Form NPORT-P EATON VANCE MUTUAL FUNDS For: Apr 30

  
    NPORT-P
    false
    
      
      
        
          0000745463
          XXXXXXXX
        
      
      
      
      
        S000005288
        C000014451
        C000014453
        C000014450
        C000077399
      
      
      
    
  
  
    
      EATON VANCE MUTUAL FUNDS TRUST
      811-04015
      0000745463
      549300C67AFHZKODE756
      TWO INTERNATIONAL PLACE
      BOSTON
      
      02110
      617-482-8260
      Government Opportunities Fund
      S000005288
      549300FGUNKHMTW51F25
      2022-10-31
      2022-04-30
      N
    
    
      962047564.91
      517889862.66
      444157702.25
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      411243908.34000000
      0.00000000
      0.00000000
      974302.80000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        COOF 9670585001
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-15
          Fixed
          0.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 8327375006
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Fixed
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38381DP87
        
          
        
        9379503.20000000
        PA
        USD
        670908.36000000
        0.151051835103
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-04-16
          Variable
          0.81100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382XJH9
        
          
        
        2302876.55000000
        PA
        USD
        2084899.84000000
        0.469405310194
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9858485008
        N/A
        
        000000000
        
          
        
        562409.25000000
        PA
        USD
        16890.17000000
        0.003802741664
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382J4T0
        
          
        
        5211885.59000000
        PA
        USD
        122614.30000000
        0.027606028079
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-09-20
          Floating
          2.14800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F040651
        
          
        
        25000000.00000000
        PA
        USD
        24856443.75000000
        5.596310414990
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWR77
        
          
        
        212552.79000000
        PA
        USD
        200944.06000000
        0.045241602021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        COOF 9421775009
        N/A
        
        000000000
        
          
        
        461186.55000000
        PA
        USD
        15376.64000000
        0.003461977563
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          0.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382LAN1
        
          
        
        8191450.06000000
        PA
        USD
        1007921.07000000
        0.226928648291
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133T82X4
        
          
        
        34001.00000000
        PA
        USD
        34947.84000000
        0.007868340416
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-09-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382WWM5
        
          
        
        2841446.49000000
        PA
        USD
        2527227.69000000
        0.568993327639
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140QKTB4
        
          
        
        113707.50000000
        PA
        USD
        110612.44000000
        0.024903866225
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133AN2V5
        
          
        
        134092.98000000
        PA
        USD
        130484.94000000
        0.029378065344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133TGCG2
        
          
        
        29140.30000000
        PA
        USD
        30772.54000000
        0.006928291425
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383AUB8
        
          
        
        902130.82000000
        PA
        USD
        836197.24000000
        0.188265842461
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31359HYE8
        
          
        
        151200.42000000
        PA
        USD
        154806.81000000
        0.034854019015
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31412BLR1
        
          
        
        31344.08000000
        PA
        USD
        32461.68000000
        0.007308593284
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        N/A
        
        65246QAA7
        
          
        
        3548807.36000000
        PA
        USD
        3358234.63000000
        0.756090598674
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-11-25
          Fixed
          3.47400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38378MQ65
        
          
        
        7969015.81000000
        PA
        USD
        22556.30000000
        0.005078443959
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-07-20
          Floating
          0.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31358TLW7
        
          
        
        4447.65000000
        PA
        USD
        4498.89000000
        0.001012903745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9070915000
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138ET6N1
        
          
        
        103121.09000000
        PA
        USD
        112419.41000000
        0.025310696950
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1770437006
        N/A
        
        000000000
        
          
        
        2942127.99000000
        PA
        USD
        204717.38000000
        0.046091147122
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31385HJ78
        
          
        
        634052.93000000
        PA
        USD
        672396.11000000
        0.151386794959
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Floating
          3.69100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38381R4M8
        
          
        
        3275495.59000000
        PA
        USD
        386851.10000000
        0.087097690311
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Floating
          5.45600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133T66M8
        
          
        
        88813.00000000
        PA
        USD
        93352.09000000
        0.021017780289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9414655010
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          1.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWLP3
        
          
        
        239869.63000000
        PA
        USD
        226453.99000000
        0.050985041766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERIC G2 30YR G2 4 4 5 360 0
        549300M8ZYFG0OCMTT87
        
        000000000
        
          
        
        3000000.00000000
        PA
        USD
        3006231.90000000
        0.676838853580
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382VLF4
        
          
        
        637665.89000000
        PA
        USD
        559974.46000000
        0.126075593682
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FXCL0
        
          
        
        3999995.65000000
        PA
        USD
        509678.25000000
        0.114751640558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BFLT8
        
          
        
        4061408.72000000
        PA
        USD
        486484.07000000
        0.109529580942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35565RAH6
        
          
        
        1788666.78000000
        PA
        USD
        1795991.91000000
        0.404359060059
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.81800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWJW1
        
          
        
        9259229.98000000
        PA
        USD
        1185705.51000000
        0.266955971717
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1396967000
        N/A
        
        000000000
        
          
        
        162575.55000000
        PA
        USD
        1135.98000000
        0.000255760508
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          0.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWX54
        
          
        
        1187278.34000000
        PA
        USD
        1021308.29000000
        0.229942717378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382NPV3
        
          
        
        382464.79000000
        PA
        USD
        329421.90000000
        0.074167778320
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-02-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31378E3P1
        
          
        
        2103.18000000
        PA
        USD
        2240.43000000
        0.000504422188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-11-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38380YYS8
        
          
        
        4006691.92000000
        PA
        USD
        432541.02000000
        0.097384559089
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          5.65600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F6CY1
        
          
        
        1080845.01000000
        PA
        USD
        949997.37000000
        0.213887401971
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31385WZU6
        
          
        
        258628.50000000
        PA
        USD
        267160.69000000
        0.060149962197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Floating
          2.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        3617L7YU7
        
          
        
        360842.22000000
        PA
        USD
        364317.31000000
        0.082024314371
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H3V33
        
          
        
        523551.66000000
        PA
        USD
        468224.71000000
        0.105418572643
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38380TSV9
        
          
        
        121116.51000000
        PA
        USD
        117923.31000000
        0.026549873930
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-11-20
          Floating
          3.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        
        31325W4K5
        
          
        
        2566852.70000000
        PA
        USD
        507875.68000000
        0.114345800472
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F032658
        
          
        
        12000000.00000000
        PA
        USD
        11637177.00000000
        2.620055205853
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UKN1
        
          
        
        251961.72000000
        PA
        USD
        253199.65000000
        0.057006700259
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1397377002
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9392155000
        N/A
        
        000000000
        
          
        
        185000.00000000
        PA
        USD
        846.49000000
        0.000190583208
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-15
          Fixed
          0.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31389AZU0
        
          
        
        345186.75000000
        PA
        USD
        354198.39000000
        0.079746087528
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Floating
          3.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31385HJG8
        
          
        
        612707.36000000
        PA
        USD
        635570.93000000
        0.143095780345
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Floating
          4.16400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382U6S5
        
          
        
