Form NPORT-P FRANKLIN STRATEGIC MORTG For: Mar 31

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May 23, 2022 11:20 AM EDT
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    NPORT-P
    false
    
      
      
        
          0000893226
          XXXXXXXX
        
      
      
      
      
        S000006875
        C000112387
        C000112386
        C000112388
        C000018610
        C000194406
      
      
      
    
  
  
    
      Franklin Strategic Mortgage Portfolio
      811-07288
      0000893226
      JHIR876BDWO4Q68OQX18
      One Franklin Parkway
      San Mateo
      
      94403-1906
      650-312-2000
      Franklin Strategic Mortgage Portfolio
      S000006875
      JHIR876BDWO4Q68OQX18
      2022-09-30
      2022-03-31
      N
    
    
      63122187.24
      15562483.57
      47559703.67
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      8463193.58999999
      0.00000000
      0.00000000
      7458161.87000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        BX 2021-LBA3 Mortgage Trust
        N/A
        BX 2021-LBA3 Mortgage Trust, Series 2021-PAC, Class A
        05609PAA6
        
          
          
        
        100000.00000000
        PA
        USD
        98161.55000000
        0.206396471014
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.08609840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2017-2, Class A1
        89173HAA4
        
          
          
        
        15624.50000000
        PA
        USD
        15648.91000000
        0.032903716365
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-04-25
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36206F6A5
        
          
          
        
        2814.01000000
        PA
        USD
        2903.50000000
        0.006104958138
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-04-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36225BMB1
        
          
          
        
        662.04000000
        PA
        USD
        664.73000000
        0.001397674814
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-12-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404WPZ3
        
          
          
        
        12649.70000000
        PA
        USD
        12663.78000000
        0.026627121329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31403CH79
        
          
          
        
        21244.53000000
        PA
        USD
        22754.53000000
        0.047844137461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Loan Trust
        N/A
        Mill City Mortgage Loan Trust, Series 2018-4, Class A1B
        59980YAB1
        
          
          
        
        105277.14000000
        PA
        USD
        105358.16000000
        0.221528209534
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-04-25
          Variable
          3.49648200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31335GMW2
        
          
          
        
        43.05000000
        PA
        USD
        45.10000000
        0.000094828177
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31371E2V6
        
          
          
        
        112.46000000
        PA
        USD
        117.22000000
        0.000246469155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-01-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 10 Year Ultra Bonds
        N/A
        
          
          
        
        7.00000000
        NC
        USD
        -29650.22000000
        -0.06234315546
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                United States of America
                U.S. Treasury 10 Year Ultra Bonds
                
                  
                
              
            
            2022-06-21
            948281.25000000
            USD
            -29650.22000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31402XD60
        
          
          
        
        34319.17000000
        PA
        USD
        36522.90000000
        0.076793792184
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2017-1, Class A1
        89173FAA8
        
          
          
        
        59419.14600000
        PA
        USD
        59448.01000000
        0.124996594622
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-10-25
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31406RDH5
        
          
          
        
        57960.80000000
        PA
        USD
        61995.60000000
        0.130353209158
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36204EFV4
        
          
          
        
        393.99000000
        PA
        USD
        395.49000000
        0.000831565315
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-09-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365DM69
        
          
          
        
        763.99000000
        PA
        USD
        764.72000000
        0.001607915821
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-01-01
          Variable
          2.09000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36225BGW2
        
          
          
        
        1473.55000000
        PA
        USD
        1619.00000000
        0.003404142320
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-11-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31384VYV8
        
          
          
        
        2923.56000000
        PA
        USD
        3141.55000000
        0.006605486909
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M3
        3137G0KE8
        
          
          
        
        137062.17000000
        PA
        USD
        144827.84000000
        0.304517961265
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-11-25
          Floating
          5.60657160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31402X4G8
        
          
          
        
        5551.55000000
        PA
        USD
        5902.78000000
        0.012411305253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411UE23
        
          
          
        
        3971.00000000
        PA
        USD
        3967.65000000
        0.008342461566
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.31500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PSMC Trust
        N/A
        PSMC Trust, Series 2021-3, Class A3
        69376DAC6
        
          
          
        
        265720.26000000
        PA
        USD
        255047.87000000
        0.536268837521
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-08-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        313615TA4
        
          
          
        
        32.83000000
        PA
        USD
        34.98000000
        0.000073549659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2018-2, Class A1
        89175VAA1
        
          
          
        
        73172.98000000
        PA
        USD
        73282.73000000
        0.154085758205
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-03-25
          Variable
          3.25000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        3132FCA21
        
          
          
        
        44599.02000000
        PA
        USD
        48469.86000000
        0.101913713206
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36203LBU5
        
          
          
        
        700.04000000
        PA
        USD
        707.47000000
        0.001487540807
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-10-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent LP
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAA5
        
          
          
        
        100000.00000000
        PA
        USD
        101678.78000000
        0.213791870331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CF Hippolyta LLC
        N/A
        CF Hippolyta LLC, Series 2021-1A, Class A1
        12530MAE5
        
          
          
        
        96450.52000000
        PA
        USD
        89689.19000000
        0.188582314604
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2061-03-15
          Fixed
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36207MRX6
        
          
          
        
        265.75000000
        PA
        USD
        266.80000000
        0.000560979105
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-02-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31406CGC6
        
          
          
        
        29783.20000000
        PA
        USD
        32371.69000000
        0.068065373629
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31385Y5K7
        
          
          
        
        78.82000000
        PA
        USD
        80.40000000
        0.000169050674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust, Series 2013-3, Class A3
        46640MAC4
        
          
          
        
        64051.92000000
        PA
        USD
        62382.29000000
        0.131166271415
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-07-25
          Variable
          3.36224880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31405PNC0
        
          
          
        
        227549.21000000
        PA
        USD
        253201.60000000
        0.532386832678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31292GP59
        
          
          
        
        32.68000000
        PA
        USD
        32.81000000
        0.000068986973
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31297PCA7
        
          
          
        
        3364.35000000
        PA
        USD
        3636.69000000
        0.007646578341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust, Series 2019-INV1, Class A1
        12555DAA3
        
          
          
        
        16152.88000000
        PA
        USD
        16232.57000000
        0.034130931749
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-25
          Variable
          3.99999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31378PNC3
        
          
          
