Wells Fargo Bank, N.A.Collective Investment FundsAnnual Report 2019
Table of Contents
Page
Independent Auditors’ Report 1
Financial Statements: Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT 3 Wells Fargo Emerging Markets Bond Index CIT 50 Wells Fargo Factor Enhanced Emerging Markets Index CIT 70 Wells Fargo Factor Enhanced International Index CIT 105 Wells Fargo Factor Enhanced Large Cap Index CIT 132 Wells Fargo Factor Enhanced Small Cap Index CIT 154 Wells Fargo High Yield Corporate Bond Index CIT 193 Wells Fargo Investment Grade Corporate Bond Index CIT 206 Wells Fargo Strategic Retirement Bond Index CIT 252 Wells Fargo US REIT Index CIT 261
Notes to Financial Statements 269
Regulatory Statement 286
Independent Auditors’ Report
The Unitholders of the Funds and Wells Fargo Bank, N.A.:
We have audited the accompanying financial statements of Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT, Wells Fargo Emerging Markets Bond Index CIT, Wells Fargo Factor Enhanced Emerging Markets Index CIT, Wells Fargo Factor Enhanced International Index CIT, Wells Fargo Factor Enhanced Large Cap Index CIT, Wells Fargo Factor Enhanced Small Cap Index CIT, Wells Fargo High Yield Corporate Bond Index CIT, Wells Fargo Investment Grade Corporate Bond Index CIT, Wells Fargo Strategic Retirement Bond Index CIT and Wells Fargo US REIT Index CIT (collectively, “the Funds”), ten of the separate collective investment trusts constituting Wells Fargo Bank Collective Investment Funds for Employee Benefit Trusts, which comprise the statements of assets and liabilities, including the schedules of investments, as of December 31, 2019, the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements (collectively, the financial statements) and the financial highlights for the year then ended.
Management’s Responsibility for the Financial Statements
Management is responsible for the preparation and fair presentation of these financial statements and financial highlights in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements and financial highlights that are free from material misstatement, whether due to fraud or error.
Auditors’ Responsibility
Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements and financial highlights. The procedures selected depend on the auditors’ judgment, including the assessment of the risks of material misstatement of the financial statements and financial highlights, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements and financial highlights in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such
opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
KPMG LLP is a Delaware limited liability partnership and the U.S. member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity.
KPMG LLPTwo Financial Center60 South StreetBoston, MA 02111
2
Opinion
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of December 31, 2019, and the results of their operations and the financial highlights for the year then ended in accordance with U.S. generally accepted accounting principles.
Boston, Massachusetts April 29, 2020
See accompanying notes to financial statements. 3
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 24,240,726 $ 24,240,726
Unaffiliated investments 977,505,719 1,000,719,177
Cash 85
Accrued interest income 4,792,814
Receivable for investment securities sold 4,492,452
Fund shares sold 216,245
Total assets 1,034,461,499
Liabilities:
Payable for investment securities purchased 18,490,322
Fund shares repurchased 1,202,009
Accrued expenses 213
Total liabilities 19,692,544
Net assets $ 1,014,768,955
Class Net Assets
Shares
Outstanding Net Asset Value
G $ 1,013,709,749 93,988,422 $ 10.79
TMR $ 1,059,206 96,754 $ 10.95
See accompanying notes to financial statements. 4
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Interest income $ 20,930,086
Dividend income from affiliated short term investment 549,436
Total income 21,479,522
Expenses:
Program fees (TMR) 2,010
Total expenses 2,010
Net investment income (loss) 21,477,512
Realized and unrealized gain (loss) on investment transaction:
Net realized gain (loss) on:
Investments 2,469,556
Net change in unrealized appreciation (depreciation) on:
Investments 32,023,178
Net gain (loss) on investment transactions 34,492,734
Net change in net assets resulting from operations $ 55,970,246
See accompanying notes to financial statements. 5
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 21,477,512
Net realized gain (loss) on investment transactions 2,469,556
Net change in unrealized appreciation (depreciation) of investments 32,023,178
Net increase (decrease) in net assets resulting from
operations 55,970,246
Participating share holder transactions:
Class G proceeds from issuance of shares (32,436,037 shares) 340,829,813
Class G payments for withdrawals (10,066,301 shares) (106,607,823)
Net change 234,221,990
Class TMR proceeds from issuance of shares (82,346 shares) 862,338
Class TMR payments for withdrawals (5,238 shares) (55,836)
Net change 806,502
Change in net assets derived from share transactions 235,028,492
Total increase (decrease) in net assets 290,998,738
Net assets:
Beginning of year (71,618,686 Class G shares, 19,646 Class TMR
shares) 723,770,217
End of year (93,988,422 Class G shares, 96,754 Class TMR shares) $ 1,014,768,955
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 6
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds: 90.45%
Federal Agencies: 38.36%
Federal Farm Credit Banks 220,000 1.77 % 06/26/23 AA+ $ 219,330 $ 220,856
Federal Farm Credit Banks 397,000 1.68 01/05/22 AA+ 393,294 394,810
FHLB 1,520,000 2.50 02/13/24 AA+ 1,576,780 1,565,992
FHLB 390,000 3.00 09/11/26 AA+ 419,708 414,093
FHLB 400,000 2.38 03/14/25 AA+ 412,803 411,738
FHLB 50,000 1.88 09/11/26 AA+ 50,107 49,857
FHLB 110,000 3.25 06/09/28 AA+ 111,960 119,723
FHLB 200,000 2.38 09/10/21 AA+ 200,857 202,590
FHLB 580,000 2.25 01/29/21 AA+ 576,999 580,067
FHLB 300,000 1.88 12/09/22 AA+ 292,311 302,007
FHLB 420,000 2.88 06/14/24 AA+ 431,066 440,631
FHLB 360,000 1.38 02/18/21 AA+ 358,295 359,048
FHLB 400,000 1.88 11/29/21 AA+ 399,504 402,023
FHLB 30,000 2.00 09/09/22 AA+ 29,958 30,324
FHLB 80,000 5.50 07/15/36 AA+ 105,751 112,203
FHLMC 1,230,000 2.00 05/28/24 1,230,000 1,230,014
FHLMC 79,000 6.75 09/15/29 AA+ 105,553 110,583
FHLMC 795,000 1.33 12/30/20 AA+ 788,791 792,575
FHLMC POOL #QA5511 2,300,000 2.50 12/01/49 2,274,550 2,273,304
FHLMC POOL #SD0063 5,852,492 3.50 08/01/49 6,150,080 6,136,173
FHLMC POOL #SD8024 6,473,275 3.00 11/01/49 6,592,377 6,563,741
FHLMC POOL #ZS8087 1,386,536 2.50 04/01/33 1,374,481 1,401,645
FHLMC 219,000 2.38 01/13/22 AA+ 220,180 222,287
FHLMC 9,000 6.75 03/15/31 AA+ 12,083 13,022
FHLMC 227,000 6.25 07/15/32 AA+ 308,161 326,420
FHLMC POOl #SD8016 4,081,613 3.00 10/01/49 4,154,335 4,143,025
FHLMC POOL #G00818 2,776 7.50 11/01/27 2,923 3,126
FHLMC POOL #G00888 2,357 7.50 03/01/28 2,473 2,659
FHLMC POOL #G00539 485 8.00 09/01/26 497 542
FHLMC POOL #G01740 36,472 5.50 12/01/34 38,675 41,055
FHLMC POOL #G01749 848 5.50 01/01/35 901 955
FHLMC POOL #G01797 23,143 5.50 12/01/33 24,519 25,760
FHLMC POOL #G02478 4,973 5.50 12/01/36 5,298 5,594
FHLMC POOL #G02869 12,866 5.00 11/01/35 13,439 14,193
FHLMC POOL #G03075 3,475 5.50 07/01/37 3,724 3,908
FHLMC POOL #G04120 5,150 5.00 03/01/38 5,393 5,681
FHLMC POOL #G04173 8,822 6.50 12/01/37 9,193 9,903
FHLMC POOL #G04176 26,840 5.50 05/01/38 28,569 30,108
FHLMC POOL #G03351 4,628 6.00 09/01/37 4,976 5,306
FHLMC POOL #G03428 827 6.00 11/01/37 882 950
FHLMC POOL #G03504 1,638 6.00 11/01/37 1,743 1,881
FHLMC POOL #G03513 1,106 6.00 11/01/37 1,180 1,269
