Security | Principal Amount (000's omitted) | Value |
Federal Home Loan Mortgage Corp.: (continued) | | | |
Series 2167, Class BZ, 7.00%, 6/15/29 | $ | 181 | $ 189,647 |
Series 2182, Class ZB, 8.00%, 9/15/29 | | 305 | 323,321 |
Series 4273, Class PU, 4.00%, 11/15/43 | | 420 | 409,938 |
Series 5035, Class AZ, 2.00%, 11/25/50 | | 539 | 409,320 |
Interest Only:(3) | | | |
Series 362, Class C7, 3.50%, 9/15/47 | | 1,146 | 182,661 |
Series 2631, Class DS, 5.101%, (7.10% - 1 mo. USD LIBOR), 6/15/33(4) | | 275 | 16,299 |
Series 2770, Class SH, 5.101%, (7.10% - 1 mo. USD LIBOR), 3/15/34(4) | | 621 | 104,782 |
Series 2981, Class CS, 4.721%, (6.72% - 1 mo. USD LIBOR), 5/15/35(4) | | 342 | 41,405 |
Series 3114, Class TS, 4.651%, (6.65% - 1 mo. USD LIBOR), 9/15/30(4) | | 684 | 53,858 |
Series 3339, Class JI, 4.591%, (6.59% - 1 mo. USD LIBOR), 7/15/37(4) | | 1,074 | 155,859 |
Series 4109, Class ES, 4.151%, (6.15% - 1 mo. USD LIBOR), 12/15/41(4) | | 31 | 4,888 |
Series 4163, Class GS, 4.201%, (6.20% - 1 mo. USD LIBOR), 11/15/32(4) | | 1,553 | 166,495 |
Series 4169, Class AS, 4.251%, (6.25% - 1 mo. USD LIBOR), 2/15/33(4) | | 913 | 93,250 |
Series 4180, Class GI, 3.50%, 8/15/26 | | 189 | 2,667 |
Series 4203, Class QS, 4.251%, (6.25% - 1 mo. USD LIBOR), 5/15/43(4) | | 779 | 78,977 |
Series 4332, Class KI, 4.00%, 9/15/43 | | 36 | 578 |
Series 4370, Class IO, 3.50%, 9/15/41 | | 113 | 3,151 |
Series 4497, Class CS, 4.201%, (6.20% - 1 mo. USD LIBOR), 9/15/44(4) | | 234 | 7,946 |
Series 4507, Class EI, 4.00%, 8/15/44 | | 1,032 | 130,134 |
Series 4629, Class QI, 3.50%, 11/15/46 | | 574 | 101,552 |
Series 4644, Class TI, 3.50%, 1/15/45 | | 501 | 58,767 |
Series 4667, Class PI, 3.50%, 5/15/42 | | 171 | 2,543 |
Series 4744, Class IO, 4.00%, 11/15/47 | | 570 | 112,357 |
Series 4749, Class IL, 4.00%, 12/15/47 | | 445 | 83,857 |
Series 4768, Class IO, 4.00%, 3/15/48 | | 529 | 103,118 |
Series 4772, Class PI, 4.00%, 1/15/48 | | 383 | 74,688 |
Series 4966, Class SY, 3.791%, (6.05% - 1 mo. USD LIBOR), 4/25/50(4) | | 1,982 | 302,126 |
Principal Only:(5) | | | |
Series 3309, Class DO, 0.00%, 4/15/37 | | 526 | 434,353 |
Series 4478, Class PO, 0.00%, 5/15/45 | | 200 | 163,438 |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2020-DNA4, Class M2, 6.009%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2) | | 131 | 130,867 |
Federal National Mortgage Association: | | | |
Series 1994-42, Class K, 6.50%, 4/25/24 | | 28 | 28,553 |
Series 1997-38, Class N, 8.00%, 5/20/27 | | 101 | 107,594 |
Series 2007-74, Class AC, 5.00%, 8/25/37 | | 568 | 595,904 |