Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

May 25, 2022 12:38 PM EDT

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      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Government Income Fund
      S000009304
      LY03WWZZ885PZ7XM7X15
      2022-03-31
      2022-03-31
      N
    
    
      381302475.88
      84048769.30
      297253706.58
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      27699335.94000000
      0.00000000
      0.00000000
      5592184.65000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W7WP5
        
          
        
        28445.79000000
        PA
        USD
        28576.15000000
        0.009613387274
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290NBS0
        
          
        
        7977.95000000
        PA
        USD
        8545.54000000
        0.002874830426
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31401DNK3
        
          
        
        213539.37000000
        PA
        USD
        220023.51000000
        0.074018760785
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Floating
          1.53800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        44294.11000000
        PA
        USD
        44497.11000000
        0.014969404591
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WTZ1
        
          
        
        984227.23000000
        PA
        USD
        973951.00000000
        0.327649741093
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-12-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CLK0
        
          
        
        12296.50000000
        PA
        USD
        12403.14000000
        0.004172577069
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKV6
        
          
        
        7397.89000000
        PA
        USD
        7426.00000000
        0.002498202658
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36208CFB8
        
          
        
        6899.51000000
        PA
        USD
        7275.48000000
        0.002447565779
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NXRK5
        
          
        
        14445.15000000
        PA
        USD
        14511.35000000
        0.004881806241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB62
        
          
        
        32743.35000000
        PA
        USD
        33072.55000000
        0.011126034517
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SQC6
        
          
        
        23378.73000000
        PA
        USD
        25229.15000000
        0.008487413089
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KGR83
        
          
        
        1388616.33000000
        PA
        USD
        1374150.97000000
        0.462282198533
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        20601.85000000
        PA
        USD
        20683.39000000
        0.006958160501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNY8
        
          
        
        2924.77000000
        PA
        USD
        2974.97000000
        0.001000818470
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291GXG6
        
          
        
        11573.40000000
        PA
        USD
        12323.51000000
        0.004145788505
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296LVE8
        
          
        
        7269.00000000
        PA
        USD
        7774.98000000
        0.002615604054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QT50
        
          
        
        213927.13000000
        PA
        USD
        222133.52000000
        0.074728595500
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179N5W4
        
          
        
        2535.66000000
        PA
        USD
        2634.51000000
        0.000886283313
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371LA90
        
          
        
        27373.90000000
        PA
        USD
        27715.70000000
        0.009323920740
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397S7M0
        
          
        
        284520.24000000
        PA
        USD
        301776.99000000
        0.101521691174
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MGK3
        
          
        
        4000000.00000000
        PA
        USD
        5245040.00000000
        1.764499444042
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2030-11-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERH60
        
          
        
        89502.32000000
        PA
        USD
        92426.92000000
        0.031093613958
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBN5
        
          
        
        6484.31000000
        PA
        USD
        6577.38000000
        0.002212715890
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BZY5
        
          
        
        34884.15000000
        PA
        USD
        36228.01000000
        0.012187572164
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRNS5
        
          
        
        34637.84000000
        PA
        USD
        34796.58000000
        0.011706020557
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417G4E3
        
          
        
        553060.42000000
        PA
        USD
        555595.04000000
        0.186909373273
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VFP0
        
          
        
        1661737.97000000
        PA
        USD
        1649230.33000000
        0.554822460912
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36210AT31
        
          
        
        85189.99000000
        PA
        USD
        93073.90000000
        0.031311266416
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AD6P8
        
          
        
        382632.68000000
        PA
        USD
        396945.17000000
        0.133537500530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GYKA6
        
          
        
        174204.95000000
        PA
        USD
        180688.16000000
        0.060785839167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KA50
        
          
        
        27910.15000000
        PA
        USD
        30844.82000000
        0.010376597269
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GVL67
        
          
        
        6836.83000000
        PA
        USD
        6826.84000000
        0.002296637467
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4EM1
        
          
        
        1852.27000000
        PA
        USD
        1993.09000000
        0.000670501311
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        38820.19000000
        PA
        USD
        42237.36000000
        0.014209195399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213X3S1
        
          
        
        13602.41000000
        PA
        USD
        14582.87000000
        0.004905866496
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        1035810.78000000
        PA
        USD
        1060250.84000000
        0.356682125918
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283Y5M6
        
          
        
        14166.97000000
        PA
        USD
        14579.92000000
        0.004904874078
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KE84
        
          
        
        2351.54000000
        PA
        USD
        2347.55000000
        0.000789746249
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-08-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36209Q3H6
        
          
        
        56839.58000000
        PA
        USD
        60806.05000000
        0.020455943409
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHT44
        
          
        
        61446.91000000
        PA
        USD
        64662.25000000
        0.021753219074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KNT8
        
          
        
        2700.99000000
        PA
        USD
        2697.68000000
        0.000907534520
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-09-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCW2
        
          
        
        15537.68000000
        PA
        USD
        16045.39000000
        0.005397877181
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CME3
        
          
        
        832.78000000
        PA
        USD
        840.25000000
        0.000282670991
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-12-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G0Q22
        
          
        
        1400000.00000000
        PA
        USD
        1362746.00000000
        0.458445418790
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2026-09-24
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CEF9
        
          
        
        3224.26000000
        PA
        USD
        3240.28000000
        0.001090072193
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-11-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HBH76
        
          
        
        377898.20000000
        PA
        USD
        391962.06000000
        0.131861117733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W1LY1
        
          
        
        10641.84000000
        PA
        USD
        10690.61000000
        0.003596459779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MQQ6
        
          
        