FHLMC POOL #G03550 46,376 6.00 11/01/37 49,625 53,237
FHLMC POOL #G03551 23,519 6.00 11/01/37 25,037 26,959
FHLMC POOL #G03616 22,790 6.00 12/01/37 24,203 26,157
FHLMC POOL #G03646 8,529 6.00 01/01/38 9,077 9,784
FHLMC POOL #G03660 16,626 6.00 12/01/37 17,572 19,055
FHLMC POOL #G04214 23,652 5.50 05/01/38 24,980 26,548
FHLMC POOL #G04448 29,810 5.50 07/01/38 31,483 33,398
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 7
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FHLMC POOL #G04579 11,665 6.50 % 08/01/37 $ 12,248 $ 13,150
FHLMC POOL #G04607 1,149 6.00 09/01/38 1,233 1,317
FHLMC POOL #G04668 11,310 5.00 03/01/38 11,860 12,469
FHLMC POOL #G04688 1,201 5.50 09/01/38 1,280 1,348
FHLMC POOL #G04691 2,419 5.00 06/01/38 2,553 2,667
FHLMC POOL #G04765 35,465 6.00 09/01/38 38,025 40,710
FHLMC POOL #G04815 18,009 5.00 09/01/38 19,012 19,856
FHLMC POOL #G04817 27,973 5.00 09/01/38 29,544 30,843
FHLMC POOL #G05982 41,374 4.50 09/01/40 43,315 44,950
FHLMC POOL #G05228 697 6.00 01/01/39 744 799
FHLMC POOL #G05205 17,781 5.00 01/01/39 18,770 19,607
FHLMC POOL #G05342 23,333 5.00 01/01/39 24,644 25,727
FHLMC POOL #G05518 26,077 5.00 02/01/39 27,561 28,759
FHLMC POOL #G05521 1,459 5.50 05/01/37 1,549 1,638
FHLMC POOL #G05671 20,557 5.50 08/01/38 21,885 23,093
FHLMC POOL #G05707 11,332 5.50 10/01/39 11,842 12,711
FHLMC POOL #G05683 9,194 5.00 12/01/38 9,703 10,136
FHLMC POOL #G05695 41,052 4.50 11/01/39 42,927 44,580
FHLMC POOL #G05792 66,822 4.50 02/01/40 70,040 72,604
FHLMC POOL #G05831 17,975 6.50 04/01/39 18,948 20,209
FHLMC POOL #G06800 4,063 4.00 10/01/41 4,223 4,361
FHLMC POOL #G06892 3,536 4.00 01/01/42 3,669 3,783
FHLMC POOL #G06066 5,227 6.00 05/01/40 5,599 6,000
FHLMC POOL #G06087 13,466 5.00 09/01/40 14,211 14,846
FHLMC POOL #G06088 29,349 5.50 01/01/38 31,192 33,006
FHLMC POOL #G06358 44,944 4.00 04/01/41 46,907 48,222
FHLMC POOL #G06359 156,506 4.00 02/01/41 163,356 167,927
FHLMC POOL #G06562 78,133 5.00 05/01/41 82,461 86,254
FHLMC POOL #G07116 31,348 6.00 07/01/39 33,577 35,984
FHLMC POOL #G07387 374,090 4.00 04/01/42 389,340 401,454
FHLMC POOL #G07568 431,871 4.50 09/01/41 452,109 469,095
FHLMC POOL #G07551 597,097 3.00 10/01/43 599,606 614,701
FHLMC POOL #G13300 7,456 4.50 05/01/23 7,275 7,763
FHLMC POOL #G13375 19,106 4.50 11/01/23 18,708 19,868
FHLMC POOL #G13136 2,227 4.50 05/01/23 2,173 2,308
FHLMC POOL #G13201 15,133 4.50 07/01/23 14,812 15,741
FHLMC POOL #G13240 1,231 5.00 08/01/23 1,210 1,280
FHLMC POOL #G13650 928 4.50 09/01/24 926 968
FHLMC POOL #G14120 56,218 4.00 04/01/26 56,959 58,807
FHLMC POOL #G15167 139,060 3.50 08/01/29 141,918 144,762
FHLMC POOL #G15180 181,550 3.50 09/01/29 188,994 188,994
FHLMC POOL #G14453 52,868 4.00 06/01/26 52,968 55,165
FHLMC POOL #G14557 84,809 3.00 08/01/27 85,531 87,052
FHLMC POOL #G14658 51,853 3.00 05/01/27 52,301 53,224
FHLMC POOL #G14953 312,879 3.50 01/01/29 318,870 325,460
FHLMC POOL #G08771 2,132,890 4.00 07/01/47 2,212,439 2,244,254
FHLMC POOL #G08011 15,100 6.00 09/01/34 16,002 17,321
FHLMC POOL #G08086 3,032 5.50 10/01/35 3,229 3,412
FHLMC POOL #G08099 11,294 5.00 12/01/35 11,849 12,454
FHLMC POOL #G08109 3,030 4.50 11/01/35 3,136 3,286
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 8
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FHLMC POOL #G08113 2,694 6.50 % 02/01/36 $ 2,863 $ 3,071
FHLMC POOL #G08216 4,283 5.50 08/01/37 4,519 4,802
FHLMC POOL #G08269 715 5.50 05/01/38 760 802
FHLMC POOL #G08300 1,566 5.50 11/01/38 1,653 1,754
FHLMC POOL #G08344 4,185 4.50 05/01/39 4,379 4,546
FHLMC POOL #G08347 28,277 4.50 06/01/39 29,613 30,716
FHLMC POOL #G08368 68,407 4.50 10/01/39 71,670 74,279
FHLMC POOL #G08369 2,764 5.00 10/01/39 2,921 3,051
FHLMC POOL #G08463 38,793 4.00 10/01/41 40,315 41,615
FHLMC POOL #G08488 123,544 3.50 04/01/42 126,739 130,229
FHLMC POOL #G08490 76,882 4.50 04/01/42 80,161 83,459
FHLMC POOL #G08537 1,174,189 3.00 07/01/43 1,179,497 1,209,063
FHLMC POOL #G08566 626,901 3.50 01/01/44 642,674 658,775
FHLMC POOL #G08585 748,368 3.50 05/01/44 765,961 783,249
FHLMC POOL #G08588 383,973 4.00 05/01/44 397,997 407,018
FHLMC POOL #G08615 792,514 3.50 11/01/44 810,647 828,950
FHLMC POOL #G08665 460,595 4.50 08/01/45 472,683 495,336
FHLMC POOL #G08654 1,498,159 3.50 07/01/45 1,530,297 1,564,321
FHLMC POOL #G08658 632,554 3.00 08/01/45 633,634 647,811
FHLMC POOL #G08702 920,958 3.50 04/01/46 941,307 960,380
FHLMC POOL #G08693 1,381,725 3.50 03/01/46 1,411,808 1,442,685
FHLMC POOL #G08729 1,656,876 4.50 09/01/46 1,733,845 1,758,270
FHLMC POOL #G08721 1,158,759 3.00 09/01/46 1,160,985 1,188,345
FHLMC POOL #G08762 505,804 4.00 05/01/47 524,240 531,751
FHLMC POOL #G08750 1,236,390 3.00 03/01/47 1,238,160 1,264,920
FHLMC POOL #G08757 566,246 3.50 04/01/47 578,717 587,897
FHLMC POOL #G18103 346 4.00 12/01/20 307 361
FHLMC POOL #G18108 286 4.00 01/01/21 275 298
FHLMC POOL #G18409 61,823 3.00 11/01/26 62,342 63,458
FHLMC POOL #G18415 277,020 3.00 12/01/26 279,370 284,345
FHLMC POOL #G18396 3,792 3.50 07/01/26 3,839 3,931
FHLMC POOL #G18406 38,730 3.00 10/01/26 39,051 39,754
FHLMC POOL #G18483 73,673 2.50 09/01/28 74,074 74,650
FHLMC POOL #G18488 167,773 2.50 11/01/28 168,659 169,998
FHLMC POOL #G18518 364,979 3.00 07/01/29 369,687 375,872
FHLMC POOL #G18529 643,169 2.50 10/01/29 645,315 651,684
FHLMC POOL #G18604 237,346 2.50 06/01/31 238,020 240,494
FHLMC POOL #G18581 529,366 2.50 01/01/31 530,822 536,383
FHLMC POOL #C90993 30,356 5.50 10/01/26 31,252 32,659
FHLMC POOL #C91028 569 5.00 02/01/27 586 607
FHLMC POOL #C91065 21,751 6.00 07/01/27 22,570 23,963
FHLMC POOL #C91265 3,761 4.50 09/01/29 3,882 4,011
FHLMC POOL #J00848 242 4.00 01/01/21 229 252
FHLMC POOL #J00360 139 4.00 11/01/20 118 145
FHLMC POOL #J02497 55 4.50 09/01/20 50 57
FHLMC POOL #J02507 245 4.00 09/01/20 231 256
FHLMC POOL #J05829 96 4.00 01/01/21 83 100
FHLMC POOL #J09380 2,385 4.50 04/01/24 2,371 2,486
FHLMC POOL #J10247 7,530 4.50 06/01/24 7,533 7,773
FHLMC POOL #J11719 28,762 4.00 02/01/25 28,820 30,013
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 9
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FHLMC POOL #J11728 22,464 4.00 % 02/01/25 $ 22,463 $ 23,433
FHLMC POOL #J11209 19,969 4.00 11/01/24 19,921 20,828
FHLMC POOL #J11299 5,730 4.00 12/01/24 5,801 5,976
FHLMC POOL #J11431 1,850 4.00 01/01/25 1,838 1,929
FHLMC POOL #J11542 22,450 4.00 01/01/25 22,636 23,412
FHLMC POOL #J11924 359 4.00 03/01/20 180 374
FHLMC POOL #J12089 10,639 4.00 05/01/25 10,695 11,099
FHLMC POOL #J12250 17,171 4.00 06/01/25 17,321 17,918
FHLMC POOL #J12293 20,961 4.50 05/01/25 21,035 22,045
FHLMC POOL #J13273 4,284 3.50 10/01/25 4,321 4,440
FHLMC POOL #J13300 2,414 3.50 10/01/25 2,433 2,502
FHLMC POOL #J13433 6,173 3.50 11/01/25 6,164 6,399
FHLMC POOL #J13669 890 3.50 11/01/20 803 922
FHLMC POOL #J13918 8,586 3.50 12/01/25 8,652 8,899
FHLMC POOL #J13947 90,086 3.50 12/01/25 90,852 93,376
FHLMC POOL #J14193 546 3.50 01/01/21 486 566
FHLMC POOL #J15337 3,358 4.00 05/01/26 3,403 3,509
FHLMC POOL #J16192 1,745 3.50 08/01/26 1,761 1,809
FHLMC POOL #J15686 17,036 3.50 06/01/21 16,075 17,650
FHLMC POOL #J16040 9,800 3.50 07/01/26 9,892 10,158
FHLMC POOL #J16317 9,679 3.50 08/01/26 9,775 10,033
FHLMC POOL #J16501 1,239 3.50 09/01/21 1,158 1,284
FHLMC POOL #J17316 79,569 3.00 11/01/26 80,204 81,673
FHLMC POOL #J18741 118,826 3.00 05/01/27 119,872 121,971
FHLMC POOL #J19396 122,008 3.00 06/01/27 122,915 125,239
FHLMC POOL #A80845 10,008 5.50 08/01/38 10,636 11,214
FHLMC POOL #A80378 4,560 5.50 12/01/36 4,685 4,903
FHLMC POOL #A80659 48,955 5.00 02/01/37 51,356 53,943
FHLMC POOL #A80983 477 5.00 08/01/38 498 525
FHLMC POOL #A81618 445 6.00 09/01/38 473 510
