040 (c) (d)
|
2,865,000
|
2,865,721
|
|
Impac Secured Assets CMN Owner Trust Series 2001-8, Class A6, 6.44%, 1/25/2032
|
91,333
|
93,187
|
|
IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 2A1A, 3.62%, 3/25/2036 (a)
|
56,011
|
37,678
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2006-A2, Class 5A2, 6.31%, 11/25/2033 (a)
|
29,981
|
29,974
|
|
Series 2006-A2, Class 5A3, 6.31%, 11/25/2033 (a)
|
54,237
|
54,224
|
|
Series 2006-A3, Class 6A1, 4.84%, 8/25/2034 (a)
|
18,027
|
18,013
|
|
Series 2006-A2, Class 4A1, 6.25%, 8/25/2034 (a)
|
69,569
|
71,045
|
|
Series 2004-S1, Class 1A7, 5.00%, 9/25/2034
|
3,967
|
3,757
|
|
Series 2004-A4, Class 1A1, 6.74%, 9/25/2034 (a)
|
1,368
|
1,347
|
|
Series 2005-A1, Class 3A4, 5.14%, 2/25/2035 (a)
|
32,282
|
31,303
|
|
Series 2007-A1, Class 5A2, 5.81%, 7/25/2035 (a)
|
23,115
|
23,135
|
|
Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 5.89%, 10/25/2066 (c) (d)
|
2,888,612
|
2,890,574
|
|
Lehman Mortgage Trust
|
|
|
|
Series 2006-2, Class 1A1, 5.72%, 4/25/2036 (a)
|
149,052
|
92,588
|
|
Series 2007-6, Class 1A8, 6.00%, 7/25/2037
|
2,820
|
2,527
|
|
Series 2008-2, Class 1A6, 6.00%, 3/25/2038
|
310,764
|
70,905
|
|
LHOME Mortgage Trust
|
|
|
|
Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (c) (d)
|
5,780,000
|
5,786,285
|
|
Series 2025-RTL1, Class A1, 5.65%, 1/25/2040 (c) (d)
|
6,200,000
|
6,227,065
|
|
Series 2025-RTL2, Class A1, 5.61%, 4/25/2040 (a) (c)
|
10,284,000
|
10,335,833
|
|
Series 2025-RTL3, Class A1, 5.24%, 8/25/2040 (c) (d)
|
2,500,000
|
2,501,318
|
|
Series 2026-RTL1, Class A1, 4.91%, 1/25/2041 (c) (d)
|
5,987,000
|
5,946,462
|
|
MASTR Adjustable Rate Mortgages Trust
|
|
|
|
Series 2004-13, Class 2A1, 6.02%, 4/21/2034 (a)
|
19,354
|
19,149
|
|
Series 2004-3, Class 4A2, 3.91%, 4/25/2034 (a)
|
16,279
|
14,874
|
|
Series 2004-4, Class 2A1, 5.92%, 5/25/2034 (a)
|
12,200
|
11,750
|
|
Series 2004-13, Class 3A7, 5.46%, 11/21/2034 (a)
|
103,066
|
102,808
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2004-15, Class 3A1, 6.76%, 12/25/2034 (a)
|
20,816
|
20,602
|
|
MASTR Alternative Loan Trust
|
|
|
|
Series 2003-4, Class 2A1, 6.25%, 6/25/2033
|
53,051
|
54,286
|
|
Series 2003-9, Class 8A1, 6.00%, 1/25/2034
|
20,489
|
19,401
|
|
Series 2004-1, Class 30, PO, 2/25/2034
|
27,405
|
17,209
|
|
Series 2004-3, Class 30, PO, 4/25/2034
|
42,850
|
32,185
|
|
Series 2004-3, Class 30X1, IO, 6.00%, 4/25/2034
|
21,288
|
1,723
|
|
Series 2004-3, Class 2A1, 6.25%, 4/25/2034
|
48,449
|
49,354
|
|
Series 2004-5, Class 30, PO, 6/25/2034
|
56,036
|
42,005
|
|
Series 2004-5, Class 30X1, IO, 6.00%, 6/25/2034
|
17,310
|
1,441
|
|
Series 2004-6, Class 30X1, IO, 5.50%, 7/25/2034
|
24,585
|
1,925
|
|
Series 2004-6, Class 7A1, 6.00%, 7/25/2034
|
220,823
|
215,935
|
|
Series 2004-7, Class 30, PO, 8/25/2034
|
12,050
|
8,432
|
|
Series 2004-7, Class AX1, IO, 5.50%, 8/25/2034
|
43,230
|
3,279
|
|
Series 2005-3, Class AX2, IO, 6.00%, 4/25/2035
|
405,783
|
61,606
|
|
MASTR Asset Securitization Trust
|
|
|
|
Series 2003-11, Class 15, PO, 12/25/2018 ‡
|
1
|
—
|
|
Series 2003-12, Class 6A1, 5.00%, 12/25/2033
|
20,251
|
16,638
|
|
Series 2004-P7, Class A6, 5.50%, 12/27/2033 (c)
|
25,716
|
21,508
|
|
Series 2004-1, Class 30, PO, 2/25/2034
|
3,723
|
2,719
|
|
Series 2004-3, PO, 3/25/2034
|
599
|
—
|
|
MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 4.05%, 5/25/2035 (a) (c)
|
986,060
|
455,248
|
|
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (c)
|
28,953
|
18,755
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2003-A, Class 2A2, 4.87%, 3/25/2028 (a)
|
7,940
|
7,269
|
|
Series 2003-E, Class A1, 4.32%, 10/25/2028 (a)
|
51,592
|
48,386
|
|
Series 2003-F, Class A1, 4.34%, 10/25/2028 (a)
|
26,946
|
26,597
|
|
Series 2004-D, Class A2, 4.77%, 9/25/2029 (a)
|
34,947
|
34,467
|
|
Series 2004-E, Class A2A, 4.88%, 11/25/2029 (a)
|
13,829
|
13,212
|
|
Series 2003-A5, Class 2A6, 6.04%, 8/25/2033 (a)
|
31,811
|
31,052
|
|
Series 2004-A4, Class A2, 4.89%, 8/25/2034 (a)
|
59,779
|
57,310
|
|
Series 2004-1, Class 2A1, 4.92%, 12/25/2034 (a)
|
48,224
|
45,508
|
|
Merrill Lynch Mortgage Investors Trust MLMI
|
|
|
|
Series 2003-A4, Class 2A, 6.00%, 7/25/2033 (a)
|
10,864
|
10,562
|
|
Series 2005-A1, Class 3A, 5.02%, 12/25/2034 (a)
|
7,538
|
7,480
|
|
MFA Trust Series 2024-RPL1, Class A1, 4.25%, 2/25/2066 (a) (c)
|
9,460,448
|
9,007,237
|
|
MOO Securitization Trust
|
|
|
|
Series 2025-RM1, Class A1A, 4.50%, 12/25/2065 ‡ (a) (c)
|
15,000,000
|
14,461,600
|
|
Series 2025-RM1, Class A1B, 4.50%, 12/25/2065 ‡ (a) (c)
|
2,000,000
|
1,890,551
|
|
Series 2026-RM1, Class A1, 4.50%, 3/25/2066 ‡ (a) (c)
|
12,695,000
|
12,189,747
|
|
Series 2026-RM2, Class A1, 4.75%, 6/25/2066 (a) (c)
|
8,666,000
|
8,334,574
|
|
Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.65%, 4/25/2034 (a)
|
91,077
|
89,799
|
|
MortgageIT Trust Series 2005-5, Class A1, 4.22%, 12/25/2035 (a)
|
13,479
|
13,511
|
|
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (c)
|
117,322
|
101,706
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (c) (d)
|
10,235,332
|
10,247,216
|
|
Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (c) (d)
|
7,700,000
|
7,734,440
|
|
Nomura Asset Acceptance Corp. Alternative Loan Trust
|
|
|
|
Series 2003-A1, Class A5, 7.00%, 4/25/2033
|
22,059
|
22,223
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2003-A1, Class A1, 5.50%, 5/25/2033
|
3,002
|
3,000
|
|
Series 2003-A1, Class A2, 6.00%, 5/25/2033
|
5,447
|
5,516
|
|
Ocwen Loan Investment Trust
|
|
|
|
Series 2024-HB1, Class A, 3.00%, 2/25/2037 ‡ (c)
|
1,134,786
|
1,121,626
|
|
Series 2024-HB1, Class M2, 3.00%, 2/25/2037 ‡ (c)
|
1,390,000
|
1,363,703
|
|
OLIT Series 2025-HB2, Class M1, 3.00%, 11/25/2038 ‡ (a) (c)
|
6,675,000
|
6,284,822
|
|
Onity Loan Investment Trust
|
|
|
|
Series 2025-HB1, Class M1, 3.00%, 6/25/2038 ‡ (a) (c)
|
4,115,000
|
3,909,962
|
|
Series 2026-HB2, Class M1, 3.00%, 5/25/2039 ‡ (a) (c)
|
3,495,000
|
