American Funds Mortgage Fund®
Investment portfolio
November 30, 2021
unaudited
Bonds, notes & other debt instruments 80.60% Mortgage-backed obligations 57.52% Federal agency mortgage-backed obligations 49.36% | Principal amount (000) | Value (000) | |
Fannie Mae Pool #AZ0554 3.50% 20301 | $66 | $70 | |
Fannie Mae Pool #AY1948 3.50% 20301 | 54 | 57 | |
Fannie Mae Pool #AZ4646 3.50% 20301 | 43 | 46 | |
Fannie Mae Pool #BD2402 3.00% 20311 | 196 | 206 | |
Fannie Mae Pool #BM1275 3.00% 20321 | 516 | 546 | |
Fannie Mae Pool #BJ5987 3.00% 20321 | 378 | 397 | |
Fannie Mae Pool #MA3218 3.00% 20321 | 15 | 16 | |
Fannie Mae Pool #MA1640 2.50% 20331 | 997 | 1,027 | |
Fannie Mae Pool #AB9299 2.50% 20331 | 159 | 163 | |
Fannie Mae Pool #BJ4876 3.00% 20331 | 430 | 450 | |
Fannie Mae Pool #AU7556 3.00% 20331 | 348 | 359 | |
Fannie Mae Pool #BM5111 3.00% 20331 | 193 | 205 | |
Fannie Mae Pool #BJ4856 3.00% 20331 | 117 | 124 | |
Fannie Mae Pool #BJ4573 3.00% 20331 | 13 | 13 | |
Fannie Mae Pool #BM3919 3.00% 20331 | 13 | 13 | |
Fannie Mae Pool #BJ9000 3.50% 20331 | 135 | 144 | |
Fannie Mae Pool #CA2106 3.50% 20331 | 22 | 23 | |
Fannie Mae Pool #695412 5.00% 20331 | 4 | 4 | |
Fannie Mae Pool #BO6247 2.50% 20341 | 6,125 | 6,373 | |
Fannie Mae Pool #BO7207 2.50% 20341 | 550 | 571 | |
Fannie Mae Pool #FM1490 3.50% 20341 | 1,422 | 1,510 | |
Fannie Mae Pool #AD3566 5.00% 20351 | 45 | 50 | |
Fannie Mae Pool #MA2746 4.00% 20361 | 3,228 | 3,520 | |
Fannie Mae Pool #MA2717 4.00% 20361 | 1,993 | 2,178 | |
Fannie Mae Pool #AS7224 4.00% 20361 | 1,694 | 1,848 | |
Fannie Mae Pool #MA2819 4.00% 20361 | 1,653 | 1,803 | |
Fannie Mae Pool #MA2787 4.00% 20361 | 816 | 888 | |
Fannie Mae Pool #MA2630 4.00% 20361 | 364 | 397 | |
Fannie Mae Pool #MA3186 4.00% 20371 | 4,933 | 5,322 | |
Fannie Mae Pool #MA3099 4.00% 20371 | 2,370 | 2,572 | |
Fannie Mae Pool #889101 1.606% 20381,2 | 610 | 627 | |
Fannie Mae Pool #964279 2.095% 20381,2 | 598 | 606 | |
Fannie Mae Pool #964708 2.265% 20381,2 | 78 | 78 | |
Fannie Mae Pool #AC0794 5.00% 20391 | 164 | 187 | |
Fannie Mae Pool #931768 5.00% 20391 | 34 | 39 | |
Fannie Mae Pool #AE7629 2.06% 20401,2 | 190 | 197 | |
Fannie Mae Pool #AL9335 2.075% 20401,2 | 21,265 | 22,393 | |
Fannie Mae Pool #AD1823 5.00% 20401 | 441 | 475 | |
Fannie Mae Pool #932606 5.00% 20401 | 95 | 107 | |
Fannie Mae Pool #MA4387 2.00% 20411 | 418 | 426 | |
Fannie Mae Pool #AL9326 2.109% 20411,2 | 24,234 | 25,545 | |
Fannie Mae Pool #AL9327 2.11% 20411,2 | 18,543 | 19,559 | |
Fannie Mae Pool #AL9531 2.128% 20411,2 | 23,711 | 25,008 | |
Fannie Mae Pool #AL0073 2.145% 20411,2 | 1,604 | 1,690 | |
Fannie Mae Pool #AE0789 2.164% 20411,2 | 2,053 | 2,163 |
American Funds Mortgage Fund — Page 1 of 15
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Bonds, notes & other debt instruments (continued) Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) | |
Fannie Mae Pool #AE0844 2.184% 20411,2 | $2,062 | $2,174 | |
Fannie Mae Pool #AJ1873 4.00% 20411 | 210 | 232 | |
Fannie Mae Pool #AE1248 5.00% 20411 | 260 | 295 | |
Fannie Mae Pool #AE1277 5.00% 20411 | 111 | 126 | |
Fannie Mae Pool #AE1274 5.00% 20411 | 65 | 74 | |
Fannie Mae Pool #AE1283 5.00% 20411 | 61 | 68 | |
Fannie Mae Pool #AP7819 1.91% 20421,2 | 2,115 | 2,220 | |
Fannie Mae Pool #AL2000 1.942% 20421,2 | 2,394 | 2,515 | |
Fannie Mae Pool #AL1941 1.951% 20421,2 | 2,949 | 3,098 | |
Fannie Mae Pool #AL2184 1.981% 20421,2 | 4,895 | 5,148 | |
Fannie Mae Pool #AL9532 1.991% 20421,2 | 27,447 | 28,852 | |
Fannie Mae Pool #AL9533 2.035% 20421,2 | 13,007 | 13,681 | |
Fannie Mae Pool #AL9530 2.088% 20421,2 | 18,917 | 19,927 | |
Fannie Mae Pool #AP7553 3.00% 20421 | 4,932 | 5,239 | |
Fannie Mae Pool #AE1290 5.00% 20421 | 130 | 147 | |
Fannie Mae Pool #AU0626 2.275% 20431 | 172 | 174 | |
Fannie Mae Pool #AT7470 2.275% 20431 | 111 | 113 | |
Fannie Mae Pool #AU8121 2.275% 20431 | 96 | 97 | |
Fannie Mae Pool #AU8120 2.275% 20431 | 75 | 76 | |
Fannie Mae Pool #AT5898 3.00% 20431 | 7,816 | 8,282 | |
Fannie Mae Pool #AT7457 3.025% 20431 | 187 | 194 | |
Fannie Mae Pool #AL3829 3.50% 20431 | 1,521 | 1,648 | |
Fannie Mae Pool #AT7161 3.50% 20431 | 590 | 634 | |
Fannie Mae Pool #AR1512 3.50% 20431 | 192 | 207 | |
Fannie Mae Pool #AT3954 3.50% 20431 | 94 | 100 | |
Fannie Mae Pool #AT0412 3.50% 20431 | 86 | 93 | |
Fannie Mae Pool #AT0300 3.50% 20431 | 55 | 59 | |
Fannie Mae Pool #MA1583 4.00% 20431 | 3,045 | 3,310 | |
Fannie Mae Pool #AY1829 3.50% 20441 | 111 | 118 | |
Fannie Mae Pool #AX8521 3.50% 20441 | 106 | 114 | |
Fannie Mae Pool #AW8240 3.50% 20441 | 31 | 32 | |
Fannie Mae Pool #BE5017 3.50% 20451 | 826 | 888 | |
Fannie Mae Pool #BE5009 3.50% 20451 | 413 | 441 | |
Fannie Mae Pool #BH4101 3.50% 20471 | 39,526 | 41,697 | |
Fannie Mae Pool #BE8740 3.50% 20471 | 731 | 782 | |
Fannie Mae Pool #BD2440 3.50% 20471 | 468 | 497 | |
Fannie Mae Pool #BE8742 3.50% 20471 | 116 | 125 | |
Fannie Mae Pool #BH2846 3.50% 20471 | 45 | 48 | |
Fannie Mae Pool #BH2848 3.50% 20471 | 42 | 44 | |
Fannie Mae Pool #BH2847 3.50% 20471 | 31 | 33 | |
Fannie Mae Pool #BJ5015 4.00% 20471 | 1,558 | 1,697 | |
Fannie Mae Pool #BH3122 4.00% 20471 | 41 | 43 | |
Fannie Mae Pool #MA3002 4.50% 20471 | 1,103 | 1,163 | |
Fannie Mae Pool #BM4488 3.369% 20481,2 | 7,402 | 7,671 | |
Fannie Mae Pool #BJ4901 3.50% 20481 | 546 | 587 | |
Fannie Mae Pool #CA2850 4.00% 20481 | 1,846 | 2,021 | |
Fannie Mae Pool #BK6840 4.00% 20481 | 1,004 | 1,090 | |
Fannie Mae Pool #BK5232 4.00% 20481 | 732 | 794 | |
Fannie Mae Pool #BK9743 4.00% 20481 | 302 | 328 | |
Fannie Mae Pool #BM2006 4.00% 20481 | 24 | 26 | |
Fannie Mae Pool #CA2205 4.50% 20481 | 5,890 | 6,318 | |
Fannie Mae Pool #BK9761 4.50% 20481 | 144 | 158 | |
Fannie Mae Pool #BN1576 4.50% 20481 | 92 | 99 | |
Fannie Mae Pool #BO5176 3.00% 20491 | 5,266 | 5,561 |
American Funds Mortgage Fund — Page 2 of 15
unaudited
Bonds, notes & other debt instruments (continued) Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) | |
Fannie Mae Pool #BJ8402 3.42% 20491,2 | $1,267 | $1,310 | |
Fannie Mae Pool #CA4151 3.50% 20491 | 7,767 | 8,395 | |
Fannie Mae Pool #FM1062 3.50% 20491 | 6,281 | 6,777 | |
Fannie Mae Pool #FM1443 3.50% 20491 | 4,623 | 4,965 | |
Fannie Mae Pool #BN6708 3.50% 20491 | 1,792 | 1,919 | |
Fannie Mae Pool #BJ8411 3.50% 20491 | 1,542 | 1,658 | |
Fannie Mae Pool #BF0320 5.50% 20491 | 2,823 | 3,262 | |