FHLMC POOL #A81884 66 5.50 09/01/38 69 71
FHLMC POOL #A83575 27,588 5.00 12/01/38 28,960 30,338
FHLMC POOL #A82762 1,183 5.00 11/01/38 1,241 1,303
FHLMC POOL #A82925 252 5.00 11/01/38 264 269
FHLMC POOL #A83350 39,001 5.50 12/01/38 41,215 43,657
FHLMC POOL #A83406 416 5.50 12/01/38 437 447
FHLMC POOL #C00875 369 7.50 10/01/29 392 422
FHLMC POOL #C00193 334 7.50 12/01/22 320 352
FHLMC POOL #C00555 1,504 7.50 10/01/27 1,600 1,719
FHLMC POOL #C00701 801 6.50 01/01/29 824 889
FHLMC POOL #C00689 191 6.50 12/01/28 198 212
FHLMC POOL #C00756 216 7.00 04/01/29 224 245
FHLMC POOL #C01222 213 7.00 09/01/31 229 245
FHLMC POOL #C01622 3,063 5.00 09/01/33 3,206 3,378
FHLMC POOL #C01839 7,154 5.00 05/01/34 7,507 7,894
FHLMC POOL #C01846 7,495 5.00 06/01/34 7,835 8,270
FHLMC POOL #C01848 927 6.00 06/01/34 983 1,064
FHLMC POOL #C03565 49,612 4.00 12/01/40 51,534 53,225
FHLMC POOL #C03325 34,118 6.00 02/01/39 35,934 39,028
FHLMC POOL #C03461 38,041 4.00 02/01/40 39,422 40,823
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 10
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FHLMC POOL #C03633 708,782 4.00 % 12/01/40 $ 734,921 $ 760,587
FHLMC POOL #C03759 192,323 3.50 02/01/42 197,207 202,744
FHLMC POOL #C03831 84,581 4.50 03/01/42 88,153 91,900
FHLMC POOL #C04061 828,269 4.00 06/01/42 861,253 888,310
FHLMC POOL #A83760 636 5.50 01/01/39 668 685
FHLMC POOL #A83738 798 5.50 12/01/38 834 858
FHLMC POOL #A84128 26,214 5.50 01/01/39 27,741 29,337
FHLMC POOL #A85349 9,108 4.50 03/01/39 9,489 9,888
FHLMC POOL #G00911 559 7.00 02/01/27 567 598
FHLMC POOL #G00924 1,601 8.00 03/01/28 1,660 1,813
FHLMC POOL #G01188 513 7.50 04/01/27 505 537
FHLMC POOL #G01158 457 7.50 01/01/31 493 534
FHLMC POOL #G01323 206 7.00 09/01/31 221 236
FHLMC POOL #G11650 16 5.00 02/01/20 16 17
FHLMC POOL #C61510 169 8.00 12/01/31 178 192
FHLMC POOL #C65062 112 6.50 03/01/32 108 125
FHLMC POOL #C66626 60 7.00 04/01/32 55 61
FHLMC POOL #C68001 192 7.00 06/01/32 201 214
FHLMC POOL #C68094 290 7.00 06/01/32 293 297
FHLMC POOL #C69596 386 6.50 08/01/32 405 438
FHLMC POOL #C69600 1,038 6.50 08/01/32 1,087 1,153
FHLMC POOL #C69682 671 6.50 08/01/32 702 745
FHLMC POOL #C69903 223 6.50 08/01/32 234 248
FHLMC POOL #C70139 333 6.50 08/01/32 349 370
FHLMC POOL #C70466 288 6.50 09/01/32 300 320
FHLMC POOL #C72255 114 6.50 07/01/32 120 127
FHLMC POOL #C73496 394 6.00 11/01/32 416 451
FHLMC POOL #C73627 1,224 6.00 11/01/32 1,269 1,396
FHLMC POOL #A40375 34,525 5.00 12/01/35 36,049 38,060
FHLMC POOL #A40465 1,653 5.00 12/01/35 1,725 1,784
FHLMC POOL #A40588 5,854 5.50 12/01/35 6,086 6,388
FHLMC POOL #A40728 661 4.50 12/01/35 684 695
FHLMC POOL #A42492 2,064 6.50 02/01/36 2,113 2,298
FHLMC POOL #A44406 562 5.50 04/01/36 596 632
FHLMC POOL #A43991 76,290 5.00 03/01/36 79,333 81,684
FHLMC POOL #A44072 1,165 6.00 04/01/36 1,222 1,335
FHLMC POOL #A47152 11,732 5.50 10/01/35 12,295 12,619
FHLMC POOL #A47403 6,585 5.00 10/01/35 6,893 7,257
FHLMC POOL #A48671 20,583 6.00 05/01/36 21,714 22,886
FHLMC POOL #A48838 2,556 5.50 05/01/36 2,671 2,750
FHLMC POOL #A56498 3,068 6.00 01/01/37 3,209 3,472
FHLMC POOL #A56988 5,578 5.50 02/01/37 5,867 6,092
FHLMC POOL #A57273 3,933 5.50 01/01/37 4,119 4,232
FHLMC POOL #A57561 303 5.50 02/01/37 317 330
FHLMC POOL #A57608 1,945 5.50 02/01/37 2,042 2,097
FHLMC POOL #A59320 3,944 5.50 04/01/37 4,210 4,308
FHLMC POOL #A59751 300 5.50 04/01/37 316 323
FHLMC POOL #A60787 2,816 5.50 05/01/37 2,963 3,059
FHLMC POOL #A61717 851 5.50 05/01/37 850 916
FHLMC POOL #A61720 1,521 5.50 05/01/37 1,604 1,636
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 11
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FHLMC POOL #A61722 1,078 5.50 % 05/01/37 $ 1,132 $ 1,160
FHLMC POOL #A61789 3,070 5.50 05/01/37 3,222 3,338
FHLMC POOL #A61797 12,694 5.50 06/01/37 13,699 14,345
FHLMC POOL #A62650 2,322 5.50 06/01/37 2,433 2,498
FHLMC POOL #A61823 5,416 5.50 06/01/37 5,733 5,960
FHLMC POOL #A62005 5,159 5.50 06/01/37 5,469 5,678
FHLMC POOL #A65518 402 6.00 09/01/37 420 460
FHLMC POOL #A66380 1,096 6.00 09/01/37 1,169 1,254
FHLMC POOL #A66740 29,296 6.50 10/01/37 30,988 32,542
FHLMC POOL #A67449 8,311 6.00 11/01/37 8,699 9,336
FHLMC POOL #A68998 320 6.00 11/01/37 337 366
FHLMC POOL #A68439 12,293 5.50 11/01/37 12,914 13,231
FHLMC POOL #A68579 1,616 6.00 11/01/37 1,595 1,784
FHLMC POOL #A69830 3,070 6.00 12/01/37 3,147 3,450
FHLMC POOL #A69531 1,181 5.00 12/01/37 1,231 1,262
FHLMC POOL #A72300 265 6.00 01/01/38 280 297
FHLMC POOL #A73519 323 5.00 03/01/38 339 355
FHLMC POOL #A73116 36,990 6.50 02/01/38 38,938 41,089
FHLMC POOL #A73703 2,629 5.00 03/01/38 2,752 2,893
FHLMC POOL #A73705 218 5.00 03/01/38 225 238
FHLMC POOL #A73872 1,079 5.00 03/01/38 1,129 1,188
FHLMC POOL #A74198 525 5.00 02/01/38 551 578
FHLMC POOL #A75744 32,577 4.50 04/01/38 33,839 35,294
FHLMC POOL #A76046 183,402 5.50 04/01/38 194,607 205,868
FHLMC POOL #A76335 2,010 5.00 04/01/38 2,109 2,213
FHLMC POOL #A76409 7,207 5.00 04/01/38 7,540 7,697
FHLMC POOL #A76485 819 5.00 04/01/38 859 902
FHLMC POOL #A76528 1,268 6.50 05/01/38 1,210 1,409
FHLMC POOL #A77344 4,108 5.00 05/01/38 4,272 4,483
FHLMC POOL #A77463 262 5.00 05/01/38 274 288
FHLMC POOL #A77472 885 5.00 06/01/38 931 974
FHLMC POOL #A77796 19,123 5.50 05/01/38 20,204 21,447
FHLMC POOL #A78602 2,073 6.00 06/01/38 2,193 2,294
FHLMC POOL #A78831 31,296 5.00 06/01/38 32,555 34,299
FHLMC POOL #A79846 578 6.00 07/01/38 612 642
FHLMC POOL #A79427 1,851 6.00 07/01/38 1,962 2,039
FHLMC POOL #G01842 4,842 4.50 06/01/35 5,061 5,259
FHLMC POOL #G01854 42,923 5.50 06/01/35 45,623 48,332
FHLMC POOL #G01910 13,918 5.00 10/01/35 14,647 15,356
FHLMC POOL #G02072 3,045 5.50 03/01/36 3,243 3,427
FHLMC POOL #G02261 9,355 5.50 12/01/35 9,965 10,527
FHLMC POOL #G02386 12,740 6.00 11/01/36 13,531 14,597
FHLMC POOL #G03238 598 6.00 08/01/37 636 685
FHLMC POOL #G03295 6,673 6.50 07/01/37 7,063 7,595
FHLMC POOL #G02408 5,582 5.50 12/01/36 5,933 6,278
FHLMC POOL #G02422 15,552 6.00 12/01/36 16,592 17,846
FHLMC POOL #A27022 49 5.50 12/01/31 47 53
FHLMC POOL #A27507 4,815 6.00 10/01/34 4,980 5,360
FHLMC POOL #A27704 1,016 6.00 10/01/34 1,059 1,119
FHLMC POOL #A27872 1,858 6.00 10/01/34 1,955 2,050
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 12
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FHLMC POOL #A29692 724 5.50 % 01/01/35 $ 739 $ 779
FHLMC POOL #A31511 2,260 5.50 02/01/35 2,362 2,483
FHLMC POOL #A32759 642 4.50 05/01/35 652 677
FHLMC POOL #A34054 2,077 6.00 04/01/35 2,182 2,292
FHLMC POOL #A36418 1,618 5.00 08/01/35 1,692 1,784
FHLMC POOL #A37002 4,317 5.00 09/01/35 4,508 4,759
FHLMC POOL #A37317 2,839 5.00 09/01/35 2,925 3,129
FHLMC POOL #A37713 10,562 5.00 09/01/35 10,986 11,641
FHLMC POOL #A37846 13,322 5.00 09/01/35 13,890 14,681
FHLMC POOL #A38962 3,378 5.50 10/01/34 3,518 3,798
FHLMC POOL #A39083 2,844 5.50 10/01/35 2,978 3,062
FHLMC POOL #A39197 666 5.00 11/01/35 688 733
FHLMC POOL #A39433 9,069 5.00 11/01/35 9,389 9,973
FHLMC POOL #A39646 707 4.50 11/01/35 734 766
FHLMC POOL #C53365 1,080 6.50 06/01/31 1,128 1,200
FHLMC POOL #C53851 714 6.50 02/01/29 741 793
FHLMC POOL #C57177 406 6.50 09/01/31 423 452
FHLMC POOL #J24339 184,732 2.50 06/01/28 185,695 187,345
FHLMC POOL #J25699 436,418 2.50 09/01/28 438,816 442,204
FHLMC POOL #Q01129 12,115 4.50 04/01/41 12,467 12,844
FHLMC POOL #Q01402 28,060 4.50 06/01/41 29,263 30,489
FHLMC POOL #Q02009 41,221 4.50 07/01/41 42,406 44,792
FHLMC POOL #Q02849 15,248 4.50 08/01/41 15,957 16,568
FHLMC POOL #Q03580 10,269 4.50 09/01/41 10,660 11,158
FHLMC POOL #Q04674 586,730 4.00 12/01/41 609,250 628,960
FHLMC POOL #Q04244 66,119 4.00 11/01/41 68,497 70,962
