Security | Principal Amount (000's omitted) | Value |
Federal National Mortgage Association: (continued) | | | |
Series 2007-74, Class AC, 5.00%, 8/25/37 | $ | 522 | $ 532,576 |
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(5) | | 138 | 135,400 |
Series 2012-134, Class ZT, 2.00%, 12/25/42 | | 505 | 417,386 |
Series 2013-6, Class TA, 1.50%, 1/25/43 | | 311 | 286,487 |
Series 2015-74, Class SL, 0.00%, (2.349% - 1 mo. USD LIBOR x 0.587), 10/25/45(5) | | 867 | 510,393 |
Series 2017-15, Class LE, 3.00%, 6/25/46 | | 55 | 52,856 |
Interest Only:(4) | | | |
Series 2004-46, Class SI, 1.494%, (6.00% - 1 mo. USD LIBOR), 5/25/34(5) | | 370 | 17,015 |
Series 2005-17, Class SA, 2.194%, (6.70% - 1 mo. USD LIBOR), 3/25/35(5) | | 518 | 52,629 |
Series 2006-42, Class PI, 2.084%, (6.59% - 1 mo. USD LIBOR), 6/25/36(5) | | 733 | 80,125 |
Series 2006-44, Class IS, 2.094%, (6.60% - 1 mo. USD LIBOR), 6/25/36(5) | | 612 | 59,161 |
Series 2007-50, Class LS, 1.944%, (6.45% - 1 mo. USD LIBOR), 6/25/37(5) | | 468 | 44,505 |
Series 2008-26, Class SA, 1.694%, (6.20% - 1 mo. USD LIBOR), 4/25/38(5) | | 636 | 70,847 |
Series 2008-61, Class S, 1.594%, (6.10% - 1 mo. USD LIBOR), 7/25/38(5) | | 1,020 | 79,125 |
Series 2010-109, Class PS, 2.094%, (6.60% - 1 mo. USD LIBOR), 10/25/40(5) | | 1,024 | 92,808 |
Series 2010-147, Class KS, 1.444%, (5.95% - 1 mo. USD LIBOR), 1/25/41(5) | | 1,307 | 64,411 |
Series 2012-52, Class AI, 3.50%, 8/25/26 | | 135 | 4,491 |
Series 2012-118, Class IN, 3.50%, 11/25/42 | | 1,256 | 249,028 |
Series 2012-150, Class PS, 1.644%, (6.15% - 1 mo. USD LIBOR), 1/25/43(5) | | 1,898 | 205,251 |
Series 2012-150, Class SK, 1.644%, (6.15% - 1 mo. USD LIBOR), 1/25/43(5) | | 857 | 97,767 |
Series 2013-23, Class CS, 1.744%, (6.25% - 1 mo. USD LIBOR), 3/25/33(5) | | 817 | 58,402 |
Series 2013-54, Class HS, 1.794%, (6.30% - 1 mo. USD LIBOR), 10/25/41(5) | | 71 | 389 |
Series 2014-32, Class EI, 4.00%, 6/25/44 | | 197 | 33,769 |
Series 2014-55, Class IN, 3.50%, 7/25/44 | | 504 | 100,923 |
Series 2014-80, Class BI, 3.00%, 12/25/44 | | 1,086 | 199,003 |
Series 2014-89, Class IO, 3.50%, 1/25/45 | | 387 | 85,902 |
Series 2015-14, Class KI, 3.00%, 3/25/45 | | 880 | 147,956 |
Series 2015-52, Class MI, 3.50%, 7/25/45 | | 455 | 92,819 |
Series 2015-57, Class IO, 3.00%, 8/25/45 | | 2,205 | 396,068 |
Series 2015-93, Class BS, 1.644%, (6.15% - 1 mo. USD LIBOR), 8/25/45(5) | | 490 | 26,399 |
Series 2018-21, Class IO, 3.00%, 4/25/48 | | 849 | 151,614 |
Series 2020-23, Class SP, 1.544%, (6.05% - 1 mo. USD LIBOR), 2/25/50(5) | | 1,509 | 188,546 |
Series 2020-45, Class IJ, 2.50%, 7/25/50 | | 2,118 | 292,227 |