        3043032.01000000
        PA
        USD
        2647866.92000000
        0.596154678076
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9487625002
        N/A
        
        000000000
        
          
        
        199363.92000000
        PA
        USD
        7491.19000000
        0.001686605897
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36225CA22
        
          
        
        40348.80000000
        PA
        USD
        40442.98000000
        0.009105545123
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-12-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1426637008
        N/A
        
        000000000
        
          
        
        3445213.62000000
        PA
        USD
        372789.48000000
        0.083931783263
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PG41
        
          
        
        4636.66000000
        PA
        USD
        4746.57000000
        0.001068667722
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-05-17
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        N/A
        
        000000000
        
          
        
        16658083.66000000
        PA
        USD
        16664813.53000000
        3.752003724258
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2022-11-01
          Fixed
          2.35800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9743065000
        N/A
        
        000000000
        
          
        
        190881.92000000
        PA
        USD
        5202.21000000
        0.001171252907
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-10-15
          Fixed
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383APQ1
        
          
        
        1841522.78000000
        PA
        USD
        1610192.25000000
        0.362527147867
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-20
          Fixed
          3.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F9WE7
        
          
        
        8814890.07000000
        PA
        USD
        1198708.69000000
        0.269883576019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383DCB2
        
          
        
        7678780.50000000
        PA
        USD
        1030454.72000000
        0.232001992711
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136AJDD5
        
          
        
        490833.85000000
        PA
        USD
        376981.80000000
        0.084875664226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KHGY6
        
          
        
        1534175.40000000
        PA
        USD
        1494573.27000000
        0.336496082906
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FRWB3
        
          
        
        2493896.46000000
        PA
        USD
        375276.80000000
        0.084491791563
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-25
          Floating
          5.38200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BGH46
        
          
        
        3051854.64000000
        PA
        USD
        2656522.73000000
        0.598103492642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38379DKM5
        
          
        
        4826302.67000000
        PA
        USD
        31634.00000000
        0.007122245058
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-05-20
          Floating
          0.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38379CZJ8
        
          
        
        12168463.43000000
        PA
        USD
        51370.39000000
        0.011565799656
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-09-20
          Floating
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140MFEA7
        
          
        
        5698724.02000000
        PA
        USD
        5537285.44000000
        1.246693553201
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383CHG8
        
          
        
        132692.48000000
        PA
        USD
        117071.62000000
        0.026358119966
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-10-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31410F4R3
        
          
        
        149994.45000000
        PA
        USD
        156763.86000000
        0.035294639540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Floating
          2.87200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        -96.00000000
        NC
        USD
        1316009.67000000
        0.296293335302
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            -14822009.67000000
            USD
            1316009.67000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136AAWG6
        
          
        
        1460014.43000000
        PA
        USD
        1263774.26000000
        0.284532780496
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-25
          Fixed
          2.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31283HTA3
        
          
        
        1708.63000000
        PA
        USD
        1798.37000000
        0.000404894475
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-12-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137B55L3
        
          
        
        368112.80000000
        PA
        USD
        366655.48000000
        0.082550742257
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        549300BI6Y5SI6BYPB26
        
        61747C707
        
          
        
        68809495.20000000
        NS
        USD
        68809495.20000000
        15.49213147749
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BHPX1
        
          
        
        188246.85000000
        PA
        USD
        175522.04000000
        0.039517954796
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BB2A9
        
          
        
        4042667.05000000
        PA
        USD
        511793.56000000
        0.115227892572
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H2UF9
        
          
        
        3045187.36000000
        PA
        USD
        2677661.11000000
        0.602862698639
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382FP57
        
          
        
        1602609.47000000
        PA
        USD
        1518524.96000000
        0.341888692306
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1523147005
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-15
          Fixed
          0.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR
        N/A
        
        000000000
        
          
        
        4469863.74000000
        PA
        USD
        4413968.09000000
        0.993783979798
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-12-13
          Variable
          3.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31373HXY7
        
          
        
        355244.40000000
        PA
        USD
        372662.83000000
        0.083903268616
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Floating
          3.27200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35565XAH3
        
          
        
        542101.31000000
        PA
        USD
        545050.29000000
        0.122715487593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          4.41800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382XYW9
        
          
        
        1301838.95000000
        PA
        USD
        1189368.92000000
        0.267780771103
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382TZB3
        
          
        
        525530.20000000
        PA
        USD
        446727.55000000
        0.100578589031
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1173427005
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-11-15
          Fixed
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H02K3
        
          
        
        176959.77000000
        PA
        USD
        147146.64000000
        0.033129368072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PDS1
        
          
        
        86.57000000
        PA
        USD
        87.78000000
        0.000019763250
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-25
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133TGU49
        
          
        
        89715.78000000
        PA
        USD
        94330.17000000
        0.021237990362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-11-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
        
        -10000000.00000000
        NC
        USD
        -17855.50000000
        -0.00402008113
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    
                    N/A
                    
                      
                    
                    10000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -17855.50000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-08-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10000000.00000000
                  USD
                
              
            
            1.00000000
            1.49000000
            USD
            2022-08-01
            XXXX
            277620.59000000
          
        
        
          N
          N
          N
        
      
      
        FRESB Multifamily Mortgage Pass-Through Certifica
        N/A
        
        30322XAE5
        
          
        
        4982945.86000000
        PA
        USD
        178318.70000000
        0.040147609530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-25
          Variable
          0.67800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H042679
        
          
        
        13200000.00000000
        PA
        USD
        13338504.30000000
        3.003100977970
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-07-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382E7X9
        
          
        
        3346734.67000000
        PA
        USD
        407801.29000000
        0.091814526222
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383CC40
        
          
        
        698143.88000000
        PA
        USD
        647759.22000000
        0.145839916029
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-10-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382LXQ9
        
          
        
        16500252.28000000
        PA
        USD
        2180934.05000000
        0.491026957081
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-12-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31392BQR0
        
          
        
        233032.69000000
        PA
        USD
        249623.86000000
        0.056201628100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FXMN5
        
          
        
        8427474.40000000
        PA
        USD
        1078441.14000000
        0.242805907572
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BDC63
        
          
        
        10176432.78000000
        PA
        USD
        1178665.99000000
        0.265371057178
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PG25
        
          
        
        51.78000000
        PA
        USD
        52.01000000
        0.000011709804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-17
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140QLJG2
        
          
        
        94952.49000000
        PA
        USD
        92367.93000000
        0.020796201333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BGCM1
        
          
        
        668841.60000000
        PA
        USD
        569501.97000000
        0.128220667369
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38379GNN3
        
          
        
        5549726.68000000
        PA
        USD
        41665.68000000
        0.009380830229
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-11-20
          Floating
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9354865000
        N/A
        
        000000000
        
          
        
        338822.36000000
        PA
        USD
        4763.93000000
        0.001072576243
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-15
          Fixed
          0.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382XKT1
        
          
        
        796282.50000000
        PA
        USD
        696860.90000000
        0.156894926389
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9799915005
        N/A
        
        000000000
        
          
        
        1012531.05000000
        PA
        USD
        38221.27000000
        0.008605337655
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F040669
        
