|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities: 90.15%
|
|
|
|
|
|
|
|
FHLMC±±
|
|
6.77
%
|
6-1-2028
|
$
|
13,000
|
$12,900
|
|
FHLMC Multifamily Structured Pass-Through Certificates Series KF46
Class A (30 Day Average U.S. SOFR+0.33%)±
|
|
5.66
|
3-25-2028
|
|
81,925
|
81,640
|
|
FHLMC Multifamily Structured Pass-Through Certificates Series KF62
Class A (30 Day Average U.S. SOFR+0.59%)±
|
|
5.92
|
4-25-2026
|
|
1,272,398
|
1,273,374
|
|
FHLMC Multifamily Structured Pass-Through Certificates Series KF85
Class AL (30 Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
8-25-2030
|
|
137,999
|
137,317
|
|
FHLMC Multifamily Structured Pass-Through Certificates Series Q016
Class APT2±±
|
|
1.48
|
5-25-2051
|
|
3,621,324
|
3,221,659
|
|
FHLMC STRIPS Series 20 Class F±±
|
|
5.06
|
7-1-2029
|
|
597
|
601
|
|
FHLMC STRIPS Series 264 Class F1 (30 Day Average
U.S. SOFR+0.66%)±
|
|
5.99
|
7-15-2042
|
|
511,573
|
501,697
|
|
FHLMC STRIPS Series 319 Class F1 (30 Day Average
U.S. SOFR+0.56%)±
|
|
5.89
|
11-15-2043
|
|
742,909
|
723,922
|
|
FHLMC Structured Pass-Through Certificates Series T-16 Class A (30
Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
6-25-2029
|
|
710,084
|
673,938
|
|
FHLMC Structured Pass-Through Certificates Series T-20 Class A7 (30
Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
12-25-2029
|
|
1,608,476
|
1,567,212
|
|
FHLMC Structured Pass-Through Certificates Series T-21 Class A (30
Day Average U.S. SOFR+0.47%)±
|
|
5.80
|
10-25-2029
|
|
139,351
|
139,956
|
|
FHLMC Structured Pass-Through Certificates Series T-24 Class A (30
Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
6-25-2030
|
|
42,639
|
42,609
|
|
FHLMC Structured Pass-Through Certificates Series T-27 Class A (30
Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
10-25-2030
|
|
515,201
|
511,339
|
|
FHLMC Structured Pass-Through Certificates Series T-30 Class A7 (30
Day Average U.S. SOFR+0.35%)±
|
|
5.68
|
12-25-2030
|
|
490,417
|
455,986
|
|
FHLMC Structured Pass-Through Certificates Series T-35 Class A (30
Day Average U.S. SOFR+0.39%)±
|
|
5.72
|
9-25-2031
|
|
876,799
|
890,524
|
|
FHLMC Structured Pass-Through Certificates Series T-48 Class 2A±±
|
|
4.16
|
7-25-2033
|
|
856,529
|
782,267
|
|
FHLMC Structured Pass-Through Certificates Series T-54 Class 4A±±
|
|
4.22
|
2-25-2043
|
|
445,308
|
398,337
|
|
FHLMC Structured Pass-Through Certificates Series T-55 Class 1A1
|
|
6.50
|
3-25-2043
|
|
25,621
|
25,508
|
|
FHLMC Structured Pass-Through Certificates Series T-56 Class 3AF (30
Day Average U.S. SOFR+1.11%)±
|
|
6.44
|
5-25-2043
|
|
700,016
|
710,248
|
|
FHLMC Structured Pass-Through Certificates Series T-62 Class 1A1 (12
Month Treasury Average+1.20%)±
|
|
6.31
|
10-25-2044
|
|
1,244,925
|
1,126,184
|
|
FHLMC Structured Pass-Through Certificates Series T-63 Class 1A1 (12
Month Treasury Average+1.20%)±
|
|
6.31
|
2-25-2045
|
|
1,112,286
|
1,060,423
|
|
FHLMC Structured Pass-Through Certificates Series T-66 Class 2A1±±
|
|
5.12
|
1-25-2036
|
|
731,170
|
696,969
|
|
FHLMC Structured Pass-Through Certificates Series T-67
Class 1A1C±±
|
|
4.20
|
3-25-2036
|
|
1,778,204
|
1,623,741
|
|
FHLMC Structured Pass-Through Certificates Series T-67
Class 2A1C±±
|
|
4.24
|
3-25-2036
|
|
1,742,570
|
1,609,769
|
|
FHLMC (1 Year Treasury Constant Maturity+1.87%)±
|
|
5.96
|
5-1-2035
|
|
202,657
|
201,376
|
|
FHLMC (1 Year Treasury Constant Maturity+1.93%)±
|
|
6.11
|
8-1-2033
|
|
209,331
|
206,970
|
|
FHLMC (1 Year Treasury Constant Maturity+1.99%)±
|
|
6.11
|
11-1-2034
|
|
25,427
|
25,052
|
|
FHLMC (1 Year Treasury Constant Maturity+2.03%)±
|
|
4.17
|
3-1-2025
|
|
1,868
|
1,844
|
|
FHLMC (1 Year Treasury Constant Maturity+2.06%)±
|
|
6.17
|
12-1-2035
|
|
120,620
|
119,778
|
|
FHLMC (1 Year Treasury Constant Maturity+2.10%)±
|
|
6.30
|
10-1-2037
|
|
254,755
|
256,725
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FHLMC (1 Year Treasury Constant Maturity+2.16%)±
|
|
6.46
%
|
6-1-2033
|
$
|
231,178
|
$227,667
|
|
FHLMC (1 Year Treasury Constant Maturity+2.17%)±
|
|
7.11
|
5-1-2037
|
|
18,041
|
18,138
|
|
FHLMC (1 Year Treasury Constant Maturity+2.18%)±
|
|
6.35
|
6-1-2036
|
|
211,398
|
215,953
|
|
FHLMC (1 Year Treasury Constant Maturity+2.19%)±
|
|
6.45
|
1-1-2037
|
|
224,304
|
221,774
|
|
FHLMC (1 Year Treasury Constant Maturity+2.22%)±
|
|
6.34
|
12-1-2033
|
|
109,503
|
107,999
|
|
FHLMC (1 Year Treasury Constant Maturity+2.23%)±
|
|
6.23
|
11-1-2026
|
|
21,209
|
21,058
|
|
FHLMC (1 Year Treasury Constant Maturity+2.23%)±
|
|
6.35
|
2-1-2034
|
|
152,508
|
150,900
|
|
FHLMC (1 Year Treasury Constant Maturity+2.23%)±
|
|
6.52
|
5-1-2038
|
|
178,726
|
178,372
|
|
FHLMC (1 Year Treasury Constant Maturity+2.23%)±
|
|
6.82
|
4-1-2034
|
|
59,170
|
58,874
|
|
FHLMC (1 Year Treasury Constant Maturity+2.23%)±
|
|
7.11
|
4-1-2034
|
|
35,909
|
35,974
|
|
FHLMC (1 Year Treasury Constant Maturity+2.24%)±
|
|
6.36
|
4-1-2036
|
|
79,412
|
79,219
|
|
FHLMC (1 Year Treasury Constant Maturity+2.24%)±
|
|
6.54
|
8-1-2027
|
|
1,580
|
1,569
|
|
FHLMC (1 Year Treasury Constant Maturity+2.24%)±
|
|
7.12
|
3-1-2027
|
|
12,770
|
12,723
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.27
|
9-1-2033
|
|
35,547
|
36,602
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.36
|
1-1-2037
|
|
19,822
|
20,346
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.37
|
12-1-2034
|
|
73,345
|
72,849
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.38
|
4-1-2030
|
|
1,311
|
1,296
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.38
|
5-1-2034
|
|
22,908
|
23,079
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.38
|
2-1-2036
|
|
46,986
|
46,611
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.50
|
7-1-2038
|
|
4,094,194
|
4,184,077
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.54
|
2-1-2036
|
|
1,544,913
|
1,579,160
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.58
|
4-1-2038
|
|
247,405
|
249,271
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.59
|
6-1-2035
|
|
23,698
|
24,261
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.99
|
4-1-2034
|
|
18,595
|
18,363
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
7.13
|
5-1-2034
|
|
91,478
|
91,736
|
|
FHLMC (1 Year Treasury Constant Maturity+2.26%)±
|
|
6.46
|
4-1-2037
|
|
798,922
|
820,184
|
|
FHLMC (1 Year Treasury Constant Maturity+2.27%)±
|
|
6.40
|
11-1-2029
|
|
21,638
|
21,474
|
|
FHLMC (1 Year Treasury Constant Maturity+2.27%)±
|
|
6.48
|
9-1-2038
|
|
1,291,856
|
1,323,047
|
|
FHLMC (1 Year Treasury Constant Maturity+2.27%)±
|
|
6.52
|
9-1-2036
|
|
3,949,301
|
4,048,501
|
|
FHLMC (1 Year Treasury Constant Maturity+2.28%)±
|
|
6.24
|
7-1-2034
|
|
70,355
|
69,496
|
|
FHLMC (1 Year Treasury Constant Maturity+2.28%)±
|
|
6.28
|
10-1-2036
|