        1708.10000000
        PA
        USD
        1774.69000000
        0.000597028720
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MLCC Mortgage Investors Inc
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E
        59020UJR7
        
          
        
        63171.02000000
        PA
        USD
        60312.76000000
        0.020289994259
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-11-25
          Floating
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CL20
        
          
        
        10964.40000000
        PA
        USD
        11125.41000000
        0.003742732135
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-11-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417MFB4
        
          
        
        9990.59000000
        PA
        USD
        10520.89000000
        0.003539363771
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN22
        000000000
        
          
        
        -86.00000000
        NC
        USD
        391291.53000000
        0.131635542749
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            -13291291.53000000
            USD
            391291.53000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A1MA0
        
          
        
        278460.81000000
        PA
        USD
        295021.90000000
        0.099249191337
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RU4
        
          
        
        6400000.00000000
        PA
        USD
        6734000.00000000
        2.265404888462
        Long
        DBT
        UST
        US
        N
        
        1
        
          2046-11-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        80029.39000000
        PA
        USD
        80346.14000000
        0.027029482970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200NTT8
        
          
        
        163941.76000000
        PA
        USD
        178233.30000000
        0.059959992442
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-06-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVN49
        
          
        
        39117.90000000
        PA
        USD
        39297.17000000
        0.013220077371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFJ0
        
          
        
        7121.97000000
        PA
        USD
        7243.17000000
        0.002436696276
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NYAR6
        
          
        
        18140.94000000
        PA
        USD
        18212.74000000
        0.006127001815
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDN0
        
          
        
        4728.84000000
        PA
        USD
        4938.43000000
        0.001661351865
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Floating
          2.31200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBT7
        
          
        
        6710000.00000000
        PA
        USD
        6257075.00000000
        2.104961136394
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-03-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04658A SWAPTION SOFRRATE
        000000000
        
          
        
        6600000.00000000
        NC
        USD
        2089.56000000
        0.000702955069
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    6600000.00000000
                    OU
                    Notional Amount
                    N/A
                    2089.56000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6600000.00000000
                  USD
                
              
            
            1.00000000
            1.36100000
            USD
            2022-07-12
            XXXX
            -39441.20000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04768A SWAPTION SOFRRATE
        000000000
        
          
        
        -19300000.00000000
        NC
        USD
        -6484.80000000
        -0.00218157077
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    19300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -6484.80000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19300000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-11-16
            XXXX
            16675.20000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPGT5
        
          
        
        36390.72000000
        PA
        USD
        36557.50000000
        0.012298416871
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SSU4
        
          
        
        13286.31000000
        PA
        USD
        14395.01000000
        0.004842667957
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CCG9
        
          
        
        6598.68000000
        PA
        USD
        6668.12000000
        0.002243242002
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-05-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QCJA5
        
          
        
        1391003.31000000
        PA
        USD
        1370427.45000000
        0.461029558139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        1190000.00000000
        PA
        USD
        1070628.13000000
        0.360173180788
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200N3F6
        
          
        
        92473.61000000
        PA
        USD
        100914.94000000
        0.033949093910
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04769A SWAPTION SOFRRATE
        000000000
        
          
        
        19300000.00000000
        NC
        USD
        19247.89000000
        0.006475239693
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    19300000.00000000
                    OU
                    Notional Amount
                    N/A
                    19247.89000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19300000.00000000
                  USD
                
              
            
            1.00000000
            1.80000000
            USD
            2022-11-16
            XXXX
            -43477.11000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB54
        
          
        
        28816.41000000
        PA
        USD
        29106.16000000
        0.009791689508
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-8
        92538GAA0
        
          
        
        95914.39000000
        PA
        USD
        90537.21000000
        0.030457891018
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-11-25
          Variable
          1.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPK94
        
          
        
        590459.83000000
        PA
        USD
        631505.47000000
        0.212446625902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295PZ70
        
          
        
        45220.24000000
        PA
        USD
        48370.15000000
        0.016272345450
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8G58
        
          
        
        492429.91000000
        PA
        USD
        508909.57000000
        0.171203776011
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04659A SWAPTION SOFRRATE
        000000000
        
          
        
        -2120000.00000000
        NC
        USD
        -8717.65000000
        -0.00293273046
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2120000.00000000
                    OU
                    Notional Amount
                    N/A
                    -8717.65000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2120000.00000000
                  USD
                
              
            
            1.00000000
            1.59400000
            USD
            2022-07-12
            XXXX
            32900.94000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CQH2
        
          
        
        11738.05000000
        PA
        USD
        11931.18000000
        0.004013803608
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-09-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENN VALLEY AUTHORITY
        549300HE1ISW43LNKM54
        Tennessee Valley Authority
        880591EW8
        
          
        
        20150000.00000000
        PA
        USD
        19048601.00000000
        6.408196291027
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2025-05-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407KRF8
        
          
        
        78677.46000000
        PA
        USD
        81435.60000000
        0.027395991436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          1.63900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L5TH6
        
          
        
        19134.72000000
        PA
        USD
        19959.58000000
        0.006714661435
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMWQ0
        
          
        
        98549.50000000
        PA
        USD
        99001.14000000
        0.033305266783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MAY6
        
          
        
        2761.32000000
        PA
        USD
        2856.50000000
        0.000960963626
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQU2
        
          
        
        8208.04000000
        PA
        USD
        8245.76000000
        0.002773980548
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-12-20
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CEP7
        
          
        
        9812.53000000
        PA
        USD
        9863.04000000
        0.003318054504
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-12-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        31331YK90
        
          
        
        720000.00000000
        PA
        USD
        834105.60000000
        0.280603935808
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-05-01
          Fixed
          5.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04780A SWAPTION SOFRRATE
        000000000
        