          
        
        -25000000.00000000
        PA
        USD
        -24777341.25000000
        -5.57850086230
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BFCZ4
        
          
        
        128107.38000000
        PA
        USD
        122979.14000000
        0.027688170074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-25
          Fixed
          2.50000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179W2W7
        
          
        
        7700000.00000000
        PA
        USD
        7554456.14000000
        1.700849968768
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140QMKN3
        
          
        
        222593.49000000
        PA
        USD
        216517.20000000
        0.048747820628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWT75
        
          
        
        1687392.95000000
        PA
        USD
        178709.59000000
        0.040235616560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382USB8
        
          
        
        233208.82000000
        PA
        USD
        219367.41000000
        0.049389531891
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BG5V9
        
          
        
        1325332.73000000
        PA
        USD
        1198193.56000000
        0.269767596943
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FQFS7
        
          
        
        626469.44000000
        PA
        USD
        462982.34000000
        0.104238277903
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Fixed
          2.50000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PG82
        
          
        
        148.29000000
        PA
        USD
        148.98000000
        0.000033542140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-17
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWMH0
        
          
        
        799680.84000000
        PA
        USD
        700825.81000000
        0.157787607070
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31375FUQ9
        
          
        
        3405.23000000
        PA
        USD
        3412.25000000
        0.000768251903
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-01
          Floating
          1.46900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136ABV59
        
          
        
        795000.00000000
        PA
        USD
        657449.78000000
        0.148021699650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-25
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FERK8
        
          
        
        76422.25000000
        PA
        USD
        134.50000000
        0.000030282037
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BGNY3
        
          
        
        1673322.58000000
        PA
        USD
        1554274.63000000
        0.349937560944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BGM73
        
          
        
        2625784.16000000
        PA
        USD
        2325924.86000000
        0.523670950254
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1132577008
        N/A
        
        000000000
        
          
        
        311259.67000000
        PA
        USD
        24589.84000000
        0.005536285845
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9528795004
        N/A
        
        000000000
        
          
        
        101833.74000000
        PA
        USD
        1520.25000000
        0.000342277076
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-07-15
          Fixed
          0.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137B1WD0
        
          
        
        540366.47000000
        PA
        USD
        497859.38000000
        0.112090678035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-15
          Floating
          1.45500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H3XN7
        
          
        
        2560297.15000000
        PA
        USD
        2256371.57000000
        0.508011356905
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383CQ29
        
          
        
        48469003.37000000
        PA
        USD
        375799.57000000
        0.084609490749
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-10-20
          Floating
          1.20600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179W5D6
        
          
        
        2000000.00000000
        PA
        USD
        1962196.40000000
        0.441779212667
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F040651
        
          
        
        -25000000.00000000
        PA
        USD
        -24856443.75000000
        -5.59631041499
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F64M6
        
          
        
        97355.10000000
        PA
        USD
        91508.23000000
        0.020602643956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          2.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        70.00000000
        NC
        USD
        -982861.22000000
        -0.22128654192
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            12213486.22000000
            USD
            -982861.22000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        25000000.00000000
        OU
        Notional Amount
        USD
        3038982.50000000
        0.684212495833
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-04-08
            0.00000000
            USD
            0.00000000
            USD
            25000000.00000000
            USD
            3038982.50000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H3PN6
        
          
        
        1130382.44000000
        PA
        USD
        1062368.18000000
        0.239187156863
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FVR46
        
          
        
        3124023.44000000
        PA
        USD
        394354.54000000
        0.088787054238
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382K4V2
        
          
        
        5098959.63000000
        PA
        USD
        652821.84000000
        0.146979740910
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382XTW5
        
          
        
        3801698.03000000
        PA
        USD
        27587.40000000
        0.006211172261
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-20
          Floating
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Warehouse Securitization Trust
        N/A
        
        58551VAF9
        
          
        
        3299999.98000000
        PA
        USD
        3319493.41000000
        0.747368196742
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-11-25
          Floating
          3.91800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132DV4A0
        
          
        
        963590.13000000
        PA
        USD
        939318.93000000
        0.211483201854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        40000000.00000000
        NC
        USD
        52.40000000
        0.000011797611
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    
                    N/A
                    
                      
                    
                    40000000.00000000
                    OU
                    Notional Amount
                    N/A
                    52.40000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-06-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  40000000.00000000
                  USD
                
              
            
            1.00000000
            1.30000000
            USD
            2022-06-06
            XXXX
            -351947.60000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H1GJ9
        
          
        
        163186.44000000
        PA
        USD
        157397.32000000
        0.035437260054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BHW39
        
          
        
        24991.71000000
        PA
        USD
        23996.41000000
        0.005402677895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38381ETV0
        
          
        
        9954788.40000000
        PA
        USD
        621207.67000000
        0.139861960482
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2061-02-16
          Variable
          0.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140LYWC3
        
          
        
        864417.09000000
        PA
        USD
        842441.27000000
        0.189671656200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382VLN7
        
          
        
        275458.45000000
        PA
        USD
        240151.85000000
        0.054069049975
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PHZ1
        
          
        
        21243.09000000
        PA
        USD
        21487.69000000
        0.004837851486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-06-17
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F4ZS4
        
          
        
        1513966.30000000
        PA
        USD
        275397.43000000
        0.062004425141
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31373HX27
        
          
        
        213665.78000000
        PA
        USD
        218653.33000000
        0.049228760166
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Floating
          3.59100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31300LP90
        
          
        
        559096.66000000
        PA
        USD
        578333.64000000
        0.130209075981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Floating
          2.37300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9927485002
        N/A
        
        000000000
        
          
        
        497631.71000000
        PA
        USD
        44123.11000000
        0.009934108938
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H1VD5
        
          
        
        406926.46000000
        PA
        USD
        363107.85000000
        0.081752010189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Unison Trust
        N/A
        
        90919VAA0
        
          
        
        9726836.86000000
        PA
        USD
        9150191.06000000
        2.060122117357
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-04-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136AYDM2
        
          
        
        15153145.91000000
        PA
        USD
        47409.65000000
        0.010674057831
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Floating
          0.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1446937001
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        
        69354WAC0
        
          
        
        4000000.00000000
        PA
        USD
        3986374.80000000
        0.897513378650
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-02-25
          Floating
          3.51800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1792857004
        N/A
        
        000000000
        
          
        
        1940950.53000000
        PA
        USD
        211128.92000000
        0.047534674943
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PH32
        
          
        
        9689.55000000
        PA
        USD
        9843.22000000
        0.002216154296
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-09-17
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9688795003
        N/A
        
        000000000
        
          
        
        532610.61000000
        PA
        USD
        11861.05000000
        0.002670459149
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Fixed
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BBZ62
        
          
        
        3044202.94000000
        PA
        USD
        385107.20000000
        0.086705059497
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31371KSG7
        
          
        
        1294.07000000
        PA
        USD
        1296.41000000
        0.000291880562
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H1Q33
        
          
        
        654091.50000000
        PA
        USD
        606122.06000000
        0.136465506942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BJWM3
        
