|
Collateralized Mortgage Obligations — 49.9% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal Home Loan Mortgage Corp.: |
|
|
|
|
Series 2135, Class JZ, 6.00%, 3/15/29 |
$ |
76 |
$ 77,435 |
|
Series 3866, Class DF, 5.19%, (30-day SOFR
Average + 1.564%), 5/15/41(1)
|
|
1,044 |
960,745 |
|
Series 4102, Class DF, 4.897%, (30-day SOFR
Average + 1.264%), 9/15/42(1)
|
|
271 |
268,407 |
|
Series 4159, Class FP, 4.647%, (30-day SOFR
Average + 1.014%), 11/15/42(1)
|
|
611 |
586,916 |
|
Series 4180, Class KF, 4.747%, (30-day SOFR
Average + 1.114%), 1/15/43(1)
|
|
3,034 |
2,939,504 |
|
Series 4204, Class AF, 4.747%, (30-day SOFR
Average + 1.114%), 5/15/43(1)
|
|
540 |
514,114 |
|
Series 4223, Class NF, 4.697%, (30-day SOFR
Average + 1.064%), 7/15/43(1)
|
|
1,931 |
1,703,468 |
|
Series 4299, Class JG, 2.50%, 7/15/43 |
|
296 |
287,893 |
|
Series 4389, Class CA, 3.00%, 9/15/44 |
|
1,046 |
941,530 |
|
Series 4619, Class KF, 4.497%, (30-day SOFR
Average + 0.864%), 6/15/39(1)
|
|
710 |
680,782 |
|
Series 4678, Class PC, 3.00%, 1/15/46 |
|
916 |
864,481 |
|
Series 4995, Class ZN, 2.50%, 7/25/50 |
|
1,116 |
584,071 |
|
Series 5031, Class Z, 2.50%, 10/25/50 |
|
9 |
4,080 |
|
Series 5037, Class ZQ, 2.00%, 11/25/50 |
|
823 |
383,217 |
|
Series 5038, Class Z, 2.50%, 10/25/50 |
|
4 |
1,812 |
|
Series 5039, Class ZJ, 2.00%, 11/25/50 |
|
378 |
160,337 |
|
Series 5058, Class Z, 2.00%, 1/25/51 |
|
754 |
331,976 |
|
Series 5071, Class CS, 0.00%, (3.30% -
30-day SOFR Average, Floor 0.00%),
2/25/51(2)
|
|
6,990 |
2,697,267 |
|
Series 5071, Class SP, 0.00%, (3.30% - 30-day
SOFR Average, Floor 0.00%), 2/25/51(2)
|
|
9,615 |
3,792,809 |
|
Series 5083, Class SK, 0.00%, (3.867% -
30-day SOFR Average x 1.333, Floor 0.00%),
3/25/51(2)
|
|
8,471 |
3,434,881 |
|
Series 5093, Class Z, 3.00%, 1/25/51 |
|
1 |
595 |
|
Series 5093, Class ZM, 3.00%, 3/25/51 |
|
2 |
1,224 |
|
Series 5101, Class EZ, 2.00%, 3/25/51 |
|
2,159 |
1,196,762 |
|
Series 5104, Class WZ, 3.00%, 4/25/51 |
|
987 |
583,972 |
|
Series 5114, Class ZH, 3.00%, 5/25/51 |
|
481 |
253,525 |
|
Series 5123, Class JZ, 2.00%, 7/25/51 |
|
825 |
389,823 |
|
Series 5129, Class HZ, 1.25%, 4/25/50 |
|
1,695 |
663,055 |
|
Series 5129, Class WZ, 3.00%, 8/25/50 |
|
1 |
599 |
|
Series 5129, Class ZE, 3.00%, 9/25/50 |
|
225 |
123,718 |
|
Series 5129, Class ZH, 3.00%, 7/25/50 |
|
1 |
629 |
|
Series 5129, Class ZW, 3.00%, 8/25/50 |
|
1 |
420 |
|
Series 5159, Class MZ, 3.00%, 11/25/51 |
|
1,100 |
637,682 |
|
Series 5160, Class ZW, 3.00%, 8/25/50 |
|
2,938 |
2,132,911 |
|
Series 5169, Class JZ, 3.00%, 1/25/49 |
|
416 |
190,370 |
|
Series 5300, Class EY, 6.00%, 12/25/52 |
|
5,000 |
5,125,704 |
|
Series 5327, Class B, 6.00%, 8/25/53 |
|
20,000 |
20,507,238 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal Home Loan Mortgage Corp.: (continued) |
|
|
|
|
Series 5343, Class CS, 8.652%, (19.50% -
30-day SOFR Average x 3.00), 10/25/53(2)
|
$ |
2,479 |
$ 2,438,632 |
|
Series 5418, Class FC, 5.016%, (30-day SOFR
Average + 1.40%), 6/25/54(1)
|
|
21,405 |
21,559,156 |
|
Series 5445, Class BT, 0.125%, 8/25/54 |
|
4,004 |
2,987,155 |
|
Series 5461, Class Z, 6.50%, 10/25/54 |
|
348 |
346,782 |
|
Series 5478, Class SG, 7.555%, (15.51% -
30-day SOFR Average x 2.20), 12/25/54(2)
|
|
5,030 |
4,781,450 |
|
Series 5489, Class S, 7.665%, (15.62% -
30-day SOFR Average x 2.20), 1/25/55(2)
|
|
4,287 |
4,151,957 |
|
Series 5500, Class SC, 10.152%, (21.00% -
30-day SOFR Average x 3.00), 10/25/54(2)
|
|
9,290 |
9,696,090 |
|
Series 5502, Class FD, 5.216%, (30-day SOFR
Average + 1.60%), 2/25/55(1)
|
|
29,887 |
30,176,940 |
|
Series 5506, Class Z, 5.50%, 2/25/55 |
|
6,155 |
6,047,525 |
|
Series 5508, Class AS, 10.152%, (21.00% -
30-day SOFR Average x 3.00), 2/25/55(2)
|
|
9,079 |
9,518,773 |
|
Series 5508, Class DS, 10.152%, (21.00% -
30-day SOFR Average x 3.00), 2/25/55(2)
|
|
2,989 |
3,136,070 |
|
Series 5508, Class SC, 10.152%, (21.00% -
30-day SOFR Average x 3.00), 2/25/55(2)
|
|
7,146 |
7,444,710 |
|
Series 5511, Class LT, 7.566%, (30-day SOFR
Average + 3.95%), 3/25/55(1)
|
|
2,035 |
2,042,974 |
|
Series 5511, Class TE, 7.566%, (30-day SOFR
Average + 3.95%), 3/25/55(1)
|
|
1,537 |
1,551,372 |
|
Series 5513, Class MQ, 7.566%, (30-day SOFR
Average + 3.95%), 6/25/54(1)
|
|
6,244 |
6,267,892 |
|
Series 5516, Class HZ, 6.00%, 3/25/55 |
|
13,062 |
13,385,531 |
|
Series 5516, Class MC, 6.916%, (30-day SOFR
Average + 3.30%), 3/25/55(1)
|
|
5,035 |
5,126,898 |
|
Series 5517, Class NA, 7.566%, (30-day SOFR
Average + 3.95%), 3/25/55(1)
|
|
5,416 |
5,535,356 |
|
Series 5517, Class NT, 7.566%, (30-day SOFR
Average + 3.95%), 3/25/55(1)
|
|
4,458 |
4,563,983 |
|
Series 5523, Class ZC, 6.50%, 11/25/53 |
|
27 |
26,562 |
|
Series 5529, Class MA, 7.416%, (30-day SOFR
Average + 3.80%), 3/25/55(1)
|
|
1,842 |
1,845,471 |
|
Series 5547, Class ME, 7.421%, (30-day SOFR
Average + 3.805%), 6/25/55(1)
|
|
5,351 |
5,433,314 |
|
Series 5549, Class JF, 5.166%, (30-day SOFR
Average + 1.55%), 6/25/55(1)
|
|
55,159 |
56,002,529 |
|
Series 5563, Class TV, 8.16%, (21.06% -
30-day SOFR Average x 3.00), 8/25/55(2)
|
|
4,281 |
4,299,964 |
|
Series 5575, Class TA, 8.25%, (21.15% -
30-day SOFR Average x 3.00), 9/25/55(2)
|
|
5,995 |
6,037,098 |
|
Series 5585, Class KZ, 6.00%, 10/25/55 |
|
2,445 |
2,405,613 |
|
Series 5594, Class Z, 6.00%, 11/25/53 |
|
2,443 |
2,452,152 |
|
Series 5596, Class FD, 4.916%, (30-day SOFR
Average + 1.30%), 11/25/55(1)
|
|
54,880 |
54,888,118 |
|
Series 5604, Class SQ, 10.637%, (30.525% -
30-day SOFR Average x 5.50), 12/25/55(2)
|
|
5,479 |
5,370,369 |
|
Series 5617, Class EZ, 6.00%, 1/25/56 |
|
6,690 |
6,250,105 |
|
Series 5617, Class MZ, 6.00%, 1/25/56 |
|
2,685 |
2,672,580 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal Home Loan Mortgage Corp.: (continued) |
|
|
|
|
Series 5620, Class Z, 6.00%, 11/25/55 |
$ |
1,762 |
$ 1,648,056 |
|
Series 5628, Class Z, 6.00%, 6/25/55 |
|
4,813 |
4,765,629 |
|
Series 5637, Class Z, 6.00%, 6/25/55 |
|
11,691 |
11,692,176 |
|
Series 5639, Class MZ, 6.00%, 3/25/56 |
|
5,439 |
5,386,565 |
|
Series 5644, Class SE, 9.291%, (22.55% -
30-day SOFR Average x 3.667), 4/25/56(2)