          
        
        -19300000.00000000
        NC
        USD
        -7648.59000000
        -0.00257308481
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    19300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7648.59000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19300000.00000000
                  USD
                
              
            
            1.00000000
            1.34750000
            USD
            2022-11-22
            XXXX
            15541.15000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403BAF0
        
          
        
        191942.22000000
        PA
        USD
        199261.86000000
        0.067034272605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Floating
          1.85800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286T2
        
          
        
        2900000.00000000
        PA
        USD
        2891843.75000000
        0.972853722589
        Long
        DBT
        UST
        US
        N
        
        1
        
          2029-05-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416NFG2
        
          
        
        4785.81000000
        PA
        USD
        5034.68000000
        0.001693731613
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WWKV0
        
          
        
        27590.45000000
        PA
        USD
        27716.89000000
        0.009324321072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        18560000.00000000
        OU
        Notional Amount
        USD
        5137.41000000
        0.001728291316
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            6240.49000000
            USD
            0.00000000
            USD
            18560000.00000000
            USD
            -1103.08000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKL8
        
          
        
        15486.70000000
        PA
        USD
        15517.33000000
        0.005220230953
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T5WZ2
        
          
        
        13285.97000000
        PA
        USD
        13294.58000000
        0.004472469040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-15
          Floating
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4AP6
        
          
        
        20817.24000000
        PA
        USD
        20912.64000000
        0.007035283172
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        36.00000000
        NC
        USD
        -197224.35000000
        -0.06634882783
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            6555724.35000000
            USD
            -197224.35000000
          
        
        
          N
          N
          N
        
      
      
        Scholar Funding Trust
        N/A
        Scholar Funding Trust 2013-A
        80705XAA5
        
          
        
        1238087.96000000
        PA
        USD
        1223226.57000000
        0.411509274038
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-01-30
          Floating
          1.09700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417KUM7
        
          
        
        1921.40000000
        PA
        USD
        2002.73000000
        0.000673744332
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQHG1
        
          
        
        20221.14000000
        PA
        USD
        20301.17000000
        0.006829576738
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NXMW4
        
          
        
        6733.91000000
        PA
        USD
        6764.77000000
        0.002275756315
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVH46
        
          
        
        26468.22000000
        PA
        USD
        26589.52000000
        0.008945059190
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBJ9
        
          
        
        1220000.00000000
        PA
        USD
        1106482.82000000
        0.372235163265
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-01-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200KFF9
        
          
        
        8141.06000000
        PA
        USD
        8594.64000000
        0.002891348302
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217101  IRS USD R F  1.00000 2 CCPOIS / Short: SR217101  IRS USD P V 00MSOFR 1 CCPOIS
        000000000
        
          
        
        10000.00000000
        OU
        Notional Amount
        USD
        -582.06000000
        -0.00019581252
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            USD
            -26.73000000
            USD
            10000.00000000
            USD
            -555.33000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN28
        
          
        
        31657.87000000
        PA
        USD
        32182.69000000
        0.010826674079
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GFQ4
        
          
        
        134023.68000000
        PA
        USD
        134637.90000000
        0.045293934783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U6U1
        
          
        
        2537100.70000000
        PA
        USD
        2519349.06000000
        0.847541680467
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KD93
        
          
        
        2341.45000000
        PA
        USD
        2337.16000000
        0.000786250919
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-07-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200AGF0
        
          
        
        8642.47000000
        PA
        USD
        9198.01000000
        0.003094329791
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CEL6
        
          
        
        41.15000000
        PA
        USD
        41.50000000
        0.000013961137
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-11-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KMP7
        
          
        
        9068.89000000
        PA
        USD
        9084.31000000
        0.003056079638
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6P76
        
          
        
        13666.07000000
        PA
        USD
        13720.16000000
        0.004615639669
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Extended Stay America Trust
        N/A
        Extended Stay America Trust 2021-ESH
        30227FAA8
        
          
        
        397553.25000000
        PA
        USD
        392794.15000000
        0.132141043595
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          1.47700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRXV8
        
          
        
        23671.67000000
        PA
        USD
        23765.36000000
        0.007994975158
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2019-BNK24
        06540VBB0
        
          
        
        1400000.00000000
        PA
        USD
        1361355.21000000
        0.457977539006
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-11-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B4PT7
        
          
        
        56787.47000000
        PA
        USD
        62470.73000000
        0.021015963339
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNB8
        
          
        
        19327.94000000
        PA
        USD
        19760.81000000
        0.006647792630
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WN5M7
        
          
        
        83307.28000000
        PA
        USD
        83689.07000000
        0.028154087954
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2021-6
        46653PAC1
        
          
        
        390819.02000000
        PA
        USD
        360423.70000000
        0.121251204618
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WQQ39
        
          
        
        13740.92000000
        PA
        USD
        13803.89000000
        0.004643807526
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL29
        
          
        
        7014.62000000
        PA
        USD
        7031.82000000
        0.002365595396
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128KLSB4
        
          
        
        15458.43000000
        PA
        USD
        16667.81000000
        0.005607267337
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7LA2
        
          
        
        236.69000000
        PA
        USD
        253.17000000
        0.000085169669
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DVLL7
        
          
        
        1501747.36000000
        PA
        USD
        1480941.25000000
        0.498207832978
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297KFM9
        
          
        
        49062.73000000
        PA
        USD
        52792.87000000
        0.017760205787
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CMN3
        
          
        
        7825.10000000
        PA
        USD
        7997.50000000
        0.002690462666
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GTYG6
        
          
        