Fannie Mae Pool #CA5496 3.00% 20501 | 59,797 | 63,228 | |
Fannie Mae Pool #CA5539 3.00% 20501 | 19,292 | 20,320 | |
Fannie Mae Pool #CA5536 3.00% 20501 | 13,375 | 14,108 | |
Fannie Mae Pool #CA5540 3.00% 20501 | 6,677 | 7,033 | |
Fannie Mae Pool #CA5338 3.00% 20501 | 3,160 | 3,299 | |
Fannie Mae Pool #FM2664 3.50% 20501 | 6,514 | 7,034 | |
Fannie Mae Pool #FM3834 4.50% 20501 | 21,523 | 23,133 | |
Fannie Mae Pool #FM9632 3.00% 20511 | 7,147 | 7,546 | |
Fannie Mae Pool #CB0041 3.00% 20511 | 6,824 | 7,242 | |
Fannie Mae Pool #FM9631 3.00% 20511 | 6,056 | 6,388 | |
Fannie Mae Pool #CB2292 3.00% 20511 | 1,340 | 1,421 | |
Fannie Mae Pool #CB2293 3.00% 20511 | 1,341 | 1,417 | |
Fannie Mae Pool #MA4381 3.50% 20511 | 477 | 505 | |
Fannie Mae Pool #MA4401 3.50% 20511 | 37 | 39 | |
Fannie Mae Pool #AS0745 3.50% 20531 | 1,034 | 1,068 | |
Fannie Mae Pool #BM6693 3.50% 20591 | 81,829 | 88,291 | |
Fannie Mae Pool #BF0379 3.50% 20591 | 4,624 | 5,012 | |
Fannie Mae Pool #BF0497 3.00% 20601 | 2,131 | 2,255 | |
Fannie Mae Pool #BF0481 3.50% 20601 | 3,216 | 3,486 | |
Fannie Mae Pool #BF0480 3.50% 20601 | 1,953 | 2,128 | |
Fannie Mae, Series 2012-M13, Class A2, Multi Family, 2.377% 20221 | 150 | 151 | |
Fannie Mae, Series 2015-M4, Class AV2, Multi Family, 2.509% 20221,2 | 182 | 183 | |
Fannie Mae, Series 2012-M2, Class A2, Multi Family, 2.717% 20221 | 12 | 12 | |
Fannie Mae, Series 2016-M2, Class AV2, Multi Family, 2.152% 20231 | 356 | 360 | |
Fannie Mae, Series 2016-M3, Class ASQ2, Multi Family, 2.263% 20231 | 47 | 47 | |
Fannie Mae, Series 2013-M12, Class APT, Multi Family, 2.483% 20231,2 | 389 | 395 | |
Fannie Mae, Series 2017-M3, Class AV2, Multi Family, 2.61% 20241,2 | 328 | 336 | |
Fannie Mae, Series 2017-M10, Class AV2, Multi Family, 2.639% 20241,2 | 524 | 540 | |
Fannie Mae, Series 2017-M15, Class AV2, Multi Family, 2.708% 20241,2 | 357 | 370 | |
Fannie Mae, Series 2015-M8, Class A1, Multi Family, 2.344% 20251 | 8 | 8 | |
Fannie Mae, Series 2016-M9, Class A1, Multi Family, 2.003% 20261 | 54 | 55 | |
Fannie Mae, Series 2016-M5, Class A1, Multi Family, 2.073% 20261 | 425 | 434 | |
Fannie Mae, Series 2016-M11, Class A1, Multi Family, 2.08% 20261 | 640 | 653 | |
Fannie Mae, Series 2016-M12, Class A1, Multi Family, 2.132% 20261 | 269 | 274 | |
Fannie Mae, Series 2016-M6, Class A1, Multi Family, 2.137% 20261 | 66 | 67 | |
Fannie Mae, Series 2016-M4, Class A1, Multi Family, 2.187% 20261 | 291 | 298 | |
Fannie Mae, Series 2017-M7, Class A1, Multi Family, 2.595% 20261 | 75 | 75 | |
Fannie Mae, Series 2017-M8, Class A1, Multi Family, 2.654% 20271 | 17 | 17 | |
Fannie Mae, Series 2017-M15, Class ATS1, Multi Family, 2.987% 20271,3 | 46 | 47 | |
Freddie Mac Pool #ZT1332 3.00% 20301 | 1,636 | 1,723 | |
Freddie Mac Pool #G16634 3.00% 20311 | 2,481 | 2,622 | |
Freddie Mac Pool #C91593 2.50% 20321 | 39 | 40 | |
Freddie Mac Pool #ZS8675 2.50% 20321 | 11 | 11 | |
Freddie Mac Pool #C91720 2.50% 20331 | 73 | 76 | |
Freddie Mac Pool #ZS8087 2.50% 20331 | 32 | 33 | |
Freddie Mac Pool #V61960 3.00% 20331 | 1,203 | 1,268 | |
Freddie Mac Pool #ZS8710 3.00% 20331 | 2 | 2 |
American Funds Mortgage Fund — Page 3 of 15
unaudited
Bonds, notes & other debt instruments (continued) Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) | |
Freddie Mac Pool #QN1197 2.50% 20341 | $5,346 | $5,559 | |
Freddie Mac Pool #SB8041 3.00% 20351 | 1 | 1 | |
Freddie Mac Pool #C91899 4.00% 20361 | 735 | 794 | |
Freddie Mac Pool #K93558 4.00% 20361 | 585 | 629 | |
Freddie Mac Pool #C91877 4.00% 20361 | 499 | 542 | |
Freddie Mac Pool #G03699 6.00% 20381 | 68 | 79 | |
Freddie Mac Pool #840222 2.146% 20401,2 | 5,809 | 6,128 | |
Freddie Mac Pool #Q05343 4.00% 20411 | 330 | 355 | |
Freddie Mac Pool #Q18236 3.50% 20431 | 655 | 707 | |
Freddie Mac Pool #Q19133 3.50% 20431 | 226 | 244 | |
Freddie Mac Pool #Q17696 3.50% 20431 | 200 | 216 | |
Freddie Mac Pool #Q15874 4.00% 20431 | 50 | 54 | |
Freddie Mac Pool #Q28558 3.50% 20441 | 1,762 | 1,897 | |
Freddie Mac Pool #760014 2.888% 20451,2 | 3,760 | 3,881 | |
Freddie Mac Pool #760012 3.113% 20451,2 | 679 | 704 | |
Freddie Mac Pool #760013 3.181% 20451,2 | 534 | 554 | |
Freddie Mac Pool #G60238 3.50% 20451 | 6,353 | 6,829 | |
Freddie Mac Pool #G67700 3.50% 20461 | 2,332 | 2,505 | |
Freddie Mac Pool #T65389 3.50% 20461 | 74 | 77 | |
Freddie Mac Pool #Q40896 4.50% 20461 | 596 | 647 | |
Freddie Mac Pool #760015 2.644% 20471,2 | 1,360 | 1,404 | |
Freddie Mac Pool #Q45650 3.50% 20471 | 10,081 | 10,816 | |
Freddie Mac Pool #Q52069 3.50% 20471 | 1,138 | 1,218 | |
Freddie Mac Pool #Q51622 3.50% 20471 | 843 | 908 | |
Freddie Mac Pool #Q47615 3.50% 20471 | 705 | 757 | |
Freddie Mac Pool #T65448 4.00% 20471 | 1,116 | 1,165 | |
Freddie Mac Pool #Q55056 3.50% 20481 | 825 | 877 | |
Freddie Mac Pool #Q54701 3.50% 20481 | 791 | 847 | |
Freddie Mac Pool #Q54709 3.50% 20481 | 683 | 728 | |
Freddie Mac Pool #Q54782 3.50% 20481 | 582 | 622 | |
Freddie Mac Pool #Q54700 3.50% 20481 | 578 | 620 | |
Freddie Mac Pool #Q56590 3.50% 20481 | 391 | 420 | |
Freddie Mac Pool #Q54781 3.50% 20481 | 304 | 326 | |
Freddie Mac Pool #Q56591 3.50% 20481 | 275 | 292 | |
Freddie Mac Pool #Q54831 3.50% 20481 | 217 | 234 | |
Freddie Mac Pool #Q54699 3.50% 20481 | 156 | 168 | |
Freddie Mac Pool #Q56589 3.50% 20481 | 136 | 145 | |
Freddie Mac Pool #Q55060 3.50% 20481 | 122 | 130 | |
Freddie Mac Pool #Q54698 3.50% 20481 | 112 | 120 | |
Freddie Mac Pool #G67711 4.00% 20481 | 18,602 | 20,273 | |
Freddie Mac Pool #Q56599 4.00% 20481 | 1,169 | 1,271 | |
Freddie Mac Pool #Q56175 4.00% 20481 | 779 | 843 | |
Freddie Mac Pool #Q55971 4.00% 20481 | 757 | 820 | |
Freddie Mac Pool #Q55970 4.00% 20481 | 382 | 419 | |
Freddie Mac Pool #Q58411 4.50% 20481 | 1,810 | 1,992 | |
Freddie Mac Pool #Q58436 4.50% 20481 | 780 | 864 | |
Freddie Mac Pool #Q58378 4.50% 20481 | 651 | 711 | |
Freddie Mac Pool #Q57242 4.50% 20481 | 202 | 221 | |
Freddie Mac Pool #Q55469 5.00% 20481 | 1,224 | 1,346 | |
Freddie Mac Pool #RA1339 3.00% 20491 | 20,125 | 21,109 | |
Freddie Mac Pool #QA4673 3.00% 20491 | 7,575 | 8,001 | |
Freddie Mac Pool #SD7503 3.50% 20491 | 41,104 | 43,959 | |
Freddie Mac Pool #RA1580 3.50% 20491 | 5,453 | 5,893 | |
Freddie Mac Pool #RA1463 3.50% 20491 | 5,440 | 5,880 |
American Funds Mortgage Fund — Page 4 of 15