3,233,959
|
|
Series 2026-HB2, Class M2, 3.00%, 5/25/2039 ‡ (a) (c)
|
1,165,000
|
1,067,566
|
|
P4 SFR Series 2019-STL A, 0.00%, 10/11/2026 ‡
|
2,465,255
|
2,442,574
|
|
PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 (a) (c)
|
7,285,263
|
6,915,511
|
|
Prime Mortgage Trust
|
|
|
|
Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034
|
44,718
|
44,520
|
|
Series 2005-4, Class 2, PO, 10/25/2035 ‡
|
42,154
|
32,963
|
|
PRPM LLC
|
|
|
|
Series 2023-RCF2, Class A1, 4.00%, 11/25/2053 (c) (d)
|
2,007,136
|
1,981,441
|
|
Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (c) (d)
|
3,023,190
|
2,985,470
|
|
Series 2024-RCF3, Class A1, 4.00%, 5/25/2054 (c) (d)
|
2,958,661
|
2,916,266
|
|
Series 2024-RPL1, Class A1, 4.20%, 12/25/2064 (c) (d)
|
7,652,626
|
7,541,151
|
|
Rain City Mortgage Trust Series 2024-RTL1, Class A1, 6.53%, 9/25/2029 (c) (d)
|
4,631,000
|
4,665,360
|
|
RALI Trust
|
|
|
|
Series 2004-QA4, Class NB3, 7.20%, 9/25/2034 (a)
|
59,906
|
59,340
|
|
Series 2004-QA6, Class NB2, 4.32%, 12/26/2034 (a)
|
21,391
|
20,711
|
|
Series 2005-QA6, Class A32, 6.29%, 5/25/2035 (a)
|
428,974
|
205,314
|
|
Series 2005-QA10, Class A31, 4.94%, 9/25/2035 (a)
|
46,120
|
30,263
|
|
Series 2007-QS1, Class 1A1, 6.00%, 1/25/2037
|
79,330
|
65,811
|
|
Residential Asset Securitization Trust
|
|
|
|
Series 2003-A5, Class A1, 5.50%, 6/25/2033
|
70,389
|
69,031
|
|
Series 2004-IP2, Class 1A1, 5.77%, 12/25/2034 (a)
|
137,194
|
137,025
|
|
Series 2005-A16, Class AX, IO, 5.75%, 2/25/2036
|
447,927
|
93,456
|
|
Series 2006-A6, Class 2A13, 6.00%, 7/25/2036
|
163,812
|
72,863
|
|
RMF Buyout Issuance Trust Series 2020-HB1, Class M3, 4.75%, 10/25/2050 ‡ (a) (c)
|
3,300,000
|
2,922,243
|
|
Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2025-2, Class MTU, 3.25%, 6/25/2065
|
8,087,455
|
6,829,130
|
|
Series 2025-2, Class TTW, 4.25%, 6/25/2065
|
8,980,600
|
8,606,115
|
|
Seasoned Loans Structured Transaction Trust Series 2025-2, Class A1, 3.00%, 10/25/2035
|
17,442,655
|
16,169,911
|
|
Sequoia Mortgage Trust
|
|
|
|
Series 2003-1, Class 1A, 4.48%, 4/20/2033 (a)
|
56,633
|
53,080
|
|
Series 2004-8, Class A1, 4.42%, 9/20/2034 (a)
|
172,773
|
153,010
|
|
Series 2004-8, Class A2, 4.76%, 9/20/2034 (a)
|
99,065
|
94,504
|
|
Series 2004-9, Class A1, 4.40%, 10/20/2034 (a)
|
302,314
|
279,450
|
|
Series 2004-10, Class A1A, 4.34%, 11/20/2034 (a)
|
123,260
|
118,112
|
|
Structured Asset Mortgage Investments II Trust
|
|
|
|
Series 2004-AR5, Class 1A1, 4.39%, 10/19/2034 (a)
|
128,626
|
125,099
|
|
Series 2005-AR5, Class A3, 4.23%, 7/19/2035 (a)
|
191,842
|
185,787
|
|
Structured Asset Securities Corp. Mortgage Pass-Through Certificates
|
|
|
|
Series 2003-34A, Class 3A3, 5.24%, 11/25/2033 (a)
|
26,531
|
26,485
|
|
Series 2003-37A, Class 2A, 5.05%, 12/25/2033 (a)
|
186,553
|
184,051
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Thornburg Mortgage Securities Trust
|
|
|
|
Series 2003-4, Class A1, 4.34%, 9/25/2043 (a)
|
10,136
|
10,016
|
|
Series 2004-1, Class II2A, 2.69%, 3/25/2044 (a)
|
7,197
|
7,075
|
|
Toorak Mortgage Trust Series 2025-RRTL1, Class A1, 5.52%, 2/25/2040 (c) (d)
|
4,875,000
|
4,885,928
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 (c) (d)
|
631,771
|
627,287
|
|
Series 2019-3, Class M2, 4.25%, 2/25/2059 (a) (c)
|
7,550,000
|
6,546,184
|
|
Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (c)
|
14,952,102
|
13,361,426
|
|
Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (c)
|
10,250,000
|
8,551,698
|
|
Series 2020-3, Class M1A, 2.75%, 2/25/2063 (a) (c)
|
7,750,000
|
6,853,843
|
|
TVC Mortgage Trust Series 2026-RRTL1, Class A1, 4.96%, 2/25/2041 (c) (d)
|
10,445,000
|
10,344,839
|
|
Vendee Mortgage Trust
|
|
|
|
Series 1996-2, Class 1Z, 6.75%, 6/15/2026
|
3,381
|
3,375
|
|
Series 1997-1, Class 2Z, 7.50%, 2/15/2027
|
10,709
|
10,784
|
|
Series 1998-1, Class 2E, 7.00%, 3/15/2028
|
18,922
|
19,053
|
|
Series 2010-1, Class DZ, 4.25%, 4/15/2040
|
983,706
|
943,632
|
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
|
Series 2003-S1, Class A5, 5.50%, 4/25/2033
|
52,401
|
53,014
|
|
Series 2003-S3, Class 1A4, 5.50%, 6/25/2033
|
23,183
|
22,886
|
|
Series 2003-AR8, Class A, 5.18%, 8/25/2033 (a)
|
50,391
|
49,475
|
|
Series 2003-AR7, Class A7, 5.61%, 8/25/2033 (a)
|
62,720
|
61,638
|
|
Series 2003-AR9, Class 1A6, 5.28%, 9/25/2033 (a)
|
208,805
|
206,443
|
|
Series 2003-AR9, Class 2A, 5.68%, 9/25/2033 (a)
|
22,889
|
22,520
|
|
Series 2003-S9, Class P, PO, 10/25/2033
|
2,843
|
2,271
|
|
Series 2003-S9, Class A8, 5.25%, 10/25/2033
|
173,982
|
172,310
|
|
Series 2003-AR11, Class A6, 5.66%, 10/25/2033 (a)
|
103,799
|
97,115
|
|
Series 2004-AR3, Class A1, 4.90%, 6/25/2034 (a)
|
12,024
|
11,529
|
|
Series 2004-AR3, Class A2, 4.90%, 6/25/2034 (a)
|
81,486
|
78,130
|
|
Series 2004-S2, Class 2A4, 5.50%, 6/25/2034
|
176,821
|
173,206
|
|
Series 2006-AR10, Class 2P, 4.06%, 9/25/2036 (a)
|
24,751
|
22,620
|
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
|
|
|
|
Series 2005-1, Class 1A1, 5.50%, 3/25/2035
|
18,840
|
18,526
|
|
Series 2005-2, Class 1A4, IF, IO, 1.35%, 4/25/2035 (a)
|
1,241,475
|
49,515
|
|
Series 2005-4, Class CB7, 5.50%, 6/25/2035
|
146,717
|
135,873
|
|
Series 2005-6, Class 2A4, 5.50%, 8/25/2035
|
106,667
|
92,487
|
|
Series 2005-11, Class A4, IF, IO, 1.25%, 1/25/2036 (a)
|
2,006,076
|
79,378
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2004-RA2, Class
2A, 7.00%, 7/25/2033
|
70,347
|
72,819
|
|
Wells Fargo Mortgage-Backed Securities Trust
|
|
|
|
Series 2004-U, Class A1, 6.50%, 10/25/2034 (a)
|
107,163
|
106,471
|
|
Series 2007-7, Class A7, 6.00%, 6/25/2037
|
51,158
|
46,667
|
|
Total Collateralized Mortgage Obligations
(Cost $1,067,493,208)
|
|
1,045,116,082
|
|
Asset-Backed Securities — 13.5%
|
||
|
Accelerated Assets LLC Series 2018-1, Class B, 4.51%, 12/2/2033 (c)
|
221,696
|
219,017
|
|
Accelerated LLC Series 2021-1H, Class C, 2.35%, 10/20/2040 (c)
|
2,200,332
|
2,035,366
|
|
