Form NPORT-P Janus Detroit Street For: Apr 30

  
    NPORT-P
    false
    
      
      
        
          0001500604
          XXXXXXXX
        
      
      
      
      
        S000063007
        C000204446
      
      
      
    
  
  
    
      Janus Detroit Street Trust
      811-23112
      0001500604
      5493003MM7OCK5UJW595
      151 DETROIT STREET
      DENVER
      
      80206
      303-333-3863
      Janus Henderson Mortgage-Backed Securities ETF
      S000063007
      549300V6TVE4ZJCDWY16
      2021-10-31
      2021-04-30
      N
    
    
      2062771430.73
      1348511335.93
      714260094.80
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      411424693.57000000
      0.00000000
      0.00000000
      845445.99000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133A0KK9
        
          
        
        8649547.11000000
        PA
        USD
        9042680.01000000
        1.266020610115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140JMBK7
        
          
        
        2373218.62000000
        PA
        USD
        2548799.42000000
        0.356844717849
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132CWDV3
        
          
        
        1554814.19000000
        PA
        USD
        1638953.47000000
        0.229461715967
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UMA7
        
          
        
        492359.48000000
        PA
        USD
        516679.42000000
        0.072337713357
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F040651
        
          
        
        60410762.00000000
        PA
        USD
        64904114.48000000
        9.086901949656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31339NJN7
        
          
        
        35265.04000000
        PA
        USD
        35458.31000000
        0.004964341457
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-15
          Floating
          0.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        
        03464NAA0
        
          
        
        24133.63000000
        PA
        USD
        24333.91000000
        0.003406869595
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2048-09-25
          Variable
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418AUD8
        
          
        
        83122.35000000
        PA
        USD
        92005.76000000
        0.012881268416
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132ACSS0
        
          
        
        3556794.74000000
        PA
        USD
        3792148.24000000
        0.530919796248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F032666
        
          
        
        45498976.00000000
        PA
        USD
        48360861.59000000
        6.770763471469
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        549300671OK77JNRLK28
        
        81745AAA5
        
          
        
        1405900.57000000
        PA
        USD
        1440715.32000000
        0.201707379495
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2043-05-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140J9D24
        
          
        
        1443376.25000000
        PA
        USD
        1537560.38000000
        0.215266174212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140EVBD8
        
          
        
        663934.05000000
        PA
        USD
        699279.95000000
        0.097902704503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81748GBN0
        
          
        
        564443.16000000
        PA
        USD
        579647.20000000
        0.081153518755
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2049-09-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131XUT72
        
          
        
        1253880.67000000
        PA
        USD
        1321776.84000000
        0.185055395033
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418CGC2
        
          
        
        34917.85000000
        PA
        USD
        37447.62000000
        0.005242854846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H022663
        
          
        
        76441270.00000000
        PA
        USD
        79290236.13000000
        11.10103122199
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        
        12597VAB1
        
          
        
        2284295.82000000
        PA
        USD
        2293663.56000000
        0.321124416259
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2065-09-25
          Variable
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38375LLN8
        
          
        
        20678.73000000
        PA
        USD
        21021.79000000
        0.002943156163
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-10-20
          Floating
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38376TSC7
        
          
        
        14386.66000000
        PA
        USD
        14699.94000000
        0.002058065417
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-01-16
          Floating
          0.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38375KNR9
        
          
        
        42820.89000000
        PA
        USD
        43111.37000000
        0.006035808288
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-06-20
          Floating
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H040657
        
          
        
        16139200.00000000
        PA
        USD
        17227304.86000000
        2.411909189022
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140KQQE4
        
          
        
        953020.00000000
        PA
        USD
        990256.02000000
        0.138640815468
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131Y2M21
        
          
        
        178235.72000000
        PA
        USD
        193974.67000000
        0.027157427863
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418APM4
        
          
        
        512732.87000000
        PA
        USD
        546585.92000000
        0.076524773535
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Spruce Hill Mortgage Acquisition Company, LLC
        N/A
        