          
        
        65003.12000000
        PA
        USD
        60437.19000000
        0.013607146671
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382WGF8
        
          
        
        4568659.35000000
        PA
        USD
        277433.67000000
        0.062462874919
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Floating
          3.15600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9517875009
        N/A
        
        000000000
        
          
        
        52114.32000000
        PA
        USD
        1259.66000000
        0.000283606474
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-07-15
          Fixed
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1397317006
        N/A
        
        000000000
        
          
        
        3257543.08000000
        PA
        USD
        226060.12000000
        0.050896363803
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137AUH77
        
          
        
        380157.34000000
        PA
        USD
        304629.05000000
        0.068585785737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-15
          Floating
          2.31100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31358S2U4
        
          
        
        82395.00000000
        PA
        USD
        87541.14000000
        0.019709472459
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-03-18
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137AUH44
        
          
        
        426924.75000000
        PA
        USD
        342104.88000000
        0.077023291111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-15
          Floating
          2.31100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179WZB7
        
          
        
        3989557.84000000
        PA
        USD
        3914148.02000000
        0.881251861708
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWFL9
        
          
        
        985957.45000000
        PA
        USD
        849075.20000000
        0.191165254075
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133B5KT8
        
          
        
        4074682.47000000
        PA
        USD
        3958041.42000000
        0.891134252530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382XG66
        
          
        
        1371246.71000000
        PA
        USD
        1180455.01000000
        0.265773846545
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9278575004
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-04-15
          Fixed
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128DHAK0
        
          
        
        7354.79000000
        PA
        USD
        7684.43000000
        0.001730112966
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-04-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133THHD2
        
          
        
        23035.04000000
        PA
        USD
        23674.45000000
        0.005330190128
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-12-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382UZ79
        
          
        
        1194141.58000000
        PA
        USD
        1051102.41000000
        0.236650722181
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31283HSU0
        
          
        
        261.29000000
        PA
        USD
        277.90000000
        0.000062567866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-06-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132DWCX9
        
          
        
        192236.16000000
        PA
        USD
        186808.33000000
        0.042059009458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382NRE9
        
          
        
        575258.09000000
        PA
        USD
        507574.75000000
        0.114278047510
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-01-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F040669
        
          
        
        10000000.00000000
        PA
        USD
        9910936.50000000
        2.231400344921
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BCEL0
        
          
        
        4837660.80000000
        PA
        USD
        617130.23000000
        0.138943944205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        N/A
        
        64830YAC1
        
          
        
        377782.43000000
        PA
        USD
        350559.28000000
        0.078926759172
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-25
          Fixed
          2.98100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BBA44
        
          
        
        90318.64000000
        PA
        USD
        90259.44000000
        0.020321484811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          3.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38381DZF0
        
          
        
        9331948.00000000
        PA
        USD
        620243.26000000
        0.139644828145
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-04-16
          Variable
          0.71900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1438187001
        N/A
        
        000000000
        
          
        
        2716295.97000000
        PA
        USD
        241227.44000000
        0.054311213962
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133TKDP2
        
          
        
        55105.52000000
        PA
        USD
        56978.08000000
        0.012828344462
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BGJX0
        
          
        
        3028008.84000000
        PA
        USD
        2755946.64000000
        0.620488314407
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H1RT5
        
          
        
        2020432.29000000
        PA
        USD
        1829562.76000000
        0.411917377708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        91282CEL1
        
          
        
        20000000.00000000
        PA
        USD
        20002007.20000000
        4.503357050586
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-04-30
          Floating
          0.78900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137B2RP7
        
          
        
        287036.43000000
        PA
        USD
        307241.33000000
        0.069173928188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-15
          Floating
          4.73500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382T5C4
        
          
        
        303551.15000000
        PA
        USD
        266222.87000000
        0.059938816472
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382PY55
        
          
        
        104140.36000000
        PA
        USD
        103452.95000000
        0.023291941010
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-03-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382WCF2
        
          
        
        1402703.46000000
        PA
        USD
        1289059.93000000
        0.290225729165
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382QR28
        
          
        
        61239.62000000
        PA
        USD
        57939.73000000
        0.013044855398
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1103187010
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-11-15
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383CVS6
        
          
        
        19443289.82000000
        PA
        USD
        143019.01000000
        0.032200051755
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-10-20
          Floating
          1.20600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        3617LC6W3
        
          
        
        1423137.91000000
        PA
        USD
        1436843.44000000
        0.323498485497
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9368195001
        N/A
        
        000000000
        
          
        
        1245034.95000000
        PA
        USD
        8440.11000000
        0.001900250734
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-15
          Fixed
          0.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133T6J36
        
          
        
        15250.82000000
        PA
        USD
        15664.85000000
        0.003526866678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PG66
        
          
        
        46989.66000000
        PA
        USD
        47490.90000000
        0.010692350883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-12-17
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382MS34
        
          
        
        131396.95000000
        PA
        USD
        125825.04000000
        0.028328910961
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-01-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31378A5Z5
        
          
        
        101608.44000000
        PA
        USD
        102694.79000000
        0.023121244882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-01
          Floating
          1.46900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FDQ62
        
          
        
        1059305.39000000
        PA
        USD
        204218.08000000
        0.045978732095
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140JPLD5
        
          
        
        1600390.64000000
        PA
        USD
        1633034.93000000
        0.367670068925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128LXEL0
        
          
        
        55901.90000000
        PA
        USD
        58322.17000000
        0.013130959950
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31385HJT0
        
          
        
        2912167.85000000
        PA
        USD
        3080409.47000000
        0.693539581638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Floating
          3.52500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31402DRD4
        
          
        
        175461.47000000
        PA
        USD
        178146.39000000
        0.040108814751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Floating
          1.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140KP2W2
        
          
        
        162753.09000000
        PA
        USD
        158386.60000000
        0.035659991754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383ACD4
        
          
        
        922873.09000000
        PA
        USD
        797852.49000000
        0.179632703870
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BA3H5
        
          
        
        198681.05000000
        PA
        USD
        177116.08000000
        0.039876845341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-25
          Floating
          2.66600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KLZU4
        
          
        
        887635.55000000
        PA
        USD
        863751.94000000
        0.194469652473
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KGK98
        
          
        
        160968.96000000
        PA
        USD
        156964.73000000
        0.035339864468
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H3V58
        
          
        
        905239.59000000
        PA
        USD
        816359.91000000
        0.183799561701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWTG5
        
          
        
        739664.34000000
        PA
        USD
        670091.18000000
        0.150867850901
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H32W1
        
          
        
        1697398.76000000
        PA
        USD
        1495966.41000000
        0.336809741770
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382GB35
        
          
        
        2191702.92000000
        PA
        USD
        271967.54000000
        0.061232201675
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-03-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F9NV9
        
          
        
        1326978.62000000
        PA
        USD
        924121.58000000
        0.208061590583
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-25
          Floating
          3.14800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382W2D8
        
          
        
        901652.97000000
        PA
        USD
        818340.28000000
        0.184245432614
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38381TP41
        
          
        