ACHM Trust Series 2025-HE3, Class A, 5.20%, 11/25/2055 (a) (c)
|
7,580,160
|
7,495,316
|
|
Ajax Mortgage Loan Trust Series 2021-G, Class A, 5.87%, 6/25/2061 (a) (c)
|
1,769,126
|
1,770,306
|
|
AMSR Trust
|
|
|
|
Series 2021-SFR1, Class B, 2.15%, 6/17/2038 (c)
|
2,463,000
|
2,317,560
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2021-SFR1, Class D, 2.60%, 6/17/2038 (c)
|
3,400,000
|
3,195,006
|
|
Series 2022-SFR3, Class E1, 4.00%, 10/17/2039 (c)
|
8,181,000
|
7,972,769
|
|
Series 2023-SFR1, Class E2, 4.00%, 4/17/2040 (c)
|
3,000,000
|
2,895,534
|
|
Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (c)
|
10,000,000
|
9,606,808
|
|
Series 2024-SFR1, Class C, 4.29%, 7/17/2041 (c) (d)
|
6,887,000
|
6,655,431
|
|
Series 2024-SFR2, Class D, 4.15%, 11/17/2041 (c)
|
6,550,000
|
6,268,228
|
|
Series 2025-SFR1, Class C, 3.66%, 6/17/2042 (c)
|
6,095,000
|
5,702,255
|
|
Series 2025-SFR1, Class D, 3.66%, 6/17/2042 (c)
|
5,250,000
|
4,855,377
|
|
Series 2025-SFR2, Class D, 4.28%, 11/17/2042 (c)
|
5,903,000
|
5,572,558
|
|
Series 2026-SFR1, Class B, 3.78%, 4/17/2043 (c)
|
7,402,000
|
6,891,440
|
|
Series 2026-SFR1, Class C, 3.78%, 4/17/2043 (c)
|
8,000,000
|
7,390,286
|
|
BARC Series 2026-CES1, Class A1A, 4.84%, 1/25/2056 (c) (d)
|
3,417,114
|
3,376,298
|
|
Bastion Funding I LLC Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (c)
|
3,142,577
|
3,159,622
|
|
BDS LLC Series 2026-FL17, Class A, 5.00%, 5/19/2043 (a) (c)
|
9,545,000
|
9,547,510
|
|
Bridge Trust
|
|
|
|
Series 2024-SFR1, Class B, 4.30%, 8/17/2040 (c)
|
11,538,000
|
11,182,507
|
|
Series 2025-SFR1, Class B, 4.20%, 9/17/2042 (c)
|
12,117,017
|
11,438,204
|
|
Series 2025-SFR1, Class D, 4.20%, 9/17/2042 (c)
|
6,871,296
|
6,370,906
|
|
BXG Receivables Note Trust
|
|
|
|
Series 2022-A, Class C, 5.35%, 9/28/2037 (c)
|
2,007,278
|
1,997,984
|
|
Series 2023-A, Class B, 6.31%, 11/15/2038 (c)
|
1,229,331
|
1,245,140
|
|
Series 2023-A, Class C, 7.38%, 11/15/2038 (c)
|
1,267,025
|
1,285,663
|
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (c)
|
1,113,990
|
1,066,669
|
|
Cascade MH Asset Trust
|
|
|
|
Series 2019-MH1, Class A, 4.00%, 11/25/2044 (a) (c)
|
752,788
|
723,341
|
|
Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (c)
|
4,717,122
|
4,304,558
|
|
Series 2021-MH1, Class M1, 2.99%, 2/25/2046 (c)
|
2,000,000
|
1,594,306
|
|
Series 2022-MH1, Class A, 4.25%, 8/25/2054 ‡ (c) (d)
|
6,227,189
|
6,109,957
|
|
Series 2024-MH1, Class A1, 5.69%, 11/25/2056 (a) (c)
|
7,820,508
|
7,903,278
|
|
Series 2024-MH1, Class M1, 6.26%, 11/25/2056 (a) (c)
|
2,850,000
|
2,916,182
|
|
Chase Funding Trust
|
|
|
|
Series 2002-3, Class 1A5, 5.91%, 6/25/2032 (d)
|
170,276
|
168,586
|
|
Series 2003-4, Class 1A5, 4.94%, 5/25/2033 (d)
|
148,736
|
146,933
|
|
Series 2003-6, Class 1A7, 4.82%, 11/25/2034 (d)
|
99,222
|
97,492
|
|
CoreVest American Finance Trust
|
|
|
|
Series 2017-2, Class M, 5.30%, 12/25/2027 (a) (c)
|
6,200,000
|
6,107,606
|
|
Series 2019-2, Class B, 3.42%, 6/15/2052 (c)
|
2,293,193
|
2,209,097
|
|
Series 2019-3, Class XB, IO, 1.35%, 10/15/2052 (a) (c)
|
27,000,000
|
968,061
|
|
Series 2019-3, Class XA, IO, 1.99%, 10/15/2052 (a) (c)
|
910,487
|
106
|
|
Series 2019-3, Class A, 2.71%, 10/15/2052 (c)
|
118,793
|
118,577
|
|
Series 2021-1, Class A, 1.57%, 4/15/2053 (c)
|
715,066
|
702,954
|
|
Dec
|
|
|
|
6.02%, 3/13/2030 ‡ (c)
|
6,000,000
|
6,000,000
|
|
6.91%, 1/15/2031 ‡ (c)
|
6,000,000
|
6,000,000
|
|
Deephaven Residential Mortgage Trust
|
|
|
|
Series 2025-CES1, Class A1A, 5.22%, 10/25/2055 (c) (d)
|
16,377,613
|
16,327,582
|
|
Series 2026-CES1, Class A1A, 5.31%, 3/25/2061 (c) (d)
|
8,527,035
|
8,493,942
|
|
Diversified ABS Holdings LLC Series 2024-2A, Class A, 6.56%, 9/30/2044 ‡ (c)
|
4,272,861
|
4,262,606
|
|
Diversified ABS Phase LLC Series 2024-1A, Class A1, 7.08%, 5/30/2044 (c)
|
4,031,945
|
4,057,390
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
E3 (Cayman Islands) Series 2019-1, Class B, 4.15%, 9/20/2055 (c)
|
895,571
|
745,037
|
|
EJ 6.37%, 10/10/2041 ‡
|
9,649,000
|
9,649,000
|
|
Energy Assets 8.11%, 8/25/2044 ‡
|
2,272,174
|
2,284,928
|
|
FIGRE Trust
|
|
|
|
Series 2025-HE5, Class B, 5.48%, 8/25/2055 (a) (c)
|
1,653,835
|
1,649,563
|
|
Series 2025-HE7, Class A, 5.15%, 11/25/2055 (a) (c)
|
3,901,543
|
3,874,431
|
|
Series 2026-HE4, Class A, 5.30%, 5/25/2056 (a) (c)
|
7,447,754
|
7,418,574
|
|
FirstKey Homes Trust
|
|
|
|
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (c)
|
11,450,000
|
11,370,496
|
|
Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 (c)
|
6,100,000
|
6,057,406
|
|
Series 2021-SFR2, Class C, 1.71%, 9/17/2038 (c)
|
4,000,000
|
3,960,846
|
|
Series 2022-SFR1, Class E1, 5.00%, 5/19/2039 (c)
|
11,712,000
|
11,587,980
|
|
Series 2022-SFR1, Class E2, 5.00%, 5/19/2039 (c)
|
5,235,000
|
5,165,296
|
|
FMC GMSR Issuer Trust
|
|
|
|
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (c)
|
15,250,000
|
14,680,274
|
|
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (c)
|
9,050,000
|
8,778,620
|
|
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (c)
|
19,222,400
|
18,506,054
|
|
Series 2021-GT2, Class B, 4.44%, 10/25/2026 (a) (c)
|
6,600,000
|
6,394,888
|
|
Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (a) (c)
|
13,600,000
|
13,476,866
|
|
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (c)
|
14,900,000
|
14,908,605
|
|
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (c)
|
1,000,000
|
1,001,632
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2028 (a) (c)
|
13,050,000
|
12,874,877
|
|
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (c)
|
3,800,000
|
3,760,070
|
|
FW Energy Asset Issuer LLC 7.15%, 8/25/2044 ‡
|
7,132,188
|
7,211,270
|
|
Goodgreen
|
|
|
|
Series 2019-2A, Class A, 2.76%, 4/15/2055 (c)
|
1,169,690
|
1,006,767
|
|
Series 2023-1A, Class A, 5.90%, 1/17/2061 (c)
|
5,723,112
|
5,662,636
|
|
Series 2023-1A, Class B, 5.90%, 1/17/2061 (c)
|
4,647,940
|
3,856,345
|
|
Goodgreen Ltd.