|
|
1,903 |
1,918,721 |
|
Series 5645, Class ZH, 6.00%, 11/25/53 |
|
5,022 |
4,901,317 |
|
Series 5659, Class SD, 8.618%, (18.563% -
30-day SOFR Average x 2.75), 5/25/56(2)
|
|
5,820 |
5,908,847 |
|
Series 5660, Class SC, 8.618%, (18.563% -
30-day SOFR Average x 2.75), 5/25/56(2)
|
|
4,971 |
5,057,819 |
|
Series 5662, Class SA, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 5/25/56(2)
|
|
11,641 |
11,712,046 |
|
Series 5677, Class ES, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 7/25/56(2)
|
|
5,972 |
6,030,095 |
|
Interest Only:(3) |
|
|
|
|
Series 354, Class C11, 3.50%, 7/15/46 |
|
6,325 |
1,131,546 |
|
Series 354, Class C15, 3.50%, 11/15/46 |
|
6,193 |
1,142,720 |
|
Series 362, Class C11, 4.00%, 12/15/47 |
|
3,063 |
646,562 |
|
Series 362, Class C12, 4.00%, 12/15/47 |
|
6,236 |
1,245,431 |
|
Series 362, Class C7, 3.50%, 9/15/47 |
|
10,443 |
1,979,328 |
|
Series 380, Class C5, 3.50%, 1/25/50 |
|
7,374 |
1,453,824 |
|
Series 3030, Class SL, 2.36%, (5.986% -
30-day SOFR Average), 9/15/35(2)
|
|
525 |
25,909 |
|
Series 3114, Class TS, 2.91%, (6.536% -
30-day SOFR Average), 9/15/30(2)
|
|
303 |
7,022 |
|
Series 3339, Class JI, 2.85%, (6.476% -
30-day SOFR Average), 7/15/37(2)
|
|
455 |
27,592 |
|
Series 4094, Class CS, 2.26%, (5.886% -
30-day SOFR Average), 8/15/42(2)
|
|
341 |
27,727 |
|
Series 4109, Class SA, 2.46%, (6.086% -
30-day SOFR Average), 9/15/32(2)
|
|
525 |
22,456 |
|
Series 4497, Class CS, 2.46%, (6.086% -
30-day SOFR Average), 9/15/44(2)
|
|
77 |
1,561 |
|
Series 4507, Class EI, 4.00%, 8/15/44 |
|
1,494 |
143,818 |
|
Series 4507, Class MI, 3.50%, 8/15/44 |
|
78 |
1,679 |
|
Series 4549, Class DS, 2.16%, (5.786% -
30-day SOFR Average), 8/15/45(2)
|
|
396 |
17,179 |
|
Series 4601, Class IN, 3.50%, 7/15/46 |
|
10,222 |
1,830,157 |
|
Series 4625, Class BI, 3.50%, 6/15/46 |
|
2,008 |
345,054 |
|
Series 4637, Class IP, 3.50%, 4/15/44 |
|
2 |
1 |
|
Series 4749, Class IL, 4.00%, 12/15/47 |
|
706 |
142,848 |
|
Series 4768, Class IO, 4.00%, 3/15/48 |
|
815 |
164,434 |
|
Series 4768, Class KI, 4.00%, 11/15/47 |
|
1,430 |
281,275 |
|
Series 4772, Class PI, 4.00%, 1/15/48 |
|
886 |
175,227 |
|
Series 4791, Class SA, 2.46%, (6.086% -
30-day SOFR Average), 5/15/48(2)
|
|
3,448 |
350,937 |
|
Series 4796, Class AS, 2.46%, (6.086% -
30-day SOFR Average), 5/15/48(2)
|
|
2,184 |
222,244 |
|
Series 4808, Class IB, 4.00%, 5/15/48 |
|
3,427 |
723,218 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Interest Only: (continued) |
|
|
|
|
Series 4966, Class SY, 2.319%, (5.936% -
30-day SOFR Average), 4/25/50(2)
|
$ |
3,275 |
$ 344,417 |
|
Series 5008, Class IE, 2.00%, 9/25/50 |
|
28,384 |
3,449,447 |
|
Series 5010, Class I, 2.00%, 9/25/50 |
|
25,132 |
3,071,900 |
|
Series 5010, Class IB, 2.00%, 9/25/50 |
|
37,037 |
4,501,023 |
|
Series 5010, Class IN, 2.00%, 9/25/50 |
|
41,877 |
5,089,619 |
|
Series 5010, Class NI, 2.00%, 9/25/50 |
|
12,524 |
1,583,012 |
|
Series 5016, Class UI, 2.00%, 9/25/50 |
|
11,852 |
1,440,327 |
|
Series 5017, Class DI, 2.00%, 9/25/50 |
|
24,550 |
2,983,535 |
|
Series 5019, Class CI, 2.00%, 10/25/50 |
|
20,124 |
2,479,355 |
|
Series 5020, Class CI, 2.00%, 9/25/50 |
|
4,951 |
586,973 |
|
Series 5024, Class CI, 2.00%, 10/25/50 |
|
49,639 |
6,025,919 |
|
Series 5025, Class GI, 2.00%, 10/25/50 |
|
8,717 |
1,073,886 |
|
Series 5028, Class TI, 2.00%, 10/25/50 |
|
10,351 |
935,556 |
|
Series 5038, Class DI, 2.00%, 11/25/50 |
|
61,186 |
7,409,108 |
|
Series 5051, Class S, 0.00%, (3.60% - 30-day
SOFR Average, Floor 0.00%), 12/25/50(2)
|
|
25,464 |
438,690 |
|
Series 5156, Class IP, 3.00%, 12/25/49 |
|
18,847 |
2,907,777 |
|
Series 5191, Class IB, 2.50%, 2/25/51 |
|
41,484 |
6,533,048 |
|
Series 5648, Class SA, 1.184%, (4.80% -
30-day SOFR Average), 2/25/56(2)
|
|
75,912 |
2,139,846 |
|
Series 5677, Class SW, 1.884%, (5.50% -
30-day SOFR Average), 7/25/56(2)
|
|
9,953 |
506,557 |
|
Principal Only:(4) |
|
|
|
|
Series 213, Class PO, 0.00%, 6/1/31 |
|
402 |
367,646 |
|
Series 239, Class PO, 0.00%, 8/15/36 |
|
330 |
263,362 |
|
Series 246, Class PO, 0.00%, 5/15/37 |
|
781 |
641,395 |
|
Series 3072, Class WO, 0.00%, 11/15/35 |
|
253 |
212,072 |
|
Series 3342, Class KO, 0.00%, 7/15/37 |
|
109 |
91,519 |
|
Series 3476, Class PO, 0.00%, 7/15/38 |
|
112 |
85,865 |
|
Series 3862, Class PO, 0.00%, 5/15/41 |
|
295 |
233,986 |
|
Series 4239, Class OU, 0.00%, 7/15/43 |
|
2,826 |
1,716,899 |
|
Federal National Mortgage Association: |
|
|
|
|
Series G97-4, Class FA, 4.538%, (30-day SOFR
Average + 0.914%), 6/17/27(1)
|
|
4 |
3,929 |
|
Series 2009-48, Class WA, 5.766%, 7/25/39(5)
|
|
79 |
80,055 |
|
Series 2009-62, Class WA, 5.596%, 8/25/39(5)
|
|
103 |
104,122 |
|
Series 2010-112, Class DZ, 4.00%, 10/25/40 |
|
232 |
222,031 |
|
Series 2011-49, Class NT, 6.00%, (64.855% -
30-day SOFR Average x 10.00, Cap 6.00%),
6/25/41(2)
|
|
88 |
84,591 |
|
Series 2012-103, Class ZP, 3.00%, 9/25/42 |
|
877 |
670,910 |
|
Series 2012-115, Class MX, 0.00%, (3.329% -
30-day SOFR Average x 1.154, Floor 0.00%),
10/25/42(2)
|
|
628 |
334,426 |
|
Series 2012-128, Class WS, 0.269%, (3.886%
- 30-day SOFR Average), 11/25/42(2)
|
|
547 |
360,981 |
|
Series 2012-134, Class ZT, 2.00%, 12/25/42 |
|
861 |
613,194 |
|
Series 2013-52, Class GA, 1.00%, 6/25/43 |
|
484 |
414,966 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal National Mortgage Association: (continued) |
|
|
|
|
Series 2013-58, Class SC, 0.404%, (5.828% -
30-day SOFR Average x 1.50), 6/25/43(2)
|
$ |
2,651 |
$ 1,465,221 |
|
Series 2014-1, Class HF, 5.00%, (30-day SOFR
Average + 1.614%, Cap 5.00%), 6/25/43(1)
|
|
730 |
705,221 |
|
Series 2015-74, Class SL, 0.158%, (2.282% -
30-day SOFR Average x 0.587), 10/25/45(2)
|
|
1,883 |
1,153,354 |
|
Series 2016-26, Class KS, 0.00%, (5.05% -
30-day SOFR Average x 1.75, Floor 0.00%),
11/25/42(2)
|
|
1,603 |
1,031,886 |
|
Series 2017-15, Class LE, 3.00%, 6/25/46 |
|
56 |
55,631 |
|
Series 2017-56, Class KF, 4.747%, (30-day
SOFR Average + 1.114%), 7/25/47(1)
|
|
561 |
539,386 |
|
Series 2017-56, Class KS, 1.253%, (4.886% -
30-day SOFR Average), 7/25/47(2)
|
|
314 |
138,951 |
|