        
        1414.21000000
        PA
        USD
        1518.63000000
        0.003193102317
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 30 Year
        3132DWDC4
        
          
          
        
        2633269.27300000
        PA
        USD
        2447253.76000000
        5.145645517433
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-03-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Stacr Remic Trust
        5493003FQV7GR462GO02
        FHLMC Stacr Remic Trust, Series 2020-DNA1, Class M2
        35565HAH8
        
          
          
        
        77198.32300000
        PA
        USD
        77153.25000000
        0.162223992258
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-01-25
          Floating
          2.15656920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202DPD7
        
          
          
        
        23557.05000000
        PA
        USD
        25763.10000000
        0.054170017918
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2031-08-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202CDH3
        
          
          
        
        30.68000000
        PA
        USD
        30.80000000
        0.000064760706
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-11-20
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Partners of America Trust
        N/A
        Home Partners of America Trust, Series 2021-3, Class B
        43730XAB0
        
          
          
        
        59495.81000000
        PA
        USD
        56690.34000000
        0.119198261606
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-01-17
          Fixed
          2.64900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent
        N/A
        American Homes 4 Rent, Series 2015-SFR1, Class A
        02666AAA6
        
          
          
        
        140305.48900000
        PA
        USD
        139358.46000000
        0.293017931665
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-04-17
          Fixed
          3.46700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust, Series 2021-6, Class A4
        46653PAF4
        
          
          
        
        286601.88000000
        PA
        USD
        276071.64000000
        0.580473843814
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31384WGU8
        
          
          
        
        11621.87000000
        PA
        USD
        12585.15000000
        0.026461792292
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2016-4, Class A1
        89172UAA6
        
          
          
        
        20075.75300000
        PA
        USD
        20080.78000000
        0.042222256344
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-07-25
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-HQ1, Class M3
        3137G0BW8
        
          
          
        
        7707.42100000
        PA
        USD
        7708.73000000
        0.016208532444
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-08-25
          Floating
          4.55657040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31403FHN7
        
          
          
        
        34971.20000000
        PA
        USD
        37232.57000000
        0.078285958756
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities Trust
        N/A
        GS Mortgage-Backed Securities Trust, Series 2021-PJ6, Class A8
        36262LAJ9
        
          
          
        
        222159.31000000
        PA
        USD
        212946.25000000
        0.447745115229
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31376B7B6
        
          
          
        
        85.39000000
        PA
        USD
        85.71000000
        0.000180215588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-07-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C01, Class 1M2
        30711XBM5
        
          
          
        
        178494.21400000
        PA
        USD
        191090.19000000
        0.401790119059
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-08-25
          Floating
          7.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36208HQH2
        
          
          
        
        1770.50000000
        PA
        USD
        1797.79000000
        0.003780069809
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-09-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bonds
        912810PT9
        
          
          
        
        225000.00000000
        PA
        USD
        293712.89000000
        0.617566694775
        Long
        DBT
        UST
        US
        N
        
        2
        
          2037-02-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2018-1, Class A1
        89176EAA8
        
          
          
        
        29283.79000000
        PA
        USD
        29206.30000000
        0.061409760251
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-01-25
          Variable
          2.99999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 30 Year
        3133KHXV3
        
          
          
        
        888319.96000000
        PA
        USD
        872955.10000000
        1.835493143643
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140X5UP6
        
          
          
        
        240023.04000000
        PA
        USD
        242351.89000000
        0.509574011818
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202DJR3
        
          
          
        
        19457.19000000
        PA
        USD
        21640.81000000
        0.045502407143
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-09-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31384V2A9
        
          
          
        
        1641.95000000
        PA
        USD
        1763.23000000
        0.003707403250
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2017-C05, Class 1M2
        30711XNX8
        
          
          
        
        152465.51000000
        PA
        USD
        153357.48000000
        0.322452555768
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-01-25
          Floating
          2.65656960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202DBJ9
        
          
          
        
        3079.75000000
        PA
        USD
        3280.86000000
        0.006898402947
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-04-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31402XQX7
        
          
          
        
        14618.58000000
        PA
        USD
        15670.28000000
        0.032948649362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2
        3137G0AD1
        
          
          
        
        97693.98200000
        PA
        USD
        98916.58000000
        0.207984012445
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-11-25
          Floating
          4.70657160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN3, Class M3
        3137G0BK4
        
          
          
        
        43356.78000000
        PA
        USD
        44032.16000000
        0.092582914951
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-08-25
          Floating
          4.45656960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31335GFQ3
        
          
          
        
        74.72000000
        PA
        USD
        77.77000000
        0.000163520783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-07-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202CCG6
        
          
          
        
        53.47000000
        PA
        USD
        54.07000000
        0.000113688681
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-09-20
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412V7C6
        
          
          
        
        3275.04000000
        PA
        USD
        3350.64000000
        0.007045123794
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.33999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DJH4
        
          
          
        
        1907.15000000
        PA
        USD
        1907.45000000
        0.004010643155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Variable
          2.12000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403LLG4
        
          
          
        
        7254.91000000
        PA
        USD
        7261.98000000
        0.015269186810
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390S7G0
        
          
          
        
        24601.72000000
        PA
        USD
        26416.94000000
        0.055544795197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Provident Funding Associates LLP
        N/A
        Provident Funding Associates LLP
        N/A
        
          
          
        
        137068.00000000
        PA
        USD
        132021.76000000
        0.277591637063
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-20
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31406XQ47
        
          
          
        
        13467.78000000
        PA
        USD
        14385.62000000
        0.030247497124
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C05, Class 2M2
        30711XDK7
        
          
          
        
        88158.53100000
        PA
        USD
        91612.54000000
        0.192626389423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.90656960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31403HK66
        
          
          
        
        6435.80000000
        PA
        USD
        6844.18000000
        0.014390712035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390TRW1
        
          
          
        
        41776.70000000
        PA
        USD
        44902.82000000
        0.094413582371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390PGD3
        
          
          
        
        9860.82000000
        PA
        USD
        10790.46000000
        0.022688240605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31371FAX0
        
          
          
        
        118.11000000
        PA
        USD
        123.46000000
        0.000259589506
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cold Storage Trust
        N/A
        Cold Storage Trust, Series 2020-ICE5, Class A
        193051AA7
        
          
          