|
|
|
|
Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (c)
|
9,926,718
|
9,925,151
|
|
Series 2024-1A, Class B, 8.12%, 7/15/2056 ‡ (c)
|
2,550,209
|
2,557,877
|
|
Goodgreen Trust
|
|
|
|
Series 2017-1A, Class A, 3.74%, 10/15/2052 (c)
|
154,841
|
143,426
|
|
Series 2020-1A, Class A, 2.63%, 4/15/2055 (c)
|
3,874,094
|
3,239,327
|
|
Grene Series 2026-1A, 0.00%, 1/17/2061 ‡
|
4,720,161
|
4,585,165
|
|
Grene Energy Senio 0.00%, 1/25/2027 ‡
|
236,297
|
191,400
|
|
GS Mortgage-Backed Securities Trust
|
|
|
|
Series 2026-CES1, Class A1, 4.90%, 5/25/2056 (c) (d)
|
6,101,473
|
6,049,704
|
|
Series 2026-CES2, Class A1A, 5.23%, 6/25/2056 (c) (d)
|
11,778,412
|
11,729,342
|
|
Series 2025-SL1, Class A1, 5.85%, 11/25/2067 (a) (c)
|
11,033,659
|
11,092,375
|
|
HERO Funding (Cayman Islands)
|
|
|
|
Series 2017-3A, Class A1, 3.19%, 9/20/2048 (c)
|
2,617,483
|
2,389,285
|
|
Series 2017-3A, Class A2, 3.95%, 9/20/2048 (c)
|
430,489
|
401,928
|
|
Series 2018-2A, Class A3, 3.39%, 9/20/2049 ‡
|
7,305,473
|
6,579,389
|
|
HERO Funding III (Cayman Islands) Series 2017-1A, Class A, 3.50%, 9/21/2043 (c)
|
325,100
|
285,114
|
|
HERO Funding Trust
|
|
|
|
Series 2015-1A, Class A, 3.84%, 9/21/2040 (c)
|
9,230
|
8,858
|
|
Series 2016-2A, Class A, 3.75%, 9/20/2041 (c)
|
1,633,088
|
1,561,919
|
|
Series 2016-3A, Class A1, 3.08%, 9/20/2042 (c)
|
249,084
|
232,498
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2016-4A, Class A1, 3.57%, 9/20/2047 (c)
|
829,299
|
777,856
|
|
Series 2016-4A, Class A2, 4.29%, 9/20/2047 (c)
|
829,300
|
794,578
|
|
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (c)
|
1,503,270
|
1,424,643
|
|
Series 2017-2A, Class A1, 3.28%, 9/20/2048 (c)
|
580,510
|
533,178
|
|
Series 2020-1A, Class A, 2.59%, 9/20/2057 (c)
|
3,749,558
|
3,248,797
|
|
Hilton Grand Vacations Trust
|
|
|
|
Series 2022-1D, Class C, 4.69%, 6/20/2034 (c)
|
461,409
|
461,171
|
|
Series 2022-2A, Class C, 5.57%, 1/25/2037 (c)
|
1,403,263
|
1,403,594
|
|
Series 2020-AA, Class B, 4.22%, 2/25/2039 (c)
|
594,657
|
590,994
|
|
Series 2024-1B, Class B, 5.99%, 9/15/2039 (c)
|
440,207
|
446,539
|
|
Series 2024-1B, Class C, 6.62%, 9/15/2039 (c)
|
832,386
|
849,840
|
|
Series 2024-3A, Class C, 5.71%, 8/27/2040 (c)
|
5,417,222
|
5,424,333
|
|
Series 2026-1A, Class B, 5.01%, 2/25/2043 (c)
|
11,312,226
|
11,283,523
|
|
Series 2026-1A, Class C, 5.36%, 2/25/2043 (c)
|
4,722,400
|
4,710,132
|
|
Series 2025-2A, Class C, 5.12%, 5/25/2044 (c)
|
3,346,014
|
3,312,653
|
|
Series 2025-3EXT, Class B, 4.90%, 10/25/2044 (c)
|
8,274,294
|
8,212,130
|
|
Series 2025-3EXT, Class C, 5.39%, 10/25/2044 (c)
|
7,479,167
|
7,444,951
|
|
HINNT LLC
|
|
|
|
Series 2024-A, Class B, 5.84%, 3/15/2043 (c)
|
3,051,455
|
3,082,275
|
|
Series 2024-A, Class C, 6.32%, 3/15/2043 (c)
|
5,835,355
|
5,895,139
|
|
Series 2025-A, Class C, 5.89%, 3/15/2044 (c)
|
3,212,002
|
3,221,703
|
|
Home Partners of America Trust
|
|
|
|
Series 2021-2, Class D, 2.65%, 12/17/2026 (c)
|
11,512,140
|
11,344,228
|
|
Series 2021-2, Class E1, 2.85%, 12/17/2026 (c)
|
10,552,795
|
10,406,537
|
|
Series 2019-1, Class A, 2.91%, 9/17/2039 (c)
|
3,069,844
|
3,002,599
|
|
Series 2019-1, Class E, 3.60%, 9/17/2039 (c)
|
3,315,487
|
3,228,534
|
|
Invitation Homes Trust
|
|
|
|
Series 2024-SFR1, Class B, 4.00%, 9/17/2041 (c)
|
6,434,000
|
6,188,085
|
|
Series 2024-SFR1, Class D, 4.25%, 9/17/2041 (c)
|
8,810,000
|
8,436,954
|
|
JBHP 6.31%, 12/15/2041 ‡
|
11,874,000
|
11,874,000
|
|
Jonah Energy ABS LLC
|
|
|
|
Series 2024-1A, Class A1, 6.50%, 8/10/2039 ‡ (c)
|
5,892,015
|
5,886,712
|
|
Series 2022-1, Class B, 7.63%, 8/10/2039 ‡ (c)
|
9,343,669
|
9,357,684
|
|
KGS-Alpha SBA COOF Trust
|
|
|
|
Series 2012-3, Class A, IO, 0.99%, 9/25/2026 ‡ (a) (c)
|
1,919
|
—
|
|
Series 2012-4, Class A, IO, 0.89%, 9/25/2037 ‡ (a) (c)
|
1,186,448
|
20,407
|
|
Series 2012-6, Class A, IO, 0.51%, 5/25/2039 ‡ (a) (c)
|
1,133,270
|
11,225
|
|
Series 2015-2, Class A, IO, 2.75%, 7/25/2041 ‡ (a) (c)
|
352,259
|
33,407
|
|
Long Beach Mortgage Loan Trust Series 2004-1, Class M1, 4.45%, 2/25/2034 (a)
|
151,336
|
150,335
|
|
Madison Avenue Manufactured Housing Contract Trust Series 2002-A, 0.30%, 3/25/2032 ‡
|
13,823,818
|
69,448
|
|
Midcon Energy Asset Issuer LLC 5.31%, 2/27/2051 ‡ (a)
|
5,666,694
|
5,666,694
|
|
Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (c)
|
462,975
|
465,108
|
|
Mpire Frn Series 2026, 8.29%, 9/13/2030 ‡ (c)
|
8,992,204
|
9,017,652
|
|
MVW LLC
|
|
|
|
Series 2020-1A, Class B, 2.73%, 10/20/2037 (c)
|
324,421
|
323,088
|
|
Series 2020-1A, Class C, 4.21%, 10/20/2037 (c)
|
216,281
|
215,854
|
|
Series 2023-1A, Class C, 6.54%, 10/20/2040 (c)
|
2,421,644
|
2,468,839
|
|
Series 2023-2A, Class C, 7.06%, 11/20/2040 (c)
|
1,694,179
|
1,734,950
|
|
Series 2021-1WA, Class B, 1.44%, 1/22/2041 (c)
|
621,345
|
603,388
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2021-1WA, Class C, 1.94%, 1/22/2041 (c)
|
1,018,944
|
989,664
|
|
Series 2022-2A, Class C, 7.62%, 10/21/2041 (c)
|
1,371,385
|
1,404,290
|
|
Series 2024-2A, Class B, 4.58%, 3/20/2042 (c)
|
4,978,298
|
4,939,607
|
|
Series 2024-2A, Class C, 4.92%, 3/20/2042 (c)
|
2,772,557
|
2,730,548
|
|
Series 2025-1A, Class C, 5.75%, 9/22/2042 (c)
|
6,962,447
|
6,965,354
|
|
Series 2024-1A, Class C, 6.20%, 2/20/2043 (c)
|
845,352
|
857,275
|
|
Series 2026-1A, Class B, 4.97%, 3/20/2043 (c)
|
3,936,723
|
3,919,389
|
|
Series 2026-1A, Class C, 5.36%, 3/20/2043 (c)
|
5,835,613
|
5,812,713
|
|
Series 2025-2A, Class B, 4.72%, 10/20/2044 (c)
|
5,904,105
|
5,832,078
|
|
Series 2025-2A, Class C, 4.97%, 10/20/2044 (c)
|
5,330,370
|
5,204,187
|
|
New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.84%, 11/25/2033 (d)
|
103,912
|
102,093
|
|
New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (c)
|
6,152,000
|
6,039,622