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Bonds, notes & other debt instruments (continued) Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) | |
Freddie Mac Pool #QA0284 3.50% 20491 | $3,046 | $3,274 | |
Freddie Mac Pool #QA2748 3.50% 20491 | 763 | 821 | |
Freddie Mac Pool #RA2596 2.50% 20501 | 1,220 | 1,261 | |
Freddie Mac Pool #RA2319 3.00% 20501 | 5,235 | 5,466 | |
Freddie Mac Pool #SD0187 3.00% 20501 | 3,813 | 4,028 | |
Freddie Mac Pool #RA1996 3.50% 20501 | 15,587 | 16,532 | |
Freddie Mac Pool #SD8053 4.50% 20501 | 3,393 | 3,650 | |
Freddie Mac Pool #SD8164 3.50% 20511 | 13,694 | 14,448 | |
Freddie Mac Pool #SD8163 3.50% 20511 | 61 | 65 | |
Freddie Mac, Series KS01, Class A2, Multi Family, 2.522% 20231 | 382 | 386 | |
Freddie Mac, Series K032, Class A2, Multi Family, 3.31% 20231 | 2,400 | 2,484 | |
Freddie Mac, Series K052, Class A2, Multi Family, 3.151% 20251 | 2,500 | 2,669 | |
Freddie Mac, Series K081, Class A2, Multi Family, 3.90% 20281,2 | 3,050 | 3,488 | |
Freddie Mac, Series K082, Class A2, Multi Family, 3.92% 20281,2 | 2,400 | 2,749 | |
Freddie Mac, Series K083, Class A2, Multi Family, 4.05% 20281,2 | 2,500 | 2,885 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class MT, 3.00% 20561 | 11,986 | 12,457 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HA, 3.00% 20561,2 | 6,578 | 6,814 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 20561 | 5,547 | 5,757 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 3.00% 20561,2 | 5,516 | 5,716 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HA, 3.25% 20561,2 | 12,767 | 13,262 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HT, 3.25% 20561 | 2,285 | 2,450 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HT, 3.00% 20571 | 12,374 | 13,147 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT, 3.25% 20571,2 | 68,661 | 72,619 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT, 3.50% 20571 | 44,561 | 47,350 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 20571 | 25,122 | 26,693 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50% 20571 | 2,374 | 2,474 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MT, 3.50% 20571 | 1,808 | 1,922 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA, 3.50% 20581 | 2,490 | 2,611 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT, 3.50% 20581 | 1,687 | 1,793 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MT, 3.50% 20581 | 1,406 | 1,494 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MT, 3.50% 20581 | 891 | 947 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MA, 3.50% 20581 | 837 | 874 | |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA, 3.00% 20591 | 27,321 | 28,350 | |
Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2018-2, Class A1, 3.50% 20281 | 56,570 | 58,651 | |
Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2018-1, Class A1, 3.50% 20281 | 13,288 | 13,686 | |
Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2019-3, Class A1C, 2.75% 20291 | 47,886 | 49,589 | |
Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2019-1, Class A1, 3.50% 20291 | 79,310 | 82,713 | |
Government National Mortgage Assn. 2.00% 20511,4 | 2,663 | 2,698 | |
Government National Mortgage Assn. 2.50% 20511,4 | 35,302 | 36,273 | |
Government National Mortgage Assn. 3.00% 20511,4 | 57,386 | 59,502 | |
Government National Mortgage Assn. 3.50% 20511,4 | 779 | 814 | |
Government National Mortgage Assn. 2.00% 20521,4 | 687 | 693 | |
Government National Mortgage Assn. 2.50% 20521,4 | 124,093 | 127,254 | |
Government National Mortgage Assn. Pool #778208 4.00% 20321 | 531 | 571 | |
Government National Mortgage Assn. Pool #778205 4.00% 20321 | 357 | 384 | |
Government National Mortgage Assn. Pool #796771 6.50% 20321 | 458 | 517 | |
Government National Mortgage Assn. Pool #AH5896 3.75% 20341 | 737 | 791 | |
Government National Mortgage Assn. Pool #AD0867 4.25% 20341 | 768 | 846 | |
Government National Mortgage Assn. Pool #417292 3.25% 20351 | 2,145 | 2,262 | |
Government National Mortgage Assn. Pool #AH5908 3.25% 20351 | 1,443 | 1,521 | |
Government National Mortgage Assn. Pool #AH5904 3.25% 20351 | 1,142 | 1,204 | |
Government National Mortgage Assn. Pool #AH5907 3.25% 20351 | 977 | 1,020 | |
Government National Mortgage Assn. Pool #AC2887 5.00% 20351 | 201 | 217 | |
Government National Mortgage Assn. Pool #AA7288 3.75% 20371 | 369 | 392 |
American Funds Mortgage Fund — Page 5 of 15
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Bonds, notes & other debt instruments (continued) Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) | |
Government National Mortgage Assn. Pool #773549 6.50% 20381 | $141 | $150 | |
Government National Mortgage Assn. Pool #AA4803 6.50% 20381 | 51 | 58 | |
Government National Mortgage Assn. Pool #783690 6.00% 20391 | 1,350 | 1,542 | |
Government National Mortgage Assn. Pool #AH5905 3.25% 20401 | 938 | 986 | |
Government National Mortgage Assn. Pool #AH5912 3.25% 20401 | 688 | 722 | |
Government National Mortgage Assn. Pool #AH5909 3.25% 20401 | 477 | 501 | |
Government National Mortgage Assn. Pool #704926 5.00% 20401 | 54 | 58 | |
Government National Mortgage Assn. Pool #783689 5.50% 20401 | 1,501 | 1,737 | |
Government National Mortgage Assn. Pool #MA0273 4.00% 20411 | 727 | 748 | |
Government National Mortgage Assn. Pool #783687 4.50% 20411 | 680 | 736 | |
Government National Mortgage Assn. Pool #AC2904 4.50% 20411 | 601 | 649 | |
Government National Mortgage Assn. Pool #MA0310 4.50% 20411 | 457 | 485 | |
Government National Mortgage Assn. Pool #AB3621 4.50% 20411 | 209 | 223 | |
Government National Mortgage Assn. Pool #MA0274 4.50% 20411 | 210 | 223 | |
Government National Mortgage Assn. Pool #AE5743 5.00% 20411 | 1,605 | 1,742 | |
Government National Mortgage Assn. Pool #783688 5.00% 20411 | 1,056 | 1,174 | |
Government National Mortgage Assn. Pool #005158 5.00% 20411 | 536 | 582 | |
Government National Mortgage Assn. Pool #005165 6.50% 20411 | 46 | 48 | |
Government National Mortgage Assn. Pool #793043 2.75% 20421 | 458 | 475 | |
Government National Mortgage Assn. Pool #AB1330 2.75% 20421 | 354 | 365 | |
Government National Mortgage Assn. Pool #AB1591 2.75% 20421 | 221 | 228 | |
Government National Mortgage Assn. Pool #799829 2.75% 20421 | 203 | 209 | |
Government National Mortgage Assn. Pool #AA0526 2.75% 20421 | 114 | 117 | |