Series 2019-1, Class FA, 4.331%, (30-day
SOFR Average + 0.714%), 2/25/49(1)
|
|
4,562 |
4,511,946 |
|
Series 2020-63, Class ZN, 3.00%, 9/25/50 |
|
336 |
180,663 |
|
Series 2020-86, Class ZP, 2.50%, 12/25/50 |
|
1,491 |
695,083 |
|
Series 2020-95, Class BZ, 2.50%, 1/25/51 |
|
342 |
154,481 |
|
Series 2020-96, Class EZ, 2.50%, 1/25/51 |
|
703 |
325,644 |
|
Series 2020-96, Class KZ, 2.50%, 1/25/51 |
|
335 |
155,195 |
|
Series 2021-8, Class NZ, 2.50%, 3/25/51 |
|
1,136 |
564,380 |
|
Series 2021-11, Class KZ, 3.00%, 6/25/50 |
|
598 |
355,835 |
|
Series 2021-22, Class MZ, 3.00%, 4/25/51 |
|
2,459 |
1,494,953 |
|
Series 2021-45, Class DZ, 3.00%, 7/25/51 |
|
411 |
214,802 |
|
Series 2021-51, Class EZ, 2.50%, 8/25/51 |
|
1,316 |
676,301 |
|
Series 2021-55, Class ZN, 2.50%, 8/25/51 |
|
379 |
189,988 |
|
Series 2021-59, Class EZ, 2.50%, 9/25/51 |
|
1,566 |
825,902 |
|
Series 2023-12, Class LW, 6.00%, 4/25/53 |
|
15,000 |
15,384,788 |
|
Series 2023-13, Class LY, 6.00%, 4/25/53 |
|
9,120 |
9,349,368 |
|
Series 2023-14, Class EL, 6.00%, 4/25/53 |
|
23,200 |
23,772,868 |
|
Series 2023-61, Class BL, 6.00%, 12/25/53 |
|
4,363 |
4,463,043 |
|
Series 2024-21, Class GZ, 6.00%, 5/25/54 |
|
7,505 |
7,706,924 |
|
Series 2024-82, Class CF, 4.966%, (30-day
SOFR Average + 1.35%), 11/25/54(1)
|
|
43,335 |
43,466,106 |
|
Series 2024-86, Class FC, 5.016%, (30-day
SOFR Average + 1.40%), 12/25/54(1)
|
|
8,602 |
8,640,050 |
|
Series 2024-92, Class JM, 7.566%, (30-day
SOFR Average + 3.95%), 12/25/54(1)
|
|
2,770 |
2,835,572 |
|
Series 2024-98, Class S, 7.665%, (15.62% -
30-day SOFR Average x 2.20), 1/25/55(2)
|
|
4,723 |
4,575,437 |
|
Series 2024-102, Class SA, 7.665%, (15.62% -
30-day SOFR Average x 2.20), 1/25/55(2)
|
|
6,625 |
6,433,417 |
|
Series 2024-105, Class KT, 0.125%, 1/25/55 |
|
7,594 |
5,965,822 |
|
Series 2025-2, Class BZ, 6.00%, 7/25/54 |
|
16,409 |
16,753,179 |
|
Series 2025-5, Class MH, 6.616%, (30-day
SOFR Average + 3.00%), 2/25/55(1)
|
|
3,403 |
3,421,989 |
|
Series 2025-10, Class AS, 10.302%, (21.15% -
30-day SOFR Average x 3.00), 2/25/55(2)
|
|
2,694 |
2,817,142 |
|
Series 2025-12, Class FM, 7.616%, (30-day
SOFR Average + 4.00%), 3/25/55(1)
|
|
4,226 |
4,259,248 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal National Mortgage Association: (continued) |
|
|
|
|
Series 2025-15, Class FM, 7.466%, (30-day
SOFR Average + 3.85%), 4/25/55(1)
|
$ |
4,504 |
$ 4,549,525 |
|
Series 2025-16, Class NA, 6.766%, (30-day
SOFR Average + 3.15%), 1/25/55(1)
|
|
7,761 |
7,661,170 |
|
Series 2025-29, Class MH, 7.666%, (30-day
SOFR Average + 4.05%), 2/25/55(1)
|
|
3,367 |
3,461,289 |
|
Series 2025-35, Class FE, 5.066%, (30-day
SOFR Average + 1.45%), 5/25/55(1)
|
|
32,221 |
32,576,325 |
|
Series 2025-35, Class MT, 8.616%, (30-day
SOFR Average + 5.00%), 5/25/55(1)
|
|
6,444 |
6,567,809 |
|
Series 2025-40, Class SZ, 6.00%, 10/25/54 |
|
2,179 |
2,165,752 |
|
Series 2025-85, Class TN, 6.60%, (36.60% -
30-day SOFR Average x 6.00, Cap 6.60%),
10/25/55(2)
|
|
7,512 |
7,187,016 |
|
Series 2025-89, Class UZ, 6.00%, 10/25/55 |
|
2,603 |
2,592,078 |
|
Series 2025-89, Class ZU, 6.00%, 10/25/55 |
|
5,265 |
5,139,442 |
|
Series 2025-91, Class UZ, 6.00%, 10/25/55 |
|
1,550 |
1,541,598 |
|
Series 2025-102, Class ZN, 6.00%, 12/25/55 |
|
4,680 |
4,678,960 |
|
Series 2025-114, Class ZA, 6.00%, 1/25/56 |
|
2,422 |
2,226,266 |
|
Series 2026-1, Class Z, 6.00%, 12/25/54 |
|
3,003 |
2,904,012 |
|
Series 2026-34, Class SA, 7.995%, (15.95% -
30-day SOFR Average x 2.20), 5/25/56(2)
|
|
3,908 |
3,883,247 |
|
Interest Only:(3) |
|
|
|
|
Series 2004-60, Class SW, 3.319%, (6.936% -
30-day SOFR Average), 4/25/34(2)
|
|
29 |
288 |
|
Series 2005-68, Class XI, 6.00%, 8/25/35 |
|
625 |
78,952 |
|
Series 2006-65, Class PS, 3.489%, (7.106% -
30-day SOFR Average), 7/25/36(2)
|
|
394 |
31,011 |
|
Series 2007-99, Class SD, 2.669%, (6.286% -
30-day SOFR Average), 10/25/37(2)
|
|
606 |
34,952 |
|
Series 2007-102, Class ST, 2.709%, (6.326% -
30-day SOFR Average), 11/25/37(2)
|
|
282 |
14,416 |
|
Series 2011-59, Class IW, 6.00%, 7/25/41 |
|
418 |
55,892 |
|
Series 2012-147, Class SA, 2.369%, (5.986% -
30-day SOFR Average), 1/25/43(2)
|
|
502 |
40,341 |
|
Series 2014-41, Class SA, 2.319%, (5.936% -
30-day SOFR Average), 7/25/44(2)
|
|
541 |
58,778 |
|
Series 2014-55, Class IL, 3.50%, 9/25/44 |
|
457 |
83,496 |
|
Series 2014-55, Class IN, 3.50%, 7/25/44 |
|
411 |
73,551 |
|
Series 2014-89, Class IO, 3.50%, 1/25/45 |
|
651 |
118,974 |
|
Series 2015-22, Class GI, 3.50%, 4/25/45 |
|
186 |
32,361 |
|
Series 2015-31, Class SG, 2.369%, (5.986% -
30-day SOFR Average), 5/25/45(2)
|
|
654 |
78,200 |
|
Series 2015-36, Class IL, 3.00%, 6/25/45 |
|
617 |
85,119 |
|
Series 2016-61, Class DI, 3.00%, 4/25/46 |
|
497 |
51,950 |
|
Series 2018-21, Class IO, 3.00%, 4/25/48 |
|
3,063 |
485,223 |
|
Series 2018-42, Class IA, 3.50%, 6/25/47 |
|
617 |
77,791 |
|
Series 2019-1, Class SA, 1.669%, (5.286% -
30-day SOFR Average), 2/25/49(2)
|
|
3,189 |
146,195 |
|
Series 2020-23, Class SP, 2.319%, (5.936% -
30-day SOFR Average), 2/25/50(2)
|
|
9,661 |
1,016,495 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Interest Only: (continued) |
|
|
|
|
Series 2020-45, Class HI, 2.50%, 7/25/50 |
$ |
5,123 |
$ 741,916 |
|
Series 2020-73, Class NI, 2.00%, 10/25/50 |
|
5,396 |
666,382 |
|
Series 2020-89, Class PI, 2.50%, 12/25/50 |
|
10,939 |
1,731,585 |
|
Series 2020-94, Class DI, 2.00%, 1/25/51 |
|
12,965 |
1,673,510 |
|
Series 2021-3, Class KI, 2.50%, 2/25/51 |
|
22,752 |
3,317,962 |
|
Series 2021-3, Class LI, 2.50%, 2/25/51 |
|
21,170 |
3,029,203 |
|
Series 2021-10, Class EI, 2.00%, 3/25/51 |
|
10,303 |
1,360,709 |
|
Series 2021-34, Class QI, 3.00%, 6/25/51 |
|
33,187 |
5,859,563 |
|
Series 2021-73, Class AI, 2.50%, 6/25/49 |
|
6,478 |
880,369 |
|
Series 2021-94, Class CI, 3.00%, 1/25/52 |
|
8,294 |
1,359,891 |
|
Series 2022-6, Class IO, 2.50%, 7/25/51 |
|
25,808 |
4,070,208 |
|
Series 2026-54, Class SB, 1.834%, (5.45% -
30-day SOFR Average), 7/25/56(2)
|
|
69,587 |
3,407,023 |
|
Principal Only:(4) |
|
|
|
|
Series 379, Class 1, 0.00%, 5/25/37 |
|
697 |
571,517 |
|
Series 380, Class 1, 0.00%, 7/25/37 |