        85214RAA1
        
          
        
        5697762.34000000
        PA
        USD
        5748669.00000000
        0.804842527512
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2055-06-25
          Variable
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136AB4P5
        
          
        
        66632.36000000
        PA
        USD
        67337.20000000
        0.009427546140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-25
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140JYSB3
        
          
        
        195672.77000000
        PA
        USD
        207790.69000000
        0.029091740041
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131Y6VU0
        
          
        
        1577.84000000
        PA
        USD
        1683.98000000
        0.000235765656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WHP55
        
          
        
        23919.05000000
        PA
        USD
        25096.04000000
        0.003513571622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418ARE0
        
          
        
        186734.47000000
        PA
        USD
        199201.36000000
        0.027889190709
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140F0GY4
        
          
        
        2130902.98000000
        PA
        USD
        2255629.38000000
        0.315799440066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X7JB6
        
          
        
        19199015.45000000
        PA
        USD
        20590147.50000000
        2.882724045470
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F012460
        
          
        
        12180277.00000000
        PA
        USD
        12310362.36000000
        1.723512548107
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        
        12565YAA5
        
          
        
        2553428.35000000
        PA
        USD
        2552062.52000000
        0.357301568235
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2055-07-25
          Variable
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132H7F41
        
          
        
        578196.01000000
        PA
        USD
        631430.55000000
        0.088403447791
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        
        3137F8ZY2
        
          
        
        10000000.00000000
        PA
        USD
        2063706.10000000
        0.288929217105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-25
          Variable
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X3A73
        
          
        
        65088.93000000
        PA
        USD
        69275.84000000
        0.009698965475
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X4EJ1
        
          
        
        1683094.11000000
        PA
        USD
        1774201.27000000
        0.248397087127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38374LHM6
        
          
        
        37892.49000000
        PA
        USD
        37962.30000000
        0.005314912631
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-06-20
          Floating
          0.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132AED78
        
          
        
        1586093.37000000
        PA
        USD
        1692358.39000000
        0.236938672945
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133A3FP8
        
          
        
        972243.00000000
        PA
        USD
        1044075.50000000
        0.146175812928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136AHG53
        
          
        
        212613.39000000
        PA
        USD
        214139.59000000
        0.029980617923
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Floating
          0.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        
        19688JAA5
        
          
        
        59363.99000000
        PA
        USD
        59944.90000000
        0.008392587019
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2065-03-25
          Variable
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140E9H66
        
          
        
        21414.01000000
        PA
        USD
        22631.78000000
        0.003168562847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31334YMG9
        
          
        
        163882.62000000
        PA
        USD
        174043.39000000
        0.024366948576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WJTF5
        
          
        
        701617.29000000
        PA
        USD
        739596.37000000
        0.103547205756
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38375KZS4
        
          
        
        64995.53000000
        PA
        USD
        65502.77000000
        0.009170716728
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-07-20
          Floating
          0.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38378EZ55
        
          
        
        34149.72000000
        PA
        USD
        34274.63000000
        0.004798620313
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-07-20
          Floating
          0.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XAP9
        
          
        
        1068798.44000000
        PA
        USD
        1104124.36000000
        0.154582954870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-11-25
          Floating
          5.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137GAYQ4
        
          
        
        62597.69000000
        PA
        USD
        62775.32000000
        0.008788860032
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-15
          Floating
          0.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131Y2YX0
        
          
        
        407157.58000000
        PA
        USD
        451775.89000000
        0.063250893237
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131XVQW8
        
          
        
        23071.06000000
        PA
        USD
        24504.76000000
        0.003430789453
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H020667
        
          
        
        40620401.00000000
        PA
        USD
        41362941.93000000
        5.791019578320
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F022675
        
          
        
        45015592.00000000
        PA
        USD
        46484000.61000000
        6.507993509425
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XBF0
        
          
        
        1369123.26000000
        PA
        USD
        1451087.58000000
        0.203159547980
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-25
          Floating
          5.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137FYY67
        
          
        