|
39,632
|
39,299
|
|
FHLMC (1 Year Treasury Constant Maturity+2.28%)±
|
|
6.41
|
1-1-2035
|
|
108,038
|
106,673
|
|
FHLMC (1 Year Treasury Constant Maturity+2.29%)±
|
|
6.33
|
11-1-2027
|
|
68,522
|
68,067
|
|
FHLMC (1 Year Treasury Constant Maturity+2.29%)±
|
|
6.88
|
9-1-2033
|
|
122,943
|
122,344
|
|
FHLMC (1 Year Treasury Constant Maturity+2.31%)±
|
|
6.10
|
7-1-2027
|
|
73,649
|
73,720
|
|
FHLMC (1 Year Treasury Constant Maturity+2.34%)±
|
|
6.50
|
4-1-2032
|
|
452,880
|
454,544
|
|
FHLMC (1 Year Treasury Constant Maturity+2.35%)±
|
|
6.35
|
7-1-2038
|
|
129,479
|
129,309
|
|
FHLMC (1 Year Treasury Constant Maturity+2.35%)±
|
|
6.70
|
10-1-2033
|
|
222,234
|
220,372
|
|
FHLMC (1 Year Treasury Constant Maturity+2.36%)±
|
|
6.36
|
1-1-2028
|
|
1,944
|
1,933
|
|
FHLMC (1 Year Treasury Constant Maturity+2.36%)±
|
|
6.47
|
2-1-2035
|
|
213,784
|
210,995
|
|
FHLMC (1 Year Treasury Constant Maturity+2.36%)±
|
|
6.61
|
1-1-2028
|
|
619
|
615
|
|
FHLMC (1 Year Treasury Constant Maturity+2.36%)±
|
|
7.23
|
4-1-2038
|
|
555,293
|
559,262
|
|
FHLMC (1 Year Treasury Constant Maturity+2.37%)±
|
|
4.51
|
7-1-2031
|
|
14,717
|
14,273
|
|
FHLMC (1 Year Treasury Constant Maturity+2.38%)±
|
|
6.66
|
2-1-2034
|
|
951,281
|
966,316
|
|
FHLMC (1 Year Treasury Constant Maturity+2.39%)±
|
|
6.80
|
1-1-2037
|
|
404,672
|
416,113
|
|
FHLMC (1 Year Treasury Constant Maturity+2.40%)±
|
|
6.40
|
7-1-2031
|
|
20,823
|
20,698
|
|
FHLMC (1 Year Treasury Constant Maturity+2.40%)±
|
|
6.40
|
9-1-2031
|
|
24,102
|
23,967
|
|
FHLMC (1 Year Treasury Constant Maturity+2.40%)±
|
|
6.45
|
6-1-2035
|
|
150,013
|
151,922
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FHLMC (1 Year Treasury Constant Maturity+2.40%)±
|
|
7.08
%
|
11-1-2029
|
$
|
17,598
|
$17,452
|
|
FHLMC (1 Year Treasury Constant Maturity+2.40%)±
|
|
7.34
|
7-1-2029
|
|
9,748
|
9,765
|
|
FHLMC (1 Year Treasury Constant Maturity+2.43%)±
|
|
5.43
|
6-1-2025
|
|
5,054
|
5,001
|
|
FHLMC (1 Year Treasury Constant Maturity+2.47%)±
|
|
6.22
|
7-1-2034
|
|
85,669
|
85,299
|
|
FHLMC (1 Year Treasury Constant Maturity+2.47%)±
|
|
7.47
|
6-1-2035
|
|
109,807
|
110,230
|
|
FHLMC (1 Year Treasury Constant Maturity+2.48%)±
|
|
6.60
|
6-1-2030
|
|
12,726
|
12,604
|
|
FHLMC (1 Year Treasury Constant Maturity+2.48%)±
|
|
6.61
|
6-1-2030
|
|
92,619
|
92,309
|
|
FHLMC (1 Year Treasury Constant Maturity+2.48%)±
|
|
6.73
|
2-1-2030
|
|
16,824
|
16,860
|
|
FHLMC (1 Year Treasury Constant Maturity+2.48%)±
|
|
7.35
|
6-1-2030
|
|
10,642
|
10,548
|
|
FHLMC (1 Year Treasury Constant Maturity+2.49%)±
|
|
6.63
|
12-1-2032
|
|
48,453
|
48,117
|
|
FHLMC (1 Year Treasury Constant Maturity+2.52%)±
|
|
4.77
|
11-1-2029
|
|
29,143
|
28,191
|
|
FHLMC (1 Year Treasury Constant Maturity+2.55%)±
|
|
6.67
|
9-1-2029
|
|
13,591
|
13,436
|
|
FHLMC (1 Year Treasury Constant Maturity+2.60%)±
|
|
7.48
|
6-1-2032
|
|
111,523
|
111,806
|
|
FHLMC (1 Year Treasury Constant Maturity+2.61%)±
|
|
4.99
|
9-1-2030
|
|
20,503
|
19,724
|
|
FHLMC (1 Year Treasury Constant Maturity+2.69%)±
|
|
7.06
|
5-1-2028
|
|
46,130
|
45,706
|
|
FHLMC (1 Year Treasury Constant Maturity+2.86%)±
|
|
7.74
|
9-1-2030
|
|
10,101
|
10,103
|
|
FHLMC (11th District COFI+1.25%)±
|
|
4.40
|
1-1-2030
|
|
1,547
|
1,498
|
|
FHLMC (11th District COFI+1.25%)±
|
|
4.40
|
7-1-2030
|
|
52,299
|
50,537
|
|
FHLMC (11th District COFI+1.25%)±
|
|
4.80
|
11-1-2030
|
|
5,793
|
5,631
|
|
FHLMC (11th District COFI+1.28%)±
|
|
4.44
|
2-1-2035
|
|
6,767
|
6,701
|
|
FHLMC (12 Month Treasury Average+2.12%)±
|
|
5.83
|
5-1-2028
|
|
24,801
|
24,564
|
|
FHLMC (12 Month Treasury Average+2.45%)±
|
|
5.02
|
10-1-2029
|
|
39,570
|
39,351
|
|
FHLMC (3 Year Treasury Constant Maturity+2.40%)±
|
|
4.88
|
5-1-2031
|
|
24,149
|
23,672
|
|
FHLMC (3 Year Treasury Constant Maturity+2.44%)±
|
|
5.10
|
5-1-2032
|
|
46,801
|
46,055
|
|
FHLMC (3 Year Treasury Constant Maturity+2.84%)±
|
|
5.24
|
6-1-2035
|
|
133,672
|
131,369
|
|
FHLMC (5 Year Treasury Constant Maturity+2.13%)±
|
|
4.00
|
8-1-2029
|
|
2,699
|
2,677
|
|
FHLMC (5 Year Treasury Constant Maturity+2.44%)±
|
|
3.57
|
8-1-2027
|
|
12,271
|
11,857
|
|
FHLMC (RFUCCT1Y+1.51%)±
|
|
5.76
|
2-1-2037
|
|
39,354
|
39,129
|
|
FHLMC (RFUCCT1Y+1.61%)±
|
|
6.17
|
7-1-2044
|
|
71,874
|
73,246
|
|
FHLMC (RFUCCT1Y+1.62%)±
|
|
2.88
|
11-1-2047
|
|
2,028,941
|
1,966,227
|
|
FHLMC (RFUCCT1Y+1.62%)±
|
|
6.18
|
7-1-2045
|
|
318,642
|
323,647
|
|
FHLMC (RFUCCT1Y+1.64%)±
|
|
2.62
|
6-1-2050
|
|
2,266,436
|
2,016,499
|
|
FHLMC (RFUCCT1Y+1.67%)±
|
|
6.17
|
8-1-2035
|
|
103,238
|
103,025
|
|
FHLMC (RFUCCT1Y+1.72%)±
|
|
6.19
|
5-1-2037
|
|
381,960
|
390,231
|
|
FHLMC (RFUCCT1Y+1.73%)±
|
|
5.98
|
1-1-2035
|
|
134,667
|
134,310
|
|
FHLMC (RFUCCT1Y+1.74%)±
|
|
5.99
|
12-1-2036
|
|
104,207
|
106,877
|
|
FHLMC (RFUCCT1Y+1.75%)±
|
|
6.88
|
6-1-2033
|
|
141,894
|
141,990
|
|
FHLMC (RFUCCT1Y+1.75%)±
|
|
6.91
|
5-1-2033
|
|
41,497
|
41,310
|
|
FHLMC (RFUCCT1Y+1.75%)±
|
|
7.02
|
4-1-2035
|
|
64,402
|
63,877
|
|
FHLMC (RFUCCT1Y+1.77%)±
|
|
6.02
|
6-1-2035
|
|
114,496
|
113,446
|
|
FHLMC (RFUCCT1Y+1.77%)±
|
|
6.21
|
9-1-2037
|
|
112,825
|
115,494
|
|
FHLMC (RFUCCT1Y+1.77%)±
|
|
6.42
|
9-1-2039
|
|
526,262
|
538,908
|
|
FHLMC (RFUCCT1Y+1.77%)±
|
|
6.47
|
10-1-2036
|
|
122,772
|
125,924
|
|
FHLMC (RFUCCT1Y+1.77%)±
|
|
6.63
|
10-1-2035
|
|
349,560
|
349,284
|
|
FHLMC (RFUCCT1Y+1.77%)±
|
|
6.98
|
8-1-2042
|
|
86,862
|
88,929
|
|
FHLMC (RFUCCT1Y+1.78%)±
|
|
6.03
|
11-1-2035
|
|
54,609
|
54,720
|
|
FHLMC (RFUCCT1Y+1.80%)±
|
|
6.14
|
1-1-2040
|
|
753,023
|
774,000
|
|
FHLMC (RFUCCT1Y+1.80%)±
|
|
6.26
|
10-1-2043
|
|
1,883,604
|
1,927,927
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FHLMC (RFUCCT1Y+1.80%)±
|
|
6.86
%
|
8-1-2037
|
$
|
492,154
|
$505,250
|
|
FHLMC (RFUCCT1Y+1.81%)±
|
|
6.19
|
9-1-2037
|
|
108,709
|
111,681
|
|
FHLMC (RFUCCT1Y+1.81%)±
|
|
6.45
|
4-1-2035
|
|
366,580
|
367,775
|
|
FHLMC (RFUCCT1Y+1.81%)±
|
|
6.48
|
5-1-2039
|
|
166,428
|
166,293
|
|
FHLMC (RFUCCT1Y+1.83%)±
|
|
6.27
|
6-1-2043
|
|
2,225,226
|
2,289,747
|
|
FHLMC (RFUCCT1Y+1.85%)±
|
|
6.23
|
7-1-2038
|
|
431,882
|
441,253
|
|
FHLMC (RFUCCT1Y+1.87%)±
|
|
6.26
|
9-1-2036
|
|
177,037
|
177,849
|
|
FHLMC (RFUCCT1Y+1.87%)±
|
|
7.25
|
5-1-2035
|
|
9,171
|
9,065
|
|
FHLMC (RFUCCT1Y+1.88%)±
|
|
6.63
|
4-1-2037
|
|
70,531
|
70,335
|
|
FHLMC (RFUCCT1Y+1.91%)±
|
|
6.63
|
3-1-2032
|
|
89,123
|
89,009
|
|
FHLMC (RFUCCT1Y+1.93%)±
|
|
6.20
|
4-1-2035
|
|
435,591
|
434,456
|
|
FHLMC (RFUCCT1Y+1.93%)±
|
|
7.30
|
4-1-2037
|
|
32,505
|
32,255
|
|
FHLMC (RFUCCT1Y+1.99%)±
|
|
6.24
|
7-1-2036
|
|
99,925
|
99,665
|
|
FHLMC (RFUCCT1Y+2.06%)±
|
|
6.72
|
3-1-2038
|
|
421,156
|
433,275
|
|
FHLMC (RFUCCT6M+1.42%)±
|
|
5.67
|
2-1-2037
|
|
1,317
|
1,310
|
|
FHLMC (RFUCCT6M+1.69%)±
|
|
6.31
|
1-1-2037
|
|
318,698