|
|
Nexus Nova 6.50%, 11/8/2028 ‡
|
6,000,000
|
6,000,180
|
|
NMABS Issuer LLC Series 2025-1A, Class A, 5.14%, 11/22/2055 (c)
|
10,961,281
|
10,662,490
|
|
NRZ Excess Spread-Collateralized Notes Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (c)
|
3,258,335
|
3,226,074
|
|
Pagaya AI Technology in Housing Trust Series 2023-1, Class A, 3.60%, 10/25/2040 (c)
|
5,000,000
|
4,824,153
|
|
Piper ABS Issuer LLC Series 2025-1A, Class A1, 5.29%, 1/15/2046 ‡
|
9,765,797
|
9,765,797
|
|
Progress Residential Trust
|
|
|
|
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (c)
|
11,300,000
|
11,179,009
|
|
Series 2021-SFR5, Class E1, 2.21%, 7/17/2038 (c)
|
6,775,000
|
6,744,742
|
|
Series 2021-SFR8, Class E2, 2.53%, 10/17/2038 (c)
|
6,000,000
|
5,938,841
|
|
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (c)
|
4,555,000
|
4,513,960
|
|
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (c)
|
11,870,000
|
11,831,094
|
|
Series 2021-SFR7, Class C, 2.04%, 8/17/2040 (c)
|
6,246,000
|
5,818,727
|
|
Series 2021-SFR10, Class E1, 3.57%, 12/17/2040 (c)
|
6,412,823
|
6,113,916
|
|
Series 2022-SFR1, Class E1, 3.93%, 2/17/2041 (c)
|
13,000,000
|
12,497,880
|
|
Series 2024-SFR2, Class D, 3.40%, 4/17/2041 (a) (c)
|
2,576,000
|
2,426,348
|
|
Series 2024-SFR2, Class E1, 3.40%, 4/17/2041 (a) (c)
|
9,625,000
|
9,029,549
|
|
Series 2024-SFR3, Class E1, 4.00%, 6/17/2041 (c)
|
7,000,000
|
6,667,893
|
|
Series 2025-SFR1, Class D, 3.65%, 2/17/2042 (c)
|
5,850,000
|
5,459,580
|
|
Series 2025-SFR1, Class E1, 3.75%, 2/17/2042 (c)
|
6,500,000
|
6,063,078
|
|
Series 2025-SFR2, Class D, 3.56%, 4/17/2042 (c)
|
7,652,093
|
7,089,479
|
|
Series 2025-SFR5, Class D, 4.00%, 10/17/2042 (c)
|
2,436,203
|
2,272,672
|
|
Series 2025-SFR6, Class D, 4.00%, 12/17/2042 (c)
|
7,730,000
|
7,161,620
|
|
Series 2026-SFR2, Class C, 4.32%, 5/17/2043 (c)
|
7,355,000
|
6,976,904
|
|
RCKT Mortgage Trust
|
|
|
|
Series 2026-CES2, Class A1A, 4.76%, 2/25/2056 (c) (d)
|
7,600,646
|
7,520,570
|
|
Series 2026-CES4, Class A1A, 5.12%, 4/25/2056 (c) (d)
|
5,938,885
|
5,921,549
|
|
Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (d)
|
478,553
|
109,305
|
|
Renew (Cayman Islands)
|
|
|
|
Series 2017-1A, Class A, 3.67%, 9/20/2052 (c)
|
211,550
|
194,730
|
|
Series 2023-1A, Class A, 5.90%, 11/20/2058 (c)
|
12,240,325
|
12,321,049
|
|
Series 2024-1A, Class A, 6.21%, 11/20/2059 (c)
|
9,543,581
|
9,538,058
|
|
Repo Buyer RRI Trust 3.06%, 4/14/2055 ‡
|
1,766,281
|
1,541,080
|
|
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.80%,
1/25/2036 (d)
|
46,893
|
39,958
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2022-3A, Class C, 7.63%, 7/20/2039 (c)
|
1,220,321
|
1,244,361
|
|
Series 2023-2A, Class C, 7.30%, 4/20/2040 (c)
|
1,924,549
|
1,976,009
|
|
Series 2022-2A, Class C, 6.36%, 6/20/2040 (c)
|
968,667
|
974,155
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2024-2A, Class C, 5.83%, 6/20/2041 (c)
|
1,681,917
|
1,688,310
|
|
Series 2024-3A, Class C, 5.32%, 8/20/2041 (c)
|
2,878,341
|
2,858,567
|
|
Series 2026-1A, Class B, 4.80%, 12/22/2042 (c)
|
2,944,323
|
2,913,824
|
|
Series 2024-1A, Class C, 5.94%, 1/20/2043 (c)
|
1,555,528
|
1,566,967
|
|
Series 2025-2A, Class C, 5.32%, 4/20/2044 (c)
|
2,327,790
|
2,311,691
|
|
Series 2025-3A, Class C, 4.98%, 8/22/2044 (c)
|
2,225,622
|
2,194,606
|
|
Structured Asset Securities Corp. Pass-Through Certificates
|
|
|
|
Series 2002-AL1, Class A2, 3.45%, 2/25/2032
|
3,733
|
3,148
|
|
Series 2002-AL1, Class A3, 3.45%, 2/25/2032
|
72,194
|
8,889
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2025-FIX2, Class A1, 5.25%, 10/25/2065 (c) (d)
|
10,211,944
|
10,191,823
|
|
Series 2026-FIX1, Class A1, 4.98%, 12/25/2065 (c) (d)
|
14,797,653
|
14,687,873
|
|
Series 2026-CES1, Class A1, 4.96%, 1/25/2066 (c) (d)
|
9,015,960
|
8,951,485
|
|
Series 2026-CES2, Class A1A, 4.72%, 2/25/2066 (c) (d)
|
5,875,254
|
5,798,769
|
|
Series 2026-FIX2, Class A1A, 5.31%, 4/25/2066 (c) (d)
|
6,919,543
|
6,900,106
|
|
Tricon Residential Trust Series 2022-SFR1, Class E1, 5.34%, 4/17/2039 (c)
|
5,669,000
|
5,619,638
|
|
Ucielo 2025-assic 8.01%, 8/9/2033 ‡
|
287,500
|
287,500
|
|
vMobo, Inc. 7.46%, 7/18/2027 ‡
|
9,995,881
|
9,557,752
|
|
VOLT C LLC Series 2021-NPL9, Class A1, 5.99%, 5/25/2051 (c) (d)
|
3,239,758
|
3,240,253
|
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (c) (d)
|
91,325
|
91,352
|
|
Westgate Resorts LLC
|
|
|
|
Series 2024-1A, Class B, 6.56%, 1/20/2038 (c)
|
3,561,531
|
3,592,305
|
|
Series 2024-1A, Class C, 7.06%, 1/20/2038 (c)
|
2,928,488
|
2,958,679
|
|
Series 2026-1A, Class C, 6.08%, 10/20/2039 (c)
|
6,441,015
|
6,435,604
|
|
Total Asset-Backed Securities
(Cost $926,201,165)
|
|
931,506,061
|
|
Commercial Mortgage-Backed Securities — 11.5%
|
||
|
BAML RCAP Frn 8.00%, 10/25/2027 ‡
|
5,998,672
|
5,998,672
|
|
BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.21%, 8/15/2046 (a) (c)
|
2,500,000
|
1,741,356
|
|
BAMLL Re-REMIC Trust
|
|
|
|
Series 2024-FRR3, Class B, 1.40%, 1/27/2050 ‡ (a) (c)
|
13,000,000
|
12,623,967
|
|
Series 2024-FRR2, Class A, 2.42%, 7/27/2050 ‡ (a) (c)
|
15,000,000
|
14,356,868
|
|
Series 2025-FRR5, Class AK73, 2.02%, 2/27/2051 ‡ (a) (c)
|
17,316,000
|
16,271,428
|
|
Series 2025-FRR5, Class BK86, PO, 11/27/2051 (c)
|
15,438,000
|
13,326,715
|
|
Banc of America Re-REMIC Trust
|
|
|
|
Series 2024-FRR1, Class B, 0.00%, 4/27/2049 ‡ (c)
|
14,257,000
|
10,538,002
|
|
Series 2024-FRR1, Class A, 2.06%, 4/27/2049 ‡ (a) (c)
|
9,647,000
|
7,754,619
|
|
BOFAS Re-REMIC Trust
|
|
|
|
Series 2026-FRR7, Class BK77, 1.33%, 5/27/2051 ‡ (a) (c)
|
10,685,527
|
9,880,259
|
|
Series 2026-FRR7, Class CK77, 1.33%, 5/27/2051 ‡ (a) (c)
|
10,000,000
|
9,158,817
|
|
Series 2025-FRR6, Class C, 1.49%, 11/27/2051 ‡ (a) (c)
|
6,838,000
|
5,946,171
|
|