        4513611.55000000
        PA
        USD
        661846.66000000
        0.149011636328
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Floating
          5.45600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae Strip
        B1V7KEBTPIMZEU4LTD58
        
        3136FENW8
        
          
        
        1019051.28000000
        PA
        USD
        842845.19000000
        0.189762596872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136AEJM0
        
          
        
        322851.67000000
        PA
        USD
        292662.42000000
        0.065891555750
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-25
          Floating
          4.99800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H1T30
        
          
        
        1101043.86000000
        PA
        USD
        1010589.53000000
        0.227529439404
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383AHG2
        
          
        
        455202.66000000
        PA
        USD
        397475.20000000
        0.089489656035
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H032662
        
          
        
        12000000.00000000
        PA
        USD
        11709107.40000000
        2.636249994244
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-06-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31386YTU8
        
          
        
        9747.28000000
        PA
        USD
        10065.30000000
        0.002266154554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31378RTG4
        
          
        
        3282.43000000
        PA
        USD
        3506.97000000
        0.000789577661
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-02-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31358UJN7
        
          
        
        18347.10000000
        PA
        USD
        18614.54000000
        0.004190975391
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERIC G2 30YR G2 5 5.5 360 0
        549300M8ZYFG0OCMTT87
        
        000000000
        
          
        
        23600000.00000000
        PA
        USD
        24105606.40000000
        5.427262946896
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31375GUS3
        
          
        
        58767.88000000
        PA
        USD
        60148.86000000
        0.013542230540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140XBR69
        
          
        
        572578.39000000
        PA
        USD
        556993.09000000
        0.125404352368
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31283HFX8
        
          
        
        86.75000000
        PA
        USD
        92.40000000
        0.000020803421
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-03-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383DUX4
        
          
        
        17911031.20000000
        PA
        USD
        2122149.13000000
        0.477791811162
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31385XEA1
        
          
        
        3341.22000000
        PA
        USD
        3533.68000000
        0.000795591291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418D5A6
        
          
        
        674467.89000000
        PA
        USD
        655845.70000000
        0.147660548646
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H32X9
        
          
        
        264873.79000000
        PA
        USD
        237820.55000000
        0.053544168838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-25
          Fixed
          2.50000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PGY5
        
          
        
        24611.57000000
        PA
        USD
        25043.49000000
        0.005638422991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-12-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132DM6X8
        
          
        
        998109.06000000
        PA
        USD
        970629.12000000
        0.218532542626
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        
        69354WAD8
        
          
        
        430000.00000000
        PA
        USD
        426358.76000000
        0.095992652573
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-25
          Floating
          3.31800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PLC7
        
          
        
        89145.18000000
        PA
        USD
        91056.71000000
        0.020500986370
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-17
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERIC FN 30YR FN 5 5.5 360 0
        N/A
        
        000000000
        
          
        
        14800000.00000000
        PA
        USD
        15160838.80000000
        3.413390947224
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132AEEY8
        
          
        
        97169.71000000
        PA
        USD
        94782.90000000
        0.021339920375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9509215010
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-07-15
          Fixed
          0.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31387UDJ7
        
          
        
        71745.32000000
        PA
        USD
        74473.53000000
        0.016767362047
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382LPC9
        
          
        
        9671568.63000000
        PA
        USD
        1172585.82000000
        0.264002135741
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H1R32
        
          
        
        2215649.93000000
        PA
        USD
        1994506.02000000
        0.449053570363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31392BWG7
        
          
        
        12618.00000000
        PA
        USD
        12836.76000000
        0.002890135628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        1172002.00000000
        0.263870691437
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-04-21
            0.00000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            1172002.00000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9598975005
        N/A
        
        000000000
        
          
        
        83710.47000000
        PA
        USD
        3057.65000000
        0.000688415394
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 7768185009
        N/A
        
        000000000
        
          
        
        883372.11000000
        PA
        USD
        62160.25000000
        0.013995085458
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-11-15
          Fixed
          1.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137B4AK2
        
          
        
        319969.53000000
        PA
        USD
        185980.98000000
        0.041872735530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F3E59
        
          
        
        757365.92000000
        PA
        USD
        146705.79000000
        0.033030112785
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PHH1
        
          
        
        17440.11000000
        PA
        USD
        17580.38000000
        0.003958139172
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-17
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H27D0
        
          
        
        4237153.49000000
        PA
        USD
        3888260.13000000
        0.875423326062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31381DZY4
        
          
        
        1431.04000000
        PA
        USD
        1519.25000000
        0.000342051931
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-15
          Fixed
          8.02700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9695815005
        N/A
        
        000000000
        
          
        
        1484186.08000000
        PA
        USD
        44572.82000000
        0.010035359011
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382VNE5
        
          
        
        340746.82000000
        PA
        USD
        304903.47000000
        0.068647570098
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F7ZW8
        
          
        
        4716784.98000000
        PA
        USD
        382791.16000000
        0.086183614076
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Floating
          3.31100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1397437007
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1363297004
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382URP8
        
          
        
        6225851.48000000
        PA
        USD
        863995.65000000
        0.194524522624
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F8JG9
        
          
        
        301426.76000000
        PA
        USD
        264497.91000000
        0.059550449910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -15000000.00000000
        NC
        USD
        -249432.60000000
        -0.05615856681
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    15000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -249432.60000000
                    -0.06000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-10-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  15000000.00000000
                  USD
                
              
            
            1.00000000
            1.98000000
            USD
            2022-10-12
            XXXX
            150567.40000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        
        91282CDU2
        
          
        
        40000000.00000000
        PA
        USD
        40054230.00000000
        9.018019905338
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-01-31
          Floating
          0.59100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418CZG2
        
          
        
        58284.85000000
        PA
        USD
        56706.56000000
        0.012767213022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KJC75
        
          
        
        918476.65000000
        PA
        USD
        894480.71000000
        0.201388089290
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F6JC2
        
          
        
        1241176.56000000
        PA
        USD
        1148632.20000000
        0.258609091811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F030660
        
          
        
        -10000000.00000000
        PA
        USD
        -9407413.50000000
        -2.11803452970
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31359G5C6
        
          
        
        37213.39000000
        PA
        USD
        38121.23000000
        0.008582814123
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136AAZX6
        
          
        
        304967.85000000
        PA
        USD
        294699.84000000
        0.066350271200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-25
          Floating
          3.41200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F3NP5
        
          
        
        1122823.10000000
        PA
        USD
        217494.43000000
        0.048967839327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9785105008
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          0.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137BSLH4
        
          
        
        301095.58000000
        PA
        USD
        233201.22000000
        0.052504148598
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-15
          Floating
          3.24600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382WAY3
        
          
        
        4277417.62000000
        PA
        USD
        595763.86000000
        0.134133407342
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9375765004
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          0.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9649935005
        N/A
        
        000000000
        
          
        
        3116437.45000000
        PA
        USD
        210013.87000000
        0.047283626724
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BA2V5
        
          
        
        6144457.60000000
        PA
        USD
        873276.74000000
        0.196614116016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140K3W73
        
          
        