        4787.63000000
        PA
        USD
        4780.63000000
        0.001608265900
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMKE0
        
          
        
        29124.46000000
        PA
        USD
        29257.93000000
        0.009842746903
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KDX0
        
          
        
        3930.34000000
        PA
        USD
        3929.57000000
        0.001321958284
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QT8
        
          
        
        900000.00000000
        PA
        USD
        970031.25000000
        0.326331086384
        Long
        DBT
        UST
        US
        N
        
        1
        
          2041-11-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CCU8
        
          
        
        10685.44000000
        PA
        USD
        10800.02000000
        0.003633266721
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GAX4
        
          
        
        270218.08000000
        PA
        USD
        271456.46000000
        0.091321471857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138Y16W0
        
          
        
        602758.25000000
        PA
        USD
        638591.40000000
        0.214830424605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04781A SWAPTION SOFRRATE
        000000000
        
          
        
        19300000.00000000
        NC
        USD
        21394.05000000
        0.007197235737
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    19300000.00000000
                    OU
                    Notional Amount
                    N/A
                    21394.05000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19300000.00000000
                  USD
                
              
            
            1.00000000
            1.85000000
            USD
            2022-11-22
            XXXX
            -44082.86000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312943UP6
        
          
        
        882.93000000
        PA
        USD
        938.15000000
        0.000315605820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31391NCY5
        
          
        
        15192.13000000
        PA
        USD
        15710.46000000
        0.005285202388
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Floating
          1.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBS9
        
          
        
        6430000.00000000
        PA
        USD
        5996979.69000000
        2.017461702663
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-03-31
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CA97
        
          
        
        11352.07000000
        PA
        USD
        11511.93000000
        0.003872762473
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RGA1
        
          
        
        952967.84000000
        PA
        USD
        988928.75000000
        0.332688450340
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EGV8
        
          
        
        500000.00000000
        PA
        USD
        525690.00000000
        0.176848930177
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2023-12-04
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MR5R8
        
          
        
        8651.18000000
        PA
        USD
        8690.83000000
        0.002923707865
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128P7LU5
        
          
        
        129915.10000000
        PA
        USD
        136384.57000000
        0.045881537212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300SRMXHPGI3BJ386
        SLM Student Loan Trust 2008-5
        78444YAD7
        
          
        
        564330.59000000
        PA
        USD
        564682.45000000
        0.189966495791
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-07-25
          Floating
          1.95800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CL46
        
          
        
        17162.51000000
        PA
        USD
        17306.30000000
        0.005822063650
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-11-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FY67
        
          
        
        5146.99000000
        PA
        USD
        5322.53000000
        0.001790568084
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust 2021-LTV2
        46654VAA1
        
          
        
        622844.53000000
        PA
        USD
        574491.12000000
        0.193266259522
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GEV56
        
          
        
        2311.40000000
        PA
        USD
        2512.21000000
        0.000845140008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FP67
        
          
        
        3287.72000000
        PA
        USD
        3397.38000000
        0.001142922670
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912833Y20
        
          
        
        1300000.00000000
        PA
        USD
        911748.51000000
        0.306724017167
        Long
        DBT
        UST
        US
        N
        
        1
        
          2036-05-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KSU0
        
          
        
        15868.50000000
        PA
        USD
        15964.63000000
        0.005370708471
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-05-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7EX0
        
          
        
        1267.73000000
        PA
        USD
        1366.91000000
        0.000459846242
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MHKP7
        
          
        
        8095.29000000
        PA
        USD
        8127.33000000
        0.002734139161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        643993.74000000
        PA
        USD
        670980.56000000
        0.225726557868
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022642
        
          
        
        17000000.00000000
        PA
        USD
        16221719.60000000
        5.457196745041
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03820A SWAPTION US0003M
        000000000
        
          
        
        3780000.00000000
        NC
        USD
        264.98000000
        0.000089142706
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    264.98000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            1.05250000
            USD
            2022-06-21
            XXXX
            -33462.13000000
          
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EJ2D0
        
          
        
        2180000.00000000
        PA
        USD
        2271451.00000000
        0.764145559742
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2028-12-06
          Fixed
          3.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEB4
        
          
        
        727937.55000000
        PA
        USD
        758783.25000000
        0.255264520913
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36202SBG2
        
          
        
        12022.97000000
        PA
        USD
        12879.88000000
        0.004332958585
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        361545.38000000
        PA
        USD
        376204.13000000
        0.126559945821
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        889279.28000000
        PA
        USD
        926336.44000000
        0.311631585912
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RXE4
        
          
        
        214795.93000000
        PA
        USD
        222700.03000000
        0.074919176807
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        -44.00000000
        NC
        USD
        176268.13000000
        0.059298883781
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            -6132080.63000000
            USD
            176268.13000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AMBC8
        
          
        
        711.60000000
        PA
        USD
        757.95000000
        0.000254984204
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KMD4
        
          
        
        6886.20000000
        PA
        USD
        6875.21000000
        0.002312909762
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-07-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KTU9
        
          
        
        15898.39000000
        PA
        USD
        15969.47000000
        0.005372336709
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KYL3
        
          
        
        7007.22000000
        PA
        USD
        7084.42000000
        0.002383290718
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03819A SWAPTION US0003M
        000000000
        
          
        
        -1990000.00000000
        NC
        USD
        -899.68000000
        -0.00030266401
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1990000.00000000
                    OU
                    Notional Amount
                    N/A
                    -899.68000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1990000.00000000
                  USD
                
              
            
            1.00000000
            1.37800000
            USD
            2022-06-21
            XXXX
            32799.43000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MP2W4
        
          
        