|
323,660
|
|
FHLMC (RFUCCT6M+1.83%)±
|
|
6.81
|
6-1-2037
|
|
118,578
|
117,056
|
|
FHLMC (RFUCCT6M+2.12%)±
|
|
6.91
|
5-1-2037
|
|
18,372
|
18,130
|
|
FHLMC (RFUCCT6M+2.22%)±
|
|
6.96
|
6-1-2026
|
|
27,697
|
27,445
|
|
FHLMC (RFUCCT6M+3.83%)±
|
|
8.21
|
11-1-2026
|
|
4,643
|
4,600
|
|
FHLMC Series 2315 Class FW (30 Day Average U.S. SOFR+0.66%)±
|
|
5.99
|
4-15-2027
|
|
8,657
|
8,640
|
|
FHLMC Series 2391 Class EF (30 Day Average U.S. SOFR+0.61%)±
|
|
5.94
|
6-15-2031
|
|
18,549
|
18,415
|
|
FHLMC Series 2454 Class SL (30 Day Average U.S. SOFR+7.89%)ı
|
|
2.56
|
3-15-2032
|
|
42,650
|
3,354
|
|
FHLMC Series 2461 Class FI (30 Day Average U.S. SOFR+0.61%)±
|
|
5.94
|
4-15-2028
|
|
17,156
|
17,104
|
|
FHLMC Series 2464 Class FE (30 Day Average U.S. SOFR+1.11%)±
|
|
6.44
|
3-15-2032
|
|
27,797
|
27,974
|
|
FHLMC Series 2466 Class FV (30 Day Average U.S. SOFR+0.66%)±
|
|
5.99
|
3-15-2032
|
|
49,494
|
49,283
|
|
FHLMC Series 2538 Class F (30 Day Average U.S. SOFR+0.71%)±
|
|
6.04
|
12-15-2032
|
|
113,465
|
113,298
|
|
FHLMC Series 3067 Class FA (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
11-15-2035
|
|
422,842
|
416,453
|
|
FHLMC Series 3114 Class FT (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
9-15-2030
|
|
120,519
|
119,945
|
|
FHLMC Series 3140 Class GF (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
3-15-2036
|
|
358,991
|
353,212
|
|
FHLMC Series 3146 Class FP (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
4-15-2036
|
|
323,632
|
318,838
|
|
FHLMC Series 3149 Class FB (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
5-15-2036
|
|
525,866
|
519,542
|
|
FHLMC Series 3240 Class FM (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
11-15-2036
|
|
567,729
|
558,106
|
|
FHLMC Series 3284 Class CF (30 Day Average U.S. SOFR+0.48%)±
|
|
5.81
|
3-15-2037
|
|
371,602
|
363,691
|
|
FHLMC Series 3286 Class FA (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
3-15-2037
|
|
47,644
|
46,382
|
|
FHLMC Series 3311 Class KF (30 Day Average U.S. SOFR+0.45%)±
|
|
5.78
|
5-15-2037
|
|
645,849
|
632,711
|
|
FHLMC Series 3312 Class FN (30 Day Average U.S. SOFR+0.33%)±
|
|
5.66
|
7-15-2036
|
|
565,991
|
554,014
|
|
FHLMC Series 3436 Class A±±
|
|
6.07
|
11-15-2036
|
|
196,771
|
199,214
|
|
FHLMC Series 3684 Class FM (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
11-15-2036
|
|
725,611
|
710,436
|
|
FHLMC Series 3753 Class FA (30 Day Average U.S. SOFR+0.61%)±
|
|
5.94
|
11-15-2040
|
|
928,694
|
910,959
|
|
FHLMC Series 3757 Class PF (30 Day Average U.S. SOFR+0.61%)±
|
|
5.94
|
8-15-2040
|
|
195,537
|
194,560
|
|
FHLMC Series 3822 Class FY (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
2-15-2033
|
|
350,915
|
348,628
|
|
FHLMC Series 3827 Class DF (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
3-15-2041
|
|
108,735
|
106,664
|
|
FHLMC Series 3925 Class FL (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
1-15-2041
|
|
28,571
|
28,468
|
|
FHLMC Series 3997 Class FQ (30 Day Average U.S. SOFR+0.61%)±
|
|
5.94
|
2-15-2042
|
|
400,061
|
392,092
|
|
FHLMC Series 4013 Class QF (30 Day Average U.S. SOFR+0.66%)±
|
|
5.99
|
3-15-2041
|
|
172,273
|
171,381
|
|
FHLMC Series 4039 Class FA (30 Day Average U.S. SOFR+0.61%)±
|
|
5.94
|
5-15-2042
|
|
650,577
|
641,275
|
|
FHLMC Series 4136 Class DF (30 Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
11-15-2042
|
|
404,912
|
392,131
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FHLMC Series 4143 Class KF (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
%
|
9-15-2037
|
$
|
1,008,965
|
$974,504
|
|
FHLMC Series 4248 Class FL (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
5-15-2041
|
|
153,836
|
151,644
|
|
FHLMC Series 4316 Class JF (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
1-15-2044
|
|
579,361
|
567,109
|
|
FHLMC Series 4474 Class WF (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
12-15-2036
|
|
800,640
|
783,170
|
|
FHLMC Series 4477 Class FG (30 Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
10-15-2040
|
|
816,275
|
795,912
|
|
FHLMC Series 4503 Class FA (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
2-15-2042
|
|
1,012,316
|
977,324
|
|
FHLMC Series 4515 Class FA (30 Day Average U.S. SOFR+0.48%)±
|
|
5.81
|
8-15-2038
|
|
137,495
|
136,545
|
|
FHLMC Series 4624 Class FA (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
12-15-2038
|
|
1,696,866
|
1,694,954
|
|
FHLMC Series 4678 Class AF (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
12-15-2042
|
|
725,571
|
719,623
|
|
FHLMC Series 4691 Class FA (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
6-15-2047
|
|
406,043
|
393,179
|
|
FHLMC Series 4707 Class FD (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
9-15-2044
|
|
2,017,741
|
2,007,083
|
|
FHLMC Series 4754 Class FM (30 Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
2-15-2048
|
|
1,005,392
|
971,737
|
|
FHLMC Series 4779 Class WF (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
7-15-2044
|
|
991,960
|
988,477
|
|
FHLMC Series 4821 Class FA (30 Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
7-15-2048
|
|
292,364
|
282,157
|
|
FHLMC Series 4831 Class FD (30 Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
10-15-2048
|
|
956,966
|
924,218
|
|
FHLMC Series 4842 Class FA (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
11-15-2048
|
|
708,072
|
685,318
|
|
FHLMC Series 4906 Class WF (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
12-15-2038
|
|
1,292,544
|
1,281,323
|
|
FHLMC Series 4908 Class FA (30 Day Average U.S. SOFR+0.55%)±
|
|
5.88
|
12-15-2042
|
|
1,178,934
|
1,180,981
|
|
FHLMC Series 4915 Class FE (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
2-15-2038
|
|
3,054,415
|
3,039,445
|
|
FHLMC Series 4921 Class FN (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
10-25-2049
|
|
832,348
|
810,442
|
|
FHLMC Series 4925 Class WF (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
8-15-2038
|
|
2,728,147
|
2,689,621
|
|
FHLMC Series 4925 Class FY (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
10-25-2049
|
|
287,275
|
278,818
|
|
FHLMC Series 4933 Class FA (30 Day Average U.S. SOFR+0.61%)±
|
|
5.94
|
12-25-2049
|
|
875,930
|
854,255
|
|
FNMA±±
|
|
4.49
|
8-1-2026
|
|
503
|
500
|
|
FNMA±±
|
|
5.15
|
2-1-2033
|
|
81,866
|
81,178
|
|
FNMA
|
|
6.50
|
5-1-2031
|
|
18,908
|
19,276
|
|
FNMA
|
|
7.06
|
1-1-2027
|
|
3,443
|
3,537
|
|
FNMA
|
|
7.50
|
1-1-2031
|
|
10,856
|
10,832
|
|
FNMA
|
|
7.50
|
1-1-2033
|
|
25,670
|
25,620
|
|
FNMA
|
|
7.50
|
5-1-2033
|
|
52,067
|
51,956
|
|
FNMA
|
|
7.50
|
8-1-2033
|
|
31,091
|
31,021
|
|
FNMA
|
|
8.00
|
12-1-2026
|
|
10,535
|
10,523
|
|
FNMA
|
|
8.00
|
3-1-2030
|
|
5
|
5
|
|
FNMA
|
|
8.00
|
5-1-2033
|
|
26,538
|
26,417
|
|
