|
|
|
Principal
Amount
(000s)
|
Value
|
SECURITIZED
CREDIT (continued)
|
|
|
|
Irwin
Home Equity Loan Trust
|
|
|
|
|
Series 2006-1, Class 2A3, 6.27%, 09/25/35
(e),(s)
|
|
|
$
948
|
$
982,351
|
Lehman
ABS Manufactured Housing Contract Trust
|
|
|
|
|
Series 2001-B, Class M1, 6.63%, 04/15/40
|
|
|
6,308
|
6,684,096
|
Mid-State
Capital Corporation Trust
|
|
|
|
|
Series 2004-1, Class M1, 6.50%, 08/15/37
|
|
|
1,417
|
1,460,553
|
Series 2004-1, Class M2, 8.11%, 08/15/37
|
|
|
1,168
|
1,268,037
|
Series 2004-1, Class B, 8.90%, 08/15/37
|
|
|
354
|
385,882
|
Mid-State
Trust X
|
|
|
|
|
Series 10, Class B, 7.54%, 02/15/36
|
|
|
2,428
|
2,608,758
|
Oakwood
Mortgage Investors, Inc.
|
|
|
|
|
Series 2001-E, Class A4, 6.81%, 12/15/31
|
|
|
3,786
|
4,015,573
|
Series 2001-D, Class A4, 6.93%, 09/15/31
|
|
|
598
|
464,181
|
Tricon
American Homes
|
|
|
|
|
Series 2020-SFR1, Class F, 4.88%, 07/17/38
(e)
|
|
|
1,539
|
1,639,152
|
Total
Other
|
|
|
|
23,176,366
|
Residential
Mortgage-Backed Securities – 25.3%
|
|
|
|
Alternative
Loan Trust
|
|
|
|
|
Series 2007-OA3, Class 1A1, 0.23% (1 Month LIBOR USD + 0.14%), 04/25/47
(s),(v)
|
|
|
8,639
|
7,813,417
|
Series 2007-HY6, Class A1, 0.30% (1 Month LIBOR USD + 0.21%), 08/25/47
(s),(v)
|
|
|
2,744
|
2,618,112
|
Series 2007-2CB, Class 2A11, 0.49% (1 Month LIBOR USD + 0.40%), 03/25/37
(v)
|
|
|
2,867
|
1,347,443
|
Series 2005-10CB, Class 1A1, 0.59% (1 Month LIBOR USD + 0.50%), 05/25/35
(v)
|
|
|
1,781
|
1,447,358
|
Series 2007-16CB, Class 4A5, 0.59% (1 Month LIBOR USD + 0.50%), 08/25/37
(v)
|
|
|
5,095
|
3,900,190
|
Series 2005-59, Class 1A1, 0.75% (1 Month LIBOR USD + 0.66%), 11/20/35
(s),(v)
|
|
|
8,191
|
7,832,825
|
Series 2006-19CB, Class A9, 0.79% (1 Month LIBOR USD + 0.70%), 08/25/36
(v)
|
|
|
2,262
|
1,225,686
|
Series 2005-84, Class 2A1, 2.71%, 02/25/36
(v)
|
|
|
14,823
|
14,193,247
|
Series 2007-12T1, Class A22, 5.75%, 06/25/37
|
|
|
1,989
|
1,350,529
|
Series 2007-15CB, Class A5, 5.75%, 07/25/37
|
|
|
977
|
798,825
|
Series 2007-15CB, Class A2, 5.75%, 07/25/37
|
|
|
1,062
|
867,834
|
Series 2006-29T1, Class 2A5, 6.00%, 10/25/36
|
|
|
1,399
|
1,124,253
|
Series 2006-41CB, Class 2A14, 6.00%, 01/25/37
|
|
|
1,341
|
1,024,405
|
Series 2006-41CB, Class 2A17, 6.00%, 01/25/37
|
|
|
1,312
|
1,001,791
|
Series 2006-41CB, Class 1A7, 6.00%, 01/25/37
|
|
|
1,248
|
999,676
|
Series 2006-41CB, Class 2A12, 6.00%, 01/25/37
|
|
|
11,005
|
8,405,354
|
Series 2006-45T1, Class 2A5, 6.00%, 02/25/37
|
|
|
2,287
|
1,704,410
|
Series 2006-29T1, Class 2A6, 6.50%, 10/25/36
|
|
|
2,196
|
1,839,387
|
Series 2006-23CB, Class 2A7, 28.03% (1 Month LIBOR USD + 28.40%), 08/25/36
(i),(v)
|
|
|
1,269
|
1,627,144
|
Series 2006-29T1, Class 3A3, 77.47% (1 Month LIBOR USD + 78.40%), 10/25/36
(i),(v)
|
|
|
659
|
1,942,887
|
Bellemeade
Re Ltd.
|
|
|
|
|
Series 2019-4A, Class M1B, 2.09% (1 Month LIBOR USD + 2.00%), 10/25/29
(e),(v)
|
|
|
1,619
|
1,620,010
|
Series 2018-3A, Class M2, 2.84% (1 Month LIBOR USD + 2.75%), 10/25/28
(e),(v)
|
|
|
1,202
|
1,211,000
|
Series 2021-2A, Class M2, 2.91% (30 Day SOFR + 2.90%), 06/25/31
(e),(v)
|
|
|
1,408
|
1,405,364
|
Series 2019-4A, Class M2, 2.94% (1 Month LIBOR USD + 2.85%), 10/25/29
(e),(v)
|
|
|
3,798
|
3,844,302
|
Series 2018-1A, Class M2, 2.99% (1 Month LIBOR USD + 2.90%), 04/25/28
(e),(v)
|
|
|
5,948
|
6,017,914
|
Series 2020-3A, Class M1C, 3.79% (1 Month LIBOR USD + 3.70%), 10/25/30
(e),(v)
|
|
|
1,965
|
2,056,846
|
Chase
Mortgage Finance Trust
|
|
|
|
|
Series 2005-A2, Class 3A2, 2.79%, 01/25/36
(v)
|
|
|
1,076
|
987,700
|
Series 2007-A1, Class 11M1, 3.07%, 03/25/37
(v)
|
|
|
2,718
|
2,733,008
|