|
170 |
140,660 |
|
Series 2007-17, Class PO, 0.00%, 3/25/37 |
|
147 |
115,339 |
|
Series 2009-82, Class PO, 0.00%, 10/25/39 |
|
307 |
243,396 |
|
Series 2012-5, Class PO, 0.00%, 12/25/39 |
|
216 |
176,065 |
|
Series 2012-61, Class PO, 0.00%, 8/25/37 |
|
899 |
747,057 |
|
Series 2014-9, Class DO, 0.00%, 2/25/43 |
|
7,041 |
5,756,083 |
|
Series 2014-17, Class PO, 0.00%, 4/25/44 |
|
757 |
540,968 |
|
Government National Mortgage Association: |
|
|
|
|
Series 2012-77, Class MT, 4.21%, (1 mo. SOFR
+ 0.504%), 5/16/41(1)
|
|
213 |
209,952 |
|
Series 2015-144, Class KB, 3.00%, 8/20/44 |
|
478 |
425,683 |
|
Series 2016-168, Class JF, 4.761%, (1 mo.
SOFR + 1.114%), 11/20/46(1)
|
|
128 |
110,189 |
|
Series 2020-76, Class ZL, 2.75%, 5/20/50 |
|
336 |
119,465 |
|
Series 2021-1, Class ZD, 3.00%, 1/20/51 |
|
1,723 |
972,982 |
|
Series 2021-49, Class VZ, 2.50%, 3/20/51 |
|
22 |
9,925 |
|
Series 2021-77, Class ZG, 3.00%, 7/20/50 |
|
385 |
215,866 |
|
Series 2021-86, Class ZJ, 1.50%, 5/20/51 |
|
296 |
107,060 |
|
Series 2021-105, Class ZH, 1.50%, 6/20/51 |
|
1,549 |
736,762 |
|
Series 2021-107, Class GZ, 3.00%, 6/20/51 |
|
2,618 |
1,550,512 |
|
Series 2021-114, Class JZ, 3.00%, 6/20/51 |
|
2,245 |
1,245,548 |
|
Series 2021-121, Class ZE, 2.50%, 7/20/51 |
|
135 |
61,242 |
|
Series 2021-131, Class ZN, 3.00%, 7/20/51 |
|
2,828 |
1,761,687 |
|
Series 2021-137, Class GZ, 2.50%, 8/20/51 |
|
1,333 |
785,036 |
|
Series 2021-182, Class KZ, 3.00%, 10/20/51 |
|
1,445 |
787,541 |
|
Series 2021-194, Class HZ, 3.00%, 11/20/51 |
|
10,118 |
6,880,712 |
|
Series 2021-213, Class NZ, 3.00%, 12/20/51 |
|
8,305 |
5,550,254 |
|
Series 2021-214, Class LZ, 3.00%, 12/20/51 |
|
11,307 |
7,663,287 |
|
Series 2022-31, Class ZD, 3.00%, 2/20/52 |
|
862 |
446,385 |
|
Series 2022-175, Class SB, 9.455%, (22.733%
- 30-day SOFR Average x 3.667), 10/20/52(2)
|
|
941 |
911,396 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Government National Mortgage Association:
(continued) |
|
|
|
|
Series 2022-189, Class US, 9.455%, (22.733%
- 30-day SOFR Average x 3.667), 11/20/52(2)
|
$ |
7,829 |
$ 8,045,695 |
|
Series 2022-195, Class AS, 9.726%, (23.125%
- 30-day SOFR Average x 3.70), 11/20/52(2)
|
|
2,550 |
2,663,091 |
|
Series 2022-197, Class SW, 7.629%, (16.32%
- 30-day SOFR Average x 2.40), 11/20/52(2)
|
|
3,377 |
3,312,734 |
|
Series 2022-208, Class YF, 4.621%, (30-day
SOFR Average + 1.00%), 12/20/52(1)
|
|
14,022 |
14,022,545 |
|
Series 2022-211, Class HF, 4.621%, (30-day
SOFR Average + 1.00%), 12/20/52(1)
|
|
56,087 |
56,053,530 |
|
Series 2023-53, Class AL, 5.50%, 4/20/53 |
|
26,000 |
26,143,065 |
|
Series 2023-53, Class SE, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 4/20/53(2)
|
|
7,689 |
7,785,044 |
|
Series 2023-63, Class LB, 6.00%, 5/20/53 |
|
10,000 |
10,279,902 |
|
Series 2023-63, Class S, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(2)
|
|
3,651 |
3,690,751 |
|
Series 2023-64, Class LB, 6.00%, 5/20/53 |
|
4,079 |
4,193,512 |
|
Series 2023-65, Class G, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(2)
|
|
7,996 |
8,137,326 |
|
Series 2023-65, Class SB, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(2)
|
|
2,117 |
2,121,877 |
|
Series 2023-65, Class SD, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(2)
|
|
1,762 |
1,784,862 |
|
Series 2023-66, Class S, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(2)
|
|
2,286 |
2,306,170 |
|
Series 2023-66, Class SD, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(2)
|
|
914 |
922,468 |
|
Series 2023-82, Class AL, 6.00%, 6/20/53 |
|
18,360 |
18,859,926 |
|
Series 2023-83, Class GS, 10.942%, (27.60% -
30-day SOFR Average x 4.60), 6/20/53(2)
|
|
3,936 |
4,148,100 |
|
Series 2023-83, Class S, 9.18%, (22.868% -
30-day SOFR Average x 3.78), 6/20/53(2)
|
|
2,094 |
2,106,422 |
|
Series 2023-84, Class MW, 6.00%, 6/20/53 |
|
4,600 |
4,692,246 |
|
Series 2023-84, Class SN, 9.097%, (22.387% -
30-day SOFR Average x 3.67), 6/20/53(2)
|
|
2,748 |
2,754,298 |
|
Series 2023-89, Class SD, 8.905%, (22.183% -
30-day SOFR Average x 3.667), 6/20/53(2)
|
|
3,113 |
3,079,049 |
|
Series 2023-96, Class BL, 6.00%, 7/20/53 |
|
5,000 |
5,137,940 |
|
Series 2023-96, Class DB, 6.00%, 7/20/53 |
|
12,250 |
12,585,569 |
|
Series 2023-97, Class CB, 6.00%, 7/20/53 |
|
13,256 |
13,620,294 |
|
Series 2023-98, Class BW, 6.00%, 7/20/53 |
|
3,250 |
3,339,148 |
|
Series 2023-98, Class JB, 6.00%, 7/20/53 |
|
12,714 |
13,063,622 |
|
Series 2023-99, Class AL, 6.00%, 7/20/53 |
|
17,468 |
17,946,238 |
|
Series 2023-117, Class JB, 6.00%, 8/20/53 |
|
9,602 |
9,868,288 |
|
Series 2023-165, Class DY, 6.00%, 11/20/53 |
|
18,991 |
19,463,950 |
|
Series 2023-165, Class EY, 6.50%, 11/20/53 |
|
22,000 |
23,009,254 |
|
Series 2023-182, Class EL, 6.00%, 12/20/53 |
|
7,000 |
7,187,949 |
|
Series 2024-14, Class CY, 5.50%, 1/20/54 |
|
15,000 |
15,076,589 |
|
Series 2024-126, Class DY, 5.50%, 8/20/54 |
|
17,593 |
17,395,779 |
|
Series 2024-126, Class KY, 6.00%, 8/20/54 |
|
3,000 |
3,047,092 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Government National Mortgage Association:
(continued) |
|
|
|
|
Series 2024-148, Class GB, 6.00%, 9/20/54 |
$ |
9,622 |
$ 9,887,130 |
|
Series 2024-197, Class JY, 6.50%, 12/20/54 |
|
8,000 |
8,333,922 |
|
Series 2025-1, Class BY, 6.50%, 1/20/55 |
|
12,500 |
13,045,941 |
|
Series 2025-39, Class CM, 7.521%, (30-day
SOFR Average + 3.90%), 3/20/55(1)
|
|
5,125 |
5,163,445 |
|
Series 2025-39, Class YM, 7.371%, (30-day
SOFR Average + 3.75%), 3/20/55(1)
|
|
1,708 |
1,656,688 |
|
Series 2025-41, Class MT, 6.555%, (30-day
SOFR Average + 2.933%), 3/20/65(1)
|
|
6,871 |
6,999,845 |
|
Series 2025-41, Class NT, 6.555%, (30-day
SOFR Average + 2.933%), 3/20/55(1)
|
|
8,605 |
8,595,540 |
|
Series 2025-62, Class FM, 7.821%, (30-day
SOFR Average + 4.20%), 4/20/55(1)
|
|
2,568 |
2,625,825 |
|
Series 2025-63, Class FT, 8.00%, (26.40% -
30-day SOFR Average x 4.00, Cap 8.00%),
4/20/55(2)
|
|
6,152 |
6,122,304 |
|
Series 2025-64, Class FM, 7.881%, (30-day
SOFR Average + 4.26%), 4/20/55(1)
|
|
5,340 |
5,461,030 |
|
Series 2025-69, Class VN, 10.00%, (68.667% -
30-day SOFR Average x 13.333, Cap