FNMA (1 Year Treasury Constant Maturity+1.50%)±
|
|
5.75
|
8-1-2030
|
|
139,367
|
138,892
|
|
FNMA (1 Year Treasury Constant Maturity+1.52%)±
|
|
5.52
|
8-1-2033
|
|
309,165
|
308,298
|
|
FNMA (1 Year Treasury Constant Maturity+1.58%)±
|
|
5.87
|
3-1-2034
|
|
156,217
|
154,751
|
|
FNMA (1 Year Treasury Constant Maturity+1.63%)±
|
|
6.63
|
11-1-2029
|
|
3,333
|
3,294
|
|
FNMA (1 Year Treasury Constant Maturity+1.66%)±
|
|
5.69
|
7-1-2048
|
|
294,205
|
296,813
|
|
FNMA (1 Year Treasury Constant Maturity+1.70%)±
|
|
5.82
|
2-1-2033
|
|
103,507
|
102,774
|
|
FNMA (1 Year Treasury Constant Maturity+1.76%)±
|
|
5.51
|
8-1-2032
|
|
24,901
|
24,875
|
|
FNMA (1 Year Treasury Constant Maturity+1.85%)±
|
|
5.88
|
7-1-2038
|
|
246,792
|
244,824
|
|
FNMA (1 Year Treasury Constant Maturity+1.88%)±
|
|
5.63
|
8-1-2031
|
|
21,803
|
21,784
|
|
FNMA (1 Year Treasury Constant Maturity+1.96%)±
|
|
6.96
|
3-1-2032
|
|
11,085
|
11,121
|
|
FNMA (1 Year Treasury Constant Maturity+2.03%)±
|
|
6.42
|
12-1-2032
|
|
120,422
|
119,950
|
|
FNMA (1 Year Treasury Constant Maturity+2.07%)±
|
|
6.35
|
12-1-2033
|
|
100,599
|
100,194
|
|
FNMA (1 Year Treasury Constant Maturity+2.09%)±
|
|
6.23
|
4-1-2040
|
|
41,181
|
42,027
|
|
FNMA (1 Year Treasury Constant Maturity+2.10%)±
|
|
6.17
|
9-1-2036
|
|
105,240
|
104,885
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FNMA (1 Year Treasury Constant Maturity+2.10%)±
|
|
6.97
%
|
7-1-2035
|
$
|
33,061
|
$32,980
|
|
FNMA (1 Year Treasury Constant Maturity+2.11%)±
|
|
6.01
|
7-1-2035
|
|
67,365
|
67,506
|
|
FNMA (1 Year Treasury Constant Maturity+2.12%)±
|
|
7.00
|
3-1-2031
|
|
9,950
|
9,938
|
|
FNMA (1 Year Treasury Constant Maturity+2.15%)±
|
|
6.15
|
2-1-2033
|
|
26,464
|
26,497
|
|
FNMA (1 Year Treasury Constant Maturity+2.16%)±
|
|
6.43
|
5-1-2036
|
|
438,135
|
442,679
|
|
FNMA (1 Year Treasury Constant Maturity+2.17%)±
|
|
5.95
|
9-1-2030
|
|
11,173
|
11,156
|
|
FNMA (1 Year Treasury Constant Maturity+2.17%)±
|
|
6.29
|
12-1-2039
|
|
69,067
|
68,872
|
|
FNMA (1 Year Treasury Constant Maturity+2.18%)±
|
|
6.21
|
1-1-2036
|
|
56,745
|
56,583
|
|
FNMA (1 Year Treasury Constant Maturity+2.18%)±
|
|
6.22
|
9-1-2035
|
|
283,148
|
291,745
|
|
FNMA (1 Year Treasury Constant Maturity+2.18%)±
|
|
6.30
|
12-1-2024
|
|
2,500
|
2,489
|
|
FNMA (1 Year Treasury Constant Maturity+2.18%)±
|
|
6.39
|
1-1-2036
|
|
191,191
|
190,649
|
|
FNMA (1 Year Treasury Constant Maturity+2.18%)±
|
|
6.49
|
6-1-2035
|
|
42,193
|
42,273
|
|
FNMA (1 Year Treasury Constant Maturity+2.18%)±
|
|
6.66
|
6-1-2027
|
|
18,634
|
18,597
|
|
FNMA (1 Year Treasury Constant Maturity+2.19%)±
|
|
6.19
|
8-1-2033
|
|
185,667
|
185,243
|
|
FNMA (1 Year Treasury Constant Maturity+2.19%)±
|
|
6.38
|
9-1-2033
|
|
74,976
|
74,638
|
|
FNMA (1 Year Treasury Constant Maturity+2.19%)±
|
|
6.40
|
12-1-2040
|
|
1,091,059
|
1,118,359
|
|
FNMA (1 Year Treasury Constant Maturity+2.19%)±
|
|
6.44
|
3-1-2035
|
|
142,213
|
141,328
|
|
FNMA (1 Year Treasury Constant Maturity+2.20%)±
|
|
6.51
|
12-1-2040
|
|
1,991,623
|
2,041,056
|
|
FNMA (1 Year Treasury Constant Maturity+2.20%)±
|
|
6.57
|
5-1-2034
|
|
180,577
|
178,703
|
|
FNMA (1 Year Treasury Constant Maturity+2.21%)±
|
|
6.44
|
8-1-2035
|
|
182,130
|
184,144
|
|
FNMA (1 Year Treasury Constant Maturity+2.21%)±
|
|
6.49
|
10-1-2034
|
|
405,227
|
415,689
|
|
FNMA (1 Year Treasury Constant Maturity+2.21%)±
|
|
6.50
|
1-1-2033
|
|
50,655
|
50,632
|
|
FNMA (1 Year Treasury Constant Maturity+2.21%)±
|
|
6.92
|
5-1-2037
|
|
264,994
|
264,434
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
4.71
|
7-1-2029
|
|
79,118
|
77,211
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
5.97
|
7-1-2035
|
|
9,118
|
9,129
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
6.16
|
7-1-2035
|
|
161,867
|
163,919
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
6.35
|
8-1-2031
|
|
64,363
|
63,638
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
6.35
|
10-1-2034
|
|
82,544
|
82,014
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
6.40
|
12-1-2040
|
|
866,482
|
888,286
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
6.51
|
9-1-2035
|
|
502,075
|
509,417
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
7.22
|
6-1-2035
|
|
120,766
|
121,903
|
|
FNMA (1 Year Treasury Constant Maturity+2.23%)±
|
|
6.46
|
7-1-2038
|
|
1,093,966
|
1,124,752
|
|
FNMA (1 Year Treasury Constant Maturity+2.23%)±
|
|
6.51
|
7-1-2037
|
|
82,036
|
84,576
|
|
FNMA (1 Year Treasury Constant Maturity+2.24%)±
|
|
6.47
|
11-1-2038
|
|
1,199,818
|
1,234,915
|
|
FNMA (1 Year Treasury Constant Maturity+2.24%)±
|
|
6.51
|
1-1-2037
|
|
193,670
|
193,751
|
|
FNMA (1 Year Treasury Constant Maturity+2.24%)±
|
|
6.51
|
4-1-2038
|
|
209,847
|
209,686
|
|
FNMA (1 Year Treasury Constant Maturity+2.24%)±
|
|
6.62
|
7-1-2028
|
|
30
|
30
|
|
FNMA (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.47
|
10-1-2036
|
|
153,966
|
158,200
|
|
FNMA (1 Year Treasury Constant Maturity+2.28%)±
|
|
6.28
|
9-1-2026
|
|
6,434
|
6,407
|
|
FNMA (1 Year Treasury Constant Maturity+2.29%)±
|
|
6.29
|
12-1-2030
|
|
12,254
|
12,250
|
|
FNMA (1 Year Treasury Constant Maturity+2.29%)±
|
|
6.45
|
1-1-2031
|
|
22,046
|
21,879
|
|
FNMA (1 Year Treasury Constant Maturity+2.29%)±
|
|
6.46
|
6-1-2037
|
|
521,442
|
533,899
|
|
FNMA (1 Year Treasury Constant Maturity+2.29%)±
|
|
6.67
|
7-1-2030
|
|
43,232
|
43,063
|
|
FNMA (1 Year Treasury Constant Maturity+2.30%)±
|
|
7.17
|
1-1-2026
|
|
8,510
|
8,479
|
|
FNMA (1 Year Treasury Constant Maturity+2.31%)±
|
|
6.24
|
5-1-2033
|
|
94,345
|
93,927
|
|
FNMA (1 Year Treasury Constant Maturity+2.31%)±
|
|
6.49
|
12-1-2034
|
|
58,156
|
58,251
|
|
FNMA (1 Year Treasury Constant Maturity+2.31%)±
|
|
6.52
|
12-1-2030
|
|
111,882
|
111,604
|
|
FNMA (1 Year Treasury Constant Maturity+2.32%)±
|
|
6.44
|
5-1-2025
|
|
2,328
|
2,320
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FNMA (1 Year Treasury Constant Maturity+2.32%)±
|
|
6.57
%
|
4-1-2028
|
$
|
17,401
|
$17,262
|
|
FNMA (1 Year Treasury Constant Maturity+2.33%)±
|
|
6.33
|
11-1-2024
|
|
734
|
731
|
|
FNMA (1 Year Treasury Constant Maturity+2.35%)±
|
|
6.81
|
9-1-2037
|
|
26,188
|
26,146
|
|
FNMA (1 Year Treasury Constant Maturity+2.35%)±
|
|
7.23
|
6-1-2027
|
|
12,650
|
12,614
|
|
FNMA (1 Year Treasury Constant Maturity+2.36%)±
|
|
6.41
|
11-1-2034
|
|
96,667
|
99,492
|
|
FNMA (1 Year Treasury Constant Maturity+2.36%)±
|
|
6.48
|
5-1-2034
|
|
46,725
|
46,593
|
|
FNMA (1 Year Treasury Constant Maturity+2.37%)±
|
|
4.51
|
9-1-2030
|
|
167,175
|
161,748
|
|
FNMA (1 Year Treasury Constant Maturity+2.37%)±
|
|
6.50
|
7-1-2027
|
|
6,166
|
6,124
|
|
FNMA (1 Year Treasury Constant Maturity+2.38%)±
|
|
6.38
|
7-1-2027
|
|
27,061
|
26,987
|
|
FNMA (1 Year Treasury Constant Maturity+2.40%)±