FHLMC POOL #Q05926 4,676 4.00 02/01/42 4,854 5,011
FHLMC POOL #Q08641 291,239 3.50 06/01/42 298,538 307,021
FHLMC POOL #Q07896 176,176 3.50 05/01/42 180,635 185,723
FHLMC POOL #Q08768 60,526 4.50 06/01/42 63,013 64,619
FHLMC POOL #Q10899 273,017 3.50 09/01/42 278,492 284,863
FHLMC POOL #Q12052 423,109 3.50 10/01/42 434,146 445,992
FHLMC POOL #Q12303 504,190 3.00 11/01/42 506,746 519,268
FHLMC POOL #Q13743 1,163,952 3.00 11/01/42 1,169,969 1,199,098
FHLMC POOL #Q17674 788,091 3.00 04/01/43 791,963 811,866
FHLMC POOL #Q19982 227,952 3.50 07/01/43 233,606 240,165
FHLMC POOL #Q20542 868,166 3.00 07/01/43 872,136 893,639
FHLMC POOL #Q20570 944,282 3.50 08/01/43 966,288 993,507
FHLMC POOL #V60494 331,702 3.00 02/01/29 336,027 342,233
FHLMC POOL #Q26319 831,081 4.00 05/01/44 861,559 880,678
FHLMC POOL #Q45094 2,477,873 3.00 12/01/46 2,482,480 2,537,008
FHLMC POOL #Q50962 1,309,968 3.50 09/01/47 1,338,306 1,360,300
FHLMC POOL #G60176 477,603 3.50 07/01/45 488,998 503,232
FHLMC POOL #G60358 571,391 3.50 12/01/45 585,376 602,042
FHLMC POOL #C90833 2,695 6.00 03/01/24 2,615 2,966
FHLMC POOL #C90676 904 5.50 05/01/23 880 972
FHLMC POOL #G11879 72 5.00 10/01/20 62 74
FHLMC POOL #A84694 1,201 4.50 02/01/39 1,241 1,303
FHLMC POOL #A84814 95,268 4.50 03/01/39 98,515 101,809
FHLMC POOL #A85244 54,715 6.50 03/01/39 57,711 60,778
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 13
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FHLMC POOL #A85495 13,667 4.50 % 04/01/39 $ 14,196 $ 14,535
FHLMC POOL #A85718 11,763 4.00 04/01/39 12,264 12,672
FHLMC POOL #A86044 2,644 5.00 05/01/39 2,736 2,918
FHLMC POOL #A86802 35,000 4.00 06/01/39 36,123 37,544
FHLMC POOL #A86830 47,984 4.50 06/01/39 50,030 52,111
FHLMC POOL #A86876 2,466 5.00 06/01/39 2,611 2,719
FHLMC POOL #A86951 42,975 4.50 06/01/39 44,889 46,690
FHLMC POOL #A87997 39,175 5.00 08/01/39 40,883 42,379
FHLMC POOL #A88027 1,972 5.00 08/01/39 2,081 2,176
FHLMC POOL #A87339 2,312 5.00 07/01/39 2,432 2,552
FHLMC POOL #A89031 16,522 4.00 09/01/39 17,136 17,723
FHLMC POOL #A89760 8,186 4.50 12/01/39 8,553 8,888
FHLMC POOL #A90316 2,397 4.50 12/01/39 2,509 2,604
FHLMC POOL #A90319 51,679 5.00 12/01/39 54,923 57,046
FHLMC POOL #A90563 19,166 5.00 01/01/40 20,168 20,740
FHLMC POOL #A91160 201,510 4.50 02/01/40 211,799 218,896
FHLMC POOL #C15744 1,687 8.50 11/01/26 1,716 1,865
FHLMC POOL #C25414 117 6.50 04/01/29 121 130
FHLMC POOL #C27803 120 6.00 06/01/29 119 132
FHLMC POOL #A91808 37,287 4.50 04/01/40 38,671 40,516
FHLMC POOL #A92240 18,763 4.50 05/01/40 19,606 20,386
FHLMC POOL #A92271 7,860 5.00 05/01/40 8,164 8,679
FHLMC POOL #A92506 72,252 5.00 06/01/40 75,843 79,747
FHLMC POOL #A93099 27,632 5.00 07/01/40 29,263 30,085
FHLMC POOL #A93643 92,619 4.00 09/01/40 95,557 99,370
FHLMC POOL #A93700 29,543 4.50 09/01/40 31,161 32,163
FHLMC POOL #A93854 62,894 4.50 09/01/40 65,721 68,321
FHLMC POOL #A93948 51,108 4.50 09/01/40 53,205 55,525
FHLMC POOL #A94175 32,421 4.00 10/01/40 33,718 34,789
FHLMC POOL #A94184 6,154 4.00 10/01/40 6,350 6,602
FHLMC POOL #A94326 41,628 3.50 10/01/40 42,670 43,875
FHLMC POOL #A94704 54,819 4.00 11/01/40 56,999 58,812
FHLMC POOL #A94713 131,801 4.00 11/01/40 136,806 141,401
FHLMC POOL #A95113 88,131 4.00 11/01/40 91,426 93,929
FHLMC POOL #A96174 388,348 4.00 01/01/41 402,735 416,679
FHLMC POOL #A95407 124,282 4.00 12/01/40 128,992 133,358
FHLMC POOL #A96563 161,575 4.00 01/01/41 167,222 173,366
FHLMC POOL #A97571 12,067 5.00 03/01/41 12,616 12,908
FHLMC POOL #A97601 46,339 4.50 03/01/41 48,991 51,406
FHLMC POOL #E02697 23,231 4.00 06/01/25 23,434 24,244
FHLMC POOL #E02790 44,818 3.50 10/01/25 45,134 46,450
FHLMC POOL #E02866 4,664 4.00 04/01/26 4,711 4,878
FHLMC POOL #E02930 20,323 3.50 07/01/26 20,511 21,067
FHLMC POOL #E03077 28,612 3.00 03/01/27 28,859 29,368
FHLMC POOL #E03091 104,122 3.00 04/01/27 104,965 107,226
FHLMC POOL #E09013 75,720 3.00 10/01/27 76,196 77,722
FHLMC POOL #E09034 22,965 3.00 06/01/28 23,220 23,651
FHLMC POOL #A01788 1 9.00 02/01/20 1 1
FHLMC POOL #A10107 2,905 5.50 06/01/33 3,023 3,156
FHLMC POOL #A13738 28,507 5.00 09/01/33 30,076 31,434
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 14
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FHLMC POOL #A13739 12,294 5.00 % 09/01/33 $ 12,777 $ 13,524
FHLMC POOL #A13829 6,531 5.00 09/01/33 6,829 7,160
FHLMC POOL #A13995 2,508 6.00 10/01/33 2,643 2,789
FHLMC POOL #A14165 13,271 5.00 10/01/33 13,905 14,737
FHLMC POOL #A14339 1,272 5.50 10/01/33 1,329 1,369
FHLMC POOL #A15120 2,075 5.50 10/01/33 2,110 2,236
FHLMC POOL #A15851 19,140 5.50 12/01/33 20,235 21,554
FHLMC POOL #A16517 1,449 5.00 12/01/33 1,495 1,564
FHLMC POOL #A16524 3,728 7.00 12/01/33 3,893 4,281
FHLMC POOL #A16527 2,509 6.00 11/01/33 2,638 2,775
FHLMC POOL #A16622 6,949 5.00 12/01/33 7,297 7,652
FHLMC POOL #A16674 6,275 5.00 12/01/33 6,596 6,887
FHLMC POOL #A16675 4,359 5.00 12/01/33 4,585 4,700
FHLMC POOL #A17501 7,379 7.00 01/01/34 7,710 8,472
FHLMC POOL #A20041 2,248 5.00 03/01/34 2,332 2,478
FHLMC POOL #A20113 143 6.50 10/01/31 117 159
FHLMC POOL #A20559 1,611 5.50 04/01/34 1,688 1,811
FHLMC POOL #A21666 1,439 5.00 05/01/34 1,496 1,587
FHLMC POOL #A21808 583 5.00 05/01/34 606 623
FHLMC POOL #A21904 6,345 5.50 05/01/34 6,709 7,018
FHLMC POOL #A22207 7,085 5.00 05/01/34 7,421 7,816
FHLMC POOL #B18180 50 5.00 04/01/20 43 52
FHLMC POOL #A23571 4,195 5.00 06/01/34 4,360 4,483
FHLMC POOL #A23121 1,051 5.00 05/01/34 1,092 1,123
FHLMC POOL #A23131 1,911 5.00 06/01/34 1,993 2,108
FHLMC POOL #A23132 1,950 5.00 06/01/34 2,031 2,150
FHLMC POOL #A23137 8,112 5.00 06/01/34 8,470 8,944
FHLMC POOL #A23139 1,476 5.00 06/01/34 1,538 1,626
FHLMC POOL #A23164 3,203 5.00 06/01/34 3,346 3,494
FHLMC POOL #A23165 1,945 5.00 06/01/34 2,035 2,136
FHLMC POOL #A23432 1,108 5.00 06/01/34 1,157 1,184
FHLMC POOL #A23820 1,504 5.00 06/01/34 1,548 1,611
FHLMC POOL #A24995 1,464 6.00 07/01/34 1,548 1,620
FHLMC POOL #A26403 3,206 5.50 09/01/34 3,338 3,491
FNMA POOL #CA1389 3,435,116 4.50 03/01/48 3,640,010 3,627,912
FNMA 40,000 2.50 04/13/21 AA+ 40,454 40,445
FNMA 110,000 2.88 09/12/23 AA+ 114,995 114,741
FNMA 60,000 1.63 10/15/24 AA+ 59,724 59,656
FNMA 564,347 3.27 01/25/39 594,291 582,432
FNMA 310,000 2.00 10/05/22 AA+ 305,790 313,164
FNMA 560,000 2.63 01/11/22 AA+ 565,834 571,104
FNMA 20,000 2.50 02/05/24 AA+ 19,941 20,602
FNMA 900,000 2.25 04/12/22 AA+ 909,062 913,054
FNMA 500,000 2.47 04/25/26 503,357 501,798
FNMA(1) 140,000 3.18 04/25/29 136,412 147,148
FNMA 225,000 2.98 08/25/29 220,673 233,929
FNMA(1) 1,616,548 2.99 02/25/30 1,681,988 1,684,012
FNMA(1) 78,203 3.19 07/25/23 77,869 80,495
FNMA(1) 210,000 3.70 09/25/30 208,550 229,625
FNMA 119,000 6.25 05/15/29 AA+ 153,288 160,720
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 15
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA 119,000 7.13 % 01/15/30 AA+ $ 163,893 $ 172,080
FNMA 176,000 7.25 05/15/30 AA+ 242,012 258,510
FNMA 175,000 6.63 11/15/30 AA+ 237,742 249,102
FNMA 397,000 1.38 02/26/21 AA+ 394,829 395,928
FNMA 533,000 2.13 04/24/26 AA+ 520,120 540,499
FNMA 238,000 1.88 09/24/26 AA+ 228,280 237,308
FNMA 117,000 2.00 01/05/22 AA+ 116,999 117,889
FNMA 120,000 1.88 04/05/22 AA+ 119,234 120,719
FNMA(1) 123,897 3.48 01/25/24 129,166 129,522
FNMA(1) 310,000 3.09 04/25/27 313,638 322,857
FNMA(1) 655,000 2.96 02/25/27 662,493 679,417
FNMA POOL #CA3868 4,359,020 4.00 07/01/49 4,614,428 4,624,930
FNMA POOL #MA3800 3,283,230 3.00 10/01/39 3,352,822 3,359,366
FNMA POOL #MA3865 3,446,569 3.00 12/01/34 3,532,429 3,538,823
FNMA POOL #MA3873 5,105,943 4.00 12/01/49 5,330,542 5,320,623
FNMA POOL #AS7234 9,735,064 3.00 05/01/46 9,879,410 9,963,933