        
        324386.87000000
        PA
        USD
        320928.81000000
        0.674791441567
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Floating
          1.29656880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C02, Class 1M2
        30711XCB8
        
          
          
        
        161659.75800000
        PA
        USD
        170513.18000000
        0.358524479427
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-09-25
          Floating
          6.45657120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2017-4, Class A1
        89173UAA5
        
          
          
        
        115441.95100000
        PA
        USD
        114721.56000000
        0.241215884766
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-06-25
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2019-1, Class A1
        89177BAA3
        
          
          
        
        142532.25000000
        PA
        USD
        142329.74000000
        0.299265405410
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-03-25
          Variable
          3.65752440
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31296QF21
        
          
          
        
        1570.92000000
        PA
        USD
        1656.36000000
        0.003482696215
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202AP76
        
          
          
        
        474.24000000
        PA
        USD
        477.27000000
        0.001003517606
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2022-11-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371LK99
        
          
          
        
        4038.16000000
        PA
        USD
        4036.75000000
        0.008487752631
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202BSS5
        
          
          
        
        876.53000000
        PA
        USD
        888.27000000
        0.001867694563
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-10-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36206HFY9
        
          
          
        
        172.00000000
        PA
        USD
        176.37000000
        0.000370839148
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-01-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31402VKM1
        
          
          
        
        28635.47000000
        PA
        USD
        31083.58000000
        0.065356967351
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investment Trust
        N/A
        American Home Mortgage Investment Trust, Series 2005-1, Class 6A
        02660TDH3
        
          
          
        
        32395.61700000
        PA
        USD
        32953.25000000
        0.069288173510
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-06-25
          Floating
          2.82629160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        3132FCBN4
        
          
          
        
        113606.59000000
        PA
        USD
        123064.25000000
        0.258757394398
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31403GX31
        
          
          
        
        6739.08000000
        PA
        USD
        7165.38000000
        0.015066073686
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31384BXR2
        
          
          
        
        131.19000000
        PA
        USD
        139.59000000
        0.000293504772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390Q7M1
        
          
          
        
        8447.77000000
        PA
        USD
        9092.94000000
        0.019119000536
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31376FL47
        
          
          
        
        21511.67000000
        PA
        USD
        21524.76000000
        0.045258398053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-09-01
          Variable
          2.19999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 30 Year
        3132AC3B4
        
          
          
        
        579170.48000000
        PA
        USD
        611090.24000000
        1.284890764333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        31418EAR1
        
          
          
        
        0.00300000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA or FHLMC
        N/A
        FNMA or FHLMC, Single Family, 30 Year
        01F032641
        
          
          
        
        1636000.00000000
        PA
        USD
        1639323.13000000
        3.446874146598
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Connecticut Avenue Securities Trust
        N/A
        Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M2
        20753MAF5
        
          
          
        
        49690.37400000
        PA
        USD
        49708.13000000
        0.104517324886
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-09-25
          Floating
          2.60656920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 30 Year
        3132DVKP9
        
          
          
        
        1013163.15000000
        PA
        USD
        1022791.20000000
        2.150541574221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31368JDB2
        
          
          
        
        34.07000000
        PA
        USD
        34.44000000
        0.000072414244
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-08-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405HB80
        
          
          
        
        898.13000000
        PA
        USD
        931.99000000
        0.001959621124
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          1.76799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OBX Trust
        N/A
        OBX Trust, Series 2021-J3, Class A4
        67448XAD8
        
          
          
        
        89315.07000000
        PA
        USD
        86026.88000000
        0.180881867130
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140QBS74
        
          
          
        
        280769.56000000
        PA
        USD
        276118.21000000
        0.580571762843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31283HUA1
        
          
          
        
        1577.88000000
        PA
        USD
        1749.27000000
        0.003678050671
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust
        N/A
        BX Commercial Mortgage Trust, Series 2020-FOX, Class A
        12433AAA7
        
          
          
        
        136814.23000000
        PA
        USD
        135964.61000000
        0.285881953645
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-15
          Floating
          1.39700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202BVD4
        
          
          
        
        1999.91000000
        PA
        USD
        2020.65000000
        0.004248659777
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-12-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31371E3H6
        
          
          
        
        101.39000000
        PA
        USD
        106.57000000
        0.000224076248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-01-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390LGN0
        
          
          
        
        4332.81000000
        PA
        USD
        4652.38000000
        0.009782188787
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conseco Finance Securitizations Corp.
        N/A
        Conseco Finance Securitizations Corp., Series 2002-2, Class M1
        20846QJY5
        
          
          
        
        110579.26000000
        PA
        USD
        111787.35000000
        0.235046355157
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-03-01
          Variable
          7.42399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31368HKV4
        
          
          
        
        55.91000000
        PA
        USD
        61.15000000
        0.000128575233
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-09-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust, Series 2013-A, Class A
        17320XAA2
        
          
          
        
        5263.85000000
        PA
        USD
        5269.45000000
        0.011079652717
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-05-25
          Variable
          2.99999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31407X4T5
        
          
          
        
        19587.57000000
        PA
        USD
        21040.73000000
        0.044240666733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31368HKL6
        
          
          
        
        2344.25000000
        PA
        USD
        2518.98000000
        0.005296458568
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust, Series 2021-13, Class A4
        46592XAF1
        
          
          
        
        195846.28000000
        PA
        USD
        188754.02000000
        0.396878040514
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-04-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2017-1, Class A2
        89173FAB6
        
          
          
        
        165000.00000000
        PA
        USD
        164843.94000000
        0.346604220126
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-10-25
          Variable
          3.49999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA2, Class M3
        3137G0JU4
        
          
          
        
        116531.70000000
        PA
        USD
        121053.49000000
        0.254529529536
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-10-25
          Floating
          5.10657120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas Securities Corp.
        2J5703FH5U5M97R1I237
        BNP Paribas Securities Corp.
        N/A
        
          
        
        4015492.32948660
        PA
        USD
        4015492.32948660
        8.443055821686
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.21061299
          2022-04-01
          
            
              4188275.92212470
              USD
              4099267.82732892
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C01, Class M2
        30711XAD6
        
          
          
        
        89935.23700000
        PA
        USD
        93075.69000000
        0.195702838364
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.85656920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 30 Year
        3132DVK95
        
          
          