|
|
6.53
|
9-1-2033
|
|
211,116
|
210,604
|
|
FNMA (1 Year Treasury Constant Maturity+2.41%)±
|
|
7.18
|
5-1-2027
|
|
15,775
|
15,702
|
|
FNMA (1 Year Treasury Constant Maturity+2.44%)±
|
|
6.97
|
7-1-2037
|
|
638,109
|
650,183
|
|
FNMA (1 Year Treasury Constant Maturity+2.46%)±
|
|
6.79
|
5-1-2033
|
|
22,504
|
22,418
|
|
FNMA (1 Year Treasury Constant Maturity+2.47%)±
|
|
6.47
|
9-1-2028
|
|
18,716
|
18,658
|
|
FNMA (1 Year Treasury Constant Maturity+2.48%)±
|
|
6.55
|
7-1-2028
|
|
40,174
|
39,935
|
|
FNMA (1 Year Treasury Constant Maturity+2.49%)±
|
|
6.61
|
5-1-2035
|
|
268,987
|
273,193
|
|
FNMA (1 Year Treasury Constant Maturity+2.49%)±
|
|
6.74
|
4-1-2038
|
|
128,657
|
127,448
|
|
FNMA (1 Year Treasury Constant Maturity+2.49%)±
|
|
7.49
|
7-1-2037
|
|
69,148
|
69,723
|
|
FNMA (1 Year Treasury Constant Maturity+2.50%)±
|
|
4.86
|
9-1-2030
|
|
94,618
|
91,952
|
|
FNMA (1 Year Treasury Constant Maturity+2.50%)±
|
|
6.63
|
6-1-2032
|
|
56,715
|
56,271
|
|
FNMA (1 Year Treasury Constant Maturity+2.50%)±
|
|
7.37
|
10-1-2029
|
|
74,632
|
74,525
|
|
FNMA (1 Year Treasury Constant Maturity+2.50%)±
|
|
7.38
|
3-1-2027
|
|
6,057
|
6,036
|
|
FNMA (1 Year Treasury Constant Maturity+2.52%)±
|
|
6.64
|
11-1-2024
|
|
2,005
|
1,996
|
|
FNMA (1 Year Treasury Constant Maturity+2.60%)±
|
|
6.72
|
10-1-2025
|
|
1,493
|
1,486
|
|
FNMA (1 Year Treasury Constant Maturity+2.64%)±
|
|
6.77
|
10-1-2028
|
|
10,123
|
10,021
|
|
FNMA (1 Year Treasury Constant Maturity+2.64%)±
|
|
7.13
|
7-1-2028
|
|
20,099
|
20,056
|
|
FNMA (1 Year Treasury Constant Maturity+2.64%)±
|
|
7.52
|
3-1-2030
|
|
2,436
|
2,426
|
|
FNMA (1 Year Treasury Constant Maturity+2.70%)±
|
|
7.52
|
5-1-2035
|
|
428,516
|
429,085
|
|
FNMA (1 Year Treasury Constant Maturity+2.72%)±
|
|
7.10
|
8-1-2035
|
|
86,245
|
85,986
|
|
FNMA (1 Year Treasury Constant Maturity+2.89%)±
|
|
6.70
|
9-1-2030
|
|
60,306
|
60,178
|
|
FNMA (1 Year Treasury Constant Maturity+3.03%)±
|
|
7.16
|
1-1-2029
|
|
12,360
|
12,351
|
|
FNMA (11th District COFI+1.25%)±
|
|
4.43
|
4-1-2034
|
|
64,976
|
62,265
|
|
FNMA (11th District COFI+1.26%)±
|
|
4.44
|
1-1-2035
|
|
73,793
|
70,928
|
|
FNMA (11th District COFI+1.27%)±
|
|
4.42
|
3-1-2033
|
|
29,856
|
28,972
|
|
FNMA (11th District COFI+1.27%)±
|
|
5.20
|
1-1-2038
|
|
2,260
|
2,220
|
|
FNMA (11th District COFI+1.29%)±
|
|
4.50
|
9-1-2037
|
|
571,715
|
552,059
|
|
FNMA (11th District COFI+1.69%)±
|
|
4.85
|
1-1-2036
|
|
70,117
|
68,104
|
|
FNMA (11th District COFI+1.70%)±
|
|
4.86
|
4-1-2030
|
|
233
|
229
|
|
FNMA (11th District COFI+1.81%)±
|
|
4.98
|
6-1-2034
|
|
25,237
|
24,859
|
|
FNMA (11th District COFI+1.82%)±
|
|
4.16
|
5-1-2028
|
|
11,135
|
10,961
|
|
FNMA (11th District COFI+1.85%)±
|
|
4.98
|
10-1-2027
|
|
24,931
|
24,710
|
|
FNMA (11th District COFI+1.90%)±
|
|
6.45
|
5-1-2034
|
|
15,675
|
15,797
|
|
FNMA (11th District COFI+1.92%)±
|
|
5.01
|
9-1-2030
|
|
91,679
|
90,171
|
|
FNMA (11th District COFI+1.92%)±
|
|
5.07
|
3-1-2033
|
|
98,859
|
96,826
|
|
FNMA (11th District COFI+1.93%)±
|
|
5.15
|
12-1-2036
|
|
6,939
|
6,859
|
|
FNMA (12 Month Treasury Average+1.21%)±
|
|
6.32
|
4-1-2042
|
|
501,524
|
495,546
|
|
FNMA (12 Month Treasury Average+1.73%)±
|
|
6.83
|
6-1-2035
|
|
167,693
|
169,757
|
|
FNMA (12 Month Treasury Average+1.75%)±
|
|
6.85
|
10-1-2035
|
|
251,516
|
252,504
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FNMA (12 Month Treasury Average+1.77%)±
|
|
6.93
%
|
7-1-2035
|
$
|
209,197
|
$211,359
|
|
FNMA (12 Month Treasury Average+1.85%)±
|
|
7.00
|
11-1-2035
|
|
28,589
|
28,882
|
|
FNMA (12 Month Treasury Average+1.86%)±
|
|
7.00
|
11-1-2035
|
|
216,228
|
217,334
|
|
FNMA (12 Month Treasury Average+1.89%)±
|
|
7.04
|
11-1-2035
|
|
9,907
|
10,081
|
|
FNMA (12 Month Treasury Average+1.95%)±
|
|
7.06
|
7-1-2035
|
|
118,445
|
119,433
|
|
FNMA (12 Month Treasury Average+1.96%)±
|
|
7.10
|
11-1-2035
|
|
210,981
|
211,693
|
|
FNMA (12 Month Treasury Average+2.06%)±
|
|
7.21
|
10-1-2035
|
|
86,551
|
88,500
|
|
FNMA (12 Month Treasury Average+2.08%)±
|
|
7.20
|
1-1-2035
|
|
196,748
|
198,985
|
|
FNMA (12 Month Treasury Average+2.11%)±
|
|
7.29
|
8-1-2035
|
|
82,137
|
82,823
|
|
FNMA (12 Month Treasury Average+2.36%)±
|
|
7.47
|
8-1-2040
|
|
238,085
|
240,541
|
|
FNMA (12 Month Treasury Average+2.48%)±
|
|
5.86
|
6-1-2040
|
|
326,493
|
328,310
|
|
FNMA (3 Year Treasury Constant Maturity+2.15%)±
|
|
2.90
|
8-1-2031
|
|
18,065
|
17,785
|
|
FNMA (5 Year Treasury Constant Maturity+1.90%)±
|
|
3.49
|
9-1-2031
|
|
75,722
|
73,540
|
|
FNMA (5 Year Treasury Constant Maturity+2.43%)±
|
|
4.94
|
6-1-2028
|
|
7,375
|
7,386
|
|
FNMA (Federal COFI+2.00%)±
|
|
5.88
|
8-1-2029
|
|
15,102
|
15,093
|
|
FNMA (Federal COFI+2.46%)±
|
|
5.88
|
2-1-2029
|
|
128,724
|
128,281
|
|
FNMA (RFUCCT1M+1.17%)±
|
|
6.55
|
5-1-2029
|
|
22,994
|
23,113
|
|
FNMA (RFUCCT1Y+1.53%)±
|
|
5.78
|
9-1-2035
|
|
206,534
|
210,921
|
|
FNMA (RFUCCT1Y+1.53%)±
|
|
5.78
|
9-1-2036
|
|
157,647
|
156,495
|
|
FNMA (RFUCCT1Y+1.55%)±
|
|
6.39
|
1-1-2040
|
|
38,891
|
38,688
|
|
FNMA (RFUCCT1Y+1.56%)±
|
|
5.98
|
2-1-2044
|
|
27,981
|
28,508
|
|
FNMA (RFUCCT1Y+1.57%)±
|
|
5.82
|
11-1-2044
|
|
61,349
|
61,463
|
|
FNMA (RFUCCT1Y+1.58%)±
|
|
6.27
|
6-1-2043
|
|
1,844,514
|
1,867,078
|
|
FNMA (RFUCCT1Y+1.58%)±
|
|
6.47
|
9-1-2044
|
|
452,081
|
460,438
|
|
FNMA (RFUCCT1Y+1.59%)±
|
|
6.29
|
8-1-2045
|
|
203,665
|
207,522
|
|
FNMA (RFUCCT1Y+1.59%)±
|
|
7.06
|
2-1-2043
|
|
184,434
|
185,983
|
|
FNMA (RFUCCT1Y+1.59%)±
|
|
7.34
|
6-1-2044
|
|
334,319
|
341,651
|
|
FNMA (RFUCCT1Y+1.60%)±
|
|
2.23
|
8-1-2050
|
|
1,906,656
|
1,677,156
|
|
FNMA (RFUCCT1Y+1.60%)±
|
|
5.85
|
9-1-2037
|
|
321,745
|
320,081
|
|
FNMA (RFUCCT1Y+1.60%)±
|
|
6.13
|
3-1-2046
|
|
536,329
|
546,907
|
|
FNMA (RFUCCT1Y+1.62%)±
|
|
2.39
|
8-1-2050
|
|
2,361,694
|
2,092,466
|
|
FNMA (RFUCCT1Y+1.62%)±
|
|
2.52
|
4-1-2050
|
|
1,137,767
|
1,059,891
|
|
FNMA (RFUCCT1Y+1.64%)±
|
|
6.24
|
11-1-2038
|
|
76,549
|
76,698
|
|
FNMA (RFUCCT1Y+1.64%)±
|
|
7.21
|
9-1-2042
|
|
68,983
|
69,487
|
|
FNMA (RFUCCT1Y+1.67%)±
|
|
6.16
|
6-1-2041
|
|
563,307
|
576,936
|
|
FNMA (RFUCCT1Y+1.67%)±
|
|
6.19
|
7-1-2035
|
|
197,099
|
201,996
|
|
FNMA (RFUCCT1Y+1.67%)±
|
|
6.61
|
6-1-2036
|
|
24,913
|
25,049
|
|
FNMA (RFUCCT1Y+1.70%)±
|
|
6.29
|
4-1-2034
|
|
150,960
|
154,091
|
|
FNMA (RFUCCT1Y+1.72%)±
|
|
6.62
|
6-1-2035
|
|
29,112
|
29,866
|
|
FNMA (RFUCCT1Y+1.73%)±
|
|
6.08
|
7-1-2043
|
|
903,780
|
928,720
|
|
FNMA (RFUCCT1Y+1.73%)±
|
|
6.47
|
2-1-2045
|
|
597,500
|
606,888
|
|
FNMA (RFUCCT1Y+1.73%)±
|
|
6.50
|
9-1-2042
|
|
100,068
|
102,718
|
|
FNMA (RFUCCT1Y+1.75%)±
|
|
6.00
|
1-1-2035
|
|
145,978
|
146,836
|
|
FNMA (RFUCCT1Y+1.75%)±
|
|
6.49
|
7-1-2035
|
|
172,396
|
174,058
|
|
FNMA (RFUCCT1Y+1.75%)±
|
|
6.53
|
4-1-2033
|
|
232,721
|
232,175