        29664550.00000000
        PA
        USD
        4004714.25000000
        0.560680105070
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31339USH4
        
          
        
        6444145.97000000
        PA
        USD
        6737040.59000000
        0.943219513318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140HAMH0
        
          
        
        188496.82000000
        PA
        USD
        200170.33000000
        0.028024851375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31334YAT4
        
          
        
        146069.55000000
        PA
        USD
        154518.18000000
        0.021633321128
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31393E4W6
        
          
        
        46544.05000000
        PA
        USD
        46934.70000000
        0.006571093687
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-25
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132ACNG1
        
          
        
        688749.11000000
        PA
        USD
        759325.86000000
        0.106309433430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Warehouse Securitization Trust
        N/A
        
        58550LAF2
        
          
        
        3489000.00000000
        PA
        USD
        3521277.79000000
        0.492996573046
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2055-02-25
          Floating
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140FXF72
        
          
        
        137586.16000000
        PA
        USD
        146564.60000000
        0.020519779988
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        -7.00000000
        NC
        USD
        11976.30000000
        0.001676742140
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                Eurodollar Time Deposit
                EDZ3 Comdty
              
            
            2023-12-18
            -1743426.30000000
            USD
            11976.30000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140K3SF0
        
          
        
        111503.19000000
        PA
        USD
        119215.65000000
        0.016690789653
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131Y8MN2
        
          
        
        50046.32000000
        PA
        USD
        55095.99000000
        0.007713715269
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131Y6WK1
        
          
        
        885.24000000
        PA
        USD
        944.79000000
        0.000132275344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BVRT FINANCING TRU
        N/A
        
        51236PAA1
        
          
        
        5121218.01000000
        PA
        USD
        5121218.01000000
        0.716996238104
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-11-10
          Fixed
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        3617GDT77
        
          
        
        322403.72000000
        PA
        USD
        351116.14000000
        0.049158022764
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-07-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179TXV2
        
          
        
        687302.94000000
        PA
        USD
        738420.27000000
        0.103382545850
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X6EV9
        
          
        
        40191925.23000000
        PA
        USD
        42777310.21000000
        5.989038239911
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYVIW OP MST FD IVB
        N/A
        
        07335PAA3
        
          
        
        6188714.61000000
        PA
        USD
        6188714.61000000
        0.866451122645
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-01-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31339SSN6
        
          
        
        6228082.97000000
        PA
        USD
        6511157.25000000
        0.911594711422
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31329L6W7
        
          
        
        88611.38000000
        PA
        USD
        96771.74000000
        0.013548529548
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        -7.00000000
        NC
        USD
        18101.30000000
        0.002534272897
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                Eurodollar Time Deposit
                EDU4 Comdty
              
            
            2024-09-16
            -1741063.80000000
            USD
            18101.30000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XBD5
        
          
        
        2014143.46000000
        PA
        USD
        2047049.87000000
        0.286597261264
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418ALK2
        
          
        
        308684.02000000
        PA
        USD
        328939.92000000
        0.046053240604
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WJP93
        
          
        
        82551.00000000
        PA
        USD
        88531.75000000
        0.012394889570
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        N/A
        
        433674AA6
        
          
        
        2828399.68000000
        PA
        USD
        2859116.38000000
        0.400290650536
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2025-12-25
          Fixed
          3.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BVRT FINANCING TRUST
        N/A
        
        07335MAA0
        
          
        
        3966000.00000000
        PA
        USD
        3966000.00000000
        0.555259915662
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2032-01-10
          Variable
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H030658
        
          
        
        46467968.00000000
        PA
        USD
        48608747.29000000
        6.805468714251
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-05-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CELESTIAL-SATURN MERGER
        N/A
        
        15103MAA3
        
          
        
        2500000.00000000
        PA
        USD
        2496325.00000000
        0.349498035543
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2028-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131XCKS5
        
          
        
        20426.75000000
        PA
        USD
        21435.74000000
        0.003001111241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132ADJC3
        
          
        