10.00%), 4/20/55(2)
|
|
4,374 |
4,353,872 |
|
Series 2025-82, Class FL, 8.121%, (30-day
SOFR Average + 4.50%), 5/20/55(1)
|
|
2,381 |
2,385,471 |
|
Series 2025-83, Class JM, 8.741%, (30-day
SOFR Average + 5.12%), 5/20/55(1)
|
|
4,928 |
5,178,153 |
|
Series 2025-83, Class MU, 7.921%, (30-day
SOFR Average + 4.30%), 4/20/55(1)
|
|
2,192 |
2,205,134 |
|
Series 2025-90, Class MB, 7.921%, (30-day
SOFR Average + 4.30%), 5/20/55(1)
|
|
4,384 |
4,410,268 |
|
Series 2025-98, Class GT, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 6/20/55(2)
|
|
10,577 |
10,883,606 |
|
Series 2025-98, Class TE, 8.40%, (25.60% -
30-day SOFR Average x 4.00), 6/20/55(2)
|
|
4,978 |
5,021,529 |
|
Series 2025-98, Class TK, 8.52%, (25.72% -
30-day SOFR Average x 4.00), 6/20/55(2)
|
|
1,244 |
1,267,985 |
|
Series 2025-99, Class FM, 7.471%, (30-day
SOFR Average + 3.85%), 6/20/55(1)
|
|
7,460 |
7,444,299 |
|
Series 2025-105, Class TA, 8.40%, (25.60% -
30-day SOFR Average x 4.00), 6/20/55(2)
|
|
7,338 |
7,428,484 |
|
Series 2025-105, Class TM, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 6/20/55(2)
|
|
3,111 |
3,185,727 |
|
Series 2025-110, Class DT, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 6/20/55(2)
|
|
4,978 |
5,089,051 |
|
Series 2025-114, Class GT, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 7/20/55(2)
|
|
8,114 |
8,305,515 |
|
Series 2025-134, Class MC, 10.321%, (30-day
SOFR Average + 6.70%), 6/20/55(1)
|
|
1,187 |
1,207,250 |
|
Series 2025-139, Class MT, 6.921%, (30-day
SOFR Average + 3.30%), 4/20/55(1)
|
|
6,855 |
7,013,002 |
|
Series 2025-155, Class DZ, 6.00%, 9/20/55 |
|
4,607 |
4,588,232 |
|
Series 2025-157, Class ZM, 6.00%, 9/20/55 |
|
2,551 |
2,527,677 |
|
Series 2025-160, Class Z, 6.00%, 9/20/55 |
|
5,447 |
5,436,052 |
|
Series 2025-169, Class Z, 6.00%, 10/20/55 |
|
6,054 |
5,997,710 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Government National Mortgage Association:
(continued) |
|
|
|
|
Series 2025-171, Class XZ, 6.50%, 10/20/65 |
$ |
775 |
$ 773,288 |
|
Series 2025-178, Class ZN, 6.00%, 10/20/55 |
|
419 |
417,855 |
|
Series 2025-205, Class SP, 10.057%,
(29.975% - 30-day SOFR Average x 5.50),
11/20/55(2)
|
|
19,494 |
19,738,926 |
|
Series 2025-205, Class ZG, 6.00%, 10/20/55 |
|
3,502 |
3,485,445 |
|
Series 2026-2, Class DZ, 6.00%, 1/20/56 |
|
3,672 |
3,624,624 |
|
Series 2026-5, Class QS, 10.332%, (30.25% -
30-day SOFR Average x 5.50), 1/20/56(2)
|
|
15,179 |
15,605,452 |
|
Series 2026-8, Class ZN, 6.00%, 1/20/56 |
|
4,392 |
4,317,955 |
|
Series 2026-28, Class PS, 10.332%, (30.25% -
30-day SOFR Average x 5.50), 2/20/56(2)
|
|
3,928 |
3,945,525 |
|
Series 2026-28, Class QS, 9.712%, (22.99% -
30-day SOFR Average x 3.667), 2/20/56(2)
|
|
1,963 |
1,970,778 |
|
Series 2026-28, Class SC, 9.712%, (22.99% -
30-day SOFR Average x 3.667), 2/20/56(2)
|
|
3,927 |
3,941,555 |
|
Series 2026-44, Class LS, 9.638%, (22.917% -
30-day SOFR Average x 3.667), 3/20/56(2)
|
|
7,895 |
8,052,130 |
|
Series 2026-47, Class AS, 9.638%, (22.917% -
30-day SOFR Average x 3.667), 3/20/56(2)
|
|
7,881 |
8,006,183 |
|
Series 2026-47, Class SA, 9.638%, (22.917% -
30-day SOFR Average x 3.667), 3/20/56(2)
|
|
14,793 |
15,085,077 |
|
Series 2026-63, Class SW, 9.275%, (21.95% -
30-day SOFR Average x 3.50), 4/20/56(2)
|
|
5,950 |
6,045,159 |
|
Series 2026-108, Class CZ, 6.00%, 6/20/56 |
|
15,987 |
15,611,303 |
|
Series 2026-117, Class ZB, 6.00%, 7/20/56 |
|
4,028 |
4,002,508 |
|
Series 2026-135, Class Z, 6.50%, 11/20/55(6)
|
|
7,497 |
7,484,312 |
|
Interest Only:(3) |
|
|
|
|
Series 2014-98, Class IM, 1.043%, 1/20/43(5)
|
|
3,281 |
105,695 |
|
Series 2015-151, Class KI, 1.005%,
11/20/42(5)
|
|
3,721 |
99,829 |
|
Series 2017-104, Class SD, 2.416%, (6.086% -
1 mo. SOFR), 7/20/47(2)
|
|
1,633 |
166,845 |
|
Series 2017-121, Class DS, 0.716%, (4.386% -
1 mo. SOFR), 8/20/47(2)
|
|
1,842 |
52,103 |
|
Series 2018-127, Class SG, 2.466%, (6.136% -
1 mo. SOFR), 9/20/48(2)
|
|
4,342 |
406,708 |
|
Series 2019-27, Class SA, 2.266%, (5.936% -
1 mo. SOFR), 2/20/49(2)
|
|
1,435 |
126,966 |
|
Series 2019-38, Class SQ, 2.266%, (5.936% -
1 mo. SOFR), 3/20/49(2)
|
|
4,543 |
429,002 |
|
Series 2019-43, Class BS, 2.266%, (5.936% -
1 mo. SOFR), 4/20/49(2)
|
|
2,650 |
230,628 |
|
Series 2020-97, Class MI, 2.50%, 3/20/50 |
|
4,160 |
563,172 |
|
Series 2020-116, Class MI, 2.00%, 8/20/50 |
|
411 |
51,367 |
|
Series 2020-134, Class IM, 2.50%, 9/20/50 |
|
11,616 |
1,767,377 |
|
Series 2020-146, Class IQ, 2.00%, 10/20/50 |
|
109,925 |
13,755,780 |
|
Series 2020-146, Class QI, 2.00%, 10/20/50 |
|
32,966 |
4,084,488 |
|
Series 2020-151, Class AI, 2.00%, 10/20/50 |
|
69,661 |
8,702,826 |
|
Series 2020-162, Class BI, 2.00%, 10/20/50 |
|
15,874 |
1,984,133 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Interest Only: (continued) |
|
|
|
|
Series 2020-167, Class KI, 2.00%, 11/20/50 |
$ |
69,881 |
$ 8,756,237 |
|
Series 2020-167, Class YI, 2.00%, 11/20/50 |
|
84,791 |
10,621,872 |
|
Series 2020-173, Class DI, 2.00%, 11/20/50 |
|
69,575 |
8,711,125 |
|
Series 2020-176, Class AI, 2.00%, 11/20/50 |
|
23,540 |
2,948,309 |
|
Series 2020-176, Class HI, 2.50%, 11/20/50 |
|
15,997 |
2,433,230 |
|
Series 2020-181, Class TI, 2.00%, 12/20/50 |
|
68,325 |
8,577,109 |
|
Series 2020-185, Class BI, 2.00%, 12/20/50 |
|
13,685 |
1,717,993 |
|
Series 2021-9, Class GI, 2.00%, 1/20/51 |
|
33,132 |
4,182,293 |
|
Series 2021-15, Class AI, 2.00%, 1/20/51 |
|
18,069 |
2,281,067 |
|
Series 2021-23, Class TI, 2.50%, 2/20/51 |
|
9,073 |
1,366,055 |
|
Series 2021-30, Class AI, 2.00%, 2/20/51 |
|
7,868 |
1,001,601 |
|
Series 2021-46, Class IM, 2.50%, 3/20/51 |
|
3,731 |
549,935 |
|
Series 2021-56, Class SD, 0.00%, (2.30% -
30-day SOFR Average, Floor 0.00%),
9/20/50(2)
|
|
11,768 |
48,235 |
|
Series 2021-56, Class SE, 0.00%, (2.30% -
30-day SOFR Average, Floor 0.00%),
10/20/50(2)
|
|
4,323 |
17,510 |
|
Series 2021-77, Class SB, 0.00%, (3.636% -
1 mo. SOFR, Floor 0.00%), 5/20/51(2)
|
|
12,602 |
240,621 |
|
Series 2021-77, Class SE, 0.00%, (3.636% -
1 mo. SOFR, Floor 0.00%), 5/20/51(2)
|
|
7,742 |
143,984 |
|
Series 2021-97, Class IG, 2.50%, 8/20/49 |