|
|
FNMA (RFUCCT1Y+1.75%)±
|
|
6.67
|
4-1-2034
|
|
65,961
|
65,287
|
|
FNMA (RFUCCT1Y+1.75%)±
|
|
6.79
|
5-1-2035
|
|
162,297
|
161,056
|
|
FNMA (RFUCCT1Y+1.77%)±
|
|
6.24
|
7-1-2044
|
|
1,122,797
|
1,151,328
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FNMA (RFUCCT1Y+1.79%)±
|
|
6.13
%
|
1-1-2042
|
$
|
845,845
|
$870,454
|
|
FNMA (RFUCCT1Y+1.83%)±
|
|
6.08
|
1-1-2033
|
|
36,429
|
36,259
|
|
FNMA (RFUCCT1Y+1.90%)±
|
|
6.15
|
10-1-2034
|
|
202,995
|
201,659
|
|
FNMA (RFUCCT1Y+1.91%)±
|
|
6.98
|
5-1-2038
|
|
220,149
|
228,166
|
|
FNMA (RFUCCT1Y+1.93%)±
|
|
7.68
|
5-1-2037
|
|
369,534
|
369,732
|
|
FNMA (RFUCCT1Y+2.02%)±
|
|
6.27
|
9-1-2035
|
|
135,312
|
138,914
|
|
FNMA (RFUCCT6M+1.16%)±
|
|
5.50
|
8-1-2033
|
|
2,348
|
2,327
|
|
FNMA (RFUCCT6M+1.18%)±
|
|
6.68
|
8-1-2033
|
|
29,089
|
29,055
|
|
FNMA (RFUCCT6M+1.31%)±
|
|
5.82
|
10-1-2037
|
|
262,398
|
264,866
|
|
FNMA (RFUCCT6M+1.38%)±
|
|
7.00
|
8-1-2031
|
|
79,331
|
79,328
|
|
FNMA (RFUCCT6M+1.38%)±
|
|
7.13
|
12-1-2031
|
|
11,768
|
11,734
|
|
FNMA (RFUCCT6M+1.39%)±
|
|
7.14
|
1-1-2032
|
|
43,606
|
43,540
|
|
FNMA (RFUCCT6M+1.42%)±
|
|
7.04
|
12-1-2031
|
|
91,302
|
91,662
|
|
FNMA (RFUCCT6M+1.51%)±
|
|
6.35
|
11-1-2034
|
|
242,942
|
241,426
|
|
FNMA (RFUCCT6M+1.55%)±
|
|
7.17
|
3-1-2034
|
|
52,852
|
52,907
|
|
FNMA (RFUCCT6M+1.55%)±
|
|
7.34
|
1-1-2035
|
|
270,490
|
273,660
|
|
FNMA (RFUCCT6M+1.62%)±
|
|
7.44
|
6-1-2037
|
|
261,045
|
264,227
|
|
FNMA (RFUCCT6M+1.74%)±
|
|
6.49
|
10-1-2024
|
|
2,912
|
2,897
|
|
FNMA (RFUCCT6M+1.74%)±
|
|
6.87
|
12-1-2024
|
|
1,672
|
1,664
|
|
FNMA (RFUCCT6M+1.93%)±
|
|
7.05
|
6-1-2032
|
|
45,303
|
45,222
|
|
FNMA (RFUCCT6M+1.96%)±
|
|
6.28
|
1-1-2033
|
|
41,733
|
41,400
|
|
FNMA (RFUCCT6M+1.98%)±
|
|
6.23
|
9-1-2033
|
|
38,440
|
38,058
|
|
FNMA (RFUCCT6M+2.25%)±
|
|
6.54
|
3-1-2034
|
|
331,676
|
331,658
|
|
FNMA (RFUCCT6M+2.31%)±
|
|
7.06
|
4-1-2033
|
|
131,910
|
130,950
|
|
FNMA (RFUCCT6M+2.35%)±
|
|
7.00
|
5-1-2033
|
|
390,223
|
393,160
|
|
FNMA (RFUCCT6M+2.48%)±
|
|
6.73
|
7-1-2033
|
|
22,549
|
22,376
|
|
FNMA (RFUCCT6M+2.51%)±
|
|
6.93
|
4-1-2033
|
|
118,563
|
118,691
|
|
FNMA (RFUCCT6M+3.36%)±
|
|
8.07
|
12-1-2032
|
|
71,574
|
71,063
|
|
FNMA Series 2001-50 Class BA
|
|
7.00
|
10-25-2041
|
|
39,939
|
40,090
|
|
FNMA Series 2001-63 Class FD (30 Day Average U.S. SOFR+0.71%)±
|
|
6.04
|
12-18-2031
|
|
27,810
|
27,777
|
|
FNMA Series 2001-81 Class F (30 Day Average U.S. SOFR+0.66%)±
|
|
5.99
|
1-25-2032
|
|
15,936
|
15,833
|
|
FNMA Series 2001-T10 Class A2
|
|
7.50
|
12-25-2041
|
|
759,351
|
759,247
|
|
FNMA Series 2001-T12 Class A4±±
|
|
4.80
|
8-25-2041
|
|
1,372,190
|
1,367,310
|
|
FNMA Series 2001-T12 Class A2
|
|
7.50
|
8-25-2041
|
|
60,725
|
60,998
|
|
FNMA Series 2001-T8 Class A1
|
|
7.50
|
7-25-2041
|
|
45,936
|
46,011
|
|
FNMA Series 2001-W1 Class AV1 (30 Day Average
U.S. SOFR+0.23%)±
|
|
5.68
|
8-25-2031
|
|
14,834
|
14,192
|
|
FNMA Series 2001-W3 Class A±±
|
|
7.00
|
9-25-2041
|
|
171,625
|
168,580
|
|
FNMA Series 2002-5 Class FD (30 Day Average U.S. SOFR+1.01%)±
|
|
6.34
|
2-25-2032
|
|
19,536
|
19,573
|
|
FNMA Series 2002-59 Class F (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
9-25-2032
|
|
43,194
|
43,006
|
|
FNMA Series 2002-66 Class A3±±
|
|
4.33
|
4-25-2042
|
|
3,112,352
|
3,080,534
|
|
FNMA Series 2002-T12 Class A5±±
|
|
5.07
|
10-25-2041
|
|
746,916
|
742,529
|
|
FNMA Series 2002-T12 Class A3
|
|
7.50
|
5-25-2042
|
|
655,851
|
676,177
|
|
FNMA Series 2002-T18 Class A5±±
|
|
4.74
|
5-25-2042
|
|
1,490,788
|
1,470,133
|
|
FNMA Series 2002-T19 Class A4±±
|
|
4.93
|
3-25-2042
|
|
87,951
|
84,539
|
|
FNMA Series 2002-W1 Class 3A±±
|
|
3.68
|
4-25-2042
|
|
350,932
|
324,311
|
|
FNMA Series 2002-W4 Class A6±±
|
|
4.64
|
5-25-2042
|
|
629,993
|
606,304
|
|
FNMA Series 2003-63 Class A8±±
|
|
4.11
|
1-25-2043
|
|
489,590
|
482,426
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FNMA Series 2003-7 Class A2±±
|
|
4.52
%
|
5-25-2042
|
$
|
257,950
|
$255,150
|
|
FNMA Series 2003-T2 Class A1 (30 Day Average U.S. SOFR+0.39%)±
|
|
5.72
|
3-25-2033
|
|
543,324
|
533,315
|
|
FNMA Series 2003-W10 Class 2A±±
|
|
3.88
|
6-25-2043
|
|
968,166
|
932,104
|
|
FNMA Series 2003-W18 Class 2A±±
|
|
4.58
|
6-25-2043
|
|
1,094,827
|
1,059,101
|
|
FNMA Series 2003-W2 Class 1A3
|
|
7.50
|
7-25-2042
|
|
160,043
|
164,312
|
|
FNMA Series 2003-W4 Class 5A±±
|
|
4.12
|
10-25-2042
|
|
338,494
|
323,633
|
|
FNMA Series 2003-W6 Class 6A±±
|
|
4.37
|
8-25-2042
|
|
385,870
|
370,615
|
|
FNMA Series 2003-W8 Class 4A±±
|
|
4.55
|
11-25-2042
|
|
487,140
|
464,478
|
|
FNMA Series 2003-W9 Class A (30 Day Average U.S. SOFR+0.23%)±
|
|
5.24
|
6-25-2033
|
|
755,177
|
721,633
|
|
FNMA Series 2004-17 Class FT (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
4-25-2034
|
|
320,043
|
317,414
|
|
FNMA Series 2004-T1 Class 2A±±
|
|
3.87
|
8-25-2043
|
|
620,971
|
572,676
|
|
FNMA Series 2004-T3 Class 2A±±
|
|
4.56
|
8-25-2043
|
|
471,740
|
464,312
|
|
FNMA Series 2004-T3 Class 1A3
|
|
7.00
|
2-25-2044
|
|
212,794
|
216,555
|
|
FNMA Series 2004-W1 Class 3A±±
|
|
4.76
|
1-25-2043
|
|
28,098
|
25,294
|
|
FNMA Series 2004-W1 Class 2A2
|
|
7.00
|
12-25-2033
|
|
98,691
|
101,072
|
|
FNMA Series 2004-W12 Class 2A±±
|
|
4.42
|
6-25-2044
|
|
1,394,584
|
1,325,596
|
|
FNMA Series 2004-W15 Class 3A±±
|
|
4.56
|
6-25-2044
|
|
1,967,289
|
1,902,531
|
|
FNMA Series 2004-W2 Class 5A
|
|
7.50
|
3-25-2044
|
|
28,452
|
29,027
|
|
FNMA Series 2005-25 Class PF (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
4-25-2035
|
|
436,505
|
429,734
|
|
FNMA Series 2005-W3 Class 3A±±
|
|
4.42
|
4-25-2045
|
|
407,494
|
387,017
|
|
FNMA Series 2006-112 Class LF (30 Day Average U.S. SOFR+0.66%)±
|
|
5.99
|
11-25-2036
|
|
824,313
|
812,089
|
|
FNMA Series 2006-16 Class FA (30 Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
3-25-2036
|
|
278,382
|
274,395
|
|
FNMA Series 2006-44 Class FY (30 Day Average U.S. SOFR+0.68%)±
|
|
6.01
|
6-25-2036
|
|
563,150
|
560,172
|
|
FNMA Series 2006-5 Class 1A±±
|
|
6.77
|
8-25-2034
|
|
1,407,019
|
1,446,748
|
|
FNMA Series 2006-W1 Class 3A±±
|
|
4.39
|
10-25-2045
|
|
1,202,770
|
1,175,099
|
|
FNMA Series 2007-109 Class PF (30 Day Average U.S. SOFR+0.76%)±
|
|
6.09
|
12-25-2037
|
|
233,757
|
231,455
|
|
FNMA Series 2007-4 Class DF (30 Day Average U.S. SOFR+0.56%)±
|
|
5.88
|
2-25-2037
|
|
472,253
|
463,052
|
|
FNMA Series 2007-86 Class FA (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
9-25-2037
|
|
770,715
|
762,967
|
|
FNMA Series 2007-95 Class A2 (30 Day Average U.S. SOFR+0.36%)±
|
|
5.24
|
8-27-2036
|
|
71,585
|
70,379
|
|
FNMA Series 2008-67 Class FG (30 Day Average U.S. SOFR+1.11%)±
|
|
6.44
|
7-25-2038
|
|
451,533
|
455,560
|
|
FNMA Series 2009-106 Class FA (30 Day Average U.S. SOFR+0.86%)±
|
|
6.19
|