Series 2025-FRR6, Class B, 1.50%, 11/27/2051 ‡ (a) (c)
|
10,000,000
|
8,912,015
|
|
Series 2026-FRR7, Class CK97, 1.49%, 7/27/2052 ‡ (a) (c)
|
12,000,000
|
10,450,900
|
|
Series 2026-FRR7, Class BK97, 1.84%, 7/27/2052 ‡ (a) (c)
|
13,697,000
|
12,265,510
|
|
Series 2026-FRR8, Class B124, 1.57%, 12/27/2053 ‡ (a) (c)
|
9,000,000
|
7,492,631
|
|
Series 2026-FRR8, Class B129, 1.50%, 4/27/2054 ‡ (a) (c)
|
9,000,000
|
7,354,042
|
|
BX Trust
|
|
|
|
Series 2025-DELC, Class C, 5.83%, 12/15/2042 (a) (c)
|
3,560,000
|
3,573,340
|
|
Series 2025-DELC, Class D, 6.23%, 12/15/2042 (a) (c)
|
3,020,000
|
3,040,521
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (c)
|
5,000,000
|
4,927,790
|
|
Commercial Mortgage Trust Series 2013-CR9, Class XB, IO, 1.19%, 7/10/2045 (a) (c)
|
22,369,744
|
90,933
|
|
CSMC OA LLC
|
|
|
|
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (c)
|
13,600,000
|
12,580,994
|
|
Series 2014-USA, Class B, 4.18%, 9/15/2037 (c)
|
8,320,000
|
7,326,371
|
|
Series 2014-USA, Class C, 4.34%, 9/15/2037 (c)
|
6,000,000
|
5,161,307
|
|
Series 2014-USA, Class D, 4.37%, 9/15/2037 (c)
|
1,700,000
|
1,428,438
|
|
CSTL Commercial Mortgage Trust
|
|
|
|
Series 2025-GATE2, Class D, 5.63%, 11/10/2042 (a) (c)
|
5,080,000
|
4,980,173
|
|
Series 2026-GATE3, Class C, 5.13%, 2/10/2043 (a) (c)
|
3,232,000
|
3,161,885
|
|
Series 2026-GATE3, Class D, 5.52%, 2/10/2043 (a) (c)
|
2,940,000
|
2,882,691
|
|
DBWF Mortgage Trust Series 2015-LCM, Class A1, 3.00%, 6/10/2034 (c)
|
16,546
|
16,491
|
|
DLIC Re-REMIC Trust
|
|
|
|
Series 2025-FRR1, Class B104, 1.86%, 12/27/2052 ‡ (a) (c)
|
12,130,000
|
10,517,895
|
|
Series 2025-FRR1, Class A104, 2.54%, 12/27/2052 ‡ (a) (c)
|
4,100,000
|
3,701,996
|
|
Series 2025-FRR1, Class A111, 2.24%, 4/27/2053 ‡ (a) (c)
|
10,810,000
|
9,446,704
|
|
Series 2025-FRR1, Class A120, 2.59%, 9/27/2053 ‡ (a) (c)
|
6,680,000
|
5,788,778
|
|
FHLMC Series 2025-MN11, Class M1, 5.26%, 7/25/2045 (a) (c)
|
3,148,053
|
3,143,818
|
|
FHLMC MSCR Trust Series 2021-MN1, Class M1, 5.61%, 1/25/2051 (a) (c)
|
1,003,674
|
1,002,434
|
|
FHLMC Multi-Family ML Certificates Series 2021-ML09, Class XUS, IO, 1.49%, 2/25/2040 (a) (c)
|
54,202,758
|
5,469,015
|
|
FHLMC, Multi-Class Certificates Series 2021-P008, Class A1, 1.73%, 1/25/2033 (a)
|
14,701,916
|
12,481,843
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series Q013, Class XPT2, IO, 1.81%, 5/25/2027 (a)
|
37,614,575
|
548,169
|
|
Series K740, Class XAM, IO, 1.11%, 10/25/2027 (a)
|
33,000,000
|
430,412
|
|
Series KL06, Class XFX, IO, 1.35%, 12/25/2029 (a)
|
62,122,029
|
2,494,901
|
|
Series K128, Class XAM, IO, 0.73%, 3/25/2031 (a)
|
26,300,000
|
849,785
|
|
Series K-1518, Class X1, IO, 0.85%, 10/25/2035 (a)
|
105,094,089
|
5,903,713
|
|
Series K-1520, Class X1, IO, 0.47%, 2/25/2036 (a)
|
96,865,758
|
3,100,799
|
|
FNMA ACES
|
|
|
|
Series 2017-M3, Class A2, 2.48%, 12/25/2026 (a)
|
975,381
|
966,924
|
|
Series 2018-M7, Class A2, 3.03%, 3/25/2028 (a)
|
3,656,721
|
3,589,061
|
|
Series 2020-M39, Class 1A1, 0.75%, 9/25/2028
|
671,054
|
658,878
|
|
Series 2020-M38, Class X2, IO, 1.97%, 11/25/2028 (a)
|
4,180,755
|
130,802
|
|
Series 2020-M11, IO, 1.76%, 1/25/2029 (a)
|
65,601,173
|
2,295,641
|
|
Series 2018-M3, Class A2, 3.07%, 2/25/2030 (a)
|
713,914
|
685,773
|
|
Series 2020-M39, Class X1, IO, 1.92%, 7/25/2030 (a)
|
40,854,404
|
1,731,017
|
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
102,173
|
99,235
|
|
Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (a)
|
1,641,245
|
46,159
|
|
Series 2020-M49, Class 1A1, 1.26%, 11/25/2030 (a)
|
1,809,265
|
1,711,314
|
|
Series 2022-M4, Class 2A2, 1.21%, 12/25/2030 (a)
|
42,100,000
|
36,421,708
|
|
Series 2021-M4, Class A1, 0.96%, 2/25/2031
|
3,845,393
|
3,760,612
|
|
Series 2026-M10, Class A1, 1.85%, 6/25/2031 (a)
|
8,466,628
|
7,815,677
|
|
Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (a)
|
23,600,000
|
20,658,657
|
|
Series 2026-M9, Class A1, 1.57%, 10/25/2031 (a)
|
7,792,984
|
7,017,398
|
|
Series 2021-M2S, Class A2, 1.81%, 10/25/2031 (a)
|
1,041,007
|
917,955
|
|
Series 2022-M3, Class A2, 1.71%, 11/25/2031 (a)
|
18,900,000
|
16,394,391
|
|
Series 2022-M8, Class A1, 1.94%, 12/25/2031 (a)
|
542,238
|
505,600
|
|
Series 2022-M8, Class A2, 1.94%, 12/25/2031 (a)
|
3,370,000
|
2,959,352
|
|
Series 2022-M10, Class A2, 1.93%, 1/25/2032 (a)
|
24,870,490
|
21,867,088
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 (a)
|
22,730,000
|
20,037,270
|
|
Series 2022-M13, Class A2, 2.59%, 6/25/2032 (a)
|
15,000,000
|
13,543,280
|
|
Series 2023-M4, Class A1, 3.77%, 9/25/2032 (a)
|
6,977,350
|
6,855,022
|
|
Series 2023-M8, Class A1, 4.48%, 11/25/2032 (a)
|
2,903,336
|
2,913,488
|
|
Series 2026-M9, Class A, 1.57%, 1/25/2033 (a)
|
7,832,813
|
6,927,741
|
|
Series 2026-M9, Class A2, 1.57%, 1/25/2033 (a)
|
36,598,960
|
30,839,528
|
|
Series 2021-M6, Class A1, 1.50%, 3/25/2033 (a)
|
2,833,515
|
2,725,993
|
|
Series 2023-M8, Class A2, 4.48%, 3/25/2033 (a)
|
6,345,000
|
6,328,440
|
|
Series 2024-M2, Class A1, 4.62%, 4/25/2033 (a)
|
9,303,829
|
9,379,708
|
|
Series 2021-M12, Class 2A2, 2.13%, 5/25/2033 (a)
|
5,000,000
|
4,216,090
|
|
Series 2024-M2, Class A2, 3.75%, 8/25/2033
|
5,000,000
|
4,742,465
|
|
Series 2021-M3, Class X1, IO, 1.83%, 11/25/2033 (a)
|
8,937,920
|
495,937
|
|
Series 2026-M10, Class X1, IO, 0.00%, 7/25/2035
|
66,697,630
|
9,965
|
|
Series 2026-M10, Class A2, 1.85%, 7/25/2035 (a)
|
48,330,000
|
40,928,705
|
|
Series 2026-M10, Class PS, 1.85%, 7/25/2035 (a)
|
9,902,000
|
8,629,353
|
|
Series 2019-M10, Class X, IO, 0.38%, 5/25/2049 (a)
|
41,183,426
|
832,688
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2019-K736, Class B, 3.70%, 7/25/2026 (a) (c)
|
6,500,000
|
6,477,190
|
|
Series 2017-K66, Class B, 4.03%, 7/25/2027 (a) (c)
|