        
        85403.86000000
        PA
        USD
        88157.51000000
        0.185361773091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC STACR Trust
        N/A
        FHLMC STACR Trust, Series 2020-HQA3, Class M2
        35565MAH7
        
          
          
        
        50810.45100000
        PA
        USD
        50881.88000000
        0.106985275503
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-25
          Floating
          4.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 30 Year
        3132DWC84
        
          
          
        
        847820.39500000
        PA
        USD
        830533.01000000
        1.746295594612
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31296NY76
        
          
          
        
        6560.21000000
        PA
        USD
        6917.37000000
        0.014544602817
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31384WAH3
        
          
          
        
        2289.11000000
        PA
        USD
        2437.37000000
        0.005124863722
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36179WG36
        
          
          
        
        0.00400000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN4, Class M3
        3137G0CU1
        
          
          
        
        74362.64400000
        PA
        USD
        75743.82000000
        0.159260496082
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-10-25
          Floating
          5.00657040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31385XQ91
        
          
          
        
        34038.33000000
        PA
        USD
        36966.43000000
        0.077726367381
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31297KHX3
        
          
          
        
        3663.86000000
        PA
        USD
        3865.37000000
        0.008127405559
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31418EAM2
        
          
          
        
        1262447.71000000
        PA
        USD
        1173267.75000000
        2.466936627992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410ABX3
        
          
          
        
        1422.23000000
        PA
        USD
        1433.88000000
        0.003014905244
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          1.86699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31405X3A9
        
          
          
        
        49491.60000000
        PA
        USD
        52718.67000000
        0.110847347506
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FirstKey Homes Trust
        N/A
        FirstKey Homes Trust, Series 2020-SFR2, Class A
        33767JAA0
        
          
          
        
        149478.78000000
        PA
        USD
        138968.87000000
        0.292198771809
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-19
          Fixed
          1.26600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury Ultra Bonds
        N/A
        
          
          
        
        1.00000000
        NC
        USD
        -5431.24000000
        -0.01141983566
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                United States of America
                U.S. Treasury Ultra Bonds
                
                  
                
              
            
            2022-06-21
            177125.00000000
            USD
            -5431.24000000
          
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202CWB5
        
          
          
        
        3740.19000000
        PA
        USD
        3826.02000000
        0.008044667449
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-06-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202DV40
        
          
          
        
        20210.84000000
        PA
        USD
        22348.87000000
        0.046991188496
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-01-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 30 Year
        3132DWCP6
        
          
          
        
        900600.01700000
        PA
        USD
        860709.86000000
        1.809746053028
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C03, Class 1M2
        30711XCL6
        
          
          
        
        183139.42600000
        PA
        USD
        190800.66000000
        0.401181347394
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-10-25
          Floating
          5.75656920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust
        N/A
        BX Commercial Mortgage Trust, Series 2019-XL, Class A
        056054AA7
        
          
          
        
        141820.37200000
        PA
        USD
        141297.31000000
        0.297094597099
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.31699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31418D6D9
        
          
          
        
        792342.86200000
        PA
        USD
        776178.58000000
        1.632008864869
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust
        N/A
        BX Commercial Mortgage Trust, Series 2022-LP2, Class A
        05610HAA1
        
          
          
        
        90000.00000000
        PA
        USD
        88346.72000000
        0.185759609885
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-02-15
          Floating
          1.31789880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140QEL34
        
          
          
        
        549541.94000000
        PA
        USD
        539743.77000000
        1.134876225775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        312940AH2
        
          
          
        
        210907.01000000
        PA
        USD
        224716.36000000
        0.472493187844
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202ATA5
        
          
          
        
        144.79000000
        PA
        USD
        145.22000000
        0.000305342524
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2022-12-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36206YMY4
        
          
          
        
        430.41000000
        PA
        USD
        432.09000000
        0.000908521219
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-05-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31389YAS0
        
          
          
        
        6429.24000000
        PA
        USD
        6922.31000000
        0.014554989761
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375BVT1
        
          
          
        
        7155.57000000
        PA
        USD
        7174.03000000
        0.015084261352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-01
          Variable
          2.35000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31335GPM1
        
          
          
        
        1317.75000000
        PA
        USD
        1419.99000000
        0.002985699847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-09-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140X8AN7
        
          
          
        
        388996.97000000
        PA
        USD
        394169.58000000
        0.828788973823
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36208WBT9
        
          
          
        
        1028.74000000
        PA
        USD
        1032.31000000
        0.002170555996
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-05-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36203LS52
        
          
          
        
        1169.83000000
        PA
        USD
        1250.13000000
        0.002628548757
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31388EDR4
        
          
          
        
        4180.64000000
        PA
        USD
        4536.35000000
        0.009538221750
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379MGB9
        
          
          
        
        3360.33000000
        PA
        USD
        3361.26000000
        0.007067453622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-01-01
          Variable
          2.58800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202DKL4
        
          
          
        
        7152.03000000
        PA
        USD
        7979.69000000
        0.016778258450
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-11-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36201APX0
        
          
          
        
        476.46000000
        PA
        USD
        478.21000000
        0.001005494069
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-02-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Securities Inc.
        9J6MBOOO7BECTDTUZW19
        Deutsche Bank Securities Inc.
        N/A
        
          
        
        347259.21649140
        PA
        USD
        347259.21649140
        0.730154289650
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.21061299
          2022-04-01
          
            
              351937.68278084
              USD
              354215.92317585
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31374FXG9
        
          
          
        
        291.72000000
        PA
        USD
        309.26000000
        0.000650256364
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-12-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO Residential Funding Trust
        N/A
        BRAVO Residential Funding Trust, Series 2019-1, Class A1C
        10568GAD9
        
          
          
        
        29071.02000000
        PA
        USD
        29172.81000000
        0.061339343496
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-03-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OBX Trust
        N/A
        OBX Trust, Series 2018-1, Class A2
        67112FAD2
        
          
          
        
        37537.51600000
        PA
        USD
        37126.78000000
        0.078063522551
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-06-25
          Floating
          1.10657160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M3
        3137G0AY5
        
          
          
        
        147217.92000000
        PA
        USD
        148124.66000000
        0.311449922034
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-04-25
          Floating
          4.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140QBSL3
        
          
          
        
        1041025.12000000
        PA
        USD
        1049413.33000000
        2.206517806085
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379MD71
        