        8043.17000000
        PA
        USD
        8080.03000000
        0.002718226828
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBA3
        
          
        
        7455.19000000
        PA
        USD
        7560.19000000
        0.002543345913
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285M8
        
          
        
        12860000.00000000
        PA
        USD
        13386456.25000000
        4.503377402426
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-11-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNK8
        
          
        
        4453.90000000
        PA
        USD
        4524.15000000
        0.001521982703
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        11000000.00000000
        PA
        USD
        10209546.60000000
        3.434623815953
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SSM2
        
          
        
        15116.22000000
        PA
        USD
        16387.00000000
        0.005512799214
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297XEA8
        
          
        
        3143.13000000
        PA
        USD
        3324.83000000
        0.001118515909
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291NPZ8
        
          
        
        20150.09000000
        PA
        USD
        21836.15000000
        0.007345963907
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM8
        12659FAA3
        
          
        
        112540.95000000
        PA
        USD
        107619.55000000
        0.036204611622
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TNR2
        
          
        
        874411.18000000
        PA
        USD
        886363.38000000
        0.298184130384
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CCH7
        
          
        
        988.17000000
        PA
        USD
        1049.45000000
        0.000353048583
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297KC91
        
          
        
        26214.52000000
        PA
        USD
        28207.56000000
        0.009489388820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAA3
        
          
        
        900000.00000000
        PA
        USD
        882755.56000000
        0.296970412970
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.29600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KP82
        
          
        
        8917.74000000
        PA
        USD
        8925.66000000
        0.003002707721
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-11-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AFC24
        
          
        
        8937.09000000
        PA
        USD
        9484.42000000
        0.003190681828
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MUL4
        
          
        
        181461.35000000
        PA
        USD
        191122.41000000
        0.064296056119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032641
        
          
        
        8000000.00000000
        PA
        USD
        8014375.20000000
        2.696139702413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MFW52
        
          
        
        8014.27000000
        PA
        USD
        8045.99000000
        0.002706775330
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A46M2
        
          
        
        8676.10000000
        PA
        USD
        9211.69000000
        0.003098931921
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9NX6
        
          
        
        9865.43000000
        PA
        USD
        9853.06000000
        0.003314697102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GL20
        
          
        
        149926.11000000
        PA
        USD
        150613.21000000
        0.050668236145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        1069642.82000000
        PA
        USD
        1146150.09000000
        0.385579747074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200NXX4
        
          
        
        124608.84000000
        PA
        USD
        135928.60000000
        0.045728142994
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        640987.80000000
        PA
        USD
        668028.13000000
        0.224733322146
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        696263.46000000
        PA
        USD
        723079.00000000
        0.243253148402
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8DN2
        
          
        
        231976.24000000
        PA
        USD
        240645.73000000
        0.080956342906
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        34366068.15000000
        NS
        USD
        34366068.15000000
        11.56119079065
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W3FS7
        
          
        
        48980.20000000
        PA
        USD
        49204.67000000
        0.016553088796
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        29898.68000000
        PA
        USD
        31187.56000000
        0.010491899448
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRD24
        
          
        
        8244.25000000
        PA
        USD
        8276.88000000
        0.002784449719
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2020-BNK29
        06541TBF5
        
          
        
        600000.00000000
        PA
        USD
        539663.11000000
        0.181549665505
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-11-15
          Fixed
          1.99700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL45
        
          
        
        15584.46000000
        PA
        USD
        15622.67000000
        0.005255668694
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MN5G1
        
          
        
        38808.53000000
        PA
        USD
        38962.13000000
        0.013107365572
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        3.00000000
        NC
        USD
        550.46000000
        0.000185181879
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            634816.73000000
            USD
            550.46000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SK5
        
          
        
        530000.00000000
        PA
        USD
        517743.75000000
        0.174175708675
        Long
        DBT
        UST
        US
        N
        
        1
        
          2049-11-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CE44
        
          
        
        22175.39000000
        PA
        USD
        22547.49000000
        0.007585267904
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WXWH6
        
          
        
        22960.58000000
        PA
        USD
        23065.81000000
        0.007759637471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KM77
        
          
        
        14297.08000000
        PA
        USD
        14277.05000000
        0.004802984684
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-08-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9CT8
        
          
        
        331465.69000000
        PA
        USD
        343801.52000000
        0.115659287803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBP5
        
          
        
        6660000.00000000
        PA
        USD
        6175589.10000000
        2.077548223385
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-02-29
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMZQ7
        
          
        
        19977.00000000
        PA
        USD
        20068.55000000
        0.006751320355
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RD2
        
          
        
        3500000.00000000
        PA
        USD
        4136562.50000000
        1.391593244569
        Long
        DBT
        UST
        US
        N
        
        1
        
          2043-11-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2017-4
        63940AAB4
        
          
        
        320699.70000000
        PA
        USD
        320331.31000000
        0.107763604930
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-09-27
          Floating
          0.95700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KRQ0
        
          
        
        4187.08000000
        PA
        USD
        4218.25000000
        0.001419073978
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402N2R8
        
          
        
        296660.60000000
        PA
        USD
        322708.36000000
        0.108563275362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AJHU6
        
          
        
        15150000.00000000
        PA
        USD
        14249332.50000000
        4.793660157830
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-04-14
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312946ZH2
        
          
        
        1201.80000000
        PA
        USD
        1306.21000000
        0.000439425975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        543211.97000000
        PA
        USD
        565890.58000000
        0.190372926383
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7UE3
        
          
        
        710812.47000000
        PA
        USD
        751561.36000000
        0.252834983505
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQ99
        
          
        