Government National Mortgage Assn. Pool #799343 3.50% 20421 | 413 | 443 | |
Government National Mortgage Assn. Pool #792276 3.50% 20421 | 266 | 280 | |
Government National Mortgage Assn. Pool #770242 4.00% 20421 | 487 | 532 | |
Government National Mortgage Assn. Pool #770241 4.00% 20421 | 393 | 424 | |
Government National Mortgage Assn. Pool #AC2872 4.00% 20421 | 324 | 346 | |
Government National Mortgage Assn. Pool #AB2159 4.50% 20421 | 554 | 601 | |
Government National Mortgage Assn. Pool #AA7306 3.50% 20431 | 833 | 883 | |
Government National Mortgage Assn. Pool #AG5105 3.50% 20431 | 513 | 541 | |
Government National Mortgage Assn. Pool #AG5106 4.00% 20431 | 579 | 610 | |
Government National Mortgage Assn. Pool #AH5880 3.75% 20441 | 1,117 | 1,220 | |
Government National Mortgage Assn. Pool #AH5881 4.25% 20441 | 554 | 607 | |
Government National Mortgage Assn. Pool #MA3727 4.00% 20461 | 1,255 | 1,310 | |
Government National Mortgage Assn. Pool #MA4511 4.00% 20471 | 5,280 | 5,639 | |
Government National Mortgage Assn. Pool #MA5764 4.50% 20491 | 9,840 | 10,458 | |
Government National Mortgage Assn. Pool #MA6092 4.50% 20491 | 1,227 | 1,303 | |
Government National Mortgage Assn. Pool #MA6041 4.50% 20491 | 488 | 519 | |
Government National Mortgage Assn. Pool #MA5877 4.50% 20491 | 453 | 482 | |
Government National Mortgage Assn. Pool #MA6042 5.00% 20491 | 21 | 23 | |
Government National Mortgage Assn. Pool #MA7419 3.00% 20511 | 99,544 | 103,469 | |
Government National Mortgage Assn. Pool #773441 4.979% 20621 | 1 | 1 | |
Government National Mortgage Assn. Pool #AG8235 5.216% 20641 | 1 | 1 | |
Government National Mortgage Assn. Pool #AI2366 4.469% 20651 | 17 | 18 | |
Government National Mortgage Assn. Pool #AQ8290 4.898% 20661 | 6 | 7 | |
Government National Mortgage Assn. Pool #AQ8292 5.132% 20661 | 4 | 4 | |
Government National Mortgage Assn., Series 2011-H02, Class BA, 4.241% 20611,2 | 4 | 4 | |
Government National Mortgage Assn., Series 2016-H13, Class IO, interest only, 0.535% 20661,2 | 50,975 | 763 | |
Uniform Mortgage-Backed Security 1.50% 20361,4 | 30,049 | 30,209 | |
Uniform Mortgage-Backed Security 2.00% 20361,4 | 81,064 | 83,125 | |
Uniform Mortgage-Backed Security 2.50% 20361,4 | 12,436 | 12,894 | |
Uniform Mortgage-Backed Security 2.00% 20371,4 | 23,065 | 23,608 | |
Uniform Mortgage-Backed Security 2.00% 20511,4 | 66,902 | 66,960 |
American Funds Mortgage Fund — Page 6 of 15
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Bonds, notes & other debt instruments (continued) Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) | |
Uniform Mortgage-Backed Security 3.00% 20511,4 | $4,046 | $4,201 | |
Uniform Mortgage-Backed Security 3.50% 20511,4 | 75,955 | 79,859 | |
Uniform Mortgage-Backed Security 4.00% 20511,4 | 4,663 | 4,970 | |
Uniform Mortgage-Backed Security 4.50% 20511,4 | 64,104 | 68,884 | |
Uniform Mortgage-Backed Security 2.00% 20521,4 | 912,710 | 909,466 | |
Uniform Mortgage-Backed Security 2.00% 20521,4 | 257,692 | 257,350 | |
Uniform Mortgage-Backed Security 2.50% 20521,4 | 849,262 | 866,546 | |
Uniform Mortgage-Backed Security 2.50% 20521,4 | 233,453 | 238,761 | |
Uniform Mortgage-Backed Security 3.00% 20521,4 | 116,989 | 121,364 | |
Uniform Mortgage-Backed Security 3.00% 20521,4 | 85,210 | 88,258 | |
4,525,525 | |||
Collateralized mortgage-backed obligations (privately originated) 6.44% | |||
Arroyo Mortgage Trust, Series 2021-1R, Class A1, 1.175% 20481,2,3 | 18,608 | 18,575 | |
Arroyo Mortgage Trust, Series 2019-1, Class A1, 3.805% 20491,2,3 | 112 | 113 | |
Cascade Funding Mortgage Trust, Series 2020-HB4, Class A, 0.946% 20301,2,3 | 12,998 | 13,025 | |
Cascade Funding Mortgage Trust, Series 2021-HB7, Class A, 1.151% 20311,2,3 | 11,433 | 11,427 | |
Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.898% 20361,2,3 | 40,892 | 40,907 | |
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% 20351,3 | 5,000 | 5,114 | |
COLT Funding LLC, Series 2021-5, Class A1, 1.726% 20611,2,3 | 4,435 | 4,466 | |
Credit Suisse Mortgage Trust, Series 2019-RPL1, Class A1A, 3.65% 20581,2,3 | 2,448 | 2,534 | |
Credit Suisse Mortgage Trust, Series 2017-RPL3, Class A1, 2.00% 20601,2,3 | 15,181 | 15,315 | |
Finance of America HECM Buyout, Series 2020-HB2, Class A, 1.71% 20301,2,3 | 9,833 | 9,863 | |
Flagstar Mortgage Trust, Series 2021-10INV, Class A3, 2.50% 20511,2,3 | 18,870 | 18,999 | |
GCAT, Series 2021-NQM6, Class A1, 1.688% 20661,2,3 | 13,202 | 13,287 | |
JPMorgan Structured Financing Trust, Series 2021-EBO1, Class A, (1-month USD-LIBOR + 1.00%) 1.093% 20221,2,3,5,6 | 1,156 | 1,156 | |
Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 1.75% 20611,2,3 | 5,053 | 5,024 | |
Mello Warehouse Securitization Trust, Series 2020-2, Class A, (1-month USD-LIBOR + 0.80%) 0.892% 20531,2,3 | 15,590 | 15,564 | |
Mello Warehouse Securitization Trust, Series 2020-1, Class A, (1-month USD-LIBOR + 0.90%) 0.992% 20531,2,3 | 19,416 | 19,413 | |
Mello Warehouse Securitization Trust, Series 2021-2, Class A, (1-month USD-LIBOR + 0.75%) 0.842% 20551,2,3 | 24,696 | 24,620 | |
Mello Warehouse Securitization Trust, Series 2021-3, Class A, (1-month USD-LIBOR + 0.85%) 0.942% 20551,2,3 | 65,000 | 65,065 | |
Mill City Mortgage Trust, Series 2018-1, Class A1, 3.25% 20621,2,3 | 464 | 472 | |
Mortgage Repurchase Agreement Financing Trust, Series 2020-5, (1-month USD-LIBOR + 1.00%) 1.091% 20231,2,3 | 10,019 | 10,032 | |
MRA Issuance Trust, Series 2020-10, Class A, (1-month USD-LIBOR + 1.70%) 1.782% 20221,2,3 | 41,000 | 41,053 | |
MRA Issuance Trust, Series 2020-10, Class A2, (1-month USD-LIBOR + 1.70%) 1.782% 20221,2,3 | 24,000 | 24,042 | |
MRA Issuance Trust, Series 2021-16, Class A1, (1-month USD-LIBOR + 1.55%) 1.644% 20511,2,3 | 31,378 | 31,379 | |
NewRez Warehouse Securitization Trust, Series 2021-1, Class A, (1-month USD-LIBOR + 0.75%) 0.842% 20551,2,3 | 26,674 | 26,628 | |
Provident Funding Mortgage Warehouse Securitization Trust, Series 2021-1, Class A, (1-month USD-LIBOR + 0.70%) 0.792% 20551,2,3 | 19,210 | 19,149 | |
RMF Buyout Issuance Trust, Series 2021-HB1, Class A, 1.259% 20311,2,3 | 16,929 | 16,972 | |
RMF Proprietary Issuance Trust, Series 2019-1, Class A, 2.75% 20631,2,3 | 12,754 | 12,565 | |
Station Place Securitization Trust, Series 2021-WL1, Class A, (1-month USD-LIBOR + 0.65%) 0.742% 20541,2,3 | 100,000 | 100,157 | |