        445287.07000000
        PA
        USD
        433653.59000000
        0.097635048948
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9681975006
        N/A
        
        000000000
        
          
        
        3400090.07000000
        PA
        USD
        261376.60000000
        0.058847701768
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-10-15
          Fixed
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BA3A0
        
          
        
        3842100.42000000
        PA
        USD
        558496.55000000
        0.125742849256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
        
        -20000000.00000000
        NC
        USD
        -46318.40000000
        -0.01042836806
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    
                    N/A
                    
                      
                    
                    20000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -46318.40000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2028-03-09
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20000000.00000000
                  USD
                
              
            
            1.00000000
            1.28000000
            USD
            2023-03-07
            XXXX
            203781.60000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        25000000.00000000
        NC
        USD
        1295135.75000000
        0.291593671220
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    
                    N/A
                    
                      
                    
                    25000000.00000000
                    OU
                    Notional Amount
                    N/A
                    1295135.75000000
                    0.29000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2033-03-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  25000000.00000000
                  USD
                
              
            
            1.00000000
            2.47000000
            USD
            2023-03-23
            XXXX
            750135.75000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383CGN4
        
          
        
        600783.53000000
        PA
        USD
        497804.91000000
        0.112078414373
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-10-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PEE1
        
          
        
        2443.34000000
        PA
        USD
        2572.93000000
        0.000579282985
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-17
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140MDTQ1
        
          
        
        806524.80000000
        PA
        USD
        785264.64000000
        0.176798609147
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1736877005
        N/A
        
        000000000
        
          
        
        581678.25000000
        PA
        USD
        13014.82000000
        0.002930224993
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-01-15
          Fixed
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140XBMD9
        
          
        
        1421638.95000000
        PA
        USD
        1383564.62000000
        0.311503011878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36241KMJ4
        
          
        
        23234.36000000
        PA
        USD
        24134.27000000
        0.005433716420
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-08-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FFUD7
        
          
        
        478831.10000000
        PA
        USD
        450801.52000000
        0.101495824054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FY4G8
        
          
        
        531179.71000000
        PA
        USD
        465388.53000000
        0.104780020169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-25
          Fixed
          2.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36225CEQ5
        
          
        
        54230.74000000
        PA
        USD
        54120.46000000
        0.012184964873
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-12-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9376465010
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F6QR1
        
          
        
        175871.16000000
        PA
        USD
        135529.95000000
        0.030513925417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          2.50000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418DRU8
        
          
        
        1693252.59000000
        PA
        USD
        1648485.87000000
        0.371148774781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
        
        10000000.00000000
        NC
        USD
        1374764.00000000
        0.309521594027
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    
                    N/A
                    
                      
                    
                    10000000.00000000
                    OU
                    Notional Amount
                    N/A
                    1374764.00000000
                    0.31000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-08-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10000000.00000000
                  USD
                
              
            
            1.00000000
            1.89000000
            USD
            2022-08-01
            XXXX
            1070651.55000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31359B6U6
        
          
        
        12164.52000000
        PA
        USD
        12408.02000000
        0.002793606851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-08-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1347477010
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWU65
        
          
        
        1277960.45000000
        PA
        USD
        162905.32000000
        0.036677360130
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31402BGN8
        
          
        
        14462.77000000
        PA
        USD
        15406.59000000
        0.003468720664
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMHERST SFR ABS
        N/A
        
        000000000
        
          
        
        7927251.25000000
        PA
        USD
        7808976.66000000
        1.758154056642
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-09-03
          Variable
          3.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BJD85
        
          
        
        703693.54000000
        PA
        USD
        617710.00000000
        0.139074476671
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        -5.00000000
        NC
        USD
        35774.90000000
        0.008054549052
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            -631556.15000000
            USD
            35774.90000000
          
        
        
          N
          N
          N
        
      
      
        GENERIC G2 30YR G2 4.5 5 360 0
        549300M8ZYFG0OCMTT87
        
        000000000
        
          
        
        16800000.00000000
        PA
        USD
        17063558.40000000
        3.841779240472
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383DSE9
        
          
        
        9703937.96000000
        PA
        USD
        209402.25000000
        0.047145923382
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-11-20
          Floating
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PJL0
        
          
        
        3195.26000000
        PA
        USD
        3330.17000000
        0.000749771980
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-03-20
          Fixed
          7.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31359D6L2
        
          
        
        24388.83000000
        PA
        USD
        24807.08000000
        0.005585196400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140QANN6
        
          
        
        854265.37000000
        PA
        USD
        872491.29000000
        0.196437275674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1072867009
        N/A
        
        000000000
        
          
        
        201911.45000000
        PA
        USD
        2952.12000000
        0.000664655815
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          0.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FWTA8
        
          
        
        1055938.16000000
        PA
        USD
        908177.46000000
        0.204471847589
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382KXR9
        
          
        
        6444055.96000000
        PA
        USD
        790498.79000000
        0.177977053194
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BGKB6
        
          
        
        1059830.79000000
        PA
        USD
        987523.57000000
        0.222336247913
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-25
          Fixed
          2.50000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H16E1
        
          
        
        166238.97000000
        PA
        USD
        119538.24000000
        0.026913467760
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133THYV3
        
          
        
        203007.18000000
        PA
        USD
        211591.92000000
        0.047638917197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9330015009
        N/A
        
        000000000
        
          
        
        115727.24000000
        PA
        USD
        1724.37000000
        0.000388233726
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-06-15
          Fixed
          0.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        -452.00000000
        NC
        USD
        813974.48000000
        0.183262493451
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            -51741661.98000000
            USD
            813974.48000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FVW40
        
          
        
        3043434.08000000
        PA
        USD
        381888.89000000
        0.085980472265
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31283HG58
        
          
        
        1763.80000000
        PA
        USD
        1872.00000000
        0.000421471921
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        3617M7BU1
        
          
        
        748869.93000000
        PA
        USD
        735592.54000000
        0.165615171429
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9663115002
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1104487008
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-11-15
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F9ZV6
        
          
        
        237496.31000000
        PA
        USD
        228653.48000000
        0.051480246507
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137AUH51
        
          
        
        212236.12000000
        PA
        USD
        170069.81000000
        0.038290411072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-15
          Floating
          2.31100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1357127003
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -25000000.00000000
        NC
        USD
        -218056.25000000
        -0.04909433043
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    
                    N/A
                    
                      
                    
                    25000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -218056.25000000
                    -0.05000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2033-03-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  25000000.00000000
                  USD
                
              
            
            1.00000000
            1.87000000
            USD
            2023-03-23
            XXXX
            301943.75000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H0ZK7
        
          
        
        579995.14000000
        PA
        USD
        496402.56000000
        0.111762681922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9612175009
        N/A
        
        000000000
        
          
        
        292513.83000000
        PA
        USD
        8525.67000000
        0.001919514162
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-15
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PG33
        
          
        
        3321.76000000
        PA
        USD
        3406.10000000
        0.000766867259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-05-17
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179WVV7
        
          
        
        37278.89000000
        PA
        USD
        35629.22000000
        0.008021749891
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-01-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PF91
        