        6504.75000000
        PA
        USD
        6551.15000000
        0.002203891778
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        2935284.89000000
        PA
        USD
        3053377.86000000
        1.027195891055
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31342A6D6
        
          
        
        161999.25000000
        PA
        USD
        168546.32000000
        0.056701166804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Floating
          2.31500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBC4
        
          
        
        9230000.00000000
        PA
        USD
        8522607.08000000
        2.867115494725
        Long
        DBT
        UST
        US
        N
        
        1
        
          2025-12-31
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HRPU8
        
          
        
        8235.82000000
        PA
        USD
        8225.49000000
        0.002767161457
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGK2
        
          
        
        44469.77000000
        PA
        USD
        45922.88000000
        0.015449052100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQS7
        
          
        
        3389.69000000
        PA
        USD
        3393.40000000
        0.001141583746
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-12-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MEU3
        
          
        
        2600000.00000000
        PA
        USD
        3217838.00000000
        1.082522413941
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-05-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030645
        
          
        
        9000000.00000000
        PA
        USD
        8805234.60000000
        2.962195055969
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CLM6
        
          
        
        7864.58000000
        PA
        USD
        7937.44000000
        0.002670257703
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECMC Group Student Loan Trust
        N/A
        ECMC Group Student Loan Trust 2018-2
        26829GAA6
        
          
        
        1089456.05000000
        PA
        USD
        1090723.31000000
        0.366933459820
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-09-25
          Floating
          1.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN36
        
          
        
        29469.88000000
        PA
        USD
        29992.65000000
        0.010089916235
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290XLG3
        
          
        
        9987.99000000
        PA
        USD
        10691.47000000
        0.003596749094
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CKX3
        
          
        
        16019.04000000
        PA
        USD
        16262.42000000
        0.005470888887
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-08-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8QW8
        
          
        
        605275.95000000
        PA
        USD
        625532.11000000
        0.210437110169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7P91
        
          
        
        52092.64000000
        PA
        USD
        55845.87000000
        0.018787274561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEF4
        
          
        
        6580000.00000000
        PA
        USD
        6595421.88000000
        2.218785412596
        Long
        DBT
        UST
        US
        N
        
        1
        
          2027-03-31
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912834AD0
        
          
        
        6000000.00000000
        PA
        USD
        4029387.90000000
        1.355538319894
        Long
        DBT
        UST
        US
        N
        
        1
        
          2037-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2021-BNK37
        06540LBF3
        
          
        
        600000.00000000
        PA
        USD
        565271.21000000
        0.190164562287
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-11-15
          Variable
          2.61800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CAY0
        
          
        
        11475.08000000
        PA
        USD
        11850.04000000
        0.003986507060
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-4
        89173UAB3
        
          
        
        1030153.00000000
        PA
        USD
        1011704.30000000
        0.340350440584
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-06-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        -102.00000000
        NC
        USD
        388183.48000000
        0.130589954442
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            -12903902.23000000
            USD
            388183.48000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36206JCT9
        
          
        
        20631.66000000
        PA
        USD
        21868.10000000
        0.007356712301
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-12-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQTN3
        
          
        
        27088.81000000
        PA
        USD
        27196.02000000
        0.009149093652
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Manhattan West
        N/A
        Manhattan West 2020-1MW Mortgage Trust
        563136AA8
        
          
        
        600000.00000000
        PA
        USD
        555360.25000000
        0.186830386873
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-09-10
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CPN0
        
          
        
        50739.09000000
        PA
        USD
        51529.71000000
        0.017335262390
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179V7G9
        
          
        
        659786.64000000
        PA
        USD
        664413.93000000
        0.223517458417
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201U5P5
        
          
        
        17422.14000000
        PA
        USD
        18885.21000000
        0.006353229440
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EWUP8
        
          
        
        37904.45000000
        PA
        USD
        39143.03000000
        0.013168222677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H022648
        
          
        
        4000000.00000000
        PA
        USD
        3879336.40000000
        1.305059050274
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04779A SWAPTION SOFRRATE
        000000000
        
          
        
        -19300000.00000000
        NC
        USD
        -13179.97000000
        -0.00443391275
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    19300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -13179.97000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19300000.00000000
                  USD
                
              
            
            1.00000000
            1.59875000
            USD
            2022-11-22
            XXXX
            29107.20000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9ME0
        
          
        
        215159.89000000
        PA
        USD
        222343.63000000
        0.074799279227
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        -40.00000000
        NC
        USD
        25633.13000000
        0.008623317197
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            -4606258.13000000
            USD
            25633.13000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GRYD0
        
          
        
        42602.76000000
        PA
        USD
        45590.90000000
        0.015337369725
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BXHPP TRUST
        N/A
        BXHPP Trust 2021-FILM
        05609JAA0
        
          
        
        1600000.00000000
        PA
        USD
        1555510.83000000
        0.523294006287
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-15
          Floating
          1.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        29546.24000000
        PA
        USD
        29663.18000000
        0.009979078256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        417185.93000000
        PA
        USD
        434668.27000000
        0.146228040350
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CK70
        
          
        
        3915.11000000
        PA
        USD
        3974.64000000
        0.001337120416
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-09-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04767A SWAPTION SOFRRATE
        000000000
        
          
        
        -19300000.00000000
        NC
        USD
        -11547.19000000
        -0.00388462439
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    19300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -11547.19000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19300000.00000000
                  USD
                
              
            
            1.00000000
            1.54500000
            USD
            2022-11-16
            XXXX
            28017.81000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXBF6
        
          
        
        636.54000000
        PA
        USD
        684.93000000
        0.000230419330
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2021-BNK31
        06541ABP4
        