Station Place Securitization Trust, Series 2021-WL2, Class A, (1-month USD-LIBOR + 0.70%) 0.792% 20541,2,3 | 11,100 | 11,112 | |
Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.75% 20551,2,3 | 357 | 358 | |
Towd Point Mortgage Trust, Series 2016-5, Class A1, 2.50% 20561,2,3 | 908 | 918 | |
Towd Point Mortgage Trust, Series 2017-5, Class A1, 0.692% 20571,2,3 | 645 | 645 | |
Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75% 20571,2,3 | 2,540 | 2,583 | |
Towd Point Mortgage Trust, Series 2017-3, Class A1, 2.75% 20571,2,3 | 2,088 | 2,115 | |
Towd Point Mortgage Trust, Series 2017-4, Class A1, 2.75% 20571,2,3 | 1,672 | 1,705 |
American Funds Mortgage Fund — Page 7 of 15
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Bonds, notes & other debt instruments (continued) Mortgage-backed obligations (continued) Collateralized mortgage-backed obligations (privately originated) (continued) | Principal amount (000) | Value (000) | |
Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25% 20581,2,3 | $3,324 | $3,411 | |
Towd Point Mortgage Trust, Series 2018-5, Class A1A, 3.25% 20581,2,3 | 927 | 943 | |
590,706 | |||
Commercial mortgage-backed securities 1.72% | |||
Bank of America Merrill Lynch Large Loan, Inc., Series 2012-PARK, Class A, 2.959% 20301,3 | 10,663 | 10,866 | |
BX Trust, Series 2021-VOLT, Class A, (1-month USD-LIBOR + 0.70%) 0.79% 20361,2,3 | 32,065 | 31,950 | |
BX Trust, Series 2021-RISE, Class A, (1-month USD-LIBOR + 0.74%) 0.848% 20361,2,3 | 7,000 | 7,018 | |
BX Trust, Series 2021-ARIA, Class A, (1-month USD-LIBOR + 0.899%) 0.989% 20361,2,3 | 26,893 | 26,868 | |
BX Trust, Series 2021-SOAR, Class A, (1-month USD-LIBOR + 0.67%) 0.76% 20381,2,3 | 23,482 | 23,382 | |
Extended Stay America Trust, Series 2021-ESH, Class A, (1-month USD-LIBOR + 1.08%) 1.17% 20381,2,3 | 9,788 | 9,798 | |
LUXE Commercial Mortgage Trust, Series 2021-TRIP, Class A, (1-month USD-LIBOR + 1.05%) 1.14% 20381,2,3 | 15,374 | 15,407 | |
MHC Commercial Mortgage Trust, CMO, Series 2021-MHC, Class A, (1-month USD-LIBOR + 0.801%) 0.89% 20261,2,3 | 6,615 | 6,609 | |
Motel 6 Trust, Series 2021-MTL6, Class A, (1-month USD-LIBOR + 0.90%) 0.99% 20381,2,3 | 2,455 | 2,455 | |
SREIT Trust, Series 2021-MFP, Class A, (1-month USD-LIBOR + 0.731%) 0.831% 20381,2,3 | 23,078 | 22,981 | |
157,334 | |||
Total mortgage-backed obligations | 5,273,565 | ||
U.S. Treasury bonds & notes 19.46% U.S. Treasury 14.17% | |||
U.S. Treasury 0.125% 2022 | 56,972 | 56,925 | |
U.S. Treasury 0.125% 2023 | 33,376 | 33,272 | |
U.S. Treasury 0.125% 2023 | 18,000 | 17,934 | |
U.S. Treasury 0.125% 2023 | 15,000 | 14,919 | |
U.S. Treasury 0.125% 2023 | 5,000 | 4,969 | |
U.S. Treasury 0.375% 2023 | 142,440 | 142,062 | |
U.S. Treasury 0.50% 2026 | 23,587 | 23,009 | |
U.S. Treasury 0.75% 2026 | 185,671 | 182,937 | |
U.S. Treasury 0.75% 2026 | 15,000 | 14,733 | |
U.S. Treasury 0.75% 2026 | 11,400 | 11,218 | |
U.S. Treasury 0.875% 2026 | 21,000 | 20,733 | |
U.S. Treasury 0.625% 2027 | 31,500 | 30,290 | |
U.S. Treasury 0.75% 2028 | 13,208 | 12,782 | |
U.S. Treasury 1.00% 2028 | 10,000 | 9,777 | |
U.S. Treasury 1.125% 2028 | 48,750 | 48,296 | |
U.S. Treasury 1.25% 20287 | 165,000 | 164,401 | |
U.S. Treasury 1.25% 2028 | 19,000 | 18,891 | |
U.S. Treasury 1.25% 2028 | 4,000 | 3,970 | |
U.S. Treasury 1.25% 2028 | 3,800 | 3,783 | |
U.S. Treasury 0.875% 2030 | 17,367 | 16,610 | |
U.S. Treasury 1.125% 2031 | 19,100 | 18,654 | |
U.S. Treasury 1.25% 2031 | 6,000 | 5,906 | |
U.S. Treasury 1.375% 2031 | 6,236 | 6,199 | |
U.S. Treasury 1.625% 2031 | 14,000 | 14,276 | |
U.S. Treasury 1.375% 2040 | 15,668 | 14,436 | |
U.S. Treasury 1.875% 2041 | 43,408 | 43,524 | |
U.S. Treasury 3.125% 2048 | 7,000 | 8,959 | |
U.S. Treasury 3.375% 2048 | 406 | 544 | |
U.S. Treasury 1.375% 20507 | 170,100 | 153,386 | |
U.S. Treasury 1.625% 20507 | 171,000 | 163,973 | |
U.S. Treasury 1.875% 2051 | 13,624 | 13,853 |
American Funds Mortgage Fund — Page 8 of 15
unaudited
Bonds, notes & other debt instruments (continued) U.S. Treasury bonds & notes (continued) U.S. Treasury (continued) | Principal amount (000) | Value (000) | |
U.S. Treasury 2.00% 2051 | $18,372 | $19,239 | |
U.S. Treasury 2.375% 2051 | 4,108 | 4,656 | |
1,299,116 | |||
U.S. Treasury inflation-protected securities 5.29% | |||
U.S. Treasury Inflation-Protected Security 0.125% 20238 | 62,366 | 64,952 | |
U.S. Treasury Inflation-Protected Security 0.375% 20238 | 47,145 | 50,001 | |
U.S. Treasury Inflation-Protected Security 0.625% 20238 | 30,386 | 32,033 | |
U.S. Treasury Inflation-Protected Security 0.125% 20248 | 31,066 | 33,308 | |
U.S. Treasury Inflation-Protected Security 0.125% 20248 | 8,200 | 8,797 | |
U.S. Treasury Inflation-Protected Security 0.50% 20248 | 22,595 | 24,230 | |
U.S. Treasury Inflation-Protected Security 0.625% 20248 | 28,987 | 31,056 | |
U.S. Treasury Inflation-Protected Security 0.125% 20268 | 25,094 | 27,333 | |
U.S. Treasury Inflation-Protected Security 0.125% 20318 | 105,366 | 117,914 | |
U.S. Treasury Inflation-Protected Security 2.125% 20418 | 601 | 939 | |
U.S. Treasury Inflation-Protected Security 0.75% 20428 | 36,798 | 46,943 | |
U.S. Treasury Inflation-Protected Security 1.00% 20497,8 | 33,136 | 47,612 | |
485,118 | |||
Total U.S. Treasury bonds & notes | 1,784,234 | ||
Asset-backed obligations 3.36% | |||
Allegro CLO, Ltd., Series 2016-1A, Class AR2, (3-month USD-LIBOR + 0.95%) 1.074% 20301,2,3 | 5,023 | 5,024 | |
Allegro CLO, Ltd., Series 2017-1A, Class AR, (3-month USD-LIBOR + 0.95%) 1.072% 20301,2,3 | 1,523 | 1,523 | |
Ares CLO, Ltd., Series 2017-42A, Class AR, (3-month USD-LIBOR + 0.92%) 1.048% 20281,2,3 | 3,215 | 3,215 | |
Ballyrock CLO, Ltd., Series 2019-2A, Class A1AR, (3-month USD-LIBOR + 1.00%) 1.16% 20301,2,3 | 3,740 | 3,740 | |
Bankers Healthcare Group Securitization Trust, Series 2021-A, Class A, 1.42% 20331,3 | 1,712 | 1,706 | |
Bankers Healthcare Group Securitization Trust, Series 2021-B, Class A, 0.90% 20341,3 | 1,545 | 1,540 | |
Carvana Auto Receivables Trust, Series 2021-P1, Class A3, 0.54% 20251 | 5,855 | 5,844 | |
Cent CLO, Ltd., Series 2014-21A, Class AR, (3-month USD-LIBOR + 0.97%) 1.105% 20301,2,3 | 4,738 | 4,738 | |
CF Hippolyta LLC, Series 2020-1, Class A1, 1.69% 20601,3 | 14,529 | 14,476 | |