        474418.56000000
        PA
        USD
        518968.99000000
        0.072658264654
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140Q7DN4
        
          
        
        213274.10000000
        PA
        USD
        233415.91000000
        0.032679399521
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31398N2W3
        
          
        
        24223.79000000
        PA
        USD
        24432.55000000
        0.003420679690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-25
          Floating
          0.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133KYVC0
        
          
        
        71138404.00000000
        PA
        USD
        72608289.18000000
        10.16552509493
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KBS7
        
          
        
        5000000.00000000
        PA
        USD
        5034334.40000000
        0.704832096410
        Long
        ABS-MBS
        USGSE
        US
        Y
        
        2
        
          2033-08-25
          Floating
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136A8QW3
        
          
        
        18220.98000000
        PA
        USD
        18380.44000000
        0.002573353899
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-25
          Floating
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        3837H2WA3
        
          
        
        35258.47000000
        PA
        USD
        35503.17000000
        0.004970622082
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-08-16
          Floating
          0.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UQT2
        
          
        
        470995.56000000
        PA
        USD
        498531.28000000
        0.069796882624
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417FPB8
        
          
        
        16873.68000000
        PA
        USD
        18000.21000000
        0.002520119789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31334WZG9
        
          
        
        1814981.08000000
        PA
        USD
        1913260.18000000
        0.267866032826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F022642
        
          
        
        17011183.00000000
        PA
        USD
        17662030.86000000
        2.472773012041
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31339W7G5
        
          
        
        51242.75000000
        PA
        USD
        52072.48000000
        0.007290408687
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-15
          Floating
          0.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140JAPW2
        
          
        
        380025.56000000
        PA
        USD
        405116.65000000
        0.056718365333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XAX2
        
          
        
        5956061.94000000
        PA
        USD
        6049729.17000000
        0.846992463115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-25
          Floating
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138ETLU8
        
          
        
        833478.64000000
        PA
        USD
        889123.88000000
        0.124481808023
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418AQR2
        
          
        
        804048.71000000
        PA
        USD
        857135.82000000
        0.120003318992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140FXFH0
        
          
        
        2316419.19000000
        PA
        USD
        2468392.16000000
        0.345587297676
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F042657
        
          
        
        4203000.00000000
        PA
        USD
        4578622.11000000
        0.641030087405
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X6GZ8
        
          
        
        9174724.04000000
        PA
        USD
        9671358.83000000
        1.354038801888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BVRT FIN TST FRN
        N/A
        
        07335FAA5
        
          
        
        1332930.32000000
        PA
        USD
        1332997.90000000
        0.186626399781
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-07-01
          Fixed
          1.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140QCEU6
        
          
        
        740218.54000000
        PA
        USD
        787913.20000000
        0.110311804584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31392RC58
        
          
        
        41395.42000000
        PA
        USD
        41679.91000000
        0.005835396699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-15
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38380KNA9
        
          
        
        6786711.16000000
        PA
        USD
        6203125.26000000
        0.868468686009
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-05-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        21H032662
        
          
        
        42854100.00000000
        PA
        USD
        45423631.84000000
        6.359536556878
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Multifamily Structured Credit Risk
        N/A
        
        35563FAA9
        
          
        
        2601124.89000000
        PA
        USD
        2613661.01000000
        0.365925666158
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2051-01-25
          Floating
          2.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140J7UG8
        
          
        
        224507.14000000
        PA
        USD
        245709.81000000
        0.034400607256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132A8GL7
        
          
        
        166108.28000000
        PA
        USD
        176329.46000000
        0.024687009855
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BVRT FINANCING TRU FRN
        N/A
        
        512366AA3
        
          
        
        11112630.95000000
        PA
        USD
        11112630.95000000
        1.555824136179
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-01-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140K1TP1
        
          
        
        122262.14000000
        PA
        USD
        130436.13000000
        0.018261713197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        3137G0QP7
        
          
        
        401281.49000000
        PA
        USD
        401281.64000000
        0.056181444675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-25
          Floating
          0.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132A5GZ2
        