          
        
        250000.00000000
        PA
        USD
        223952.72000000
        0.075340597961
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-02-15
          Variable
          2.21100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128282R0
        
          
        
        7900000.00000000
        PA
        USD
        7812359.38000000
        2.628178961966
        Long
        DBT
        UST
        US
        N
        
        1
        
          2027-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KM93
        
          
        
        8231.62000000
        PA
        USD
        8247.52000000
        0.002774572635
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-08-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042640
        
          
        
        1000000.00000000
        PA
        USD
        1037344.00000000
        0.348975968015
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RE0
        
          
        
        3830000.00000000
        PA
        USD
        4452375.00000000
        1.497836663241
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-02-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290QX75
        
          
        
        13191.04000000
        PA
        USD
        13990.72000000
        0.004706659560
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GFKT3
        
          
        
        105054.12000000
        PA
        USD
        113583.91000000
        0.038211099638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295PAZ6
        
          
        
        1595.28000000
        PA
        USD
        1657.68000000
        0.000557665039
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Floating
          2.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EP2E3
        
          
        
        72284.31000000
        PA
        USD
        77467.25000000
        0.026060987057
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QDZ1
        
          
        
        3094.55000000
        PA
        USD
        3215.19000000
        0.001081631592
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CQN9
        
          
        
        17764.64000000
        PA
        USD
        18062.88000000
        0.006076586969
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-10-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        765027.82000000
        PA
        USD
        761387.13000000
        0.256140499898
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G05Q2
        
          
        
        27000000.00000000
        PA
        USD
        23582070.00000000
        7.933314027037
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2030-08-05
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202F2M7
        
          
        
        860.99000000
        PA
        USD
        890.48000000
        0.000299569014
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KNU5
        
          
        
        4370.07000000
        PA
        USD
        4364.72000000
        0.001468348385
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-09-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213FHY2
        
          
        
        373738.37000000
        PA
        USD
        405357.22000000
        0.136367423190
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEE7
        
          
        
        6520000.00000000
        PA
        USD
        6501662.50000000
        2.187243541822
        Long
        DBT
        UST
        US
        N
        
        1
        
          2029-03-31
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDL4
        
          
        
        110642.96000000
        PA
        USD
        115460.04000000
        0.038842254089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Floating
          2.32800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EJX1
        
          
        
        700000.00000000
        PA
        USD
        742126.00000000
        0.249660806096
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2024-04-26
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292MA78
        
          
        
        3857.12000000
        PA
        USD
        3990.74000000
        0.001342536665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6A9
        
          
        
        262212.89000000
        PA
        USD
        277801.08000000
        0.093455884266
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RZ3
        
          
        
        5080000.00000000
        PA
        USD
        5263356.25000000
        1.770661267964
        Long
        DBT
        UST
        US
        N
        
        1
        
          2047-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179V4X5
        
          
        
        168652.93000000
        PA
        USD
        169809.82000000
        0.057126224582
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae Strip
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        31364HPY7
        
          
        
        5.21000000
        PA
        USD
        0.03000000
        0.000000010092
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-07-25
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KY70
        
          
        
        9422.97000000
        PA
        USD
        9500.81000000
        0.003196195636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFU5
        
          
        
        7052.43000000
        PA
        USD
        7174.11000000
        0.002413463597
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38373T5Q4
        
          
        
        3910.80000000
        PA
        USD
        4488.48000000
        0.001509982853
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-02-16
          Floating
          35.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W02A6
        
          
        
        7803.74000000
        PA
        USD
        7839.50000000
        0.002637309418
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSJ5
        
          
        
        165202.63000000
        PA
        USD
        173836.70000000
        0.058480919212
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FY69
        
          
        
        71210.93000000
        PA
        USD
        71537.28000000
        0.024066068283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W02X6
        
          
        
        8071.95000000
        PA
        USD
        8103.90000000
        0.002726257005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KLA1
        
          
        
        3169.16000000
        PA
        USD
        3182.20000000
        0.001070533328
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-05-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202K3W3
        
          
        
        345.49000000
        PA
        USD
        346.54000000
        0.000116580547
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-07-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MNJQ4
        
          
        
        8698.29000000
        PA
        USD
        8732.72000000
        0.002937800204
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCL3
        
          
        
        11340000.00000000
        PA
        USD
        10823498.49000000
        3.641165190008
        Long
        DBT
        UST
        US
        N
        
        1
        
          2024-07-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RH3
        
          
        
        3320000.00000000
        PA
        USD
        3585081.25000000
        1.206067803576
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-08-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2021-C59
        95003CAJ9
        
          
        
        500000.00000000
        PA
        USD
        471469.13000000
        0.158608326679
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-04-15
          Fixed
          2.62600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M0XQ8
        
          
        
        68895.60000000
        PA
        USD
        73297.32000000
        0.024658168553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHBX9
        
          
        
        5917.47000000
        PA
        USD
        6247.46000000
        0.002101726525
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A1PN5
        
          
        
        74520.25000000
        PA
        USD
        77846.93000000
        0.026188716331
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C6A7
        
          
        
        1342928.70000000
        PA
        USD
        1395259.68000000
        0.469383442195
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296LKE0
        
          
        
        448.50000000
        PA
        USD
        479.72000000
        0.000161384026
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXFW5
        
          
        
        10406.59000000
        PA
        USD
        11106.83000000
        0.003736481582
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKG9
        
          
        
        2456.22000000
        PA
        USD
        2466.23000000
        0.000829671740
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371HDV7
        
          
        
        2576.90000000
        PA
        USD
        2730.61000000
        0.000918612599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CUK0
        