CF Hippolyta LLC, Series 2020-1, Class A2, 1.99% 20601,3 | 2,354 | 2,328 | |
CF Hippolyta LLC, Series 2021-1, Class A1, 1.53% 20611,3 | 19,612 | 19,302 | |
Cloud Pass-Through Trust, Series 2019-1A, Class CLOU, 3.554% 20221,2,3 | 11 | 11 | |
Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00% 20301,3 | 6,825 | 6,788 | |
Drive Auto Receivables Trust, Series 2020-2, Class A3, 0.83% 20241 | 402 | 402 | |
Drivetime Auto Owner Trust, Series 2020-2A, Class A, 1.14% 20241,3 | 582 | 583 | |
Dryden Senior Loan Fund, CLO, Series 2017-47A, Class A1R, (3-month USD-LIBOR + 0.98%) 1.104% 20281,2,3 | 5,852 | 5,850 | |
Dryden Senior Loan Fund, CLO, Series 2014-33A, Class AR3, (3-month USD-LIBOR + 1.00%) 1.124% 20291,2,3 | 2,791 | 2,791 | |
Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.21% 20251,3 | 13,654 | 13,571 | |
Hertz Vehicle Financing LLC, Series 2021-2A, Class A, 1.68% 20271,3 | 7,500 | 7,496 | |
Longfellow Place CLO, Ltd., Series 2013-1A, Class AR3, (3-month USD-LIBOR + 1.00%) 1.124% 20291,2,3 | 2,754 | 2,754 | |
Madison Park Funding, Ltd., CLO, Series 2015-17A, Class AR2, (3-month USD-LIBOR + 1.00%) 1.13% 20301,2,3 | 5,075 | 5,078 | |
Marathon CLO, Ltd., Series 2017-9A, Class A1AR, (3-month USD-LIBOR + 1.15%) 1.274% 20291,2,3 | 3,888 | 3,888 | |
Navient Student Loan Trust, Series 2021-A, Class A, 0.84% 20691,3 | 4,156 | 4,109 |
American Funds Mortgage Fund — Page 9 of 15
unaudited
Bonds, notes & other debt instruments (continued) Asset-backed obligations (continued) | Principal amount (000) | Value (000) | |
Navient Student Loan Trust, Series 2021-B, Class A, 0.94% 20691,3 | $5,654 | $5,611 | |
Navient Student Loan Trust, Series 2021-C, Class A, 1.06% 20691,3 | 11,079 | 10,969 | |
Navient Student Loan Trust, Series 2021-FA, Class A, 1.11% 20701,3 | 6,568 | 6,484 | |
Navient Student Loan Trust, Series 2021-G, Class A, 1.58% 20701,3 | 8,099 | 8,093 | |
Nelnet Student Loan Trust, Series 2021-C, Class AFL, (1-month USD-LIBOR + 0.74%) 0.831% 20621,2,3 | 18,857 | 18,872 | |
Nelnet Student Loan Trust, Series 2021-C, Class AFX, 1.32% 20621,3 | 10,371 | 10,268 | |
Nelnet Student Loan Trust, Series 2021-A, Class APT1, 1.36% 20621,3 | 13,026 | 12,870 | |
Nelnet Student Loan Trust, Series 2021-B, Class AFX, 1.42% 20621,3 | 36,069 | 35,717 | |
New Economy Assets Phase 1 Issuer, LLC, Series 2021-1, Class A1, 1.91% 20611,3 | 38,500 | 37,899 | |
Newark BSL CLO 2, Ltd., Series 2017-1A, Class A1R, (3-month USD-LIBOR + 0.97%) 1.094% 20301,2,3 | 1,608 | 1,608 | |
OnDeck Asset Securitization Trust LLC, Series 2021-1A, Class A, 1.59% 20271,3 | 15,405 | 15,368 | |
OSW Structured Asset Trust, Series 2020-RPL1, Class A1, 3.072% 20591,2,3 | 5,345 | 5,360 | |
Palmer Square Loan Funding, CLO, Series 2019-2, Class A1, (3-month USD-LIBOR + 0.97%) 1.102% 20271,2,3 | 1,475 | 1,476 | |
Palmer Square Loan Funding, CLO, Series 2020-4, Class A1, (3-month USD-LIBOR + 1.00%) 1.18% 20281,2,3 | 901 | 902 | |
Palmer Square Loan Funding, CLO, Series 2021-1, Class A1, (3-month USD-LIBOR + 0.90%) 1.032% 20291,2,3 | 1,917 | 1,917 | |
Race Point CLO, Ltd., Series 2015-9A, Class A1A2, (3-month USD-LIBOR + 0.94%) 1.064% 20301,2,3 | 4,231 | 4,231 | |
SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.07% 20531,3 | 2,652 | 2,584 | |
Sound Point CLO, Ltd., Series 2017-3A, Class A1R, (3-month USD-LIBOR + 0.98%) 1.112% 20301,2,3 | 5,060 | 5,061 | |
Sound Point CLO, Ltd., Series 2017-2A, Class AR, (3-month USD-LIBOR + 0.98%) 1.112% 20301,2,3 | 2,962 | 2,962 | |
Sound Point CLO, Ltd., Series 2015-1RA, Class AR, (3-month USD-LIBOR + 1.08%) 1.204% 20301,2,3 | 3,055 | 3,055 | |
308,064 | |||
Bonds & notes of governments & government agencies outside the U.S. 0.22% | |||
CPPIB Capital, Inc. 0.875% 20263 | 8,500 | 8,259 | |
Oesterreichische Kontrollbank AG 0.50% 2024 | 5,145 | 5,092 | |
Ontario Teachers’ Finance Trust 0.875% 20263 | 6,314 | 6,190 | |
19,541 | |||
Corporate bonds, notes & loans 0.04% Communication services 0.04% | |||
SBA Tower Trust 1.631% 20263 | 3,741 | 3,705 | |
Total bonds, notes & other debt instruments (cost: $7,339,379,000) | 7,389,109 | ||
Short-term securities 55.08% Federal agency bills & notes 29.47% | Weighted average yield at acquisition | ||
Federal Farm Credit Banks 12/28/2021 | 0.050% | 5,000 | 4,999 |
Federal Farm Credit Banks 1/3/2022 | 0.040 | 24,200 | 24,197 |
Federal Farm Credit Banks 2/4/2022 | 0.040 | 60,000 | 59,991 |
Federal Farm Credit Banks 2/11/2022 | 0.050 | 20,000 | 19,996 |
Federal Farm Credit Banks 2/25/2022 | 0.060 | 55,000 | 54,988 |
Federal Farm Credit Banks 3/11/2022 | 0.060 | 27,000 | 26,992 |
Federal Farm Credit Banks 4/4/2022 | 0.050 | 10,000 | 9,996 |
Federal Farm Credit Banks 4/11/2022 | 0.050 | 12,000 | 11,995 |
Federal Farm Credit Banks 4/21/2022 | 0.050 | 20,000 | 19,991 |
Federal Farm Credit Banks 5/18/2022 | 0.050 | 5,000 | 4,997 |
Federal Farm Credit Banks 5/27/2022 | 0.060 | 15,000 | 14,990 |
American Funds Mortgage Fund — Page 10 of 15
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Short-term securities (continued) Federal agency bills & notes (continued) | Weighted average yield at acquisition | Principal amount (000) | Value (000) |
Federal Farm Credit Banks 5/31/2022 | 0.070% | $13,000 | $12,991 |
Federal Farm Credit Banks 6/3/2022 | 0.070 | 10,000 | 9,993 |
Federal Farm Credit Banks 6/16/2022 | 0.070 | 15,000 | 14,988 |
Federal Home Loan Bank 12/1/2021 | 0.040 | 406,000 | 406,000 |
Federal Home Loan Bank 12/3/2021 | 0.042 | 75,000 | 75,000 |
Federal Home Loan Bank 12/8/2021 | 0.043 | 46,000 | 45,999 |
Federal Home Loan Bank 12/10/2021 | 0.041 | 40,000 | 39,999 |
Federal Home Loan Bank 12/17/2021 | 0.038 | 189,453 | 189,443 |
Federal Home Loan Bank 12/22/2021 | 0.030 | 35,000 | 34,997 |
Federal Home Loan Bank 12/27/2021 | 0.035 | 50,000 | 49,994 |
Federal Home Loan Bank 12/31/2021 | 0.048 | 60,000 | 59,993 |
Federal Home Loan Bank 1/7/2022 | 0.045 | 50,000 | 49,994 |
Federal Home Loan Bank 1/14/2022 | 0.043 | 18,000 | 17,998 |
Federal Home Loan Bank 1/19/2022 | 0.044 | 97,000 | 96,988 |
Federal Home Loan Bank 1/26/2022 | 0.044 | 85,650 | 85,641 |
Federal Home Loan Bank 1/28/2022 | 0.045 | 188,600 | 188,580 |
Federal Home Loan Bank 2/2/2022 | 0.050 | 83,850 | 83,840 |
Federal Home Loan Bank 2/4/2022 | 0.050 | 80,900 | 80,890 |
Federal Home Loan Bank 2/9/2022 | 0.049 | 209,000 | 208,972 |