          
          
        
        20966.87000000
        PA
        USD
        21024.71000000
        0.044206982755
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Variable
          2.43299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC STACR Trust
        N/A
        FHLMC STACR Trust, Series 2019-DNA4, Class M2
        35565AAH3
        
          
          
        
        115856.11800000
        PA
        USD
        115763.75000000
        0.243407214652
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-25
          Floating
          2.40657120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36201SG60
        
          
          
        
        39705.99000000
        PA
        USD
        42445.73000000
        0.089247254975
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQ2, Class M3
        3137G0FJ3
        
          
          
        
        75401.23000000
        PA
        USD
        75441.54000000
        0.158624916007
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-05-25
          Floating
          3.70657080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31405RRN8
        
          
          
        
        114653.91000000
        PA
        USD
        124901.96000000
        0.262621400811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust, Series 2021-4, Class A5
        33852FAE6
        
          
          
        
        182998.68000000
        PA
        USD
        176366.55000000
        0.370831894209
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-06-01
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36208PTR9
        
          
          
        
        11424.85000000
        PA
        USD
        12211.93000000
        0.025677052331
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust
        N/A
        BX Commercial Mortgage Trust, Series 2021-VOLT, Class A
        05609VAA3
        
          
          
        
        100000.00000000
        PA
        USD
        97561.70000000
        0.205135214207
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-15
          Floating
          1.09657080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411S6L5
        
          
          
        
        5631.49000000
        PA
        USD
        5823.02000000
        0.012243600255
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          2.45900160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375LDN2
        
          
          
        
        3987.15000000
        PA
        USD
        3987.98000000
        0.008385207838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-12-01
          Variable
          2.28200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371LJJ9
        
          
          
        
        95674.41000000
        PA
        USD
        95674.78000000
        0.201167737847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.97399880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390PVL8
        
          
          
        
        12572.76000000
        PA
        USD
        13554.59000000
        0.028500156548
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31296MPS2
        
          
          
        
        18138.30000000
        PA
        USD
        19698.62000000
        0.041418718957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31283HAZ8
        
          
          
        
        413.44000000
        PA
        USD
        446.27000000
        0.000938336376
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31374TFV6
        
          
          
        
        3365.06000000
        PA
        USD
        3615.96000000
        0.007602991021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140JQTN3
        
          
          
        
        283079.32000000
        PA
        USD
        278289.83000000
        0.585137855212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31387N2M8
        
          
          
        
        15038.04000000
        PA
        USD
        16358.13000000
        0.034394936758
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC STACR Trust
        N/A
        FHLMC STACR REMIC Trust, Series 2022-DNA1, Class M1A
        35564KPU7
        
          
          
        
        280000.00000000
        PA
        USD
        275248.96000000
        0.578744060118
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.09900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31403GMC3
        
          
          
        
        17244.59000000
        PA
        USD
        18485.46000000
        0.038867904073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36209KZ92
        
          
          
        
        7164.22000000
        PA
        USD
        7344.32000000
        0.015442316569
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-05-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371LPY9
        
          
          
        
        15628.05000000
        PA
        USD
        15612.72000000
        0.032827622535
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.49199920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2016-5, Class A1
        89173CAA5
        
          
          
        
        81216.33400000
        PA
        USD
        81279.15000000
        0.170899193493
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-10-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36225BMR6
        
          
          
        
        898.27000000
        PA
        USD
        953.76000000
        0.002005395169
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-12-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Asset-Backed Certificates Trust
        N/A
        CWABS Asset-Backed Certificates Trust, Series 2004-1, Class M1
        126671Z25
        
          
          
        
        11978.80000000
        PA
        USD
        11844.22000000
        0.024903897808
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-03-25
          Floating
          1.20656880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405RNE2
        
          
          
        
        12670.78000000
        PA
        USD
        13111.86000000
        0.027569263448
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.86800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410QGH8
        
          
          
        
        2453.16000000
        PA
        USD
        2530.43000000
        0.005320533570
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          1.86099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK
        N/A
        BANK, Series 2021-BN33, Class A5
        06541CBL9
        
          
          
        
        90000.00000000
        PA
        USD
        84566.07000000
        0.177810338320
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-05-15
          Fixed
          2.55600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31335GQF5
        
          
          
        
        3178.10000000
        PA
        USD
        3429.00000000
        0.007209885124
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-12-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31298CB57
        
          
          
        
        12542.65000000
        PA
        USD
        13488.24000000
        0.028360647689
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-01-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31297X5R1
        
          
          
        
        65935.98000000
        PA
        USD
        67958.45000000
        0.142890818814
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA or FHLMC
        N/A
        FNMA or FHLMC, Single Family, 15 Year
        01F022444
        
          
          
        
        2378000.00000000
        PA
        USD
        2350411.49000000
        4.942022991372
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, REMIC, Series 2007-1, Class NF
        31396PHM6
        
          
          
        
        36759.41000000
        PA
        USD
        36678.07000000
        0.077120055781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-25
          Floating
          0.70656840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31403HB82
        
          
          
        
        21107.65000000
        PA
        USD
        22492.98000000
        0.047294197112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36203HAF8
        
          
          
        
        8.10000000
        PA
        USD
        8.11000000
        0.000017052250
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-02-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C04, Class 1M2
        30711XAP9
        
          
          
        
        84073.86000000
        PA
        USD
        86641.57000000
        0.182174326823
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Floating
          5.35656960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Securities (USA) Inc.
        CYYGQCGNHMHPSMRL3R97
        HSBC Securities (USA) Inc.
        N/A
        
          
        
        2569953.91402200
        PA
        USD
        2569953.91402200
        5.403637356224
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.21061299
          2022-04-01
          
            
              2614217.24407715
              USD
              2621324.55779875
              USD
              ADAS
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury Long Bonds
        N/A
        
          
          
        
        8.00000000
        NC
        USD
        -34261.36000000
        -0.07203863219
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                United States of America
                U.S. Treasury Long Bonds
                
                  
                
              
            
            2022-06-21
            1200500.00000000
            USD
            -34261.36000000
          
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36224DT96
        
          
          
        
        467.78000000
        PA
        USD
        469.46000000
        0.000987096141
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust, Series 2019-INV2, Class A3
        12554TAC5
        
          
          