          
        
        4704005.34000000
        PA
        USD
        4949165.73000000
        0.692908054927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        383742FU2
        
          
        
        41664.46000000
        PA
        USD
        42269.14000000
        0.005917891858
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-02-20
          Floating
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F022451
        
          
        
        -42000000.00000000
        PA
        USD
        -43882020.00000000
        -6.14370315792
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X6FJ5
        
          
        
        676967.18000000
        PA
        USD
        726791.78000000
        0.101754498857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31392EHN3
        
          
        
        44713.52000000
        PA
        USD
        45053.18000000
        0.006307671439
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-25
          Floating
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        3617J6Q80
        
          
        
        387839.90000000
        PA
        USD
        412567.62000000
        0.057761538549
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Station Place Securitization Trust
        N/A
        
        857740AE4
        
          
        
        6250000.00000000
        PA
        USD
        6251341.88000000
        0.875219254934
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2054-01-26
          Floating
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132A5AL9
        
          
        
        4059704.29000000
        PA
        USD
        4322825.50000000
        0.605217277497
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Provident Funding Mortgage Warehouse Securitization Trust
        N/A
        
        74387PAE2
        
          
        
        7500000.00000000
        PA
        USD
        7497737.25000000
        1.049720865632
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2055-02-25
          Floating
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31396AFB5
        
          
        
        30863.12000000
        PA
        USD
        30957.62000000
        0.004334222256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-15
          Floating
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        
        64828FCS9
        
          
        
        213264.65000000
        PA
        USD
        215057.86000000
        0.030109180334
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2048-01-25
          Floating
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31346YMN0
        
          
        
        9668039.24000000
        PA
        USD
        10107463.90000000
        1.415095701633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31398NTM6
        
          
        
        41248.22000000
        PA
        USD
        159232.81000000
        0.022293393003
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-25
          Floating
          53.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38375LPU8
        
          
        
        49967.90000000
        PA
        USD
        50797.88000000
        0.007111958286
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-10-20
          Floating
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131XDFC4
        
          
        
        83304.26000000
        PA
        USD
        88627.49000000
        0.012408293651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38374LL25
        
          
        
        44146.40000000
        PA
        USD
        44131.08000000
        0.006178572808
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-08-20
          Floating
          0.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BVRT FIN TST FRN
        N/A
        
        07335FAB3
        
          
        
        3000000.00000000
        PA
        USD
        3000292.20000000
        0.420055974265
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-07-01
          Fixed
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140HBFX1
        
          
        
        3033221.59000000
        PA
        USD
        3352774.09000000
        0.469405208888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3133A2HT0
        
          
        
        540725.81000000
        PA
        USD
        566848.76000000
        0.079361672887
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140FXEC2
        
          
        
        60166.20000000
        PA
        USD
        65897.00000000
        0.009225910908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131XC5X1
        
          
        
        154394.81000000
        PA
        USD
        164260.81000000
        0.022997338251
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XCT9
        
          
        
        1695000.11000000
        PA
        USD
        1779457.63000000
        0.249133003923
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-10-25
          Floating
          6.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F022451
        
          
        
        21679916.00000000
        PA
        USD
        22651393.04000000
        3.171308771819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XLX0
        
          
        
        3135666.00000000
        PA
        USD
        3174834.01000000
        0.444492704144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-11-25
          Floating
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F030652
        
          
        
        -68952000.00000000
        PA
        USD
        -72214119.12000000
        -10.1103393071
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38374UJK8
        
          
        
        622.50000000
        PA
        USD
        622.50000000
        0.000087153125
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-05-20
          Floating
          0.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31393JAZ1
        
          
        
        35418.75000000
        PA
        USD
        35694.20000000
        0.004997367241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-15
          Floating
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417GLX2
        
          
        
        1621778.05000000
        PA
        USD
        1732653.16000000
        0.242580143089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WGR97
        
          
        
        3252491.07000000
        PA
        USD
        3428550.88000000
        0.480014340008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418ATD0
        