          
        
        24422.68000000
        PA
        USD
        24424.48000000
        0.005499055825
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-17
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F9BF7
        
          
        
        343130.81000000
        PA
        USD
        320766.14000000
        0.072218975011
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31300MNK5
        
          
        
        516574.78000000
        PA
        USD
        535619.32000000
        0.120592149429
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Floating
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31359HC77
        
          
        
        44320.80000000
        PA
        USD
        45495.86000000
        0.010243177089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1450137000
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382T5V2
        
          
        
        8632432.68000000
        PA
        USD
        996805.13000000
        0.224425947124
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382W5G8
        
          
        
        2159726.87000000
        PA
        USD
        1962961.39000000
        0.441951446537
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31397T3D2
        
          
        
        1481260.94000000
        PA
        USD
        1233969.91000000
        0.277822472457
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382DQJ1
        
          
        
        4379862.88000000
        PA
        USD
        701310.65000000
        0.157896766496
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136B1TS3
        
          
        
        2860508.27000000
        PA
        USD
        512697.48000000
        0.115431405872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F032658
        
          
        
        -12000000.00000000
        PA
        USD
        -11637177.00000000
        -2.62005520585
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31358UPF7
        
          
        
        18801.60000000
        PA
        USD
        19041.94000000
        0.004287202474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1051897008
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.20000000
        0.000000045029
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F6BM8
        
          
        
        2038034.14000000
        PA
        USD
        1873696.75000000
        0.421853936227
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H44M9
        
          
        
        593021.74000000
        PA
        USD
        534661.20000000
        0.120376433255
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31402RH51
        
          
        
        195016.98000000
        PA
        USD
        198247.52000000
        0.044634488830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-01
          Floating
          1.30800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382XH24
        
          
        
        1314185.12000000
        PA
        USD
        1068612.55000000
        0.240593047151
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137F6JE8
        
          
        
        749769.75000000
        PA
        USD
        684671.22000000
        0.154150477754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31368HFY4
        
          
        
        18528.23000000
        PA
        USD
        18952.85000000
        0.004267144283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KH3A2
        
          
        
        1125260.64000000
        PA
        USD
        1069909.52000000
        0.240885053795
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31381D6H3
        
          
        
        22179.31000000
        PA
        USD
        22951.40000000
        0.005167398850
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-09-15
          Fixed
          6.45600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36225BC22
        
          
        
        2791.19000000
        PA
        USD
        2981.77000000
        0.000671331372
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-07-15
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136AJWR3
        
          
        
        1364290.44000000
        PA
        USD
        1047257.86000000
        0.235785139984
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38381RHB8
        
          
        
        2832088.54000000
        PA
        USD
        433254.60000000
        0.097545218242
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          5.45600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382KWY5
        
          
        
        12016956.55000000
        PA
        USD
        1510000.29000000
        0.339969403288
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179WLQ9
        
          
        
        7752751.32000000
        PA
        USD
        7412099.30000000
        1.668799001447
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382LAC5
        
          
        
        6484846.96000000
        PA
        USD
        836880.52000000
        0.188419679712
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31375ABV0
        
          
        
        2369.13000000
        PA
        USD
        2417.62000000
        0.000544315676
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-04-01
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PHJ7
        
          
        
        19067.76000000
        PA
        USD
        19305.94000000
        0.004346640821
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-12-17
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ginnie Mae II pool
        549300M8ZYFG0OCMTT87
        
        21H042661
        
          
        
        6900000.00000000
        PA
        USD
        7001779.49000000
        1.576417442392
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-06-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        50000000.00000000
        NC
        USD
        929067.00000000
        0.209175028440
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    
                    N/A
                    
                      
                    
                    50000000.00000000
                    OU
                    Notional Amount
                    N/A
                    929067.00000000
                    0.21000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-10-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  50000000.00000000
                  USD
                
              
            
            1.00000000
            3.07000000
            USD
            2022-10-12
            XXXX
            319067.00000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383CV72
        
          
        
        9898926.50000000
        PA
        USD
        685894.64000000
        0.154425924964
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-05-16
          Variable
          0.76800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137AUH69
        
          
        
        508942.22000000
        PA
        USD
        407827.41000000
        0.091820407016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-15
          Floating
          2.31100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9675225008
        N/A
        
        000000000
        
          
        
        561833.39000000
        PA
        USD
        12511.84000000
        0.002816981431
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Fixed
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382VNH8
        
          
        
        15051.37000000
        PA
        USD
        12948.11000000
        0.002915205552
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31385JP51
        
          
        
        152513.80000000
        PA
        USD
        164139.54000000
        0.036955238909
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9196595006
        N/A
        
        000000000
        
          
        
        1113457.03000000
        PA
        USD
        15612.39000000
        0.003515055558
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-15
          Fixed
          0.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1552247010
        N/A
        
        000000000
        
          
        
        361417.13000000
        PA
        USD
        25147.90000000
        0.005661930407
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31374J6X4
        
          
        
        102747.08000000
        PA
        USD
        103434.00000000
        0.023287674507
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-04-01
          Floating
          1.47300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FVS60
        
          
        
        5326009.64000000
        PA
        USD
        668305.56000000
        0.150465827028
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BKUR1
        
          
        
        652665.93000000
        PA
        USD
        575428.33000000
        0.129554959214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136B9EX1
        
          
        
        2573874.78000000
        PA
        USD
        387149.38000000
        0.087164846638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          5.38200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418D3K6
        
          
        
        476828.03000000
        PA
        USD
        463662.71000000
        0.104391459981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        
        3128HWPJ0
        
          
        
        1545456.51000000
        PA
        USD
        1322777.25000000
        0.297817023840
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382KAF0
        
          
        
        12701271.31000000
        PA
        USD
        1763990.66000000
        0.397154130405
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38380GWN0
        
          
        
        1275418.78000000
        PA
        USD
        1269665.30000000
        0.285859120210
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Floating
          1.09400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H3KU5
        
          
        
        1213838.42000000
        PA
        USD
        1079284.25000000
        0.242995729789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128CUKA3
        
          
        
        19459.30000000
        PA
        USD
        20268.55000000
        0.004563367897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-09-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FVPY2
        
          
        
        3741112.35000000
        PA
        USD
        471842.18000000
        0.106233028856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9293795009
        N/A
        
        000000000
        
          
        
        45056.42000000
        PA
        USD
        960.39000000
        0.000216227253
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-15
          Fixed
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -10000000.00000000
        NC
        USD
        -57614.80000000
        -0.01297169895
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    
                    N/A
                    
                      
                    
                    10000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -57614.80000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2053-03-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10000000.00000000
                  USD
                
              
            
            1.00000000
            1.13000000
            USD
            2023-03-06
            XXXX
            190385.20000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38383FCW1
        
          
        
        1010037.56000000
        PA
        USD
        933383.74000000
        0.210146921976
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-12-20
          Fixed
          3.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382NXA0
        
          
        
        8238298.43000000
        PA
        USD
        1034749.23000000
        0.232968881268
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-02-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H2BB9
        