FNMA POOL #AU3353 5,870,488 3.00 08/01/43 6,038,435 6,039,653
FNMA POOL #BC1515 3,770,044 3.50 08/01/46 3,932,801 3,923,565
FNMA POOL #BK4764 684,967 4.00 08/01/48 698,203 713,346
FNMA POOL #BM3627 9,420,795 3.00 11/01/46 9,697,998 9,694,805
FNMA POOL #BM5446 501,851 3.50 02/01/49 501,675 516,164
FNMA POOL #BN0877 2,111,108 4.50 11/01/48 2,194,778 2,221,137
FNMA POOL #BN4805 2,859,699 3.50 02/01/49 2,866,917 2,942,015
FNMA POOL #CA2653 987,650 5.00 08/01/48 1,035,788 1,055,156
FNMA POOL #FM1077 4,182,393 3.50 04/01/34 4,317,511 4,336,544
FNMA POOL #MA3495 1,988,634 4.00 10/01/48 2,030,260 2,070,507
FNMA POOL #MA3496 960,139 4.50 10/01/48 994,466 1,013,680
FNMA POOL #MA3592 1,930,554 4.00 02/01/49 1,982,065 2,005,319
FNMA POOL #MA3686 4,144,441 3.50 06/01/49 4,193,779 4,257,797
FNMA POOL #FM1155 1,735,295 2.50 06/01/32 1,759,424 1,757,362
FNMA POOL #MA3664 3,550,188 4.00 05/01/49 3,678,575 3,688,247
FNMA POOL #MA3803 1,701,221 3.50 10/01/49 1,749,878 1,749,980
FNMA POOL #MA3522 6,025,984 4.50 11/01/48 6,240,685 6,356,477
FNMA POOL #MA3537 2,246,563 4.50 12/01/48 2,337,669 2,363,515
FNMA POOL #MA3745 12,878,793 3.50 08/01/49 13,167,467 13,236,156
FNMA POOL #878187 1,897 6.50 08/01/36 2,022 2,149
FNMA POOL #880182 1,917 5.50 01/01/36 2,040 2,156
FNMA POOL #880627 12,256 5.50 04/01/36 13,004 13,760
FNMA POOL #BA3989 806,994 3.50 02/01/46 823,797 842,039
FNMA POOL #BC0769 1,461,699 4.00 12/01/45 1,511,176 1,548,568
FNMA POOL #BC1158 984,437 3.50 02/01/46 1,005,326 1,028,642
FNMA POOL #BD7081 1,600,816 4.00 03/01/47 1,658,634 1,684,484
FNMA POOL #BM1164 2,095,512 3.50 12/01/45 2,139,874 2,185,674
FNMA POOL #886958 3,413 6.00 06/01/36 3,647 3,903
FNMA POOL #888336 41,794 5.00 07/01/36 44,097 46,079
FNMA POOL #888343 74,592 5.00 11/01/35 79,099 82,258
FNMA POOL #888016 803 5.50 05/01/36 854 900
FNMA POOL #888095 11,041 5.50 12/01/35 11,794 12,426
FNMA POOL #888486 372 6.50 07/01/37 398 418
FNMA POOL #888653 3 4.50 07/01/20 3 3
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 16
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #888645 1,170 5.00 % 08/01/37 $ 1,231 $ 1,286
FNMA POOL #888795 1,402 5.50 11/01/36 1,497 1,578
FNMA POOL #889139 2,775 5.50 03/01/37 2,963 3,123
FNMA POOL #890169 11,224 5.00 03/01/24 11,023 11,642
FNMA POOL #890176 2 5.00 08/01/20 2 2
FNMA POOL #889427 12,829 6.00 03/01/38 13,789 14,748
FNMA POOL #889753 75,669 4.50 06/01/38 78,899 82,132
FNMA POOL #889982 30,230 5.50 11/01/38 32,283 33,925
FNMA POOL #890305 3,286 4.50 05/01/25 3,275 3,425
FNMA POOL #891435 1,955 5.50 03/01/36 2,076 2,197
FNMA POOL #893353 5,160 6.00 09/01/36 5,518 5,910
FNMA POOL #894311 6,716 5.50 11/01/36 7,108 7,527
FNMA POOL #896527 646 6.50 08/01/36 688 717
FNMA POOL #897130 5,459 6.50 09/01/36 5,832 6,120
FNMA POOL #897794 713 6.50 09/01/36 748 809
FNMA POOL #898126 266 6.50 09/01/36 278 296
FNMA POOL #898818 22,852 6.00 11/01/36 24,124 26,139
FNMA POOL #898913 2,579 5.50 11/01/21 2,455 2,629
FNMA POOL #899892 6,508 6.00 11/01/36 6,746 7,434
FNMA POOL #902516 28,212 5.50 11/01/36 29,812 31,613
FNMA POOL #903677 918 6.50 10/01/36 998 1,056
FNMA POOL #904601 20,800 6.00 11/01/36 22,090 23,834
FNMA POOL #906305 672 5.50 01/01/22 608 682
FNMA POOL #905590 292 6.50 12/01/36 301 325
FNMA POOL #905673 627 5.50 12/01/36 660 704
FNMA POOL #908789 437 6.00 02/01/37 459 500
FNMA POOL #910913 437 6.50 02/01/37 462 485
FNMA POOL #913927 551 6.50 02/01/37 565 621
FNMA POOL #914577 622 6.50 04/01/37 662 694
FNMA POOL #916304 728 6.50 04/01/37 746 808
FNMA POOL #919540 80 5.50 06/01/22 80 80
FNMA POOL #928379 4,450 5.50 06/01/37 4,672 4,998
FNMA POOL #929674 38,499 5.00 06/01/23 37,847 39,915
FNMA POOL #929195 53,792 6.50 03/01/38 58,024 61,813
FNMA POOL #930627 3,870 4.00 02/01/24 3,865 4,036
FNMA POOL #930631 3,258 4.50 03/01/39 3,395 3,531
FNMA POOL #930667 618 4.50 03/01/24 614 643
FNMA POOL #929953 20,245 5.50 09/01/38 21,378 22,702
FNMA POOL #930327 1,320 6.50 12/01/38 1,398 1,465
FNMA POOL #930851 580 4.00 04/01/24 575 604
FNMA POOL #930924 26,520 4.50 04/01/39 27,744 28,743
FNMA POOL #930913 114,483 4.00 04/01/39 119,534 123,314
FNMA POOL #930982 383,314 4.50 04/01/39 400,435 415,711
FNMA POOL #931149 517,253 5.00 05/01/39 547,233 569,871
FNMA POOL #931409 13,052 4.00 06/01/24 13,045 13,614
FNMA POOL #932385 78,716 4.50 01/01/40 83,230 86,844
FNMA POOL #932491 43,482 4.50 02/01/40 45,776 47,493
FNMA POOL #931743 43,854 4.50 08/01/24 43,852 45,667
FNMA POOL #932557 996 4.00 02/01/25 998 1,039
FNMA POOL #933883 2,210 4.50 04/01/23 2,168 2,303
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 17
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #933731 22,817 5.50 % 04/01/38 $ 24,171 $ 25,574
FNMA POOL #934259 977 4.50 01/01/39 1,022 1,057
FNMA POOL #934852 453 4.00 05/01/24 449 473
FNMA POOL #936794 520 5.50 06/01/37 549 559
FNMA POOL #939959 644 7.00 06/01/37 670 722
FNMA POOL #940734 2,810 7.00 10/01/37 2,931 3,173
FNMA POOL #943465 3,355 6.50 08/01/37 3,549 3,730
FNMA POOL #943625 631 6.50 09/01/37 669 700
FNMA POOL #944511 537 6.50 07/01/37 568 596
FNMA POOL #944728 945 6.00 07/01/37 991 1,078
FNMA POOL #944980 167 5.50 07/01/22 162 171
FNMA POOL #948292 7,319 5.50 08/01/37 7,744 8,195
FNMA POOL #948146 49,686 5.50 11/01/37 52,180 55,666
FNMA POOL #949008 611 7.00 08/01/37 653 701
FNMA POOL #952010 1,715 6.00 12/01/37 1,796 1,963
FNMA POOL #952425 30 7.00 09/01/37 31 30
FNMA POOL #955429 1,078 6.00 12/01/37 1,103 1,194
FNMA POOL #954864 877 6.00 11/01/37 939 995
FNMA POOL #955713 2,106 6.00 11/01/37 2,210 2,410
FNMA POOL #956941 2,980 6.00 12/01/37 3,191 3,409
FNMA POOL #959596 727 6.00 11/01/37 783 831
FNMA POOL #963318 4,094 5.00 05/01/23 4,023 4,248
FNMA POOL #966202 2,094 6.00 12/01/37 2,218 2,395
FNMA POOL #MA3217 4,340,932 2.50 12/01/32 4,153,675 4,388,245
FNMA POOL #MA3444 67,426 4.50 08/01/48 69,846 71,150
FNMA POOL #AC7292 6,276 4.50 12/01/39 6,575 6,808
FNMA POOL #AC7962 17,331 4.50 01/01/25 17,345 18,158
FNMA POOL #AC8563 59,696 4.00 01/01/40 62,074 64,013
FNMA POOL #MA0186 29,723 4.00 09/01/39 30,895 31,857
FNMA POOL #MA0298 7 4.00 01/01/20 13 7
FNMA POOL #MA0380 76 4.00 04/01/20 47 79
FNMA POOL #MA0561 110,138 4.00 11/01/40 114,481 118,095
FNMA POOL #MA0583 746,782 4.00 12/01/40 775,373 800,721
FNMA POOL #MA0613 5,277 4.00 11/01/20 4,679 5,501
FNMA POOL #MA0702 15,466 3.00 04/01/21 14,748 15,842
FNMA POOL #MA0678 3,624 4.00 03/01/26 3,644 3,785
FNMA POOL #MA0739 849 3.00 05/01/21 816 870
FNMA POOL #MA1028 18,737 4.00 04/01/42 19,484 20,054
FNMA POOL #MA1103 37,204 3.50 07/01/42 38,143 39,193
FNMA POOL #MA1208 246,282 3.00 10/01/42 247,375 253,605
FNMA POOL #MA1466 199,473 3.50 06/01/43 203,905 209,951
FNMA POOL #MA2608 1,501,900 3.00 05/01/46 1,502,815 1,537,181
FNMA POOL #MA2136 1,458,134 3.50 01/01/45 1,489,201 1,529,512
FNMA POOL #MA2473 699,342 3.50 12/01/35 713,543 728,849
FNMA POOL #MA2522 1,143,090 3.50 02/01/46 1,167,394 1,192,678
FNMA POOL #MA2550 452,062 3.00 03/01/36 457,420 463,751
FNMA POOL #MA2833 1,079,563 3.00 12/01/46 1,080,229 1,104,981
FNMA POOL #MA2863 1,937,844 3.00 01/01/47 1,939,021 1,981,694
FNMA POOL #MA2903 1,489,055 3.00 02/01/32 1,511,381 1,529,918
FNMA POOL #MA2909 3,139,178 3.50 02/01/37 3,204,851 3,262,780
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 18
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #MA2930 1,871,084 4.00 % 03/01/47 $ 1,941,412 $ 1,968,909
FNMA POOL #MA2974 402,351 4.50 04/01/47 422,256 425,115
FNMA POOL #MA3090 378,702 3.00 08/01/32 384,599 388,620
FNMA POOL #MA3143 1,192,318 3.00 09/01/47 1,193,098 1,216,672
FNMA POOL #MA3121 1,551,162 4.00 09/01/47 1,609,743 1,629,440
FNMA POOL #AD1612 1,374 4.50 02/01/25 1,369 1,432