|
54,979 |
6,321,521 |
|
Series 2021-97, Class QI, 3.00%, 6/20/51 |
|
12,411 |
2,140,104 |
|
Series 2021-98, Class EI, 3.00%, 6/20/51 |
|
24,144 |
3,802,677 |
|
Series 2021-114, Class MI, 3.00%, 6/20/51 |
|
9,061 |
1,538,757 |
|
Series 2021-122, Class NI, 3.00%, 7/20/51 |
|
6,219 |
1,072,335 |
|
Series 2021-125, Class SA, 0.00%, (3.636% -
1 mo. SOFR, Floor 0.00%), 7/20/51(2)
|
|
15,402 |
249,200 |
|
Series 2021-131, Class QI, 3.00%, 7/20/51 |
|
22,189 |
2,842,873 |
|
Series 2021-140, Class YS, 0.00%, (1.586% -
1 mo. SOFR, Floor 0.00%), 8/20/51(2)
|
|
17,563 |
29,008 |
|
Series 2021-160, Class DI, 3.00%, 9/20/51 |
|
23,162 |
3,941,600 |
|
Series 2021-160, Class IT, 2.50%, 9/20/51 |
|
31,608 |
3,440,084 |
|
Series 2021-175, Class AS, 0.00%, (1.686% -
1 mo. SOFR, Floor 0.00%), 10/20/51(2)
|
|
34,719 |
64,692 |
|
Series 2021-175, Class SB, 0.00%, (1.686% -
1 mo. SOFR, Floor 0.00%), 10/20/51(2)
|
|
17,601 |
32,747 |
|
Series 2021-193, Class IU, 3.00%, 11/20/49 |
|
48,312 |
6,906,553 |
|
Series 2021-193, Class YS, 0.00%, (2.45% -
30-day SOFR Average, Floor 0.00%),
11/20/51(2)
|
|
39,498 |
214,008 |
|
Series 2021-196, Class GI, 3.00%, 11/20/51 |
|
23,880 |
3,913,241 |
|
Series 2021-201, Class PI, 3.00%, 11/20/51 |
|
18,753 |
2,124,585 |
|
Series 2021-209, Class IW, 3.00%, 11/20/51 |
|
12,518 |
1,674,111 |
|
Series 2022-104, Class IO, 2.50%, 6/20/51 |
|
19,953 |
2,849,674 |
|
Series 2022-119, Class CS, 0.00%, (3.00% -
30-day SOFR Average, Floor 0.00%),
7/20/52(2)
|
|
150,003 |
794,520 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Interest Only: (continued) |
|
|
|
|
Series 2022-119, Class SC, 0.00%, (3.00% -
30-day SOFR Average, Floor 0.00%),
7/20/52(2)
|
$ |
16,667 |
$ 88,280 |
|
Series 2022-126, Class AS, 0.069%, (3.69% -
30-day SOFR Average), 7/20/52(2)
|
|
44,731 |
501,035 |
|
Series 2022-126, Class SC, 0.109%, (3.73% -
30-day SOFR Average), 7/20/52(2)
|
|
33,334 |
389,998 |
|
Series 2022-135, Class SA, 0.00%, (3.00% -
30-day SOFR Average, Floor 0.00%),
6/20/52(2)
|
|
97,231 |
651,030 |
|
Series 2023-13, Class SA, 1.779%, (5.40% -
30-day SOFR Average), 1/20/53(2)
|
|
5,917 |
231,460 |
|
Series 2023-19, Class SD, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(2)
|
|
9,095 |
631,075 |
|
Series 2023-20, Class HS, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(2)
|
|
6,262 |
430,509 |
|
Series 2023-22, Class ES, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(2)
|
|
8,349 |
574,051 |
|
Series 2023-22, Class SA, 2.079%, (5.70% -
30-day SOFR Average), 2/20/53(2)
|
|
10,375 |
486,321 |
|
Series 2023-24, Class SB, 1.529%, (5.15% -
30-day SOFR Average), 2/20/53(2)
|
|
16,698 |
599,618 |
|
Series 2023-24, Class SG, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(2)
|
|
8,349 |
574,051 |
|
Series 2023-32, Class SA, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(2)
|
|
28,177 |
1,937,423 |
|
Series 2023-38, Class LS, 2.679%, (6.30% -
30-day SOFR Average), 3/20/53(2)
|
|
12,403 |
836,146 |
|
Series 2023-47, Class HS, 2.679%, (6.30% -
30-day SOFR Average), 3/20/53(2)
|
|
4,134 |
278,715 |
|
Series 2023-47, Class SC, 2.629%, (6.25% -
30-day SOFR Average), 3/20/53(2)
|
|
6,230 |
414,124 |
|
Series 2023-53, Class SK, 2.579%, (6.20% -
30-day SOFR Average), 4/20/53(2)
|
|
17,057 |
1,119,478 |
|
Series 2023-65, Class BS, 2.529%, (6.15% -
30-day SOFR Average), 5/20/53(2)
|
|
17,098 |
923,921 |
|
Series 2024-64, Class EI, 6.50%, 4/20/64 |
|
3,982 |
761,718 |
|
Series 2026-3, Class ES, 1.429%, (5.05% -
30-day SOFR Average), 1/20/66(2)
|
|
19,151 |
433,891 |
|
Series 2026-100, Class SH, 1.979%, (5.60% -
30-day SOFR Average), 6/20/66(2)
|
|
14,929 |
491,402 |
|
Series 2026-119, Class KS, 1.866%, (5.50% -
30-day SOFR Average), 7/20/56(2)
|
|
20,000 |
1,162,575 |
|
Series 2026-121, Class GS, 1.938%, (5.55% -
30-day SOFR Average), 7/20/66(2)
|
|
20,000 |
668,468 |
|
Series 2026-121, Class SG, 1.888%, (5.50% -
30-day SOFR Average), 7/20/66(2)
|
|
20,000 |
652,786 |
|
Principal Only:(4) |
|
|
|
|
Series 2009-117, Class PO, 0.00%, 12/16/39 |
|
511 |
394,973 |
|
Series 2010-88, Class OA, 0.00%, 7/20/40 |
|
360 |
271,329 |
|
Series 2015-24, Class KO, 0.00%, 6/20/35 |
|
228 |
209,153 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Principal Only: (continued) |
|
|
|
|
Series 2024-83, Class BO, 0.00%, 6/20/53 |
$ |
5,043 |
$ 3,920,475 |
|
Total Collateralized Mortgage Obligations
(identified cost $1,655,326,090) |
|
|
$1,586,002,654 |
|
Government National Mortgage Association Participation Agreements —
2.9% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Government National Mortgage Association
Participation Agreements, 5.481%, 1/1/59(7)
|
$ |
90,581 |
$ 90,989,683 |
|
Total Government National Mortgage Association
Participation Agreements
(identified cost $90,580,711) |
|
|
$ 90,989,683 |
|
U.S. Department of Agriculture Loans — 1.9% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
USDA Guaranteed Loans: |
|
|
|
|
6.25%, (U.S. (Fed) Prime Rate - 0.50%),
2/16/43(1)
|
$ |
6,000 |
$ 6,023,380 |
|
6.25%, (U.S. (Fed) Prime Rate - 0.50%),
2/16/43(1)
|
|
19,053 |
19,127,021 |
|
6.25%, (U.S. (Fed) Prime Rate - 0.50%),
2/16/43(1)
|
|
19,352 |
19,352,282 |
|
6.25%, (U.S. (Fed) Prime Rate - 0.50%),
2/16/43(1)
|
|
1,435 |
1,446,791 |
|
6.25%, (U.S. (Fed) Prime Rate - 0.50%),
2/16/43(1)
|
|
1,393 |
1,404,557 |
|
6.25%, (U.S. (Fed) Prime Rate - 0.50%),
2/16/43(1)
|
|
1,338 |
1,349,323 |
|
6.25%, (U.S. (Fed) Prime Rate - 0.50%),
2/16/43(1)
|
|
2,122 |
2,140,322 |
|
6.25%, (U.S. (Fed) Prime Rate - 0.50%),
2/16/43(1)
|
|
3,160 |
3,186,642 |
|
6.25%, (U.S. (Fed) Prime Rate - 0.50%),
2/16/43(1)
|
|
7,347 |
7,410,309 |
|
Total U.S. Department of Agriculture Loans
(identified cost $61,199,029) |
|
|
$ 61,440,627 |
|
U.S. Government Agency Commercial Mortgage-Backed Securities — 0.4% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
FRESB Mortgage Trust: |
|
|
|
|
Interest Only:(3) |
|
|
|
|
Series 2021-SB91, Class X1, 0.655%,
8/25/41(5)
|
$ |
39,160 |
$ 942,975 |
|
Series 2021-SB92, Class X1, 0.522%,
8/25/41(5)
|
|
17,894 |
457,829 |
|
Government National Mortgage Association: |