Federal Home Loan Bank 2/16/2022 | 0.050 | 27,000 | 26,996 |
Federal Home Loan Bank 2/18/2022 | 0.045 | 50,000 | 49,992 |
Federal Home Loan Bank 2/23/2022 | 0.050 | 77,300 | 77,287 |
Federal Home Loan Bank 2/25/2022 | 0.046 | 95,000 | 94,983 |
Federal Home Loan Bank 3/4/2022 | 0.047 | 79,450 | 79,435 |
Federal Home Loan Bank 3/8/2022 | 0.045 | 275,000 | 274,967 |
Federal Home Loan Bank 3/23/2022 | 0.040 | 93,000 | 92,975 |
2,702,067 | |||
U.S. Treasury bills 15.33% | |||
U.S. Treasury 1/25/2022 | 0.029 | 200,000 | 199,996 |
U.S. Treasury 2/3/2022 | 0.048 | 150,000 | 149,987 |
U.S. Treasury 2/10/2022 | 0.049 | 150,000 | 149,985 |
U.S. Treasury 3/3/2022 | 0.048 | 225,000 | 224,968 |
U.S. Treasury 3/10/2022 | 0.051 | 135,400 | 135,381 |
U.S. Treasury 3/17/2022 | 0.041 | 70,000 | 69,989 |
U.S. Treasury 3/22/2022 | 0.051 | 50,000 | 49,993 |
U.S. Treasury 3/24/2022 | 0.037 | 200,000 | 199,964 |
U.S. Treasury 5/12/2022 | 0.055 | 75,000 | 74,973 |
U.S. Treasury 6/16/2022 | 0.052 | 50,000 | 49,975 |
U.S. Treasury 7/14/2022 | 0.056 | 100,000 | 99,928 |
1,405,139 | |||
Commercial paper 10.28% | |||
Amazon.com, Inc. 1/24/20223 | 0.048 | 10,000 | 9,999 |
Apple, Inc. 12/6/20213 | 0.050 | 15,000 | 15,000 |
Apple, Inc. 12/16/20213 | 0.050 | 50,000 | 49,999 |
Apple, Inc. 1/12/20223 | 0.060 | 50,000 | 49,997 |
Apple, Inc. 1/13/20223 | 0.050 | 65,000 | 64,996 |
BofA Securities, Inc. 12/8/20213 | 0.060 | 7,300 | 7,300 |
BofA Securities, Inc. 2/1/20223 | 0.120 | 17,000 | 16,996 |
CAFCO, LLC 3/2/20223 | 0.130 | 40,000 | 39,983 |
Chariot Funding, LLC 12/17/20213 | 0.110 | 13,400 | 13,399 |
Chariot Funding, LLC 1/7/20223 | 0.090 | 50,000 | 49,994 |
Chariot Funding, LLC 1/14/20223 | 0.120 | 15,000 | 14,998 |
American Funds Mortgage Fund — Page 11 of 15
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Short-term securities (continued) Commercial paper (continued) | Weighted average yield at acquisition | Principal amount (000) | Value (000) |
Chariot Funding, LLC 2/1/20223 | 0.130% | $40,000 | $39,990 |
CHARTA, LLC 12/10/20213 | 0.090 | 50,000 | 49,999 |
CHARTA, LLC 1/18/20223 | 0.100 | 30,000 | 29,995 |
CHARTA, LLC 3/7/20223 | 0.150 | 18,300 | 18,292 |
Coca-Cola Co. 2/15/20223 | 0.070 | 10,000 | 9,999 |
CRC Funding, LLC 1/14/20223 | 0.100 | 31,000 | 30,996 |
CRC Funding, LLC 3/3/20223 | 0.130 | 50,000 | 49,980 |
Crédit Agricole Corporate and Investment Bank, New York Branch 12/1/2021 | 0.050 | 25,100 | 25,100 |
ExxonMobil Corp. 12/3/2021 | 0.060 | 20,000 | 20,000 |
ExxonMobil Corp. 12/22/2021 | 0.060 | 50,000 | 49,998 |
Merck & Co., Inc. 12/3/20213 | 0.060 | 33,000 | 33,000 |
Merck & Co., Inc. 12/6/20213 | 0.057 | 75,000 | 74,999 |
Merck & Co., Inc. 12/7/20213 | 0.060 | 22,800 | 22,800 |
Merck & Co., Inc. 12/13/20213 | 0.060 | 30,000 | 29,999 |
Paccar Financial Corp. 12/3/2021 | 0.050 | 10,000 | 10,000 |
Paccar Financial Corp. 12/6/2021 | 0.050 | 10,000 | 10,000 |
Procter & Gamble Co. 1/10/20223 | 0.060 | 25,000 | 24,999 |
Procter & Gamble Co. 1/24/20223 | 0.060 | 40,000 | 39,996 |
Procter & Gamble Co. 2/22/20223 | 0.070 | 40,000 | 39,994 |
942,797 | |||
Total short-term securities (cost: $5,050,219,000) | 5,050,003 | ||
Total investment securities 135.68% (cost: $12,389,598,000) | 12,439,112 | ||
Other assets less liabilities (35.68)% | (3,271,005) | ||
Net assets 100.00% | $9,168,107 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | Value and unrealized (depreciation) appreciation at 11/30/2021 (000) |
2 Year U.S. Treasury Note Futures | Short | 91 | March 2022 | $(19,905) | $(4) |
5 Year U.S. Treasury Note Futures | Long | 623 | March 2022 | 75,631 | 630 |
10 Year U.S. Treasury Note Futures | Long | 1,256 | March 2022 | 164,301 | 2,245 |
10 Year Ultra U.S. Treasury Note Futures | Short | 1,366 | March 2022 | (200,653) | (3,879) |
20 Year U.S. Treasury Bond Futures | Long | 103 | March 2022 | 16,699 | 319 |
30 Year Ultra U.S. Treasury Bond Futures | Long | 257 | March 2022 | 51,545 | 1,805 |
$1,116 |
American Funds Mortgage Fund — Page 12 of 15
unaudited
Swap contracts
Interest rate swaps
Centrally cleared interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 11/30/2021 (000) | Upfront premium paid (received) (000) | Unrealized appreciation (depreciation) at 11/30/2021 (000) | |||
Rate | Payment frequency | Rate | Payment frequency | ||||||
3-month USD-LIBOR | Quarterly | 0.243% | Semi-annual | 5/2/2024 | $600,000 | $9,593 | $374 | $9,219 | |
3-month USD-LIBOR | Quarterly | 1.547% | Semi-annual | 10/25/2024 | 252,000 | (3,771) | — | (3,771) | |
3-month USD-LIBOR | Quarterly | 1.548% | Semi-annual | 10/28/2024 | 42,000 | (629) | — | (629) | |
3-month USD-LIBOR | Quarterly | 0.81% | Semi-annual | 7/28/2045 | 161,600 | 27,814 | (96) | 27,910 | |
3-month USD-LIBOR | Quarterly | 0.811% | Semi-annual | 7/27/2050 | 65,300 | 12,743 | — | 12,743 | |
$278 | $45,472 |
1 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
2 | Coupon rate may change periodically. Reference rate and spread are as of the most recent information available. Some coupon rates are determined by the issuer or agent based on current market conditions; therefore, the reference rate and spread are not available. For short-term securities, the date of the next scheduled coupon rate change is considered to be the maturity date. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $1,895,758,000, which represented 20.68% of the net assets of the fund. |
4 | Purchased on a TBA basis. |
5 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of the security was $1,156,000, which represented .01% of the net assets of the fund. |
6 | Value determined using significant unobservable inputs. |
7 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $45,091,000, which represented .49% of the net assets of the fund. |
8 | Index-linked bond whose principal amount moves with a government price index. |
Valuation disclosures
Capital Research and Management Company (“CRMC”), the fund’s investment adviser, values the fund’s investments at fair value as defined by accounting principles generally accepted in the United States of America. The net asset value per share is calculated once daily as of the close of regular trading on the New York Stock Exchange, normally 4 p.m. New York time, each day the New York Stock Exchange is open. Security transactions are recorded by the fund as of the date the trades are executed with brokers.