          
        
        160018.68000000
        PA
        USD
        170701.95000000
        0.023899130196
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31346YLW1
        
          
        
        5582482.36000000
        PA
        USD
        5836213.27000000
        0.817099164924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31418BW93
        
          
        
        922267.00000000
        PA
        USD
        990145.60000000
        0.138625356114
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132ACH52
        
          
        
        33291.44000000
        PA
        USD
        35494.34000000
        0.004969385838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140J5EJ4
        
          
        
        24070.35000000
        PA
        USD
        25330.31000000
        0.003546370598
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131XL4H7
        
          
        
        348.45000000
        PA
        USD
        379.58000000
        0.000053143106
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAKEVIEW 2020 CRT
        N/A
        
        512368AA9
        
          
        
        4090571.60000000
        PA
        USD
        4090571.60000000
        0.572700565211
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-07-10
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F022642
        
          
        
        -17011183.00000000
        PA
        USD
        -17662030.86000000
        -2.47277301204
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38375PNL1
        
          
        
        84549.81000000
        PA
        USD
        85825.97000000
        0.012016066783
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-02-20
          Floating
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WTUT1
        
          
        
        2427738.21000000
        PA
        USD
        2583904.85000000
        0.361759654334
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAKEVIEW 2020 CRT
        N/A
        
        512368AB7
        
          
        
        2526000.00000000
        PA
        USD
        2526000.00000000
        0.353652684559
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-07-10
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131Y6P45
        
          
        
        109680.25000000
        PA
        USD
        119780.87000000
        0.016769923291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F030454
        
          
        
        15195555.00000000
        PA
        USD
        16016114.97000000
        2.242336522311
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31334YHQ3
        
          
        
        3708548.44000000
        PA
        USD
        3908558.47000000
        0.547217813014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20753TAB9
        
          
        
        1905097.94000000
        PA
        USD
        1911273.26000000
        0.267587854048
        Long
        ABS-MBS
        USGSE
        US
        Y
        
        2
        
          2039-06-25
          Floating
          2.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31397KTJ0
        
          
        
        91508.41000000
        PA
        USD
        93164.97000000
        0.013043563637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-15
          Floating
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38374JAT3
        
          
        
        63082.92000000
        PA
        USD
        63666.51000000
        0.008913631107
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-07-20
          Floating
          0.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X6NZ0
        
          
        
        793096.94000000
        PA
        USD
        851468.66000000
        0.119209888134
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131XNAH6
        
          
        
        37172.32000000
        PA
        USD
        40492.92000000
        0.005669212139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31334XYL7
        
          
        
        637430.72000000
        PA
        USD
        677871.49000000
        0.094905412599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invesco
        5493007T1J7WZ5QI1A47
        
        825252885
        
          
        
        275527332.33000000
        NS
        USD
        275527332.33000000
        38.57521011406
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31339UQD5
        
          
        
        5430733.22000000
        PA
        USD
        5677566.94000000
        0.794887882066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136BDLE6
        
          
        
        34707405.50000000
        PA
        USD
        6438810.28000000
        0.901465772325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2061-01-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132ACLS7
        
          
        
        900224.50000000
        PA
        USD
        980641.38000000
        0.137294717588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140EU6G9
        
          
        
        88727.69000000
        PA
        USD
        95258.02000000
        0.013336601147
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VCAT Asset Securitization, LLC
        N/A
        
        91822XAA0
        
          
        
        3724327.76000000
        PA
        USD
        3783776.60000000
        0.529747724609
        Long
        ABS-O
        CORP
        US
        Y
        
        2
        
          2050-08-25
          Variable
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131Y4LZ5
        
          
        
        194859.77000000
        PA
        USD
        202888.57000000
        0.028405418625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgage Trust
        N/A
        
        693585AA9
        
          
        
        2093716.25000000
        PA
        USD
        2112308.87000000
        0.295733848968
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2025-09-25
          Variable
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137A9HT6
        
          
        