|
|
|
|
Interest Only:(3) |
|
|
|
|
Series 2021-101, Class IO, 0.662%, 4/16/63(5)
|
|
46,119 |
2,313,178 |
|
Series 2021-132, Class IO, 0.71%, 4/16/63(5)
|
|
52,898 |
2,688,668 |
|
Series 2021-144, Class IO, 0.808%, 4/16/63(5)
|
|
46,218 |
2,690,505 |
|
Series 2021-186, Class IO, 0.736%, 5/16/63(5)
|
|
42,170 |
2,317,472 |
|
Series 2022-3, Class IO, 0.64%, 2/16/61(5)
|
|
63,979 |
2,897,702 |
|
Total U.S. Government Agency Commercial
Mortgage-Backed Securities
(identified cost $17,963,735) |
|
|
$ 14,308,329 |
|
U.S. Government Agency Mortgage-Backed Securities — 67.9% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal Home Loan Mortgage Corp.: |
|
|
|
|
4.228%, (COF + 1.254%), with maturity at
2029(8)
|
$ |
2 |
$ 1,982 |
|
4.23%, (COF + 1.254%), with maturity at
2035(8)
|
|
29 |
28,593 |
|
4.372%, (COF + 1.252%), with maturity at
2032(8)
|
|
41 |
40,819 |
|
4.50%, with maturity at 2035 |
|
138 |
134,724 |
|
4.637%, (COF + 1.25%), with maturity at
2030(8)
|
|
34 |
33,814 |
|
5.00%, with maturity at 2052 |
|
3,826 |
3,667,046 |
|
5.072%, (COF + 2.325%), with maturity at
2037(8)
|
|
50 |
50,304 |
|
5.488%, (1 yr. CMT + 1.975%), with maturity
at 2034(8)
|
|
154 |
157,065 |
|
5.50%, with various maturities to 2053 |
|
43,752 |
43,667,694 |
|
5.752%, (30-day SOFR Average + 2.37%),
with maturity at 2052(8)
|
|
431 |
438,099 |
|
5.851%, (1 yr. CMT + 2.238%), with maturity
at 2036(8)
|
|
226 |
232,530 |
|
5.92%, (1 yr. CMT + 2.251%), with maturity at
2038(8)
|
|
215 |
220,782 |
|
6.00%, with various maturities to 2055 |
|
36,285 |
36,811,952 |
|
6.032%, (1 yr. CMT + 2.252%), with maturity
at 2035(8)
|
|
635 |
651,352 |
|
6.091%, (30-day SOFR Average + 2.148%),
with maturity at 2054(8)
|
|
1,502 |
1,515,753 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal Home Loan Mortgage Corp.: (continued) |
|
|
|
|
6.144%, (1 yr. CMT + 2.356%), with maturity
at 2036(8)
|
$ |
208 |
$ 214,162 |
|
6.50%, with various maturities to 2055 |
|
65,850 |
67,999,153 |
|
7.00%, with maturity at 2033 |
|
14 |
13,913 |
|
Federal National Mortgage Association: |
|
|
|
|
3.988%, (COF + 1.254%), with various
maturities to 2035(8)
|
|
161 |
158,047 |
|
3.99%, (COF + 1.25%), with various
maturities to 2027(8)
|
|
4 |
3,610 |
|
4.099%, (COF + 1.254%), with maturity at
2033(8)
|
|
87 |
86,383 |
|
4.108%, (COF + 1.254%), with maturity at
2034(8)
|
|
36 |
35,498 |
|
4.283%, (COF + 1.261%), with maturity at
2036(8)
|
|
47 |
46,352 |
|
4.351%, (COF + 1.332%), with maturity at
2036(8)
|
|
30 |
29,389 |
|
4.539%, (COF + 1.799%), with maturity at
2034(8)
|
|
78 |
77,193 |
|
4.549%, (1 Yr. MTA + 1.15%), with maturity at
2038(8)
|
|
1 |
1,195 |
|
4.58%, (COF + 1.852%), with maturity at
2034(8)
|
|
12 |
12,288 |
|
4.606%, (COF + 1.26%), with maturity at
2036(8)
|
|
8 |
8,233 |
|
4.665%, (COF + 1.504%), with maturity at
2029(8)
|
|
57 |
56,922 |
|
4.67%, (COF + 1.186%), with maturity at
2037(8)
|
|
8 |
7,609 |
|
4.825%, (COF + 1.737%), with maturity at
2035(8)
|
|
101 |
100,582 |
|
4.96%, (COF + 1.80%), with maturity at
2036(8)
|
|
127 |
126,785 |
|
4.985%, (COF + 1.793%), with maturity at
2035(8)
|
|
70 |
69,757 |
|
4.992%, (COF + 1.774%), with maturity at
2034(8)
|
|
15 |
14,859 |
|
5.00%, with various maturities to 2048 |
|
994 |
957,675 |
|
5.045%, (COF + 2.295%), with maturity at
2026(8)
|
|
1 |
642 |
|
5.50%, with various maturities to 2052 |
|
26,516 |
26,428,378 |
|
5.862%, (1 yr. CMT + 1.936%), with maturity
at 2033(8)
|
|
78 |
79,521 |
|
5.887%, (1 yr. CMT + 2.10%), with maturity at
2040(8)
|
|
89 |
92,023 |
|
5.911%, (1 yr. CMT + 2.10%), with maturity at
2037(8)
|
|
205 |
211,362 |
|
5.931%, (1 yr. CMT + 2.204%), with maturity
at 2039(8)
|
|
447 |
460,599 |
|
5.95%, (30-day SOFR Average + 2.05%), with
maturity at 2054(8)
|
|
1,707 |
1,736,296 |
|
5.967%, (1 yr. CMT + 2.156%), with maturity
at 2036(8)
|
|
83 |
85,292 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal National Mortgage Association: (continued) |
|
|
|
|
5.981%, (30-day SOFR Average + 2.283%),
with maturity at 2054(8)
|
$ |
1,457 |
$ 1,485,323 |
|
6.00%, with various maturities to 2054 |
|
14,514 |
14,842,502 |
|
6.05%, (1 yr. RFUCCT + 1.80%), with maturity
at 2034(8)
|
|
67 |
69,392 |
|
6.07%, (1 yr. CMT + 2.195%), with maturity at
2031(8)
|
|
2 |
1,700 |
|
6.133%, (1 yr. RFUCCT + 1.75%), with
maturity at 2035(8)
|
|
243 |
249,306 |
|
6.156%, (1 yr. CMT + 2.25%), with maturity at
2033(8)
|
|
532 |
546,647 |
|
6.266%, (1 yr. CMT + 2.595%), with maturity
at 2038(8)
|
|
225 |
233,025 |
|
6.351%, (COF + 2.004%), with maturity at
2032(8)
|
|
11 |
10,979 |
|
6.50%, with various maturities to 2055 |
|
34,165 |
35,329,247 |
|
7.00%, with maturity at 2054 |
|
1,082 |
1,128,562 |
|
7.50%, with maturity at 2054 |
|
133 |
139,497 |
|
Government National Mortgage Association: |
|
|
|
|
5.00%, with various maturities to 2052 |
|
68,751 |
67,308,140 |
|
5.125%, (1 yr. CMT + 1.50%), with various
maturities to 2027(8)
|
|
11 |
11,118 |
|
5.50%, with various maturities to 2062 |
|
84,487 |
84,947,821 |
|
6.00%, 30-Year, TBA(9)
|
|
90,000 |
91,235,830 |
|
6.00%, with various maturities to 2066 |
|
125,450 |
128,805,382 |
|
6.50%, with various maturities to 2066 |
|
651,893 |
670,534,380 |
|
7.00%, with various maturities to 2066 |
|
56,126 |
57,857,951 |
|
7.50%, with various maturities to 2064 |
|
3,687 |
3,821,166 |
|
Uniform Mortgage-Backed Security: |
|
|
|
|
5.50%, 30-Year, TBA(9)
|
|
315,200 |
312,121,867 |
|
6.00%, 30-Year, TBA(9)
|
|
402,275 |
406,942,014 |
|
6.50%, 30-Year, TBA(9)
|
|
92,900 |
95,821,273 |
|
Total U.S. Government Agency Mortgage-Backed
Securities
(identified cost $2,173,990,201) |
|
|
$2,160,209,349 |
|
U.S. Government Guaranteed Small Business Administration Pools & Loans
— 0.7% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
5.75%, (U.S. (Fed) Prime Rate - 1.00%),
4/25/44(1)
|
$ |
9,487 |
$ 9,943,760 |
|
6.075%, (U.S. (Fed) Prime Rate - 0.675%),
2/25/44(1)
|
|
5,403 |
5,707,236 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
SBA IO Trust: |
|
|
|
|
Interest Only:(10)(11)(12) |
|
|
|
|
Series 2018-5, Class A, 2.095%, 6/27/44 |