Methods and inputs — The fund’s investment adviser uses the following methods and inputs to establish the fair value of the fund’s assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.
American Funds Mortgage Fund — Page 13 of 15
unaudited
Fixed-income securities, including short-term securities, are generally valued at prices obtained from one or more pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income securities in which the fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income security.
Fixed-income class | Examples of standard inputs |
All | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”) |
Corporate bonds, notes & loans; convertible securities | Standard inputs and underlying equity of the issuer |
Bonds & notes of governments & government agencies | Standard inputs and interest rate volatilities |
Mortgage-backed; asset-backed obligations | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information |
When the fund’s investment adviser deems it appropriate to do so (such as when vendor prices are unavailable or deemed to be not representative), fixed-income securities will be valued in good faith at the mean quoted bid and ask prices that are reasonably and timely available (or bid prices, if ask prices are not available) or at prices for securities of comparable maturity, quality and type.
Exchange-traded futures are generally valued at the official settlement price of the exchange or market on which such instruments are traded, as of the close of business on the day the futures are being valued. The average month-end notional amount of futures contracts while held was $864,707,000. Interest rate swaps are generally valued by pricing vendors based on market inputs that include the index and term of index, reset frequency, payer/receiver, currency and pay frequency. The average month-end notional amount of interest rate swaps while held was $1,284,733,000.
Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the fund’s investment adviser are fair valued as determined in good faith under fair valuation guidelines adopted by authority of the fund’s board of trustees as further described. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. In addition, the closing prices of equity securities that trade in markets outside U.S. time zones may be adjusted to reflect significant events that occur after the close of local trading but before the net asset value of each share class of the fund is determined. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
Processes and structure — The fund’s board of trustees has delegated authority to the fund’s investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the “Fair Valuation Committee”) to administer, implement and oversee the fair valuation process, and to make fair value decisions. The Fair Valuation Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser’s valuation teams. The Fair Valuation Committee reviews changes in fair value measurements from period to period and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. The Fair Valuation Committee reports any changes to the fair valuation guidelines to the board of trustees. The fund’s board and audit committee also regularly review reports that describe fair value determinations and methods.
The fund’s investment adviser has also established a Fixed-Income Pricing Review Group to administer and oversee the fixed-income valuation process, including the use of fixed-income pricing vendors. This group regularly reviews pricing vendor information and market data. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews facilitated by the investment adviser’s global risk management group.
Classifications — The fund’s investment adviser classifies the fund’s assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Certain securities trading outside the U.S. may
American Funds Mortgage Fund — Page 14 of 15
unaudited
transfer between Level 1 and Level 2 due to valuation adjustments resulting from significant market movements following the close of local trading. Level 3 values are based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market. The following tables present the fund’s valuation levels as of November 30, 2021 (dollars in thousands):
Investment securities | ||||
Level 1 | Level 2 | Level 3 | Total | |
Assets: | ||||
Bonds, notes & other debt instruments: | ||||
Mortgage-backed obligations | $— | $5,272,409 | $1,156 | $5,273,565 |
U.S. Treasury bonds & notes | — | 1,784,234 | — | 1,784,234 |
Asset-backed obligations | — | 308,064 | — | 308,064 |
Bonds & notes of governments & government agencies outside the U.S. | — | 19,541 | — | 19,541 |
Corporate bonds, notes & loans | — | 3,705 | — | 3,705 |
Short-term securities | — | 5,050,003 | — | 5,050,003 |
Total | $— | $12,437,956 | $1,156 | $12,439,112 |
Other investments* | ||||
Level 1 | Level 2 | Level 3 | Total | |
Assets: | ||||
Unrealized appreciation on futures contracts | $4,999 | $— | $— | $4,999 |
Unrealized appreciation on interest rate swaps | — | 49,872 | — | 49,872 |
Liabilities: | ||||
Unrealized depreciation on futures contracts | (3,883) | — | — | (3,883) |
Unrealized depreciation on interest rate swaps | — | (4,400) | — | (4,400) |
Total | $1,116 | $45,472 | $— | $46,588 |
* | Futures contracts and interest rate swaps are not included in the fund’s investment portfolio. |
Key to abbreviations and symbol |
CLO = Collateralized Loan Obligations |
CMO = Collateralized Mortgage Obligations |
LIBOR = London Interbank Offered Rate |
TBA = To-be-announced |
USD/$ = U.S. dollars |
Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.
Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectus and summary prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at (800) 421-4225 or visit the Capital Group website at capitalgroup.com.
All Capital Group trademarks mentioned are owned by The Capital Group Companies, Inc., an affiliated company or fund. All other company and product names mentioned are the property of their respective companies.
American Funds Distributors, Inc., member FINRA.
© 2022 Capital Group. All rights reserved.
MFGEFP1-042-0122O-S85380 | American Funds Mortgage Fund — Page 15 of 15 |