1,000,000
|
991,986
|
|
Series 2019-KS11, Class B, 4.82%, 6/25/2029 (a) (c)
|
8,000,000
|
7,653,059
|
|
Series 2020-KHG2, Class C, 3.07%, 2/25/2030 (a) (c)
|
10,000,000
|
8,604,037
|
|
Series 2021-KLU3, Class BFX, 4.26%, 1/25/2031 (a) (c)
|
4,830,487
|
4,390,865
|
|
Series 19K-1511, Class B, 4.57%, 3/25/2034 (a) (c)
|
3,500,000
|
3,094,154
|
|
Series 2016-K56, Class B, 3.84%, 6/25/2049 (a) (c)
|
1,600,000
|
1,595,276
|
|
Series 2017-K69, Class C, 3.73%, 10/25/2049 (a) (c)
|
2,765,000
|
2,710,037
|
|
Series 2016-K59, Class B, 3.56%, 11/25/2049 (a) (c)
|
1,902,000
|
1,891,514
|
|
Series 2017-K65, Class C, 4.08%, 7/25/2050 (a) (c)
|
3,662,000
|
3,624,537
|
|
Series 2017-K71, Class B, 3.75%, 11/25/2050 (a) (c)
|
1,240,000
|
1,222,611
|
|
Series 2018-K73, Class B, 3.85%, 2/25/2051 (a) (c)
|
1,150,000
|
1,129,392
|
|
Series 2018-K75, Class B, 3.96%, 4/25/2051 (a) (c)
|
3,000,000
|
2,947,488
|
|
Series 2018-K78, Class B, 4.13%, 6/25/2051 (a) (c)
|
3,449,000
|
3,381,979
|
|
Series 2018-K79, Class C, 4.21%, 7/25/2051 (a) (c)
|
4,030,000
|
3,927,226
|
|
Series 2018-K81, Class B, 4.17%, 9/25/2051 (a) (c)
|
2,000,000
|
1,966,141
|
|
Series 2019-K88, Class B, 4.39%, 2/25/2052 (a) (c)
|
4,000,000
|
3,932,519
|
|
Series 2019-K94, Class C, 3.96%, 7/25/2052 (a) (c)
|
6,750,000
|
6,512,565
|
|
Series 2019-K98, Class C, 3.74%, 10/25/2052 (a) (c)
|
6,000,000
|
5,733,065
|
|
Series 2019-K100, Class C, 3.50%, 11/25/2052 (a) (c)
|
7,140,000
|
6,734,025
|
|
Series 2020-K737, Class B, 3.33%, 1/25/2053 (a) (c)
|
4,832,000
|
4,793,499
|
|
GAM Re-REMIC Trust
|
|
|
|
Series 2022-FRR3, Class BK71, 1.93%, 11/27/2050 (a) (c)
|
8,000,000
|
7,481,862
|
|
Series 2021-FRR1, Class 2A, PO, 11/29/2050 ‡ (c)
|
3,300,000
|
3,019,768
|
|
Series 2021-FRR1, Class 2B, PO, 11/29/2050 ‡ (c)
|
8,263,000
|
7,549,729
|
|
GAM Re-REMIC TRUST Series 2021-FRR2, Class AK78, 2.86%, 9/27/2051 (a) (c)
|
4,880,000
|
4,561,065
|
|
GNMA
|
|
|
|
Series 2012-147, Class AK, 3.01%, 4/16/2054 (a)
|
3,675,311
|
3,437,675
|
|
Series 2017-76, Class B, 2.60%, 12/16/2056
|
4,821,708
|
3,496,314
|
|
Series 2020-121, Class B, 1.50%, 8/16/2060
|
10,478,559
|
7,754,127
|
|
Series 2021-211, Class AC, 1.30%, 1/16/2063
|
3,631,556
|
2,641,918
|
|
Hudson Yards Mortgage Trust Series 2019-30HY, Class A, 3.23%, 7/10/2039 (c)
|
4,180,000
|
3,972,618
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (c)
|
2,686,000
|
2,507,669
|
|
MRCD MARK Mortgage Trust
|
|
|
|
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (c)
|
5,000,000
|
4,500,000
|
|
Series 2019-PARK, Class E, 2.72%, 12/15/2036 (c)
|
7,000,000
|
4,739,000
|
|
MTN Commercial Mortgage Trust
|
|
|
|
Series 2026-LPFX, Class B, 5.46%, 5/15/2043 (a) (c)
|
2,250,000
|
2,247,944
|
|
Series 2026-LPFX, Class C, 5.76%, 5/15/2043 (a) (c)
|
1,500,000
|
1,501,806
|
|
Series 2026-LPFX, Class D, 6.06%, 5/15/2043 (a) (c)
|
1,250,000
|
1,254,116
|
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
|
Series 2023-01, Class M7, 7.61%, 11/25/2053 (a) (c)
|
7,394,338
|
7,611,278
|
|
Series 2024-01, Class M7, 6.36%, 7/25/2054 (a) (c)
|
1,142,823
|
1,154,797
|
|
PRM7 Trust
|
|
|
|
Series 2025-PRM7, Class C, 4.94%, 11/10/2042 (a) (c)
|
2,945,000
|
2,868,353
|
|
Series 2025-PRM7, Class D, 5.66%, 11/10/2042 (a) (c)
|
6,770,000
|
6,670,980
|
|
RFM Re-REMIC Trust Series 2024-FRR2, Class A100, PO, 11/27/2052 ‡ (c)
|
11,000,000
|
9,161,065
|
|
RFT TRUST Series 2024-2, Class A1, 7.11%, 9/27/2028 (c) (d)
|
14,557,991
|
14,460,001
|
|
ROCK Trust
|
|
|
|
Series 2024-CNTR, Class B, 5.93%, 11/13/2041 (c)
|
5,000,000
|
5,098,899
|
|
Series 2024-CNTR, Class C, 6.47%, 11/13/2041 (c)
|
15,580,000
|
16,004,719
|
|
RWC Commercial Mortgage Trust
|
|
|
|
Series 2025-1, Class A, 5.01%, 6/27/2040 (c)
|
11,469,210
|
11,363,345
|
|
Series 2025-1, Class AS, 5.26%, 6/27/2040 (c)
|
5,395,000
|
5,340,359
|
|
Series 2025-1, Class B, 5.76%, 6/27/2040 (c)
|
1,650,000
|
1,622,012
|
|
SLG Office Trust
|
|
|
|
Series 2021-OVA, Class A, 2.59%, 7/15/2041 (c)
|
6,500,000
|
5,794,082
|
|
Series 2021-OVA, Class E, 2.85%, 7/15/2041 (c)
|
7,000,000
|
6,017,680
|
|
WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.22%, 3/15/2045 (a) (c)
|
684,983
|
625,116
|
|
Total Commercial Mortgage-Backed Securities
(Cost $797,478,761)
|
|
795,533,545
|
|
U.S. Treasury Obligations — 2.8%
|
||
|
U.S. Treasury Bonds
|
|
|
|
1.13%, 5/15/2040
|
63,000,000
|
39,562,031
|
|
3.88%, 2/15/2043
|
3,000,000
|
2,646,563
|
|
3.63%, 8/15/2043
|
97,339,000
|
82,517,617
|
|
4.38%, 8/15/2043
|
8,956,000
|
8,384,705
|
|
2.25%, 2/15/2052
|
25,000,000
|
14,907,226
|
|
3.63%, 2/15/2053
|
17,000,000
|
13,482,461
|
|
U.S. Treasury Notes
4.13%, 2/15/2036
|
34,700,000
|
33,848,766
|
|
U.S. Treasury STRIPS Bonds
4.79%, 11/15/2030 (e)
|
150,000
|
124,772
|
|
Total U.S. Treasury Obligations
(Cost $214,271,427)
|
|
195,474,141
|
|
Corporate Bonds — 1.0%
|
||
|
Diversified — 0.1%
|
||
|
Ygrene Frn 8.50%, 7/25/2045 ‡ (c)
|
6,878,835
|
6,913,229
|
|
Financial Services — 0.6%
|
||
|
BAML RCAP (United Kingdom) 8.00%, 10/26/2029 ‡
|
3,000,000
|
2,996,250
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Financial Services — continued
|
||
|
BCAP LLC Trust 0.00%, 9/17/2027 ‡
|
17,211,868
|
17,211,868
|
|
CFIN 2022-RTL1 Issuer LLC Class A, 0.00%, 8/17/2027 ‡
|
24,984,304
|
24,953,073
|
|
|
|
45,161,191
|
|
Health Care Providers & Services — 0.3%
|
||
|
Triad Holdings III LLC 0.00%, 4/1/2052 ‡
|
17,320,143
|
17,493,345
|
|
Total Corporate Bonds
(Cost $69,510,484)
|
|
69,567,765
|
|
|
SHARES
|
|
|
Short-Term Investments — 3.9%
|
||
|
Investment Companies — 3.9%
|
||
|
JPMorgan Prime Money Market Fund Class IM Shares, 3.74% (f) (g)
(Cost $273,404,298)
|
273,380,373
|
273,435,049
|
|
Total Investments — 103.4%
(Cost $7,339,939,300)
|
|
7,154,649,807
|
|
