Security
| Principal
Amount
(000's omitted)
| Value
|
Interest Only: (continued)
|
|
|
|
Series 4793, Class SD, 1.007%, (6.20% - 1 mo. USD LIBOR), 6/15/48(5)
| $
| 4,518
| $ 475,918
|
Series 4966, Class SY, 0.90%, (6.05% - 1 mo. USD LIBOR), 4/25/50(5)
|
| 11,753
| 1,355,759
|
Principal Only:(7)
|
|
|
|
Series 242, Class PO, 0.00%, 11/15/36
|
| 1,870
| 1,488,006
|
Series 259, Class PO, 0.00%, 4/15/39
|
| 1,158
| 914,152
|
Series 3606, Class PO, 0.00%, 12/15/39
|
| 1,254
| 962,453
|
Series 4417, Class KO, 0.00%, 12/15/43
|
| 184
| 119,103
|
Series 4478, Class PO, 0.00%, 5/15/45
|
| 604
| 444,918
|
Federal National Mortgage Association:
|
|
|
|
Series G93-35, Class ZQ, 6.50%, 11/25/23
|
| 39
| 38,779
|
Series G93-40, Class H, 6.40%, 12/25/23
|
| 11
| 10,585
|
Series 1993-156, Class ZB, 7.00%, 9/25/23
|
| 1
| 584
|
Series 1994-45, Class Z, 6.50%, 2/25/24
|
| 8
| 8,357
|
Series 1994-89, Class ZQ, 8.00%, 7/25/24
|
| 47
| 47,309
|
Series 1996-57, Class Z, 7.00%, 12/25/26
|
| 94
| 93,390
|
Series 1997-77, Class Z, 7.00%, 11/18/27
|
| 56
| 57,379
|
Series 1998-44, Class ZA, 6.50%, 7/20/28
|
| 70
| 70,376
|
Series 1999-45, Class ZG, 6.50%, 9/25/29
|
| 20
| 20,236
|
Series 2000-22, Class PN, 6.00%, 7/25/30
|
| 278
| 275,513
|
Series 2002-1, Class G, 7.00%, 7/25/23
|
| 0(4)
| 45
|
Series 2002-21, Class PE, 6.50%, 4/25/32
|
| 194
| 199,802
|
Series 2005-75, Class CS, 3.598%, (24.20% - 1 mo. USD LIBOR x 4.00), 9/25/35(5)
|
| 563
| 623,866
|
Series 2007-74, Class AC, 5.00%, 8/25/37
|
| 2,197
| 2,190,613
|
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(5)
|
| 221
| 211,493
|
Series 2012-134, Class ZT, 2.00%, 12/25/42
|
| 1,333
| 1,087,994
|
Series 2013-6, Class TA, 1.50%, 1/25/43
|
| 1,303
| 1,176,101
|
Series 2013-67, Class NF, 5.00%, (1 mo. USD LIBOR + 1.00%), 7/25/43(2)
|
| 947
| 896,161
|
Series 2014-64, Class PA, 3.00%, 3/25/44
|
| 46
| 45,685
|
Series 2017-15, Class LE, 3.00%, 6/25/46
|
| 468
| 449,770
|
Series 2017-48, Class LG, 2.75%, 5/25/47
|
| 1,382
| 1,201,119
|
Interest Only:(6)
|
|
|
|
Series 2011-101, Class IC, 3.50%, 10/25/26
|
| 1,448
| 45,717
|
Series 2011-101, Class IE, 3.50%, 10/25/26
|
| 462
| 14,345
|
Series 2012-33, Class CI, 3.50%, 3/25/27
|
| 748
| 17,449
|
Series 2012-118, Class IN, 3.50%, 11/25/42
|
| 2,961
| 582,375
|
Series 2012-124, Class IO, 0.686%, 11/25/42(8)
|
| 1,315
| 56,795
|
Series 2012-125, Class IG, 3.50%, 11/25/42
|
| 9,410
| 1,996,604
|
Series 2012-150, Class SK, 1.00%, (6.15% - 1 mo. USD LIBOR), 1/25/43(5)
|
| 1,749
| 176,825
|
Series 2013-12, Class SP, 0.50%, (5.65% - 1 mo. USD LIBOR), 11/25/41(5)
|
| 331
| 4,412
|
Series 2013-15, Class DS, 1.05%, (6.20% - 1 mo. USD LIBOR), 3/25/33(5)
|
| 3,989
| 214,327
|
Series 2013-16, Class SY, 1.00%, (6.15% - 1 mo. USD LIBOR), 3/25/43(5)
|
| 920
| 129,453
|
Series 2013-54, Class HS, 1.15%, (6.30% - 1 mo. USD LIBOR), 10/25/41(5)
|
| 58
| 133
|
Series 2013-64, Class PS, 1.10%, (6.25% - 1 mo. USD LIBOR), 4/25/43(5)
|
| 1,292
| 81,006
|