FNMA POOL #AD1613 4,982 4.50 02/01/25 4,977 5,193
FNMA POOL #AD2089 1,356 4.50 02/01/25 1,366 1,413
FNMA POOL #AD3600 5,768 4.50 03/01/25 5,740 5,988
FNMA POOL #AD3828 1,027 4.00 04/01/25 1,031 1,071
FNMA POOL #AD3881 13,063 4.00 10/01/40 13,524 14,006
FNMA POOL #AD4268 2,093 4.50 03/01/25 2,103 2,200
FNMA POOL #AD5634 14,705 4.00 05/01/25 14,788 15,335
FNMA POOL #AD6018 1,457 4.00 07/01/25 1,466 1,519
FNMA POOL #AD7073 1,280 4.00 06/01/25 1,290 1,335
FNMA POOL #AD7134 66,703 5.00 07/01/40 70,957 73,607
FNMA POOL #AD7150 669 4.00 07/01/25 669 698
FNMA POOL #AD6392 27,009 4.50 05/01/25 27,042 28,390
FNMA POOL #AD7948 36,067 4.50 06/01/40 37,900 39,159
FNMA POOL #AD8162 16,931 4.00 08/01/25 17,156 17,658
FNMA POOL #AD8522 34,105 4.00 08/01/40 35,418 36,549
FNMA POOL #AD8562 669 4.00 08/01/25 671 697
FNMA POOL #AD9083 1,131 4.00 07/01/25 1,140 1,179
FNMA POOL #AD9104 5,167 4.00 08/01/40 5,360 5,538
FNMA POOL #AE0828 92,738 3.50 02/01/41 95,084 97,690
FNMA POOL #AE0851 78,557 4.00 01/01/26 79,249 81,947
FNMA POOL #AE0113 20,511 4.00 07/01/40 21,296 21,984
FNMA POOL #AE0217 5,101 4.50 08/01/40 5,364 5,539
FNMA POOL #AE0218 258,710 4.50 08/01/40 271,709 280,852
FNMA POOL #AE0215 13,457 4.00 12/01/39 13,975 14,423
FNMA POOL #AE0349 168,238 6.00 04/01/40 180,164 192,808
FNMA POOL #AE0481 428,324 5.00 09/01/40 451,442 472,472
FNMA POOL #AE1761 46,576 4.00 09/01/40 48,374 49,947
FNMA POOL #AE0988 9,765 4.00 09/01/25 9,791 10,180
FNMA POOL #AE1173 8,520 4.00 07/01/25 8,545 8,884
FNMA POOL #AE2575 13,000 4.00 09/01/40 13,496 13,940
FNMA POOL #AE2614 14,783 4.00 09/01/40 15,327 15,853
FNMA POOL #AE2650 32,872 4.00 11/01/40 34,047 35,248
FNMA POOL #AE2977 3,732 4.00 08/01/25 3,763 3,892
FNMA POOL #AE3349 14,662 3.50 10/01/40 14,954 15,445
FNMA POOL #AE3886 149,159 4.50 11/01/40 156,378 161,459
FNMA POOL #AE3962 214 4.00 09/01/25 190 223
FNMA POOL #AE4628 54,780 4.50 10/01/40 57,499 59,487
FNMA POOL #AE4639 24,880 4.50 10/01/40 25,913 27,008
FNMA POOL #AE4971 7,053 4.00 11/01/40 7,321 7,555
FNMA POOL #AE5147 71,114 4.00 11/01/40 73,813 76,275
FNMA POOL #AE5156 44,236 4.00 11/01/40 45,904 47,436
FNMA POOL #AE6086 61,197 4.50 10/01/40 64,039 66,454
FNMA POOL #AE6406 1,537 4.00 10/01/25 1,559 1,603
FNMA POOL #AE6965 136,399 4.00 11/01/40 140,908 146,252
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 19
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #AE7264 15,883 4.00 % 01/01/41 $ 16,444 $ 17,035
FNMA POOL #AE8226 33,719 3.50 12/01/25 33,985 34,931
FNMA POOL #AE8716 67,722 4.00 11/01/40 70,254 72,616
FNMA POOL #AE8803 18,830 5.00 06/01/38 18,878 20,097
FNMA POOL #AE9349 32,331 4.00 11/01/40 33,477 34,436
FNMA POOL #AE9365 2,914 4.00 12/01/40 3,003 3,052
FNMA POOL #254383 662 7.50 06/01/32 715 787
FNMA POOL #254513 647 6.00 10/01/22 598 712
FNMA POOL #254635 224 6.00 02/01/23 212 247
FNMA POOL #254903 2,557 5.00 10/01/33 2,690 2,818
FNMA POOL #254916 13,152 5.50 09/01/23 12,871 14,135
FNMA POOL #254918 17,801 4.50 09/01/33 18,511 19,141
FNMA POOL #255070 2,300 6.00 01/01/34 2,456 2,635
FNMA POOL #255411 3,701 5.50 10/01/34 3,911 4,163
FNMA POOL #255459 3,975 6.00 11/01/34 4,241 4,560
FNMA POOL #256514 1,142 6.00 12/01/36 1,229 1,310
FNMA POOL #255813 1,606 5.00 08/01/35 1,692 1,772
FNMA POOL #255890 3,532 4.50 10/01/20 3,227 3,644
FNMA POOL #256245 500 4.50 04/01/21 490 516
FNMA POOL #256640 16,072 5.50 03/01/27 16,693 17,319
FNMA POOL #256692 3,357 6.50 04/01/37 3,608 3,914
FNMA POOL #257202 1,566 4.50 04/01/28 1,609 1,652
FNMA POOL #257233 561 4.50 06/01/23 552 580
FNMA POOL #257236 688 6.50 06/01/38 738 785
FNMA POOL #257308 2,746 6.50 08/01/38 2,982 3,240
FNMA POOL #303273 1,168 8.00 05/01/25 1,175 1,283
FNMA POOL #303110 205 9.00 01/01/25 193 214
FNMA POOL #303573 595 8.00 09/01/25 597 638
FNMA POOL #303913 1,045 7.00 05/01/26 1,077 1,158
FNMA POOL #316653 122 8.00 08/01/25 122 122
FNMA POOL #320397 1,002 8.00 07/01/25 1,012 1,079
FNMA POOL #320456 613 8.00 08/01/25 616 632
FNMA POOL #323064 121 8.00 11/01/23 117 122
FNMA POOL #323311 232 7.50 09/01/28 240 255
FNMA POOL #323424 234 7.50 12/01/28 246 261
FNMA POOL #323405 1,013 7.50 10/01/28 1,047 1,116
FNMA POOL #323434 349 7.50 12/01/28 361 384
FNMA POOL #326535 733 8.00 10/01/25 746 789
FNMA POOL #357603 5,647 5.50 08/01/34 5,978 6,348
FNMA POOL #414716 1,668 8.00 07/01/27 1,690 1,793
FNMA POOL #535533 310 8.00 10/01/30 337 366
FNMA POOL #535095 776 8.00 01/01/30 845 922
FNMA POOL #535284 165 7.50 05/01/30 174 182
FNMA POOL #535338 413 8.50 10/01/28 426 471
FNMA POOL #535332 1,134 8.50 04/01/30 1,257 1,366
FNMA POOL #535903 471 7.50 03/01/31 492 528
FNMA POOL #545684 402 7.50 05/01/32 437 475
FNMA POOL #555967 1,703 5.50 11/01/33 1,809 1,908
FNMA POOL #AH0297 64,982 4.00 12/01/40 67,599 69,699
FNMA POOL #AH0930 89,314 4.00 12/01/40 92,809 95,869
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 20
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #AH1410 36,719 4.00 % 01/01/41 $ 38,057 $ 39,373
FNMA POOL #AH1527 33,780 3.50 12/01/25 34,113 34,994
FNMA POOL #AH1907 2,211 4.00 03/01/26 2,170 2,304
FNMA POOL #AH3579 11,274 4.50 06/01/40 11,724 12,242
FNMA POOL #AH3645 100,158 4.00 02/01/41 103,989 107,384
FNMA POOL #AH3782 191,803 4.00 02/01/41 199,072 205,640
FNMA POOL #AH3830 40,436 3.50 02/01/26 40,796 41,892
FNMA POOL #AH6234 8,075 4.00 03/01/41 8,365 8,659
FNMA POOL #AH5496 60,630 3.50 01/01/41 62,020 63,874
FNMA POOL #AH5620 3,036 4.00 02/01/26 3,064 3,167
FNMA POOL #AH6301 29,593 4.00 05/01/26 30,012 30,943
FNMA POOL #AH6578 298,545 4.50 02/01/41 312,638 324,180
FNMA POOL #AH6623 91,533 4.00 03/01/41 94,927 98,157
FNMA POOL #AH6715 21,925 4.00 04/01/41 22,726 23,510
FNMA POOL #AH6920 6,046 4.50 04/01/41 6,287 6,363
FNMA POOL #AH7948 12,963 4.00 10/01/41 13,425 13,866
FNMA POOL #AH8470 140,772 4.50 04/01/41 146,411 152,861
FNMA POOL #AI7225 1,190 4.00 07/01/26 1,206 1,243
FNMA POOL #AI8714 48,036 4.50 08/01/41 50,308 52,005
FNMA POOL #AI9876 36,686 4.00 08/01/41 37,898 38,148
FNMA POOL #AJ1407 13,846 4.00 09/01/41 14,395 14,847
FNMA POOL #AJ3051 31,523 4.00 10/01/41 32,676 33,800
FNMA POOL #AJ3109 5,574 4.00 01/01/42 5,779 5,974
FNMA POOL #AJ3797 5,913 4.00 11/01/41 6,137 6,336
FNMA POOL #AJ4049 68,922 4.00 10/01/41 71,587 73,919
FNMA POOL #AJ5380 33,647 4.00 11/01/41 34,982 36,045
FNMA POOL #AJ5643 33,978 4.00 11/01/41 35,275 36,388
FNMA POOL #AJ6066 100,763 4.00 12/01/41 104,735 107,872
FNMA POOL #AJ6933 160,540 3.00 11/01/26 161,830 164,697
FNMA POOL #AJ7689 63,070 4.00 12/01/41 65,554 67,584
FNMA POOL #AJ9039 6,623 4.00 12/01/41 6,848 7,086
FNMA POOL #AK1938 52,428 4.00 02/01/42 54,419 56,207
FNMA POOL #AK3264 109,806 3.00 02/01/27 110,804 112,649
FNMA POOL #AK5322 68,786 4.00 03/01/42 71,205 73,556
FNMA POOL #AL0788 1,925 4.00 05/01/26 1,931 2,007
FNMA POOL #AL1505 100,815 4.00 03/01/42 104,721 107,865
FNMA POOL #AL1998 192,486 4.00 03/01/42 201,407 206,401
FNMA POOL #AL2459 115,273 4.00 08/01/42 119,784 123,222
FNMA POOL #AL2752 607,905 5.00 03/01/42 641,899 668,959
FNMA POOL #AL2863 48,491 4.00 04/01/42 50,357 51,888
FNMA POOL #AL3169 113,494 3.00 01/01/28 114,816 116,437
FNMA POOL #AL3347 39,680 6.00 06/01/40 42,859 45,521
FNMA POOL #AL3396 291,799 2.50 03/01/28 292,922 296,103
FNMA POOL #AL4469 401,830 5.50 06/01/41 430,147 445,204
FNMA POOL #AL3865 632,518 3.50 07/01/43 647,452 667,171
FNMA POOL #AL4157 189,416 3.00 09/01/43 190,157 194,641
FNMA POOL #966648 9,381 6.00 12/01/37 10,012 10,739
FNMA POOL #966689 17,301 5.00 06/01/23 16,960 17,868
FNMA POOL #966857 614 6.00 12/01/37 653 704
FNMA POOL #970179 494 4.50 04/01/38 515 520
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 21