        330278.62000000
        PA
        USD
        335485.21000000
        0.046969614072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-15
          Floating
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XYX6
        
          
        
        4810501.01000000
        PA
        USD
        4859977.83000000
        0.680421301061
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-25
          Floating
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31329L6U1
        
          
        
        79221.99000000
        PA
        USD
        86517.66000000
        0.012112906857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417EMM0
        
          
        
        288317.34000000
        PA
        USD
        307130.81000000
        0.042999855687
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138WJDM7
        
          
        
        26128.61000000
        PA
        USD
        27478.98000000
        0.003847195188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140K8U25
        
          
        
        5248509.71000000
        PA
        USD
        5540637.56000000
        0.775717081261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132ADY69
        
          
        
        258232.25000000
        PA
        USD
        282337.87000000
        0.039528719587
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140F9WP6
        
          
        
        118572.47000000
        PA
        USD
        126415.81000000
        0.017698848209
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3137GAD20
        
          
        
        97211.07000000
        PA
        USD
        98289.72000000
        0.013761054371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-15
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179TSJ5
        
          
        
        3075778.13000000
        PA
        USD
        3346936.52000000
        0.468587919774
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F032450
        
          
        
        6061089.00000000
        PA
        USD
        6483728.74000000
        0.907754582287
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        -7.00000000
        NC
        USD
        16176.30000000
        0.002264763230
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                Eurodollar Time Deposit
                EDM4 Comdty
              
            
            2024-06-17
            -1741938.80000000
            USD
            16176.30000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31398NEX8
        
          
        
        25398.50000000
        PA
        USD
        25598.14000000
        0.003583868143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-25
          Floating
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X45D4
        
          
        
        509057.80000000
        PA
        USD
        541803.44000000
        0.075855202319
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31394FUL7
        
          
        
        37727.14000000
        PA
        USD
        37974.90000000
        0.005316676694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140X9FB6
        
          
        
        12675700.07000000
        PA
        USD
        13144953.47000000
        1.840359494489
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136A8XS4
        
          
        
        35726.87000000
        PA
        USD
        35771.92000000
        0.005008248432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-25
          Floating
          0.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31392CWW0
        
          
        
        34476.51000000
        PA
        USD
        34826.58000000
        0.004875896085
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-25
          Floating
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136A9ZR2
        
          
        
        840695.75000000
        PA
        USD
        748109.11000000
        0.104739032104
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-25
          Floating
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20753MAF5
        
          
        
        9030773.18000000
        PA
        USD
        9095550.10000000
        1.273422688208
        Long
        ABS-MBS
        USGSE
        US
        Y
        
        2
        
          2031-09-25
          Floating
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38377JYJ6
        
          
        
        1354.39000000
        PA
        USD
        1362.42000000
        0.000190745641
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-06-20
          Floating
          0.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Warehouse Securitization Trust
        N/A
        
        585504AC7
        
          
        
        3378378.00000000
        PA
        USD
        3421012.12000000
        0.478958875752
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2052-11-25
          Floating
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        254900SAV74IHXQ8XY35
        
        26982LAA8
        
          
        
        1200000.00000000
        PA
        USD
        1199014.32000000
        0.167868025769
        Long
        ABS-MBS
        CORP
        BM
        Y
        
        2
        
          2030-01-25
          Floating
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417GJ56
        
          
        
        321692.71000000
        PA
        USD
        343035.58000000
        0.048026703787
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140JXJ58
        
          
        
        313712.08000000
        PA
        USD
        331333.67000000
        0.046388377624
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132A5GL3
        
          
        
        12846040.54000000
        PA
        USD
        13541638.61000000
        1.895897406083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        -7.00000000
        NC
        USD
        14076.30000000
        0.001970752685
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                Eurodollar Time Deposit
                EDH4 Comdty
              
            
            2024-03-18
            -1742726.30000000
            USD
            14076.30000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38377MHV1
        
          
        
        69474.78000000
        PA
        USD
        70107.89000000
        0.009815456653
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-10-16
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140FXJG8
        