        
        37172.82000000
        PA
        USD
        37264.53000000
        0.078353158502
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-25
          Variable
          3.99999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36209YUT3
        
          
          
        
        1077.41000000
        PA
        USD
        1151.89000000
        0.002421987336
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2031-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36205A6L3
        
          
          
        
        32.99000000
        PA
        USD
        33.11000000
        0.000069617759
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-07-15
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK
        N/A
        BANK, Series 2021-BN34, Class A5
        06541JAL5
        
          
          
        
        125000.00000000
        PA
        USD
        116772.19000000
        0.245527581101
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2063-06-15
          Fixed
          2.43800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140JAF37
        
          
          
        
        1560549.66000000
        PA
        USD
        1544512.95000000
        3.247524334291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2015-C01, Class 1M2
        30711XAT1
        
          
          
        
        92448.01400000
        PA
        USD
        93237.30000000
        0.196042642836
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-02-25
          Floating
          4.75656840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31407YAR0
        
          
          
        
        28821.85000000
        PA
        USD
        31302.51000000
        0.065817294020
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378RVH9
        
          
          
        
        3988.83000000
        PA
        USD
        3991.04000000
        0.008391641856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-12-01
          Variable
          2.60600040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust, Series 2019-INV2, Class A11
        12554TAL5
        
          
          
        
        59004.49700000
        PA
        USD
        59016.91000000
        0.124090154996
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-25
          Floating
          1.13685840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Economy Assets Phase 1 Sponsor LLC
        N/A
        New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1
        643821AA9
        
          
          
        
        270000.00000000
        PA
        USD
        252045.73000000
        0.529956476913
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2061-10-20
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31377EG52
        
          
          
        
        30624.84000000
        PA
        USD
        30601.62000000
        0.064343588455
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-04-01
          Variable
          2.62500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31371E4M4
        
          
          
        
        274.43000000
        PA
        USD
        288.06000000
        0.000605680813
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-04-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36225BQQ4
        
          
          
        
        2269.69000000
        PA
        USD
        2380.08000000
        0.005004404603
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-12-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ambac Assurance Corp.
        549300RYYRVPPB8NC636
        Ambac Assurance Corp.
        023138AA8
        
          
          
        
        236.82200000
        PA
        USD
        269.98000000
        0.000567665437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2170-06-07
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368H4B6
        
          
          
        
        2110.69000000
        PA
        USD
        2112.61000000
        0.004442016743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-01
          Variable
          2.40000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C02, Class 2M2
        30711XAH7
        
          
          
        
        82431.62000000
        PA
        USD
        82384.34000000
        0.173222988460
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-05-25
          Floating
          3.05656920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390WTD4
        
          
          
        
        11175.80000000
        PA
        USD
        11953.25000000
        0.025133146503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140X5CF8
        
          
          
        
        2019221.34000000
        PA
        USD
        2074064.20000000
        4.360969560263
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31380GV89
        
          
          
        
        2358.50000000
        PA
        USD
        2532.91000000
        0.005325748069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31297B4N9
        
          
          
        
        4427.62000000
        PA
        USD
        4695.64000000
        0.009873148143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31407SDL3
        
          
          
        
        108150.02000000
        PA
        USD
        117036.11000000
        0.246082504659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31296LGW5
        
          
          
        
        4707.52000000
        PA
        USD
        4726.45000000
        0.009937929876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-09-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384WNL0
        
          
          
        
        7098.86000000
        PA
        USD
        7105.24000000
        0.014939622099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-01
          Variable
          1.62500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Trust
        N/A
        Commercial Mortgage Trust, Series 2006-GG7, Class AJ
        20173MAH3
        
          
          
        
        39434.07000000
        PA
        USD
        32072.71000000
        0.067436732201
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-10
          Variable
          5.61021120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CF Hippolyta LLC
        N/A
        CF Hippolyta LLC, Series 2020-1, Class A1
        12530MAA3
        
          
          
        
        110460.42000000
        PA
        USD
        104453.13000000
        0.219625275053
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2060-07-15
          Fixed
          1.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 30 Year
        3132DWC76
        
          
          
        
        1246500.09100000
        PA
        USD
        1191289.02000000
        2.504828516733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        3132XCSG1
        
          
          
        
        368811.62000000
        PA
        USD
        389425.91000000
        0.818814836825
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31376ZU76
        
          
          
        
        1192.72000000
        PA
        USD
        1195.24000000
        0.002513135927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-05-01
          Variable
          2.82499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Other
        3140FXD82
        
          
          
        
        583447.42000000
        PA
        USD
        592291.77000000
        1.245364719069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390JEY3
        
          
          
        
        4295.11000000
        PA
        USD
        4611.24000000
        0.009695686987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31418CCH5
        
          
          
        
        1254768.67100000
        PA
        USD
        1242900.77000000
        2.613348431739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202CFQ1
        
          
          
        
        63.09000000
        PA
        USD
        63.35000000
        0.000133200998
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-03-20
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36206UM71
        
          
          
        
        118.77000000
        PA
        USD
        120.17000000
        0.000252671885
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-01-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31402X5V4
        
          
          
        
        22133.80000000
        PA
        USD
        24183.34000000
        0.050848382420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31387AHS7
        
          
          
        
        17396.13000000
        PA
        USD
        17456.73000000
        0.036704875457
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-11-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373BEE5
        
          
          
        
        1198.95000000
        PA
        USD
        1200.60000000
        0.002524405972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-03-01
          Variable
          2.31099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 30 Year
        3132DWC68
        
          
          
        
        2197783.98000000
        PA
        USD
        2042578.37000000
        4.294766813882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378B2Z6
        
          
          
        
        13500.59000000
        PA
        USD
        13533.45000000
        0.028455707154
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-01
          Variable
          2.27000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202CL92
        
          
          
        
        4320.09000000
        PA
        USD
        4472.87000000
        0.009404747411
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-01-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36208FK82
        
          
          
        
        1636.31000000
        PA
        USD
        1725.12000000
        0.003627272390
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-03-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OBX Trust
        N/A
        OBX Trust, Series 2021-J1, Class A4
        67113XAD2
        
          
          
        
        180473.25000000
        PA
        USD
        173829.02000000
        0.365496432034
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-05-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384KZR0
        
          
          
        
        1815.75000000
        PA
        USD
        1817.40000000
        0.003821302194
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Variable
          2.25500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31371G3U2
        
