Security | Principal Amount (000's omitted) | Value |
Interest Only: (continued) | | | |
Series 4408, Class IP, 3.50%, 4/15/44 | $ | 1,581 | $ 207,078 |
Series 4435, Class BI, 3.50%, 7/15/44 | | 3,242 | 509,898 |
Series 4629, Class QI, 3.50%, 11/15/46 | | 1,261 | 249,556 |
Series 4644, Class TI, 3.50%, 1/15/45 | | 1,440 | 205,818 |
Series 4667, Class PI, 3.50%, 5/15/42 | | 227 | 2,040 |
Series 4744, Class IO, 4.00%, 11/15/47 | | 2,257 | 433,835 |
Series 4749, Class IL, 4.00%, 12/15/47 | | 1,001 | 192,561 |
Series 4793, Class SD, 1.882%, (6.20% - 1 mo. USD LIBOR), 6/15/48(4) | | 4,751 | 506,882 |
Series 4966, Class SY, 1.661%, (6.05% - 1 mo. USD LIBOR), 4/25/50(4) | | 12,159 | 1,399,995 |
Principal Only:(6) | | | |
Series 242, Class PO, 0.00%, 11/15/36 | | 1,999 | 1,591,314 |
Series 259, Class PO, 0.00%, 4/15/39 | | 1,241 | 979,510 |
Series 3606, Class PO, 0.00%, 12/15/39 | | 1,350 | 1,037,785 |
Series 4417, Class KO, 0.00%, 12/15/43 | | 184 | 116,649 |
Series 4478, Class PO, 0.00%, 5/15/45 | | 618 | 453,091 |
Federal National Mortgage Association: | | | |
Series G93-35, Class ZQ, 6.50%, 11/25/23 | | 161 | 160,945 |
Series G93-40, Class H, 6.40%, 12/25/23 | | 36 | 36,219 |
Series 1993-16, Class Z, 7.50%, 2/25/23 | | 1 | 536 |
Series 1993-22, Class PM, 7.40%, 2/25/23 | | 1 | 568 |
Series 1993-25, Class J, 7.50%, 3/25/23 | | 2 | 2,218 |
Series 1993-30, Class PZ, 7.50%, 3/25/23 | | 2 | 2,237 |
Series 1993-42, Class ZQ, 6.75%, 4/25/23 | | 7 | 7,363 |
Series 1993-56, Class PZ, 7.00%, 5/25/23 | | 2 | 2,334 |
Series 1993-156, Class ZB, 7.00%, 9/25/23 | | 4 | 4,032 |
Series 1994-45, Class Z, 6.50%, 2/25/24 | | 38 | 38,409 |
Series 1994-89, Class ZQ, 8.00%, 7/25/24 | | 75 | 75,914 |
Series 1996-57, Class Z, 7.00%, 12/25/26 | | 116 | 117,312 |
Series 1997-77, Class Z, 7.00%, 11/18/27 | | 68 | 70,173 |
Series 1998-44, Class ZA, 6.50%, 7/20/28 | | 81 | 82,665 |
Series 1999-45, Class ZG, 6.50%, 9/25/29 | | 23 | 23,719 |
Series 2000-22, Class PN, 6.00%, 7/25/30 | | 309 | 310,132 |
Series 2002-1, Class G, 7.00%, 7/25/23 | | 4 | 4,132 |
Series 2002-21, Class PE, 6.50%, 4/25/32 | | 214 | 222,798 |
Series 2005-75, Class CS, 6.645%, (24.20% - 1 mo. USD LIBOR x 4.00), 9/25/35(4) | | 595 | 681,905 |
Series 2007-74, Class AC, 5.00%, 8/25/37 | | 2,371 | 2,388,533 |
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(4) | | 233 | 222,958 |
Series 2011-109, Class PE, 3.00%, 8/25/41 | | 151 | 149,749 |
Series 2012-134, Class ZT, 2.00%, 12/25/42 | | 1,344 | 1,073,140 |
Series 2013-6, Class TA, 1.50%, 1/25/43 | | 1,340 | 1,222,636 |
Series 2013-67, Class NF, 5.00%, (1 mo. USD LIBOR + 1.00%), 7/25/43(2) | | 947 | 898,168 |
Series 2014-64, Class PA, 3.00%, 3/25/44 | | 62 | 61,615 |