          
        
        863675.66000000
        PA
        USD
        920036.43000000
        0.128809720254
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F020463
        
          
        
        48934328.00000000
        PA
        USD
        50478206.05000000
        7.067202328324
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F040453
        
          
        
        1501500.00000000
        PA
        USD
        1600929.33000000
        0.224138145425
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3132CWBH6
        
          
        
        745462.04000000
        PA
        USD
        782284.36000000
        0.109523738718
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46644VBP0
        
          
        
        1019846.99000000
        PA
        USD
        1042009.45000000
        0.145886555553
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2045-06-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131YAV98
        
          
        
        653010.43000000
        PA
        USD
        724601.07000000
        0.101447788456
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31395BU43
        
          
        
        127055.56000000
        PA
        USD
        127847.43000000
        0.017899282198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-25
          Floating
          0.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138EQFX5
        
          
        
        9549.06000000
        PA
        USD
        10717.59000000
        0.001500516419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        3617J6W91
        
          
        
        186412.92000000
        PA
        USD
        203666.93000000
        0.028514392933
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        
        01F020661
        
          
        
        8434575.00000000
        PA
        USD
        8502557.67000000
        1.190400770237
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        -364.00000000
        NC
        USD
        -110400.40000000
        -0.01545661038
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                10 Year US Treasury Note
                TYM1 Comdty
              
            
            2021-06-21
            -47948974.60000000
            USD
            -110400.40000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31417C6S9
        
          
        
        401406.74000000
        PA
        USD
        427909.52000000
        0.059909481590
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        3131YDFA7
        
          
        
        575740.19000000
        PA
        USD
        619625.06000000
        0.086750619908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140FXG30
        
          
        
        240684.29000000
        PA
        USD
        256390.59000000
        0.035895970090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W4EF4
        
          
        
        214074.75000000
        PA
        USD
        230097.59000000
        0.032214818057
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        549300I3GDJZU6IW8K79
        
        81748HBA6
        
          
        
        1850828.62000000
        PA
        USD
        1926.90000000
        0.000269775676
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2048-11-25
          Variable
          0.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        
        31329MVA5
        
          
        
        81215.93000000
        PA
        USD
        86479.77000000
        0.012107602066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XNX8
        
          
        
        6945231.76000000
        PA
        USD
        7026212.54000000
        0.983705038424
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-01-25
          Floating
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        31396XPM0
        
          
        
        38060.13000000
        PA
        USD
        38499.49000000
        0.005390121929
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-25
          Floating
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20753KAB8
        
          
        
        7851213.79000000
        PA
        USD
        7897387.25000000
        1.105673872514
        Long
        ABS-MBS
        USGSE
        US
        Y
        
        2
        
          2031-08-25
          Floating
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3138W7HB3
        
          
        
        596994.11000000
        PA
        USD
        636851.02000000
        0.089162340810
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140J9QR5
        
          
        
        332785.01000000
        PA
        USD
        352030.26000000
        0.049286004154
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38375JC86
        
          
        
        15110.85000000
        PA
        USD
        15198.40000000
        0.002127852320
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-04-20
          Floating
          0.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3140FPAS8
        
          
        
        499852.78000000
        PA
        USD
        551261.45000000
        0.077179371214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179TZ57
        
          
        
        2281808.05000000
        PA
        USD
        2451514.79000000
        0.343224381124
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        36179UMD1
        
          
        
        233217.65000000
        PA
        USD
        254560.53000000
        0.035639752500
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XCB8
        
          
        
        320315.64000000
        PA
        USD
        337712.68000000
        0.047281471057
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-09-25
          Floating
          6.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        
        38374HYS3
        
          
        
        46300.65000000
        PA
        USD
        46568.14000000
        0.006519773446
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-08-16
          Floating
          0.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2021-05-19
      Janus Detroit Street Trust
      Jesper Nergaard
      Jesper Nergaard
      VP, CFO, Treasurer, and Principal Accounting Officer
    
  

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