Liabilities in Excess of Other Assets — (3.4)%
|
|
(235,477,351
)
|
|
NET ASSETS — 100.0%
|
|
6,919,172,456
|
|
Percentages indicated are based on net assets.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May
31, 2026.
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
FRN
|
Floating Rate Note
|
|
GNMA
|
Government National Mortgage Association
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of May 31, 2026. The rate may be subject to a cap and floor.
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an
underlying pool of mortgage loans. The principal amount shown
represents the par value on the underlying pool. The yields on these securities are
subject to accelerated principal paydowns as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
|
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying
pool of mortgage loans. The market value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments
on the underlying mortgages of these securities increase, the yield on
these securities increases.
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
Re-REMIC
|
Combined Real Estate Mortgage Investment Conduit
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
(a)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments on the
underlying pool of assets. The interest rate shown is the current rate as of May 31,
2026.
|
|
(b)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
(c)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
(d)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a predetermined
trigger. The interest rate shown is the current rate as of May 31, 2026.
|
|
(e)
|
The rate shown is the effective yield as of May 31, 2026.
|
|
(f)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan Investment
Management Inc.
|
|
(g)
|
The rate shown is the current yield as of May 31, 2026.
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
564
|
09/21/2026
|
USD
|
61,978,313
|
589,539
|
|
U.S. Treasury 10 Year Ultra Note
|
746
|
09/21/2026
|
USD
|
83,703,531
|
1,199,572
|
|
U.S. Treasury Long Bond
|
46
|
09/21/2026
|
USD
|
5,170,688
|
105,649
|
|
U.S. Treasury 5 Year Note
|
572
|
09/30/2026
|
USD
|
61,360,407
|
384,984
|
|
|
|
|
|
|
2,279,744
|
|
Abbreviations
|
|
|
USD
|
United States Dollar
|
|
|
||||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$793,900,158
|
$137,605,903
|
$931,506,061
|
|
Collateralized Mortgage Obligations
|
—
|
896,574,659
|
148,541,423
|
1,045,116,082
|
|
Commercial Mortgage-Backed Securities
|
—
|
607,343,709
|
188,189,836
|
795,533,545
|
|
Corporate Bonds
|
—
|
—
|
69,567,765
|
69,567,765
|
|
Mortgage-Backed Securities
|
—
|
3,844,017,164
|
—
|
3,844,017,164
|
|
U.S. Treasury Obligations
|
—
|
195,474,141
|
—
|
195,474,141
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
273,435,049
|
—
|
—
|
273,435,049
|
|
Total Investments in Securities
|
$273,435,049
|
$6,337,309,831
|
$543,904,927
|
$7,154,649,807
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$2,279,744
|
$—
|
$—
|
$2,279,744
|
|
|
Balance as of
February 28,
2026
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Other(a)
|
Balance as of
May 31,
2026
|
|
Investments in
Securities:
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
$99,496,070
|
$10
|
$(1,784,242
)
|
$(2,226
)
|
$41,931,051
|
$(8,357,731
)
|
$6,322,971
|
$—
|
$—
|
$137,605,903
|
|
Collateralized
Mortgage
Obligations
|
142,015,597
|
—
|
(1,569,076
)
|
55,847
|
30,942,627
|
(4,014,947
)
|
—
|
(27,169,027
)
|
8,280,402
|
148,541,423
|
|
Commercial
Mortgage-Backed
Securities
|
185,832,541
|
—
|
(1,605,944
)
|
207,183
|
15,037,786
|
(3,001,328
)
|
—
|
—
|
(8,280,402
)
|
188,189,836
|
|
Corporate Bonds
|
41,565,185
|
(68
)
|
(45,948
)
|
(15,296
)
|
31,778,086
|
(3,714,194
)
|
—
|
—
|
—
|
69,567,765
|
|
Total
|
$468,909,393
|
$(58
)
|
$(5,005,210
)
|
$245,508
|
$119,689,550
|
$(19,088,200
)
|
$6,322,971
|
$(27,169,027
)
|
$—
|
$543,904,927
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
||||||||
|
(a)
|
Certain Level 3 investments were re-classified between Commercial Mortgage-Backed
Securities and Collateralized Mortgage Obligations .
|
|
|
Fair Value
at May 31, 2026
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
|
$6,109,957
|
Discounted Cash Flow
|
Constant Default Rate
|
2.50% (2.50%)
|
|
|
|
|
Constant Prepayment Rate
|
5.00% (5.00%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.84% (5.84%)
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
6,109,957
|
|
|
|
|
|
124,953,054
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 100.00% (70.08%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.18% - 6.54% (5.49%)
|
|
|
|
|
|
|
|
Collateralized Mortgage
Obligations
|
124,953,054
|
|
|
|
|
|
28,895,395
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
5.17% - 5.56% (5.34%)
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed
Securities
|
28,895,395
|
|
|
|
|
Total
|
$159,958,406
|
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At May 31, 2026, the value of
these investments was $383,946,521. The inputs for these investments are not readily
available or cannot be reasonably estimated and are
generally those inputs described in Note A.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
|
|||||||||
|
For the period ended May 31, 2026
|
|||||||||
|
Security Description
|
Value at
February 28,
2026
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2026
|
Shares at
May 31,
2026
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan Prime Money
Market Fund Class IM
Shares, 3.74% (a) (b)
|
$193,653,625
|
$760,591,924
|
$680,792,175
|
$(25,206
)
|
$6,881
|
$273,435,049
|
273,380,373
|
$2,786,767
|
$—
|
|
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(b)
|
The rate shown is the current yield as of May 31, 2026.
|