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #970664 719 5.50 % 11/01/38 $ 752 $ 804
FNMA POOL #971036 25,743 4.50 02/01/39 26,909 27,905
FNMA POOL #971044 12,176 4.00 02/01/39 12,602 13,044
FNMA POOL #972746 9,807 4.50 02/01/23 9,654 10,118
FNMA POOL #973164 2,660 5.50 02/01/38 2,798 2,859
FNMA POOL #973165 1,110 6.00 02/01/38 1,120 1,229
FNMA POOL #973288 34,491 5.00 03/01/38 36,174 37,932
FNMA POOL #CA1686 1,631,903 3.50 03/01/48 1,612,671 1,690,893
FNMA POOL #MA3214 1,276,534 3.00 12/01/37 1,243,257 1,307,269
FNMA POOL #MA3384 4,817,541 4.00 06/01/48 4,878,052 5,027,202
FNMA POOL #MA3415 2,180,365 4.00 07/01/48 2,210,102 2,272,494
FNMA POOL #MA3467 949,454 4.00 09/01/48 962,388 988,753
FNMA POOL #725162 11,969 6.00 02/01/34 12,775 13,507
FNMA POOL #725206 1,492 5.50 02/01/34 1,586 1,678
FNMA POOL #725233 44,283 5.00 04/01/34 46,568 48,806
FNMA POOL #725234 58,595 5.00 03/01/34 61,746 64,584
FNMA POOL #725238 17,942 5.00 03/01/34 18,890 19,774
FNMA POOL #725221 25,749 5.50 01/01/34 27,301 28,974
FNMA POOL #725232 14,563 5.00 03/01/34 15,322 16,051
FNMA POOL #725250 13,179 5.00 03/01/34 13,865 14,524
FNMA POOL #725257 21,520 5.50 02/01/34 22,755 24,195
FNMA POOL #725690 26,542 6.00 08/01/34 28,369 30,433
FNMA POOL #725773 18,417 5.50 09/01/34 19,580 20,723
FNMA POOL #795577 1,089 6.00 05/01/35 1,149 1,199
FNMA POOL #794964 700 7.00 10/01/34 716 716
FNMA POOL #796147 1,696 6.00 10/01/34 1,782 1,943
FNMA POOL #797443 147,343 5.50 01/01/35 156,861 165,521
FNMA POOL #796717 2,297 6.00 08/01/34 2,457 2,582
FNMA POOL #798761 1,773 5.50 11/01/34 1,884 1,906
FNMA POOL #799643 6,712 5.50 11/01/34 7,073 7,540
FNMA POOL #801229 1,927 6.00 11/01/34 2,030 2,126
FNMA POOL #801423 1,434 6.00 12/01/34 1,512 1,581
FNMA POOL #801767 793 6.00 01/01/35 839 874
FNMA POOL #804695 746 4.50 12/01/34 756 785
FNMA POOL #725946 12,778 5.50 11/01/34 13,605 14,377
FNMA POOL #727219 33,774 5.50 09/01/33 35,794 37,742
FNMA POOL #728650 10,942 5.50 07/01/33 11,541 12,164
FNMA POOL #728719 965 4.50 07/01/33 996 1,036
FNMA POOL #729899 885 5.50 04/01/33 898 952
FNMA POOL #731746 1,907 4.50 09/01/33 1,981 2,056
FNMA POOL #731134 1,315 5.50 07/01/33 1,383 1,414
FNMA POOL #731138 1,766 5.50 07/01/33 1,852 1,906
FNMA POOL #731218 954 4.50 08/01/33 981 1,024
FNMA POOL #733016 581 4.50 08/01/33 604 627
FNMA POOL #733380 1,601 5.50 08/01/33 1,695 1,796
FNMA POOL #804059 4,249 6.00 10/01/34 4,523 4,869
FNMA POOL #805173 1,545 6.00 01/01/35 1,635 1,706
FNMA POOL #805319 3,710 6.00 01/01/35 3,883 4,160
FNMA POOL #805384 866 5.50 01/01/35 921 972
FNMA POOL #810225 1,159 6.00 01/01/35 1,235 1,328
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 22
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #811147 804 6.00 % 04/01/35 $ 850 $ 884
FNMA POOL #811737 27 5.00 03/01/20 26 27
FNMA POOL #812273 1,741 6.00 05/01/35 1,840 1,938
FNMA POOL #814509 2,257 6.00 03/01/35 2,386 2,488
FNMA POOL #814540 1,815 5.50 03/01/35 1,913 2,003
FNMA POOL #814554 1,883 5.50 04/01/35 1,980 2,033
FNMA POOL #735382 23,497 5.00 04/01/35 24,761 25,901
FNMA POOL #735141 29,476 5.50 01/01/35 31,426 33,170
FNMA POOL #735230 8,628 5.50 02/01/35 9,187 9,705
FNMA POOL #735224 2,273 5.50 02/01/35 2,418 2,557
FNMA POOL #735228 9,455 5.50 02/01/35 10,084 10,636
FNMA POOL #735244 1 5.50 01/01/20 1 1
FNMA POOL #735480 2,443 5.50 04/01/35 2,602 2,749
FNMA POOL #735503 26,179 6.00 04/01/35 28,048 30,011
FNMA POOL #735580 9,693 5.00 06/01/35 10,184 10,682
FNMA POOL #735744 525 6.00 08/01/35 561 603
FNMA POOL #814692 7,347 5.50 04/01/35 7,789 8,243
FNMA POOL #814865 1,186 5.50 04/01/35 1,226 1,282
FNMA POOL #815881 504 6.00 06/01/35 533 555
FNMA POOL #816227 2,863 5.50 03/01/35 2,993 3,200
FNMA POOL #817347 839 6.00 07/01/35 861 926
FNMA POOL #819357 446 4.50 03/01/35 466 484
FNMA POOL #819408 245 6.00 05/01/35 258 269
FNMA POOL #821395 4,333 5.50 06/01/35 4,558 4,850
FNMA POOL #821601 581 6.00 06/01/35 617 652
FNMA POOL #821842 110,686 5.50 06/01/35 116,497 119,045
FNMA POOL #821901 2,062 6.00 06/01/35 2,172 2,297
FNMA POOL #735896 12,286 6.00 09/01/35 13,072 14,094
FNMA POOL #735925 3,792 5.00 10/01/35 4,009 4,180
FNMA POOL #739564 459 4.50 09/01/33 474 485
FNMA POOL #740792 999 4.50 09/01/33 1,039 1,069
FNMA POOL #740631 885 4.50 09/01/33 904 935
FNMA POOL #743107 683 5.50 10/01/33 705 744
FNMA POOL #743318 1,576 5.50 10/01/33 1,655 1,772
FNMA POOL #745275 23,291 5.00 02/01/36 24,602 25,677
FNMA POOL #744905 3,835 5.50 11/01/33 3,932 4,210
FNMA POOL #745002 4,222 6.00 10/01/35 4,510 4,836
FNMA POOL #821936 1,885 6.00 06/01/35 1,999 2,101
FNMA POOL #821995 1,110 6.00 07/01/35 1,178 1,227
FNMA POOL #822475 201 6.00 05/01/35 213 222
FNMA POOL #822511 273 6.00 06/01/35 288 301
FNMA POOL #823506 837 6.00 06/01/35 878 933
FNMA POOL #823537 480 6.00 07/01/35 500 531
FNMA POOL #823161 5,192 6.00 05/01/35 5,493 5,929
FNMA POOL #823206 1,158 6.00 05/01/35 1,226 1,319
FNMA POOL #824564 1,444 6.00 05/01/35 1,527 1,593
FNMA POOL #824605 437 6.00 12/01/34 457 491
FNMA POOL #BK5328 1,153,707 4.00 07/01/48 1,162,830 1,199,695
FNMA POOL #745162 11,276 6.00 01/01/36 12,120 12,935
FNMA POOL #745355 161,730 5.00 03/01/36 171,139 178,280
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 23
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #745412 2,082 5.50 % 12/01/35 $ 2,222 $ 2,343
FNMA POOL #745418 183,445 5.50 04/01/36 195,979 206,384
FNMA POOL #745946 10,112 5.50 11/01/36 10,802 11,377
FNMA POOL #745948 9,673 6.50 10/01/36 10,494 10,862
FNMA POOL #747519 8,841 4.50 10/01/33 9,202 9,495
FNMA POOL #747684 1,751 5.50 11/01/33 1,859 1,968
FNMA POOL #748299 1,407 5.50 11/01/33 1,472 1,572
FNMA POOL #748356 536 5.50 11/01/33 565 577
FNMA POOL #749844 1,646 5.50 11/01/33 1,741 1,848
FNMA POOL #825113 1,198 6.00 05/01/35 1,245 1,319
FNMA POOL #825457 2,674 5.50 06/01/35 2,815 2,875
FNMA POOL #825948 951 6.00 07/01/35 982 1,049
FNMA POOL #825979 1,708 6.00 07/01/35 1,768 1,903
FNMA POOL #826305 4,308 5.00 07/01/35 4,554 4,750
FNMA POOL #826500 4,209 5.00 08/01/35 4,444 4,636
FNMA POOL #828051 378 6.00 06/01/35 399 415
FNMA POOL #827303 1,192 6.00 06/01/35 1,258 1,313
FNMA POOL #828346 7,028 5.00 07/01/35 7,437 7,735
FNMA POOL #828716 563 6.00 07/01/35 594 625
FNMA POOL #831088 2,133 6.00 07/01/35 2,235 2,359
FNMA POOL #AS8511 73,182 2.50 12/01/31 70,106 73,980
FNMA POOL #BK4778 2,855,833 3.50 08/01/48 2,768,411 2,934,122
FNMA POOL #753026 486 5.50 11/01/33 494 522
FNMA POOL #753051 375 5.50 12/01/33 385 404
FNMA POOL #753232 1,565 5.50 11/01/33 1,584 1,684
FNMA POOL #754272 12,647 5.50 12/01/33 13,362 14,220
FNMA POOL #753670 3,097 7.00 12/01/33 3,266 3,527
FNMA POOL #753803 5,714 5.00 10/01/33 6,003 6,299
FNMA POOL #753965 808 7.00 12/01/33 857 906
FNMA POOL #755591 5,863 5.50 11/01/33 6,174 6,595
FNMA POOL #756165 38,885 5.50 11/01/33 41,089 43,721
FNMA POOL #756171 7,133 5.50 11/01/33 7,515 7,992
FNMA POOL #756322 792 5.50 01/01/34 832 852
FNMA POOL #831310 151 5.50 02/01/21 150 152
FNMA POOL #831351 1,139 5.50 02/01/36 1,199 1,231
FNMA POOL #832547 1,015 6.00 09/01/35 1,068 1,118
FNMA POOL #831800 1,012 6.50 09/01/36 1,083 1,143
FNMA POOL #831831 2,629 6.00 09/01/36 2,784 2,951
FNMA POOL #831878 660 6.50 10/01/36 693 732
FNMA POOL #832414 17,251 5.00 07/01/35 18,195 18,952
FNMA POOL #832708 5,335 6.00 09/01/35 5,636 5,976
FNMA POOL #833573 4,135 6.00 08/01/35 4,386 4,740
FNMA POOL #835206 1,869 6.00 08/01/35 1,977 2,066
FNMA POOL #834769 1,022 6.00 07/01/35 1,079 1,156
FNMA POOL #MA3536 1,943,070 4.00 12/01/48 1,934,715 2,021,026
FNMA POOL #MA3246 1,976,362 2.50 01/01/33 1,891,741 1,997,890
FNMA POOL #759667 395 7.00 04/01/31 396 424