          
        
        1435433.29000000
        PA
        USD
        1299418.09000000
        0.292557819760
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        3617AUBH2
        
          
        
        459646.74000000
        PA
        USD
        483276.40000000
        0.108807389256
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-10-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H1P91
        
          
        
        284847.62000000
        PA
        USD
        199183.20000000
        0.044845152744
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-25
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FXFJ2
        
          
        
        536.92000000
        PA
        USD
        378.54000000
        0.000085226485
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.50000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        313615S56
        
          
        
        37947.91000000
        PA
        USD
        38817.50000000
        0.008739576011
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140M3DS6
        
          
        
        583366.29000000
        PA
        USD
        567232.13000000
        0.127709623659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132DV3N3
        
          
        
        539635.85000000
        PA
        USD
        526211.98000000
        0.118474131447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PFL4
        
          
        
        6714.85000000
        PA
        USD
        6806.92000000
        0.001532545752
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-20
          Fixed
          7.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PGF6
        
          
        
        57888.98000000
        PA
        USD
        58467.32000000
        0.013163639784
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-09-17
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9807345001
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138AFUL2
        
          
        
        154016.65000000
        PA
        USD
        156204.50000000
        0.035168702289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-01
          Floating
          2.63900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PFF7
        
          
        
        3744.12000000
        PA
        USD
        3892.15000000
        0.000876299111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-08-25
          Fixed
          6.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9844775000
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BGL90
        
          
        
        1128110.47000000
        PA
        USD
        1012116.80000000
        0.227873297000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FCT20
        
          
        
        954485.65000000
        PA
        USD
        180790.56000000
        0.040704137085
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31335PLX1
        
          
        
        46919.24000000
        PA
        USD
        47387.98000000
        0.010669178933
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-17
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9845655001
        N/A
        
        000000000
        
          
        
        614068.08000000
        PA
        USD
        9023.30000000
        0.002031553197
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          0.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BJUL7
        
          
        
        479250.05000000
        PA
        USD
        432643.68000000
        0.097407672501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31370Q6L8
        
          
        
        256756.38000000
        PA
        USD
        261606.52000000
        0.058899467165
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Floating
          1.46800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418DZM7
        
          
        
        43765.19000000
        PA
        USD
        42573.92000000
        0.009585316157
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132DWB85
        
          
        
        195636.15000000
        PA
        USD
        190234.60000000
        0.042830417898
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
        
        20000000.00000000
        NC
        USD
        1036077.60000000
        0.233267957473
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    Goldman Sachs & Co. LLC
                    FOR8UP27PHTHYVLBNG30
                    
                    N/A
                    
                      
                    
                    20000000.00000000
                    OU
                    Notional Amount
                    N/A
                    1036077.60000000
                    0.23000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2028-03-09
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20000000.00000000
                  USD
                
              
            
            1.00000000
            1.88000000
            USD
            2023-03-07
            XXXX
            766077.60000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1472927002
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137H22P8
        
          
        
        1906416.20000000
        PA
        USD
        1723230.57000000
        0.387977189469
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31402QZJ3
        
          
        
        228772.74000000
        PA
        USD
        238292.53000000
        0.053650432896
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Floating
          2.46900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FVUE0
        
          
        
        4217193.50000000
        PA
        USD
        534987.69000000
        0.120449940930
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128C6R76
        
          
        
        768097.73000000
        PA
        USD
        785579.14000000
        0.176869417330
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9672055010
        N/A
        
        000000000
        
          
        
        149576.51000000
        PA
        USD
        2133.49000000
        0.000480345154
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-15
          Fixed
          0.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136B3B66
        
          
        
        1683768.94000000
        PA
        USD
        167424.39000000
        0.037694807306
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-25
          Floating
          4.73200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3128SGAA8
        
          
        
        938212.64000000
        PA
        USD
        961913.81000000
        0.216570331917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Floating
          2.76800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FYLK0
        
          
        
        65.13000000
        PA
        USD
        49.69000000
        0.000011187467
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-25
          Fixed
          3.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31374TZL6
        
          
        
        43677.10000000
        PA
        USD
        46271.30000000
        0.010417763727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Floating
          3.94100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F032666
        
          
        
        -12000000.00000000
        PA
        USD
        -11607646.20000000
        -2.61340648629
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31296QC65
        
          
        
        37759.94000000
        PA
        USD
        41203.64000000
        0.009276804115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        000000000
        
          
        
        41666666.67000000
        PA
        USD
        41712500.00000000
        9.391371530583
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2023-09-05
          Variable
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1475317002
        N/A
        
        000000000
        
          
        
        2810329.52000000
        PA
        USD
        331679.71000000
        0.074676113533
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9266635001
        N/A
        
        000000000
        
          
        
        212667.01000000
        PA
        USD
        1212.34000000
        0.000272952600
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          0.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H040665
        
          
        
        78000000.00000000
        PA
        USD
        77848200.30000000
        17.52715305974
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-06-21
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC-GNMA
        S6XOOCT0IEG5ABCC6L87
        
        3133T42F2
        
          
        
        8071.62000000
        PA
        USD
        8228.30000000
        0.001852562717
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133AXAZ5
        
          
        
        998476.59000000
        PA
        USD
        970861.72000000
        0.218584911413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382RU55
        
          
        
        12287090.58000000
        PA
        USD
        356141.32000000
        0.080183529002
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Floating
          2.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31371Y2S9
        
          
        
        165948.30000000
        PA
        USD
        169155.41000000
        0.038084538249
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Floating
          1.46800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31346AJT3
        
          
        
        261355.05000000
        PA
        USD
        270591.35000000
        0.060922359024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Floating
          2.83600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FVYJ5
        
          
        
        9396602.72000000
        PA
        USD
        1179081.95000000
        0.265464708599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140XDUB0
        
          
        
        494355.89000000
        PA
        USD
        481556.32000000
        0.108420121402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NewRez Warehouse Securitization Trust
        N/A
        
        65246PAE1
        
          
        
        4400000.00000000
        PA
        USD
        4432453.96000000
        0.997945985749
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-05-25
          Floating
          3.91800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9412265007
        N/A
        
        000000000
        
          
        
        151232.70000000
        PA
        USD
        864.98000000
        0.000194746144
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          0.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38381DRX0
        
          
        
        9737219.10000000
        PA
        USD
        627641.67000000
        0.141310545065
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-04-16
          Variable
          0.68600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9607195010
        N/A
        
        000000000
        
          
        
        632043.22000000
        PA
        USD
        23780.52000000
        0.005354071285
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BDYN2
        
          
        
        182286.32000000
        PA
        USD
        172719.22000000
        0.038886913167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-25
          Fixed
          2.50000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38382NTK3
        
          
        
        384720.90000000
        PA
        USD
        381651.23000000
        0.085926964244
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-02-20
          Fixed
          2.50000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        COOF 9544415006
        N/A
        
        000000000
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-07-15
          Fixed
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-05-24
      EATON VANCE MUTUAL FUNDS TRUST
      James Kirchner
      James Kirchner
      Treasurer