1-25-2040
|
|
625,222
|
625,333
|
|
FNMA Series 2009-11 Class FU (30 Day Average U.S. SOFR+1.11%)±
|
|
6.44
|
3-25-2049
|
|
42,710
|
42,747
|
|
FNMA Series 2010-54 Class AF (30 Day Average U.S. SOFR+0.67%)±
|
|
6.00
|
4-25-2037
|
|
174,598
|
173,045
|
|
FNMA Series 2011-121 Class PF (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
12-25-2041
|
|
175,534
|
171,664
|
|
FNMA Series 2012-122 Class FM (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
11-25-2042
|
|
773,409
|
753,877
|
|
FNMA Series 2012-47 Class FW (30 Day Average U.S. SOFR+1.81%)±
|
|
7.14
|
5-25-2027
|
|
38,153
|
38,531
|
|
FNMA Series 2013-130 Class CF (30 Day Average U.S. SOFR+0.36%)±
|
|
5.69
|
6-25-2043
|
|
246,853
|
243,471
|
|
FNMA Series 2013-23 Class LF (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
3-25-2043
|
|
2,184,702
|
2,202,988
|
|
FNMA Series 2014-10 Class CF (30 Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
3-25-2044
|
|
478,323
|
464,957
|
|
FNMA Series 2014-49 Class AF (30 Day Average U.S. SOFR+0.43%)±
|
|
5.76
|
8-25-2044
|
|
90,913
|
88,010
|
|
FNMA Series 2015-38 Class DF (30 Day Average U.S. SOFR+0.42%)±
|
|
5.75
|
6-25-2055
|
|
1,100,662
|
1,079,767
|
|
FNMA Series 2015-4 Class FA (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
2-25-2045
|
|
664,703
|
643,909
|
|
FNMA Series 2016-58 Class FA (30 Day Average U.S. SOFR+0.59%)±
|
|
5.92
|
8-25-2046
|
|
361,639
|
356,845
|
|
FNMA Series 2016-62 Class AF (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
9-25-2046
|
|
429,353
|
423,849
|
|
FNMA Series 2016-64 Class KF (30 Day Average U.S. SOFR+0.58%)±
|
|
5.91
|
9-25-2046
|
|
850,260
|
826,620
|
|
FNMA Series 2016-76 Class CF (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
10-25-2046
|
|
524,338
|
510,746
|
|
FNMA Series 2016-82 Class FM (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
11-25-2046
|
|
1,082,780
|
1,051,219
|
|
FNMA Series 2016-87 Class AF (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
11-25-2046
|
|
209,455
|
206,192
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FNMA Series 2018-47 Class PC
|
|
3.50
%
|
9-25-2047
|
$
|
120,950
|
$114,709
|
|
FNMA Series 2019-25 Class FA (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
6-25-2049
|
|
223,101
|
217,211
|
|
FNMA Series 2019-5 Class FE (30 Day Average U.S. SOFR+0.56%)±
|
|
5.89
|
3-25-2049
|
|
328,597
|
320,435
|
|
FNMA Series 2019-53 Class FA (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
9-25-2049
|
|
1,125,156
|
1,090,579
|
|
FNMA Series 2020-10 Class Q
|
|
3.00
|
3-25-2050
|
|
2,558,145
|
2,112,129
|
|
FNMA Series 2020-29 Class FA (30 Day Average U.S. SOFR+0.76%)±
|
|
6.09
|
5-25-2050
|
|
672,175
|
658,055
|
|
FNMA Series 2021-85 Class EF (30 Day Average U.S. SOFR+0.18%)±
|
|
5.51
|
12-25-2051
|
|
2,655,505
|
2,619,617
|
|
GNMA
|
|
6.45
|
4-20-2025
|
|
3,340
|
3,340
|
|
GNMA
|
|
6.50
|
8-20-2034
|
|
104,562
|
101,745
|
|
GNMA
|
|
9.00
|
1-20-2025
|
|
59
|
59
|
|
GNMA
|
|
9.00
|
2-20-2025
|
|
121
|
121
|
|
GNMA (1 Year Treasury Constant Maturity+1.40%)±
|
|
6.41
|
6-20-2058
|
|
4,928
|
4,948
|
|
GNMA (1 Year Treasury Constant Maturity+1.50%)±
|
|
4.63
|
1-20-2034
|
|
646,546
|
640,991
|
|
GNMA (1 Year Treasury Constant Maturity+2.00%)±
|
|
4.38
|
4-20-2041
|
|
24,532
|
24,366
|
|
GNMA (1 Year Treasury Constant Maturity+2.00%)±
|
|
7.00
|
1-20-2041
|
|
16,083
|
16,260
|
|
GNMA (RFUCCT1M+0.61%)±
|
|
6.04
|
5-20-2058
|
|
64,575
|
64,506
|
|
GNMA Series 2004-80 Class FA (U.S. SOFR 1 Month+0.51%)±
|
|
5.83
|
10-20-2034
|
|
299,503
|
298,197
|
|
GNMA Series 2006-16 Class DF (U.S. SOFR 1 Month+0.22%)±
|
|
5.54
|
4-20-2036
|
|
1,563,915
|
1,546,391
|
|
GNMA Series 2008-65 Class FG (U.S. SOFR 1 Month+0.86%)±
|
|
6.18
|
8-20-2038
|
|
540,708
|
542,065
|
|
GNMA Series 2008-68 Class FA (U.S. SOFR 1 Month+1.06%)±
|
|
6.38
|
8-20-2038
|
|
672,610
|
676,951
|
|
GNMA Series 2009-12 Class FA (U.S. SOFR 1 Month+1.06%)±
|
|
6.38
|
3-20-2039
|
|
854,792
|
858,818
|
|
GNMA Series 2009-15 Class FL (U.S. SOFR 1 Month+1.06%)±
|
|
6.38
|
3-20-2039
|
|
854,792
|
857,496
|
|
GNMA Series 2009-29 Class FL (U.S. SOFR 1 Month+0.76%)±
|
|
6.08
|
5-16-2039
|
|
939,313
|
937,540
|
|
GNMA Series 2009-36 Class FE (U.S. SOFR 1 Month+0.91%)±
|
|
6.23
|
9-20-2038
|
|
875,342
|
877,856
|
|
GNMA Series 2009-50 Class FW (U.S. SOFR 1 Month+1.11%)±
|
|
6.43
|
7-20-2039
|
|
643,820
|
649,260
|
|
GNMA Series 2009-52 Class FD (U.S. SOFR 1 Month+1.06%)±
|
|
6.38
|
7-16-2039
|
|
326,259
|
328,176
|
|
GNMA Series 2010-25 Class FH (U.S. SOFR 1 Month+0.83%)±
|
|
6.15
|
2-16-2040
|
|
463,221
|
461,285
|
|
GNMA Series 2010-79 Class YF (U.S. SOFR 1 Month+0.46%)±
|
|
5.78
|
5-20-2035
|
|
1,458,400
|
1,443,524
|
|
GNMA Series 2011-117 Class FJ (U.S. SOFR 1 Month+0.98%)±
|
|
6.30
|
8-20-2041
|
|
838,104
|
841,985
|
|
GNMA Series 2011-H12 Class FA (U.S. SOFR 1 Month+0.60%)±
|
|
5.93
|
2-20-2061
|
|
195,582
|
195,221
|
|
GNMA Series 2011-H17 Class FA (U.S. SOFR 1 Month+0.64%)±
|
|
5.97
|
6-20-2061
|
|
171,953
|
171,773
|
|
GNMA Series 2012-124 Class GF (U.S. SOFR 1 Month+0.36%)±
|
|
5.68
|
10-20-2042
|
|
977,989
|
956,117
|
|
GNMA Series 2014-44 Class IAƒ
|
|
3.50
|
5-20-2028
|
|
871,232
|
24,079
|
|
GNMA Series 2014-H16 Class FL (U.S. SOFR 1 Month+0.58%)±
|
|
5.91
|
7-20-2064
|
|
525,027
|
521,108
|
|
GNMA Series 2014-H22 Class FC (U.S. SOFR 1 Month+0.59%)±
|
|
5.92
|
11-20-2064
|
|
1,119,907
|
1,117,983
|
|
GNMA Series 2015-H23 Class TA (U.S. SOFR 1 Month+0.58%)±
|
|
5.91
|
9-20-2065
|
|
1,201,592
|
1,199,242
|
|
GNMA Series 2016-H24 Class FD (U.S. SOFR 12 Month+1.02%)±
|
|
6.45
|
11-20-2066
|
|
303,136
|
302,443
|
|
GNMA Series 2017-130 Class FH (U.S. SOFR 1 Month+0.41%)±
|
|
5.73
|
8-20-2047
|
|
1,585,411
|
1,532,297
|
|
GNMA Series 2017-H11 Class FE (U.S. SOFR 12 Month+0.90%)±
|
|
5.92
|
5-20-2067
|
|
2,241,393
|
2,225,079
|
|
GNMA Series 2018-120 Class FL (U.S. SOFR 1 Month+0.41%)±
|
|
5.73
|
9-20-2048
|
|
222,799
|
215,560
|
|
GNMA Series 2018-49 Class FM (U.S. SOFR 1 Month+0.36%)±
|
|
5.68
|
4-20-2048
|
|
1,002,300
|
967,633
|
|
GNMA Series 2018-H07 Class FD (U.S. SOFR 1 Month+0.41%)±
|
|
5.74
|
5-20-2068
|
|
173,459
|
173,590
|
|
GNMA Series 2018-H13 Class FC (U.S. SOFR 1 Month+0.41%)±
|
|
5.74
|
7-20-2068
|
|
178,136
|
177,203
|
|
GNMA Series 2019-103 Class FG (U.S. SOFR 1 Month+0.56%)±
|
|
5.88
|
4-20-2049
|
|
881,837
|
860,140
|
|
GNMA Series 2019-129 Class WF (U.S. SOFR 1 Month+0.51%)±
|
|
5.83
|
2-20-2046
|
|
1,062,044
|
1,023,093
|
|
GNMA Series 2019-H06 Class FD (U.S. SOFR 1 Month+0.83%)±
|
|
6.16
|
1-20-2069
|
|
555,655
|
554,762
|
|
GNMA Series 2019-H09 Class FE (U.S. SOFR 1 Month+0.61%)±
|
|
5.94
|
4-20-2069
|
|
801,011
|
799,201
|
|
GNMA Series 2019-H10 Class FB (U.S. SOFR 1 Month+0.71%)±
|
|
6.04
|
6-20-2069
|
|