$ |
29,901 |
$ 1,134,936 |
|
Series 2019-1, Class A, 2.532%, 9/25/45 |
|
93,726 |
4,719,181 |
|
Total U.S. Government Guaranteed Small Business
Administration Pools & Loans
(identified cost $52,098,918) |
|
|
$ 21,505,113 |
|
Short-Term Investments — 4.0% |
|
Security |
Shares |
Value | |
|
Morgan Stanley Institutional Liquidity Funds -
Government Portfolio, Institutional Class, 3.59%(13)
|
|
128,465,943 |
$ 128,465,943 |
|
Total Short-Term Investments
(identified cost $128,465,943) |
|
|
$ 128,465,943 |
|
Total Investments — 127.7%
(identified cost $4,179,624,627) |
|
|
$4,062,921,698 |
|
Other Assets, Less Liabilities — (27.7)% |
|
|
$ (881,460,361) |
|
Net Assets — 100.0% |
|
|
$3,181,461,337 |
|
The percentage shown for each investment category in the Portfolio of
Investments is based on net assets. | |
|
(1)
|
Variable rate security. The stated interest rate represents the rate in effect
at July 31, 2026. |
|
(2)
|
Inverse floating-rate security whose coupon varies inversely with changes
in the interest rate index. The stated interest rate represents the coupon
rate in effect at July 31, 2026. |
|
(3)
|
Interest only security that entitles the holder to receive only interest
payments on the underlying mortgages. Principal amount shown is the
notional amount of the underlying mortgages on which coupon interest is
calculated. |
|
(4)
|
Principal only security that entitles the holder to receive only principal
payments on the underlying mortgages. |
|
(5)
|
Weighted average fixed-rate coupon that changes/updates monthly. Rate
shown is the rate at July 31, 2026. |
|
(6)
|
When-issued security. |
|
(7)
|
Represents a participation interest, through a participation agreement
with a financial institution, in mortgage loans guaranteed by Government
National Mortgage Association. |
|
(8)
|
Adjustable rate mortgage security whose interest rate generally adjusts
monthly based on a weighted average of interest rates on the underlying
mortgages. The coupon rate may not reflect the applicable index value
as interest rates on the underlying mortgages may adjust on various
dates and at various intervals and may be subject to lifetime ceilings and
lifetime floors and lookback periods. Rate shown is the coupon rate at
July 31, 2026. |
|
(9)
|
TBA (To Be Announced) securities are purchased or sold on a forward
commitment basis with an approximate principal amount and maturity
date. The actual principal amount, which is not expected to differ
significantly from the commitment amount, and maturity date are
determined upon settlement. |
|
(10)
|
Interest only security that entitles the holder to receive only a portion of
the interest payments on the underlying loans. Principal amount shown
is the notional amount of the underlying loans on which coupon interest
is calculated. |
|
(11)
|
Security exempt from registration under Rule 144A of the Securities Act
of 1933, as amended. These securities may be sold in certain
transactions in reliance on an exemption from registration (normally to
qualified institutional buyers). At July 31, 2026, the aggregate value of
these securities is $5,854,117 or 0.2% of the Fund's net assets. |
|
(12)
|
The stated interest rate represents the weighted average fixed interest
rate at July 31, 2026, of all interest only securities comprising the trust. |
|
(13)
|
May be deemed to be an affiliated investment company. The rate shown
is the annualized seven-day yield as of July 31, 2026. |
|
Futures Contracts | |||||
|
Description |
Number of
Contracts |
Position |
Expiration
Date |
Notional
Amount |
Value/Unrealized
Appreciation
(Depreciation) |
|
Interest Rate Futures |
|
|
|
|
|
|
U.S. 5-Year Treasury Note |
(3,539
) |
Short |
9/30/26 |
$(375,051,056
) |
$2,002,105 |
|
U.S. 10-Year Treasury Note |
(58
) |
Short |
9/21/26 |
(6,264,000
) |
6,300 |
|
U.S. Ultra-Long Treasury Bond |
(1,802
) |
Short |
9/21/26 |
(197,656,875
) |
4,883,229 |
|
|
|
|
|
|
$6,891,634 |
|
Interest Rate Swaps (Centrally Cleared) | ||||||||
|
Notional Amount
(000's omitted) |
Fund
Pays/
Receives
Floating
Rate |
Floating Rate |
Annual
Fixed Rate |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) | |
|
USD |
120,000 |
Receives |
SOFR
(pays quarterly) |
2.01%
(pays semi-annually) |
2/16/52 |
$50,698,803 |
$ — |
$50,698,803 |
|
Total |
|
|
|
|
|
$50,698,803 |
$ — |
$50,698,803 |
|
Abbreviations: | |
|
CMT |
– Constant Maturity Treasury |
|
COF |
– Cost of Funds 11th District |
|
MTA |
– Monthly Treasury Average |
|
RFUCCT |
– FTSE USD IBOR Consumer Cash Fallbacks Term |
|
SOFR |
– Secured Overnight Financing Rate |
|
TBA |
– To Be Announced |
|
Currency Abbreviations: | |
|
USD |
– United States Dollar |
|
Name |
Value,
beginning
of period |
Purchases |
Sales
proceeds |
Net
realized
gain (loss) |
Change in
unrealized
appreciation
(depreciation) |
Value, end
of period |
Dividend
income |
Shares,
end of period |
|
Short-Term Investments |
|
|
|
|
|
|
|
|
|
Liquidity Fund, Institutional Class(1)
|
$44,144,647 |
$1,362,475,567 |
$(1,278,154,271) |
$ — |
$ — |
$128,465,943 |
$1,756,012 |
128,465,943 |
|
(1)
|
Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
|
Asset Description |
Level 1 |
Level 2 |
Level 3 |
Total |
|
Collateralized Mortgage Obligations |
$ — |
$1,586,002,654 |
$ — |
$1,586,002,654 |
|
Government National Mortgage Association Participation Agreements |
— |
90,989,683 |
— |
90,989,683 |
|
U.S. Department of Agriculture Loans |
— |
61,440,627 |
— |
61,440,627 |
|
U.S. Government Agency Commercial Mortgage-Backed Securities |
— |
14,308,329 |
— |
14,308,329 |
|
U.S. Government Agency Mortgage-Backed Securities |
— |
2,160,209,349 |
— |
2,160,209,349 |
|
U.S. Government Guaranteed Small Business Administration Pools &
Loans |
— |
21,505,113 |
— |
21,505,113 |
|
Short-Term Investments |
128,465,943 |
— |
— |
128,465,943 |
|
Total Investments |
$128,465,943 |
$3,934,455,755 |
$— |
$4,062,921,698 |
|
Futures Contracts |
$6,891,634 |
$ — |
$ — |
$6,891,634 |
|
Swap Contracts |
— |
50,698,803 |
— |
50,698,803 |
|
Total |
$135,357,577 |
$3,985,154,558 |
$— |
$4,120,512,135 |