FNMA POOL #758933 4,580 5.50 01/01/34 4,772 5,029
FNMA POOL #759332 11,176 5.50 01/01/34 11,865 12,571
FNMA POOL #759425 12,941 5.50 01/01/34 13,763 14,553
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 24
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #761702 773 5.50 % 01/01/34 $ 813 $ 839
FNMA POOL #762043 705 5.50 12/01/33 733 758
FNMA POOL #762648 1,428 5.50 01/01/34 1,468 1,569
FNMA POOL #765404 3,201 6.00 08/01/34 3,375 3,595
FNMA POOL #769199 15,610 5.50 01/01/34 16,411 17,553
FNMA POOL #770332 28,750 5.00 04/01/34 30,083 31,606
FNMA POOL #776586 1,739 5.50 04/01/34 1,833 1,954
FNMA POOL #835035 1,531 6.00 06/01/35 1,623 1,687
FNMA POOL #835163 4,325 5.50 08/01/35 4,549 4,861
FNMA POOL #837564 812 6.00 06/01/35 859 894
FNMA POOL #842016 5,255 5.00 11/01/20 4,917 5,427
FNMA POOL #843566 12,467 5.50 11/01/35 12,939 14,007
FNMA POOL #844342 590 5.50 11/01/35 625 645
FNMA POOL #844610 854 6.00 12/01/35 890 947
FNMA POOL #844716 7,411 6.00 12/01/35 7,962 8,515
FNMA POOL #844734 7,681 6.00 12/01/35 8,232 8,818
FNMA POOL #848983 841 5.50 01/01/36 888 946
FNMA POOL #776971 3,632 5.00 04/01/34 3,822 4,004
FNMA POOL #777139 272 6.00 06/01/34 290 301
FNMA POOL #781666 2,188 5.50 02/01/35 2,282 2,458
FNMA POOL #791196 7,077 6.00 09/01/34 7,463 8,095
FNMA POOL #790497 4,435 6.00 08/01/34 4,697 4,981
FNMA POOL #790820 6,196 6.00 09/01/34 6,598 7,076
FNMA POOL #791279 5,381 6.00 09/01/34 5,700 6,131
FNMA POOL #792407 7,725 6.00 09/01/34 8,234 8,834
FNMA POOL #793674 835 6.00 09/01/34 823 921
FNMA POOL #794230 7,896 6.00 09/01/34 8,312 8,799
FNMA POOL #794643 3,847 6.00 10/01/34 4,062 4,310
FNMA POOL #850314 935 5.50 01/01/36 989 1,033
FNMA POOL #850785 80 5.50 01/01/21 79 80
FNMA POOL #851053 3,408 5.50 11/01/35 3,609 3,822
FNMA POOL #851791 1,482 5.50 01/01/36 1,559 1,666
FNMA POOL #851810 5,694 5.50 02/01/36 6,041 6,399
FNMA POOL #869832 2,282 5.50 03/01/36 2,292 2,454
FNMA POOL #870133 332 4.50 03/01/21 327 343
FNMA POOL #871045 85 6.50 01/01/37 83 95
FNMA POOL #872317 194 6.50 05/01/36 198 219
FNMA POOL #878123 96 5.50 04/01/21 93 97
FNMA POOL #878183 418 6.50 08/01/36 442 464
FNMA POOL #124642 654 8.00 01/01/23 633 685
FNMA POOL #190048 347 8.00 10/01/23 326 360
FNMA POOL #190272 773 7.50 07/01/26 798 860
FNMA POOL #190308 260 7.50 09/01/30 282 301
FNMA POOL #190379 16,816 5.50 05/01/37 17,985 18,819
FNMA POOL #190396 47,660 4.50 06/01/39 49,802 51,684
FNMA POOL #250330 1,861 8.00 09/01/25 1,911 2,028
FNMA POOL #252874 242 7.50 11/01/29 260 278
FNMA POOL #252254 1,149 6.00 02/01/29 1,189 1,287
FNMA POOL #254689 1,130 6.00 03/01/23 1,066 1,243
FNMA POOL #254739 3,082 6.00 04/01/23 2,928 3,390
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 25
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #254798 2,339 6.00 % 06/01/23 $ 2,234 $ 2,572
FNMA POOL #254311 216 6.50 05/01/32 232 245
FNMA POOL #254335 376 7.50 05/01/32 412 432
FNMA POOL #AL4338 466,661 4.00 10/01/43 482,878 496,237
FNMA POOL #AL5780 250,415 4.50 05/01/44 262,144 270,056
FNMA POOL #AL6302 381,670 4.50 10/01/41 401,067 414,250
FNMA POOL #AL9867 1,507,716 3.00 02/01/32 1,529,499 1,553,742
FNMA POOL #AO7977 18,884 3.00 06/01/27 19,068 19,372
FNMA POOL #AO9736 399,535 3.00 07/01/27 404,074 409,534
FNMA POOL #AP2152 673,789 3.50 08/01/42 690,072 710,709
FNMA POOL #AP3164 26,548 3.00 08/01/27 26,813 27,195
FNMA POOL #AP3798 205,419 3.50 10/01/42 209,724 216,421
FNMA POOL #AP4089 552,561 3.50 09/01/42 566,073 582,156
FNMA POOL #AP5506 297,842 3.00 09/01/42 298,999 306,697
FNMA POOL #974571 20,098 5.00 11/01/36 21,010 22,114
FNMA POOL #974658 17,144 5.50 03/01/38 18,088 18,424
FNMA POOL #975365 2,119 5.00 06/01/23 2,091 2,201
FNMA POOL #976421 1,120 4.50 03/01/23 1,098 1,157
FNMA POOL #985615 28,679 5.50 04/01/34 30,284 31,978
FNMA POOL #984996 5,807 6.00 08/01/38 6,050 6,614
FNMA POOL #987364 48,045 6.50 10/01/38 51,092 54,477
FNMA POOL #988941 16,682 5.00 09/01/23 16,223 17,256
FNMA POOL #991864 12,159 6.00 10/01/38 12,980 13,907
FNMA POOL #993244 1,141 4.00 07/01/24 1,140 1,190
FNMA POOL #993276 8,900 5.00 05/01/39 9,098 9,766
FNMA POOL #AP5509 370,231 3.00 09/01/42 371,760 381,031
FNMA POOL #AP8904 728,427 3.50 10/01/42 745,147 767,444
FNMA POOL #AP8782 240,585 2.50 11/01/42 234,570 239,282
FNMA POOL #AP8848 209,595 3.50 10/01/42 214,329 221,080
FNMA POOL #AP9087 9,349 3.50 09/01/42 9,569 9,613
FNMA POOL #AQ0420 342,766 2.50 10/01/27 344,155 347,425
FNMA POOL #AQ4558 82,068 3.50 12/01/42 83,905 86,461
FNMA POOL #AQ5175 886,620 3.00 12/01/42 890,645 912,761
FNMA POOL #AQ7316 43,819 2.50 01/01/43 42,733 43,583
FNMA POOL #AR2462 408,499 3.00 01/01/43 410,323 420,543
FNMA POOL #AR9188 60,191 2.50 03/01/43 58,660 59,866
FNMA POOL #993566 11,095 4.00 04/01/24 11,034 11,566
FNMA POOL #995586 15,594 4.00 03/01/39 16,187 16,695
FNMA POOL #995048 21,681 5.50 05/01/38 23,100 24,356
FNMA POOL #995024 2,841 5.50 08/01/37 3,032 3,187
FNMA POOL #995119 15,677 5.50 11/01/38 16,733 17,605
FNMA POOL #995230 20,957 6.50 01/01/39 22,749 23,738
FNMA POOL #995297 28,519 5.00 02/01/38 30,170 31,445
FNMA POOL #995320 112 4.50 12/01/20 94 115
FNMA POOL #995674 35,267 6.00 05/01/38 37,671 40,544
FNMA POOL #995755 1,096 4.50 05/01/24 1,088 1,143
FNMA POOL #995737 39,065 5.00 02/01/38 41,277 43,071
FNMA POOL #AS0863 525,168 3.00 10/01/43 527,246 539,923
FNMA POOL #AS0016 858,588 3.00 07/01/43 862,304 883,153
FNMA POOL #AS0427 301,805 4.50 09/01/43 315,147 326,934
WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 26
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
FNMA POOL #AS1586 7,940 4.50 % 01/01/44 $ 8,310 $ 8,564
FNMA POOL #AS2495 688,575 4.00 05/01/44 712,623 725,015
FNMA POOL #AS2959 280,874 4.00 07/01/44 290,685 297,530
FNMA POOL #AS3117 260,777 3.00 08/01/29 264,173 268,411
FNMA POOL #AS3292 861,327 4.00 09/01/44 891,780 912,453
FNMA POOL #AS3880 129,525 4.50 11/01/44 135,228 137,924
FNMA POOL #AS4877 443,857 3.00 04/01/30 449,689 456,853
FNMA POOL #AS5629 1,055,720 3.50 08/01/45 1,079,853 1,106,458
FNMA POOL #995862 6,278 5.00 07/01/39 6,612 6,918
FNMA POOL #995880 30,071 4.00 06/01/24 29,926 31,360
FNMA POOL #995896 10,013 5.00 06/01/39 10,575 11,012
FNMA POOL #995901 12,484 4.50 07/01/24 12,418 13,005
FNMA POOL #AA0777 144,663 4.00 04/01/39 149,648 155,014
FNMA POOL #AA0166 2,330 6.00 12/01/38 2,467 2,617
FNMA POOL #AA0466 1,296 4.50 02/01/39 1,353 1,406
FNMA POOL #AA2627 3,670 4.50 02/01/39 3,818 3,975
FNMA POOL #AA4463 28,549 4.50 04/01/39 29,895 30,937
FNMA POOL #AA4298 66,012 4.50 03/01/29 68,310 69,638
FNMA POOL #AA4538 724 4.00 04/01/24 721 755
FNMA POOL #AS5696 1,518,556 3.50 08/01/45 1,550,605 1,584,491
FNMA POOL #AS5729 760,058 3.00 09/01/30 770,556 782,348
FNMA POOL #AS5782 654,701 4.00 09/01/45 674,960 693,691
FNMA POOL #AS6302 693,501 3.50 12/01/45 707,974 723,665
FNMA POOL #AS6730 1,451,982 3.50 02/01/46 1,483,503 1,517,793
FNMA POOL #AS7800 1,895,649 3.00 08/01/46 1,896,779 1,940,231
FNMA POOL #AS8483 1,963,960 3.00 12/01/46 1,965,151 2,010,208
FNMA POOL #AS8649 2,006,758 3.00 01/01/47 2,007,936 2,054,377
FNMA POOL #AT0353 147,185 3.50 05/01/43 150,487 155,247
FNMA POOL #AT4253 563,944 3.00 06/01/43 566,416 580,427
FNMA POOL #AA4656 10,754 4.00 05/01/39 11,130 11,527
FNMA POOL #AA4630 43,270 4.50 05/01/39 45,459 46,941
FNMA POOL #AA4746 29,418 3.50 11/01/25 29,728 30,711
FNMA POOL #AA5036 1,264 4.00 04/01/39 1,311 1,352
FNMA POOL #AA5533 470 4.00 04/01/24 466 490
FNMA POOL #AA5564 662 4.00 06/01/24 662 690
FNMA POOL #AA7693 951 4.00 07/01/24 947 992
FNMA POOL #AA7803 23,705 4.50 07/01/24 23,709 24,705
FNMA POOL #AA9781 4,616 4.50 07/01/24 4,588 4,813
FNMA POOL #AA9274 2,235 4.00 08/01/24 2,240 2,332
FNMA POOL