          
          
        
        40106.45000000
        PA
        USD
        43065.72000000
        0.090550858556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        3140X42Q8
        
          
          
        
        293228.96000000
        PA
        USD
        290696.48000000
        0.611224329775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411UXU0
        
          
          
        
        4834.11000000
        PA
        USD
        4914.95000000
        0.010334273808
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.85199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anthracite Ltd.
        DWJWQEIA5WIH1V5Q2F36
        Anthracite Ltd., Series 2004-HY1A, Class E
        03702YAE0
        
          
          
        
        1598000.00000000
        PA
        USD
        23.97000000
        0.000050399809
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2041-06-20
          Fixed
          7.14700000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31371KPU9
        
          
          
        
        10482.00000000
        PA
        USD
        11515.64000000
        0.024213018819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-05-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA or FHLMC
        N/A
        FNMA or FHLMC, Single Family, 15 Year
        01F020448
        
          
          
        
        2000000.00000000
        PA
        USD
        1942578.14000000
        4.084504296912
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31403GJW3
        
          
          
        
        24867.07000000
        PA
        USD
        26461.10000000
        0.055637646911
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390HDY8
        
          
          
        
        3600.93000000
        PA
        USD
        3866.97000000
        0.008130769751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust, Series 2021-1, Class A1
        81747KAA1
        
          
          
        
        171925.58000000
        PA
        USD
        160044.18000000
        0.336512147154
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373GUB2
        
          
          
        
        4610.91000000
        PA
        USD
        4611.46000000
        0.009696149563
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-09-01
          Variable
          2.37499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        3140XCHW1
        
          
          
        
        754322.16900000
        PA
        USD
        746873.02000000
        1.570390398523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31368HUX9
        
          
          
        
        2631.33000000
        PA
        USD
        2630.07000000
        0.005530038660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-01
          Variable
          2.62500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36206WB20
        
          
          
        
        1364.06000000
        PA
        USD
        1369.49000000
        0.002879517520
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31292HZM9
        
          
          
        
        3745.37000000
        PA
        USD
        4060.22000000
        0.008537101131
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36208V6R1
        
          
          
        
        979.24000000
        PA
        USD
        1032.43000000
        0.002170808311
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-04-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140QEZN5
        
          
          
        
        543801.88000000
        PA
        USD
        533724.82000000
        1.122220659117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSMC Trust
        N/A
        CSMC Trust, Series 2014-OAK1, Class 1A1
        12649GAA4
        
          
          
        
        34405.73600000
        PA
        USD
        34137.71000000
        0.071778643191
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-11-25
          Variable
          2.99999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36225BL89
        
          
          
        
        73.23000000
        PA
        USD
        73.51000000
        0.000154563620
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-11-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140X66E6
        
          
          
        
        638830.70000000
        PA
        USD
        659227.73000000
        1.386105629619
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31287QJ69
        
          
          
        
        50799.42000000
        PA
        USD
        52509.18000000
        0.110406869572
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140QBMU9
        
          
          
        
        1129922.28000000
        PA
        USD
        1140748.98000000
        2.398562000964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31296P5J7
        
          
          
        
        1086.21000000
        PA
        USD
        1176.82000000
        0.002474405661
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36208VXW0
        
          
          
        
        533.96000000
        PA
        USD
        549.37000000
        0.001155116532
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-01-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31390SXK2
        
          
          
        
        9712.06000000
        PA
        USD
        10437.58000000
        0.021946267942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388PGC9
        
          
          
        
        35640.26000000
        PA
        USD
        35369.26000000
        0.074368125262
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-01
          Variable
          2.37499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374WF80
        
          
          
        
        878.33000000
        PA
        USD
        879.57000000
        0.001849401766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-01
          Variable
          2.28200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA or FHLMC
        N/A
        FNMA or FHLMC, Single Family, 30 Year
        01F022642
        
          
          
        
        2500000.00000000
        PA
        USD
        2385351.58000000
        5.015488735066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388BYH9
        
          
          
        
        13155.06000000
        PA
        USD
        13145.05000000
        0.027639049417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-01
          Variable
          2.64300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO Residential Funding Trust
        N/A
        BRAVO Residential Funding Trust, Series 2019-2, Class A3
        10568LAL0
        
          
          
        
        64947.82000000
        PA
        USD
        64236.20000000
        0.135064340277
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-10-25
          Variable
          3.49999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31383LP90
        
          
          
        
        5533.13000000
        PA
        USD
        5943.97000000
        0.012497912184
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140J7UE3
        
          
          
        
        492317.34000000
        PA
        USD
        519718.41000000
        1.092770496650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391BNU7
        
          
          
        
        7955.29000000
        PA
        USD
        8019.74000000
        0.016862468394
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Variable
          5.37500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Partners of America Trust
        N/A
        Home Partners of America Trust, Series 2021-2, Class B
        43732VAA4
        
          
          
        
        168848.96000000
        PA
        USD
        155367.97000000
        0.326679852923
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-12-17
          Fixed
          2.30200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36224DFX8
        
          
          
        
        16.04000000
        PA
        USD
        16.09000000
        0.000033831161
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2022-08-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36209ECA8
        
          
          
        
        1512.76000000
        PA
        USD
        1544.80000000
        0.003248127891
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-02-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202CQX4
        
          
          
        
        34.64000000
        PA
        USD
        37.01000000
        0.000077817978
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-08-20
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31404MHT8
        
          
          
        
        39754.27000000
        PA
        USD
        41898.52000000
        0.088096680102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31376XFG8
        
          
          
        
        3061.40000000
        PA
        USD
        3060.81000000
        0.006435721343
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-01
          Variable
          2.37999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Connecticut Avenue Securities Trust
        N/A
        Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2
        20753KAB8
        
          
          
        
        55136.98200000
        PA
        USD
        55155.85000000
        0.115971811731
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-08-25
          Floating
          2.75657040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36208RFL3
        
          
          
        
        331.29000000
        PA
        USD
        332.60000000
        0.000699331522
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-01-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        N/A
        Merrill Lynch Mortgage Investors Trust, Series 2003-A, Class 1A
        589929F94
        
          
          
        
        42976.49300000
        PA
        USD
        42662.80000000
        0.089703670771
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-25
          Floating
          1.19657160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202DM57
        
          
          