2,746,960
|
2,701,516
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
GNMA Series 2019-H15 Class FE (U.S. SOFR 1 Month+0.74%)±
|
|
6.07
%
|
9-20-2069
|
$
|
1,761,945
|
$1,761,913
|
|
GNMA Series 2020-H12 Class F (U.S. SOFR 1 Month+0.61%)±
|
|
5.94
|
7-20-2070
|
|
736,388
|
721,891
|
|
GNMA Series 2020-H19 Class FB (U.S. SOFR 1 Month+0.56%)±
|
|
5.89
|
11-20-2070
|
|
2,270,095
|
2,254,733
|
|
GNMA Series 2021-H01 Class FC (U.S. SOFR 1 Month+0.51%)±
|
|
5.84
|
11-20-2070
|
|
1,302,086
|
1,271,186
|
|
GNMA Series 2021-H14 Class FA (30 Day Average U.S. SOFR+0.30%)±
|
|
5.62
|
4-20-2070
|
|
3,433,670
|
3,321,675
|
|
Total agency securities (Cost $207,581,664)
|
|
|
|
|
|
203,028,890
|
|
Asset-backed securities: 1.24%
|
|
|
|
|
|
|
|
Brazos Education Funding LLC Series 2015-1 Class A (30 Day Average
U.S. SOFR+1.11%)144A±
|
|
6.44
|
10-25-2056
|
|
826,329
|
827,448
|
|
ECMC Group Student Loan Trust Series 2018-2A Class A (30 Day
Average U.S. SOFR+0.91%)144A±
|
|
6.24
|
9-25-2068
|
|
110,681
|
109,916
|
|
Navient Private Education Refinance Loan Trust Series 2020-GA
Class A144A
|
|
1.17
|
9-16-2069
|
|
815,235
|
733,100
|
|
Navient Student Loan Trust Series 2021-1A Class A1B (30 Day Average
U.S. SOFR+0.71%)144A±
|
|
6.04
|
12-26-2069
|
|
643,150
|
634,934
|
|
Nelnet Student Loan Trust Series 2019-4A Class A (U.S. SOFR 1
Month+0.98%)144A±
|
|
6.31
|
9-26-2067
|
|
420,936
|
419,690
|
|
SLM Student Loan Trust Series 2004-10 Class A7B (90 Day Average
U.S. SOFR+0.86%)144A±
|
|
6.21
|
10-25-2029
|
|
63,796
|
63,816
|
|
Total asset-backed securities (Cost $2,876,847)
|
|
|
|
|
|
2,788,904
|
|
Corporate bonds and notes: 0.78%
|
|
|
|
|
|
|
|
Energy: 0.78%
|
|
|
|
|
|
|
|
Oil & gas services: 0.78%
|
|
|
|
|
|
|
|
Cal Dive I-Title XI, Inc.
|
|
4.93
|
2-1-2027
|
|
1,780,219
|
1,768,455
|
|
Total corporate bonds and notes (Cost $1,817,370)
|
|
|
|
|
|
1,768,455
|
|
Non-agency mortgage-backed securities: 3.47%
|
|
|
|
|
|
|
|
Angel Oak Mortgage Trust Series 2020-R1 Class A1144A±±
|
|
0.99
|
4-25-2053
|
|
401,876
|
369,715
|
|
FRESB Mortgage Trust Series 2022-SB94 Class A5H±±
|
|
1.72
|
11-25-2041
|
|
5,570,787
|
5,118,912
|
|
GS Mortgage-Backed Securities Corp. Trust Series 2020-PJ4
Class A2144A±±
|
|
3.00
|
1-25-2051
|
|
589,258
|
487,086
|
|
MFA Trust Series 2020-NQM3 Class A1144A±±
|
|
1.01
|
1-26-2065
|
|
222,953
|
202,565
|
|
New Residential Mortgage Loan Trust Series 2018-4A Class A1M
(U.S. SOFR 1 Month+1.01%)144A±
|
|
6.34
|
1-25-2048
|
|
739,150
|
720,873
|
|
New Residential Mortgage Loan Trust Series 2020-RPL1
Class A1144A±±
|
|
2.75
|
11-25-2059
|
|
165,445
|
154,010
|
|
Starwood Mortgage Residential Trust Series 2021-2 Class A1144A±±
|
|
0.94
|
5-25-2065
|
|
602,327
|
544,528
|
|
Towd Point Mortgage Trust Series 2017-5 Class A1 (U.S. SOFR 1
Month+0.71%)144A±
|
|
6.04
|
2-25-2057
|
|
207,528
|
211,732
|
|
Total non-agency mortgage-backed securities (Cost $8,523,055)
|
|
|
|
|
|
7,809,421
|
|
|
|
Yield
|
|
Shares
|
Value
|
|
|
Short-term investments: 2.74%
|
|
|
|
|
|
|
|
Investment companies: 2.74%
|
|
|
|
|
|
|
|
Allspring Government Money Market Fund Select Class♠∞
|
|
5.24
%
|
|
|
6,172,758
|
$6,172,758
|
|
Total short-term investments (Cost $6,172,758)
|
|
|
|
|
|
6,172,758
|
|
Total investments in securities (Cost $226,971,694)
|
98.38
%
|
|
|
|
|
221,568,428
|
|
Other assets and liabilities, net
|
1.62
|
|
|
|
|
3,653,851
|
|
Total net assets
|
100.00
%
|
|
|
|
|
$225,222,279
|
|
±±
|
The coupon of the security is adjusted based on the principal and/or interest payments
received from the underlying pool of mortgages as well as the credit quality
and the actual prepayment speed of the underlying mortgages. The rate shown is the
rate in effect at period end.
|
|
±
|
Variable rate investment. The rate shown is the rate in effect at period end.
|
|
ƒ
|
Investment in an interest-only security that entitles holders to receive only the
interest payments on the underlying mortgages. The principal amount shown is the
notional amount of the underlying mortgages. The rate represents the coupon rate.
|
|
144A
|
The security may be resold in transactions exempt from registration, normally to qualified
institutional buyers, pursuant to Rule 144A under the Securities Act of
1933.
|
|
♠
|
The issuer of the security is an affiliated person of the Fund as defined in the Investment
Company Act of 1940.
|
|
∞
|
The rate represents the 7-day annualized yield at period end.
|
|
Abbreviations:
|
|
|
COFI
|
Cost of Funds Index
|
|
FHLMC
|
Federal Home Loan Mortgage Corporation
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
RFUCCT1Y
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year
|
|
RFUCCT1M
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-month
|
|
RFUCCT6M
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 6-month
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
STRIPS
|
Separate trading of registered interest and principal securities
|
|
|
Value,
beginning of
period
|
Purchases
|
Sales
proceeds
|
Net
realized
gains
(losses)
|
Net
change in
unrealized
gains
(losses)
|
Value,
end of
period
|
Shares,
end
of period
|
Income
from
affiliated
securities
|
|
Short-term investments
|
|
|
|
|
|
|
|
|
|
Allspring Government Money Market Fund Select
Class
|
$7,537,678
|
$94,279,211
|
$(95,644,131
)
|
$0
|
$0
|
$6,172,758
|
6,172,758
|
$212,003
|
|
Description
|
Number of
contracts
|
Expiration
date
|
Notional
cost
|
Notional
value
|
Unrealized
gains
|
Unrealized
losses
|
|
Short
|
|
|
|
|
|
|
|
10-Year U.S. Treasury Notes
|
(58
)
|
9-19-2024
|
$(6,322,751
)
|
$(6,310,219
)
|
$12,532
|
$0
|
|
Ultra 10-Year U.S. Treasury Notes
|
(63
)
|
9-19-2024
|
(7,073,611
)
|
(7,057,968
)
|
15,643
|
0
|
|
2-Year U.S. Treasury Notes
|
(102
)
|
9-30-2024
|
(20,767,993
)
|
(20,777,719
)
|
0
|
(9,726
)
|
|
5-Year U.S. Treasury Notes
|
(66
)
|
9-30-2024
|
(6,983,665
)
|
(6,982,594
)
|
1,071
|
0
|
|
|
|
|
|
|
$29,246
|
$(9,726
)
|
|
|
Quoted prices
(Level 1)
|
Other significant
observable inputs
(Level 2)
|
Significant
unobservable inputs
(Level 3)
|
Total
|
|
Assets
|
|
|
|
|
|
Investments in:
|
|
|
|
|
|
Agency securities
|
$0
|
$203,028,890
|
$0
|
$203,028,890
|
|
Asset-backed securities
|
0
|
2,788,904
|
0
|
2,788,904
|
|
Corporate bonds and notes
|
0
|
1,768,455
|
0
|
1,768,455
|
|
Non-agency mortgage-backed securities
|
0
|
7,809,421
|
0
|
7,809,421
|
|
Short-term investments
|
|
|
|
|
|
Investment companies
|
6,172,758
|
0
|
0
|
6,172,758
|
|
|
6,172,758
|
215,395,670
|
0
|
221,568,428
|
|
Futures contracts
|
29,246
|
0
|
0
|
29,246
|
|
Total assets
|
$6,202,004
|
$215,395,670
|
$0
|
$221,597,674
|
|
Liabilities
|
||||
|
Futures contracts
|
$9,726
|
$0
|
$0
|
$9,726
|
|
Total liabilities
|
$9,726
|
$0
|
$0
|
$9,726
|