          
        
        34604.50000000
        PA
        USD
        35529.81000000
        0.011952688633
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NYHT5
        
          
        
        11979.80000000
        PA
        USD
        12027.21000000
        0.004046109344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBU4
        
          
        
        5440000.00000000
        PA
        USD
        5355000.00000000
        1.801491413382
        Long
        DBT
        UST
        US
        N
        
        1
        
          2023-03-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E0EH4
        
          
        
        231726.80000000
        PA
        USD
        240653.70000000
        0.080959024117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN77
        
          
        
        7900.22000000
        PA
        USD
        8035.74000000
        0.002703327098
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        635400EWI7RHQRLFJW85
        Higher Education Funding I
        429827AY4
        
          
        
        553070.50000000
        PA
        USD
        554105.90000000
        0.186408407274
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.54800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133TTRX1
        
          
        
        174127.55000000
        PA
        USD
        185334.02000000
        0.062348766692
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KFV2
        
          
        
        5598.20000000
        PA
        USD
        5582.56000000
        0.001878045547
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-09-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CMC7
        
          
        
        4646.81000000
        PA
        USD
        4715.89000000
        0.001586486525
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-12-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7R98
        
          
        
        251763.51000000
        PA
        USD
        261172.49000000
        0.087861811045
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CKJ4
        
          
        
        36281.22000000
        PA
        USD
        36825.38000000
        0.012388535175
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-07-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CM29
        
          
        
        2514.95000000
        PA
        USD
        2570.86000000
        0.000864870628
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAV3
        
          
        
        120000.00000000
        PA
        USD
        106312.50000000
        0.035764903059
        Long
        DBT
        UST
        US
        N
        
        1
        
          2030-11-15
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNM4
        
          
        
        16585.12000000
        PA
        USD
        16855.61000000
        0.005670445692
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        165085.34000000
        PA
        USD
        185850.88000000
        0.062522645096
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXBH2
        
          
        
        4267.89000000
        PA
        USD
        4592.37000000
        0.001544932795
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GMA1
        
          
        
        12357.84000000
        PA
        USD
        12414.47000000
        0.004176388628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217664  IRS USD R F  2.13000 2 CCPOIS / Short: SR217664  IRS USD P V 00MSOFR 1 CCPOIS
        000000000
        
          
        
        2390000.00000000
        OU
        Notional Amount
        USD
        -6352.38000000
        -0.00213702297
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-11-15
            0.00000000
            USD
            -12067.42000000
            USD
            2390000.00000000
            USD
            5715.04000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        2881.39000000
        PA
        USD
        3081.96000000
        0.001036811293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Economic Development Authority
        5493006JS6QWDVU4R678
        NEW JERSEY ST ECON DEV AUTH LEASE REVENUE
        645913AA2
        
          
        
        2000000.00000000
        PA
        USD
        2350288.80000000
        0.790667617585
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-02-15
          Fixed
          7.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KG9
        
          
        
        165943.27000000
        PA
        USD
        172482.02000000
        0.058025187300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FU63
        
          
        
        218345.70000000
        PA
        USD
        219346.36000000
        0.073790958748
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS Mortgage Trust 2021-C12
        05552XBG2
        
          
        
        950000.00000000
        PA
        USD
        897516.78000000
        0.301936278718
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-11-15
          Fixed
          2.68900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W0FU8
        
          
        
        22738.24000000
        PA
        USD
        22828.24000000
        0.007679715843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        45600.08000000
        PA
        USD
        48570.46000000
        0.016339732331
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030641
        
          
        
        7000000.00000000
        PA
        USD
        6919085.60000000
        2.327670083447
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S2P1
        
          
        
        1473354.74000000
        PA
        USD
        1495847.77000000
        0.503222579529
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292L6T7
        
          
        
        28203.32000000
        PA
        USD
        28167.94000000
        0.009476060138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2022-BNK39
        06539VAJ7
        
          
        
        950000.00000000
        PA
        USD
        917346.56000000
        0.308607273750
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-02-15
          Fixed
          2.92800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312941Z42
        
          
        
        2255.24000000
        PA
        USD
        2423.91000000
        0.000815434743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912833X96
        
          
        
        6400000.00000000
        PA
        USD
        4549014.08000000
        1.530347302423
        Long
        DBT
        UST
        US
        N
        
        1
        
          2035-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296NDL8
        
          
        
        1206.11000000
        PA
        USD
        1290.06000000
        0.000433992906
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7M1
        
          
        
        89968.94000000
        PA
        USD
        93809.41000000
        0.031558701514
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L5TJ2
        
          
        
        6696.78000000
        PA
        USD
        6985.88000000
        0.002350140585
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H032647
        
          
        
        9000000.00000000
        PA
        USD
        9052928.10000000
        3.045522360059
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128CUG59
        
          
        
        18.51000000
        PA
        USD
        18.53000000
        0.000006233732
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LSR85
        
          
        
        15226.21000000
        PA
        USD
        15286.47000000
        0.005142566656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179NLE6
        
          
        
        193576.18000000
        PA
        USD
        201122.88000000
        0.067660343857
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        624107.39000000
        PA
        USD
        648387.73000000
        0.218126037000
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36210KDR3
        
          
        
        37379.76000000
        PA
        USD
        39702.02000000
        0.013356274159
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RG5
        
          
        
        9390000.00000000
        PA
        USD
        10534406.25000000
        3.543910813157
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        101991.66000000
        PA
        USD
        105959.55000000
        0.035646166104
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL60
        
          
        
        4795.70000000
        PA
        USD
        4811.92000000
        0.001618792261
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-06-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  





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