        
        15210.52000000
        PA
        USD
        16557.45000000
        0.034814031043
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2031-05-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31376B6F8
        
          
          
        
        1154.19000000
        PA
        USD
        1154.90000000
        0.002428316223
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-06-01
          Variable
          2.12000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        31283HSW6
        
          
          
        
        490.72000000
        PA
        USD
        532.60000000
        0.001119855589
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31371GZ86
        
          
          
        
        3890.05000000
        PA
        USD
        4180.58000000
        0.008790172514
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust, Series 2021-15, Class A4
        46654TAF5
        
          
          
        
        56623.46000000
        PA
        USD
        54543.02000000
        0.114683262911
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-06-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 10 Year Notes
        N/A
        
          
          
        
        -10.00000000
        NC
        USD
        32798.80000000
        0.068963423800
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                United States of America
                U.S. Treasury 10 Year Notes
                
                  
                
              
            
            2022-06-21
            -1228750.00000000
            USD
            32798.80000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31381C6Y8
        
          
          
        
        36313.98000000
        PA
        USD
        36316.04000000
        0.076358844142
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-05-01
          Variable
          2.31999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202AYU5
        
          
          
        
        450.76000000
        PA
        USD
        454.25000000
        0.000955115286
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-01-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Institutional Fiduciary Trust - Money Market Portfolio
        549300M4TP89K77LG374
        Institutional Fiduciary Trust - Money Market Portfolio
        457756500
        
          
          
        
        2374030.77100000
        NS
        USD
        2374030.77000000
        4.991685369767
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31384LWE0
        
          
          
        
        11922.88000000
        PA
        USD
        12810.38000000
        0.026935365470
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36207MRZ1
        
          
          
        
        410.73000000
        PA
        USD
        418.43000000
        0.000879799426
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-02-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C03, Class 2M2
        30711XAM6
        
          
          
        
        35652.25900000
        PA
        USD
        35673.65000000
        0.075008141866
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-07-25
          Floating
          3.35657160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374MYT5
        
          
          
        
        19171.93000000
        PA
        USD
        19175.82000000
        0.040319469046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Loan Trust
        N/A
        Mill City Mortgage Loan Trust, Series 2018-1, Class A1
        59980VAA9
        
          
          
        
        50806.79000000
        PA
        USD
        50733.00000000
        0.106672237388
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-05-25
          Variable
          3.25000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II, 30 Year
        36202DTU5
        
          
          
        
        8884.69000000
        PA
        USD
        9631.24000000
        0.020250841062
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-07-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA I, 30 Year
        36213R6Z5
        
          
          
        
        779.73700000
        PA
        USD
        834.10000000
        0.001753795620
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31404N4Z6
        
          
          
        
        23206.02000000
        PA
        USD
        24595.11000000
        0.051714178394
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Virginia Housing Development Authority
        549300LW3QBOVLQBP895
        Virginia Housing Development Authority, Series 2020-A, Class A
        92812UQ84
        
          
          
        
        58532.83000000
        PA
        USD
        56871.60000000
        0.119579382568
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31407SQM7
        
          
          
        
        16403.47000000
        PA
        USD
        17511.39000000
        0.036819804684
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2017-5, Class A1
        89169EAA7
        
          
          
        
        23460.35000000
        PA
        USD
        23384.44000000
        0.049168599035
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-02-25
          Floating
          1.05657120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2013-C01, Class M2
        30711XAB0
        
          
          
        
        86383.85500000
        PA
        USD
        89100.28000000
        0.187344060463
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-10-25
          Floating
          5.70656880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2018-6, Class A1A
        89176LAA2
        
          
          
        
        49143.78600000
        PA
        USD
        49496.28000000
        0.104071884769
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-03-25
          Variable
          3.75000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        3140X83H8
        
          
          
        
        242934.53000000
        PA
        USD
        244181.19000000
        0.513420335194
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        3128FUTQ6
        
          
          
        
        9453.75000000
        PA
        USD
        10162.72000000
        0.021368341717
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust, Series 2021-6, Class A4
        81748YAD4
        
          
          
        
        235482.60000000
        PA
        USD
        226830.57000000
        0.476938568780
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Loan Trust
        N/A
        Mill City Mortgage Loan Trust, Series 2018-2, Class A1
        59980MAC5
        
          
          
        
        61352.80300000
        PA
        USD
        61612.69000000
        0.129548094806
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-05-25
          Variable
          3.49999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust, Series 2021-2, Class A6
        33852EAF6
        
          
          
        
        206780.19000000
        PA
        USD
        198402.18000000
        0.417164457913
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-04-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 5 Year Notes
        N/A
        
          
          
        
        20.00000000
        NC
        USD
        -62598.70000000
        -0.13162129948
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                United States of America
                U.S. Treasury 5 Year Notes
                
                  
                
              
            
            2022-06-30
            2293750.00000000
            USD
            -62598.70000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bonds
        912810QL5
        
          
          
        
        131000.00000000
        PA
        USD
        163834.43000000
        0.344481603873
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-11-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes Trust, Series 2018-SFR4, Class A
        46187XAA3
        
          
          
        
        174849.83300000
        PA
        USD
        174372.04000000
        0.366638196928
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-01-17
          Floating
          1.54100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust, Series 2018-INV1, Class A4
        12553XAD5
        
          
          
        
        23038.48000000
        PA
        USD
        23219.61000000
        0.048822024125
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-25
          Variable
          3.99999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Pool
        S6XOOCT0IEG5ABCC6L87
        FHLMC Pool, 15 Year
        3132D6BR0
        
          
          
        
        1636000.00000000
        PA
        USD
        1591316.75000000
        3.345934955864
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371WP90
        
          
          
        
        7672.49000000
        PA
        USD
        7671.55000000
        0.016130357020
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-12-01
          Variable
          2.32499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust, Series 2022-1, Class A4
        46654WAH4
        
          
          
        
        293226.00000000
        PA
        USD
        281756.67000000
        0.592427303489
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403YF24
        
          
          
        
        17238.72000000
        PA
        USD
        17244.36000000
        0.036258341977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-05-02
      Franklin Strategic Mortgage Portfolio
      Jeffrey W. White 
      Jeffrey W. White 
      Assistant Treasurer
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Form NPORT-P FRANKLIN STRATEGIC MORTG For: Mar 31

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